QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) |
Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||||||||||||
Cumulative Redeemable Preferred Stock |
☒ | Accelerated Filer | ☐ | |||||||||
Non-Accelerated Filer | ☐ | Smaller Reporting Company | |||||||||
Emerging Growth Company |
Part I. Financial Information | ||||||||
Item 1. Condensed Consolidated Financial Statements (unaudited) | ||||||||
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations | ||||||||
Item 3. Quantitative and Qualitative Disclosures about Market Risk | ||||||||
Item 4. Controls and Procedures | ||||||||
Part II. Other Information | ||||||||
Item 1. Legal Proceedings | ||||||||
Item 1A. Risk Factors | ||||||||
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds | ||||||||
Item 6. Exhibits |
ELLINGTON FINANCIAL INC. | |||||||||||
CONDENSED CONSOLIDATED BALANCE SHEET | |||||||||||
(UNAUDITED) | |||||||||||
September 30, 2022 | December 31, 2021 | ||||||||||
(In thousands, except share amounts) | Expressed in U.S. Dollars | ||||||||||
Assets | |||||||||||
Cash and cash equivalents(1) | $ | $ | |||||||||
Restricted cash(1) | |||||||||||
Securities, at fair value(1)(2) | |||||||||||
Loans, at fair value(1)(2) | |||||||||||
Investments in unconsolidated entities, at fair value(1) | |||||||||||
Real estate owned(1)(2) | |||||||||||
Financial derivatives—assets, at fair value | |||||||||||
Reverse repurchase agreements | |||||||||||
Due from brokers | |||||||||||
Investment related receivables(1) | |||||||||||
Other assets(1) | |||||||||||
Total Assets | $ | $ | |||||||||
Liabilities | |||||||||||
Securities sold short, at fair value | $ | $ | |||||||||
Repurchase agreements(1) | |||||||||||
Financial derivatives—liabilities, at fair value | |||||||||||
Due to brokers | |||||||||||
Investment related payables | |||||||||||
Other secured borrowings(1) | |||||||||||
Other secured borrowings, at fair value(1) | |||||||||||
Senior notes, net | |||||||||||
Senior notes, at fair value | |||||||||||
Base management fee payable to affiliate | |||||||||||
Incentive fee payable to affiliate | |||||||||||
Dividends payable | |||||||||||
Interest payable(1) | |||||||||||
Accrued expenses and other liabilities(1) | |||||||||||
Total Liabilities | |||||||||||
Commitments and contingencies (Note 21) | |||||||||||
Equity | |||||||||||
Preferred stock, par value $0.001 per share, 100,000,000 shares authorized; 9,420,421 and 9,400,000 shares issued and outstanding, and $235,511 and $235,000 aggregate liquidation preference, respectively | |||||||||||
Common stock, par value $0.001 per share, 100,000,000 shares authorized; 60,438,787 and 57,458,169 shares issued and outstanding, respectively | |||||||||||
Additional paid-in-capital | |||||||||||
Retained earnings (accumulated deficit) | ( | ( | |||||||||
Total Stockholders' Equity | |||||||||||
Non-controlling interests(1) | |||||||||||
Total Equity | |||||||||||
Total Liabilities and Equity | $ | $ |
Three-Month Period Ended | Nine-Month Period Ended | |||||||||||||||||||||||||
September 30, 2022 | September 30, 2021 | September 30, 2022 | September 30, 2021 | |||||||||||||||||||||||
(In thousands, except per share amounts) | ||||||||||||||||||||||||||
Net Interest Income | ||||||||||||||||||||||||||
Interest income | $ | $ | $ | $ | ||||||||||||||||||||||
Interest expense | ( | ( | ( | ( | ||||||||||||||||||||||
Total net interest income | ||||||||||||||||||||||||||
Other Income (Loss)(1) | ||||||||||||||||||||||||||
Realized gains (losses) on securities and loans, net | ( | ( | ||||||||||||||||||||||||
Realized gains (losses) on financial derivatives, net | ( | |||||||||||||||||||||||||
Realized gains (losses) on real estate owned, net | ( | ( | ( | |||||||||||||||||||||||
Unrealized gains (losses) on securities and loans, net | ( | ( | ( | |||||||||||||||||||||||
Unrealized gains (losses) on financial derivatives, net | ||||||||||||||||||||||||||
Unrealized gains (losses) on real estate owned, net | ( | ( | ( | |||||||||||||||||||||||
Unrealized gains (losses) on other secured borrowings, at fair value, net | ||||||||||||||||||||||||||
Unrealized gains (losses) on senior notes, at fair value | ||||||||||||||||||||||||||
Other, net | ( | |||||||||||||||||||||||||
Total other income (loss) | ( | ( | ||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||
Base management fee to affiliate (Net of fee rebates of $444, $395, $1,705, and $784, respectively)(2) | ||||||||||||||||||||||||||
Incentive fee to affiliate | ||||||||||||||||||||||||||
Investment related expenses: | ||||||||||||||||||||||||||
Servicing expense | ||||||||||||||||||||||||||
Debt issuance costs related to Other secured borrowings, at fair value | ||||||||||||||||||||||||||
Debt issuance costs related to Senior notes, at fair value | ||||||||||||||||||||||||||
Other | ||||||||||||||||||||||||||
Professional fees | ||||||||||||||||||||||||||
Compensation expense | ||||||||||||||||||||||||||
Other expenses | ||||||||||||||||||||||||||
Total expenses | ||||||||||||||||||||||||||
Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities | ( | ( | ||||||||||||||||||||||||
Income tax expense (benefit) | ( | ( | ( | |||||||||||||||||||||||
Earnings (losses) from investments in unconsolidated entities | ( | ( | ||||||||||||||||||||||||
Net Income (Loss) | ( | ( | ||||||||||||||||||||||||
Net income (loss) attributable to non-controlling interests | ( | ( | ||||||||||||||||||||||||
Dividends on preferred stock | ||||||||||||||||||||||||||
Net Income (Loss) Attributable to Common Stockholders | $ | ( | $ | $ | ( | $ | ||||||||||||||||||||
Net Income (Loss) per Share of Common Stock: | ||||||||||||||||||||||||||
Basic and Diluted | $ | ( | $ | $ | ( | $ |
Common Stock | Additional Paid-in Capital | Retained Earnings/(Accumulated Deficit) | Total Stockholders' Equity | Non-controlling Interest | Total Equity | ||||||||||||||||||||||||||||||||||||||||||
Preferred Stock | Shares | Par Value | |||||||||||||||||||||||||||||||||||||||||||||
(In thousands, except share amounts) | Expressed in U.S. Dollars | ||||||||||||||||||||||||||||||||||||||||||||||
BALANCE, December 31, 2021 | $ | $ | $ | $ | ( | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||
Net income (loss) | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||
Net proceeds from the issuance of common stock(1) | |||||||||||||||||||||||||||||||||||||||||||||||
Net proceeds from the issuance of preferred stock(1) | |||||||||||||||||||||||||||||||||||||||||||||||
Shares of common stock issued in connection with incentive fee payment | |||||||||||||||||||||||||||||||||||||||||||||||
Contributions from non-controlling interests | |||||||||||||||||||||||||||||||||||||||||||||||
Common dividends(2) | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||
Preferred dividends(3) | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Distributions to non-controlling interests | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||
Adjustment to non-controlling interests | ( | ( | — | ||||||||||||||||||||||||||||||||||||||||||||
Share-based long term incentive plan unit awards | |||||||||||||||||||||||||||||||||||||||||||||||
BALANCE, March 31, 2022 | $ | $ | $ | $ | ( | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||
Net income (loss) | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||
Net proceeds from the issuance of common stock(1) | |||||||||||||||||||||||||||||||||||||||||||||||
Contributions from non-controlling interests | |||||||||||||||||||||||||||||||||||||||||||||||
Common dividends(2) | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||
Preferred dividends(3) | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Distributions to non-controlling interests | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||
Adjustment to non-controlling interests | ( | ( | — | ||||||||||||||||||||||||||||||||||||||||||||
Repurchase of shares of common stock | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||
Share-based long term incentive plan unit awards | |||||||||||||||||||||||||||||||||||||||||||||||
BALANCE, June 30, 2022 | $ | $ | $ | $ | ( | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||
Net income (loss) | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||
Net proceeds from the issuance of common stock(1) | |||||||||||||||||||||||||||||||||||||||||||||||
Contributions from non-controlling interests | |||||||||||||||||||||||||||||||||||||||||||||||
Common dividends(2) | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||
Preferred dividends(3) | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Distributions to non-controlling interests | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||
Conversion of non-controlling interest units to shares of common stock | — | ( | — | ||||||||||||||||||||||||||||||||||||||||||||
Adjustment to non-controlling interests | ( | ( | — | ||||||||||||||||||||||||||||||||||||||||||||
Repurchase of shares of common stock | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||
Share-based long term incentive plan unit awards | |||||||||||||||||||||||||||||||||||||||||||||||
BALANCE, September 30, 2022 | $ | $ | $ | $ | ( | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||
ELLINGTON FINANCIAL INC. | |||||||||||||||||||||||||||||||||||||||||||||||
CONDENSED CONSOLIDATED STATEMENT OF CHANGES IN EQUITY (CONTINUED) | |||||||||||||||||||||||||||||||||||||||||||||||
(UNAUDITED) | |||||||||||||||||||||||||||||||||||||||||||||||
Common Stock | Additional Paid-in Capital | Retained Earnings/(Accumulated Deficit) | Total Stockholders' Equity | Non-controlling Interest | Total Equity | ||||||||||||||||||||||||||||||||||||||||||
Preferred Stock | Shares | Par Value | |||||||||||||||||||||||||||||||||||||||||||||
BALANCE, December 31, 2020 | $ | $ | $ | $ | ( | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||
Net income (loss) | |||||||||||||||||||||||||||||||||||||||||||||||
Contributions from non-controlling interests | |||||||||||||||||||||||||||||||||||||||||||||||
Common dividends(2) | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||
Preferred dividends(3) | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Distributions to non-controlling interests | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||
Adjustment to non-controlling interests | ( | ( | — | ||||||||||||||||||||||||||||||||||||||||||||
Share-based long term incentive plan unit awards | |||||||||||||||||||||||||||||||||||||||||||||||
BALANCE, March 31, 2021 | $ | $ | $ | $ | ( | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||
Net income (loss) | |||||||||||||||||||||||||||||||||||||||||||||||
Contributions from non-controlling interests | |||||||||||||||||||||||||||||||||||||||||||||||
Common dividends(2) | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||
Preferred dividends(3) | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Distributions to non-controlling interests | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||
Share-based long term incentive plan unit awards | |||||||||||||||||||||||||||||||||||||||||||||||
BALANCE, June 30, 2021 | $ | $ | $ | $ | ( | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||
Net income (loss) | |||||||||||||||||||||||||||||||||||||||||||||||
Net proceeds from the issuance of common stock(3) | |||||||||||||||||||||||||||||||||||||||||||||||
Shares of common stock issued in connection with incentive fee payment | — | ||||||||||||||||||||||||||||||||||||||||||||||
Contributions from non-controlling interests | |||||||||||||||||||||||||||||||||||||||||||||||
Common dividends(1) | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||
Preferred dividends(2) | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Distributions to non-controlling interests | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||
Conversion of non-controlling interest units to shares of common stock | — | ( | — | ||||||||||||||||||||||||||||||||||||||||||||
Adjustment to non-controlling interests | ( | ( | — | ||||||||||||||||||||||||||||||||||||||||||||
Share-based long term incentive plan unit awards | |||||||||||||||||||||||||||||||||||||||||||||||
BALANCE, September 30, 2021 | $ | $ | $ | $ | ( | $ | $ | $ |
Nine-Month Period Ended | ||||||||||||||
September 30, 2022 | September 30, 2021 | |||||||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||||
Cash Flows from Operating Activities: | ||||||||||||||
Net cash provided by (used in) operating activities | $ | $ | ||||||||||||
Cash Flows from Investing Activities: | ||||||||||||||
Purchase of securities | $ | ( | ( | |||||||||||
Purchase of loans | ( | ( | ||||||||||||
Capital improvements of real estate owned | ( | ( | ||||||||||||
Proceeds from disposition of securities | ||||||||||||||
Proceeds from disposition of loans | ||||||||||||||
Contributions to investments in unconsolidated entities | ( | ( | ||||||||||||
Distributions from investments in unconsolidated entities | ||||||||||||||
Proceeds from disposition of real estate owned | ||||||||||||||
Proceeds from principal payments of securities | ||||||||||||||
Proceeds from principal payments of loans | ||||||||||||||
Proceeds from securities sold short | ||||||||||||||
Repurchase of securities sold short | ( | ( | ||||||||||||
Payments on financial derivatives | ( | ( | ||||||||||||
Proceeds from financial derivatives | ||||||||||||||
Payments made on reverse repurchase agreements | ( | ( | ||||||||||||
Proceeds from reverse repurchase agreements | ||||||||||||||
Due from brokers, net | ( | |||||||||||||
Due to brokers, net | ( | |||||||||||||
Net cash provided by (used in) investing activities | ( | ( | ||||||||||||
Cash Flows from Financing Activities: | ||||||||||||||
Net proceeds from the issuance of common stock(1) | ||||||||||||||
Net proceeds from the issuance of preferred stock(1) | ||||||||||||||
Offering costs paid | ( | ( | ||||||||||||
Repurchase of common stock | ( | |||||||||||||
Dividends paid | ( | ( | ||||||||||||
Contributions from non-controlling interests | ||||||||||||||
Distributions to non-controlling interests | ( | ( | ||||||||||||
Proceeds from issuance of Other secured borrowings | ||||||||||||||
Principal payments on Other secured borrowings | ( | ( | ||||||||||||
Borrowings under repurchase agreements | ||||||||||||||
Repayments of repurchase agreements | ( | ( | ||||||||||||
Proceeds from issuance of Senior notes, at fair value | ||||||||||||||
Repayment of Senior notes | ( | |||||||||||||
Proceeds from issuance of Other secured borrowings, at fair value | ||||||||||||||
Repayment of Other secured borrowings, at fair value | ( | |||||||||||||
Due from brokers, net | ( | ( | ||||||||||||
Due to brokers, net | ( | |||||||||||||
Net cash provided by (used in) financing activities | ||||||||||||||
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | ( | |||||||||||||
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period | ||||||||||||||
Cash, Cash Equivalents, and Restricted Cash, End of Period | $ | $ | ||||||||||||
ELLINGTON FINANCIAL INC. | ||||||||||||||
CONDENSED CONSOLIDATED STATEMENT OF CASH FLOWS (CONTINUED) | ||||||||||||||
(UNAUDITED) | ||||||||||||||
Nine-Month Period Ended | ||||||||||||||
September 30, 2022 | September 30, 2021 | |||||||||||||
(In thousands) | Expressed in U.S. Dollars | |||||||||||||
Supplemental disclosure of cash flow information: | ||||||||||||||
Interest paid | $ | $ | ||||||||||||
Income tax paid | ||||||||||||||
Dividends payable | ||||||||||||||
Shares issued in connection with incentive fee payment (non-cash) | ||||||||||||||
Share-based long term incentive plan unit awards (non-cash) | ||||||||||||||
Transfers from mortgage loans to real estate owned (non-cash) | ||||||||||||||
Transfers from mortgage loans to investments in unconsolidated entities (non-cash) | ||||||||||||||
Transfers from corporate loans to investments in unconsolidated entities (non-cash) | ||||||||||||||
Purchase of loans (non-cash) | ( | |||||||||||||
Proceeds from principal payments of investments (non-cash) | ||||||||||||||
Principal payments on Other secured borrowings, at fair value (non-cash) | ( | ( | ||||||||||||
Proceeds received from Other secured borrowings, at fair value (non-cash) | ||||||||||||||
Principal payments on Other secured borrowings (non-cash) | ( | |||||||||||||
Proceeds from issuance of Other secured borrowings (non-cash) | ||||||||||||||
Repayments of repurchase agreements (non-cash) | ( | ( |
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||
Securities, at fair value: | ||||||||||||||||||||||||||
Agency RMBS | $ | $ | $ | $ | ||||||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
CMBS | ||||||||||||||||||||||||||
CLOs | ||||||||||||||||||||||||||
Asset-backed securities, backed by consumer loans | ||||||||||||||||||||||||||
Corporate debt securities | ||||||||||||||||||||||||||
Corporate equity securities | ||||||||||||||||||||||||||
U.S. Treasury securities | ||||||||||||||||||||||||||
Loans, at fair value: | ||||||||||||||||||||||||||
Residential mortgage loans | ||||||||||||||||||||||||||
Commercial mortgage loans | ||||||||||||||||||||||||||
Consumer loans | ||||||||||||||||||||||||||
Corporate loans | ||||||||||||||||||||||||||
Investment in unconsolidated entities, at fair value | ||||||||||||||||||||||||||
Financial derivatives–assets, at fair value: | ||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | ||||||||||||||||||||||||||
Credit default swaps on corporate bonds | ||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | ||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||
TBAs | ||||||||||||||||||||||||||
Warrants | ||||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||||
Forwards | ||||||||||||||||||||||||||
Total assets | $ | $ | $ | $ | ||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||
Securities sold short, at fair value: | ||||||||||||||||||||||||||
Government debt | $ | $ | ( | $ | $ | ( | ||||||||||||||||||||
Financial derivatives–liabilities, at fair value: | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | ( | ( | ||||||||||||||||||||||||
Credit default swaps on corporate bonds | ( | ( | ||||||||||||||||||||||||
Credit default swaps on corporate bond indices | ( | ( | ||||||||||||||||||||||||
Interest rate swaps | ( | ( | ||||||||||||||||||||||||
TBAs | ( | ( | ||||||||||||||||||||||||
Futures | ( | ( | ||||||||||||||||||||||||
Total return swaps | ( | ( | ||||||||||||||||||||||||
Other secured borrowings, at fair value | ( | ( | ||||||||||||||||||||||||
Senior notes, at fair value | ( | ( | ||||||||||||||||||||||||
Total liabilities | $ | ( | $ | ( | $ | ( | $ | ( |
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||
Securities, at fair value: | ||||||||||||||||||||||||||
Agency RMBS | $ | $ | $ | $ | ||||||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||
CMBS | ||||||||||||||||||||||||||
CLOs | ||||||||||||||||||||||||||
Asset-backed securities, backed by consumer loans | ||||||||||||||||||||||||||
Corporate debt securities | ||||||||||||||||||||||||||
Corporate equity securities | ||||||||||||||||||||||||||
Loans, at fair value: | ||||||||||||||||||||||||||
Residential mortgage loans | ||||||||||||||||||||||||||
Commercial mortgage loans | ||||||||||||||||||||||||||
Consumer loans | ||||||||||||||||||||||||||
Corporate loans | ||||||||||||||||||||||||||
Investment in unconsolidated entities, at fair value | ||||||||||||||||||||||||||
Financial derivatives–assets, at fair value: | ||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | ||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | ||||||||||||||||||||||||||
Interest rate swaps | ||||||||||||||||||||||||||
TBAs | ||||||||||||||||||||||||||
Options | ||||||||||||||||||||||||||
Warrants | ||||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||||
Total assets | $ | $ | $ | $ | ||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||
Securities sold short, at fair value: | ||||||||||||||||||||||||||
Government debt | $ | $ | ( | $ | $ | ( | ||||||||||||||||||||
Financial derivatives–liabilities, at fair value: | ||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | ( | ( | ||||||||||||||||||||||||
Credit default swaps on corporate bonds | ( | ( | ||||||||||||||||||||||||
Credit default swaps on corporate bond indices | ( | ( | ||||||||||||||||||||||||
Interest rate swaps | ( | ( | ||||||||||||||||||||||||
TBAs | ( | ( | ||||||||||||||||||||||||
Futures | ( | ( | ||||||||||||||||||||||||
Forwards | ( | ( | ||||||||||||||||||||||||
Other secured borrowings, at fair value | ( | ( | ||||||||||||||||||||||||
Total liabilities | $ | ( | $ | ( | $ | ( | $ | ( |
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | ||||||||||||||||||||||||||||||||||
Description | Min | Max | ||||||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | $ | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | ||||||||||||||||||||||||||||||||
Discounted Cash Flows | ||||||||||||||||||||||||||||||||||||||
Yield(1) | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Recoveries | % | % | % | |||||||||||||||||||||||||||||||||||
Non-Agency CMBS | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | |||||||||||||||||||||||||||||||||
Discounted Cash Flows | ||||||||||||||||||||||||||||||||||||||
Yield | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Recoveries | % | % | % | |||||||||||||||||||||||||||||||||||
CLOs | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | |||||||||||||||||||||||||||||||||
Discounted Cash Flows | ||||||||||||||||||||||||||||||||||||||
Yield | % | % | % | |||||||||||||||||||||||||||||||||||
Agency interest only RMBS | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | |||||||||||||||||||||||||||||||||
Option Adjusted Spread ("OAS") | ||||||||||||||||||||||||||||||||||||||
LIBOR OAS(2)(3) | 74 | 4,176 | 611 | |||||||||||||||||||||||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||||||||||||||||||||
ABS backed by consumer loans | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||||||||||||||||||||
Corporate debt and equity | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Performing and re-performing residential mortgage loans | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Securitized residential mortgage loans(4)(5) | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | |||||||||||||||||||||||||||||||||
Discounted Cash Flows | ||||||||||||||||||||||||||||||||||||||
Yield | % | % | % | |||||||||||||||||||||||||||||||||||
Non-performing residential mortgage loans | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Recovery Amount | % | % | % | |||||||||||||||||||||||||||||||||||
Months to Resolution | 5.8 | 103.7 | 25.7 | |||||||||||||||||||||||||||||||||||
Performing commercial mortgage loans | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Non-performing commercial mortgage loans | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Recovery Amount | % | % | % | |||||||||||||||||||||||||||||||||||
Months to Resolution | 2.8 | 2.8 | 2.8 |
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | ||||||||||||||||||||||||||||||||||
Description | Min | Max | ||||||||||||||||||||||||||||||||||||
(continued) | (In thousands) | |||||||||||||||||||||||||||||||||||||
Consumer loans | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||||||||||||||||||||
Corporate loans | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Investment in unconsolidated entities—Loan origination entities | Enterprise Value | Equity Price-to-Book(6) | 1.0x | 3.3x | 1.4x | |||||||||||||||||||||||||||||||||
Investment in unconsolidated entities—Other | Enterprise Value | Net Asset Value | n/a | n/a | n/a | |||||||||||||||||||||||||||||||||
Investment in unconsolidated entities—Loan origination-related entities | Recent Transactions | Transaction Price | n/a | n/a | n/a | |||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | Net Discounted Cash Flows | Projected Collateral Prepayments | % | % | % | |||||||||||||||||||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Recoveries | % | % | % | |||||||||||||||||||||||||||||||||||
Total return swaps | (37) | Discounted Cash Flows | Yield | 16.3 | % | 16.3 | % | 16.3 | % | |||||||||||||||||||||||||||||
Other secured borrowings, at fair value(4) | ( | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | ||||||||||||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||||||||||||||
Projected Collateral Prepayments | ||||||||||||||||||||||||||||||||||||||
Senior notes, at fair value | ( | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ |
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | ||||||||||||||||||||||||||||||||||
Description | Min | Max | ||||||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | $ | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | ||||||||||||||||||||||||||||||||
Discounted Cash Flows | ||||||||||||||||||||||||||||||||||||||
Yield(1) | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Recoveries | % | % | % | |||||||||||||||||||||||||||||||||||
Non-Agency CMBS | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | |||||||||||||||||||||||||||||||||
Discounted Cash Flows | ||||||||||||||||||||||||||||||||||||||
Yield | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Recoveries | % | % | % | |||||||||||||||||||||||||||||||||||
CLOs | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | |||||||||||||||||||||||||||||||||
Discounted Cash Flows | ||||||||||||||||||||||||||||||||||||||
Yield(2) | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Recoveries | % | % | % | |||||||||||||||||||||||||||||||||||
Agency interest only RMBS | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | |||||||||||||||||||||||||||||||||
Option Adjusted Spread ("OAS") | ||||||||||||||||||||||||||||||||||||||
LIBOR OAS(3)(4) | 135 | 19,247 | 683 | |||||||||||||||||||||||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||||||||||||||||||||
ABS backed by consumer loans | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||||||||||||||||||||
Corporate debt and equity | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Performing and re-performing residential mortgage loans | Recent Transactions | Transaction Price | n/a | n/a | n/a | |||||||||||||||||||||||||||||||||
Discounted Cash Flows | ||||||||||||||||||||||||||||||||||||||
Yield | % | % | % | |||||||||||||||||||||||||||||||||||
Securitized residential mortgage loans(5)(6) | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | |||||||||||||||||||||||||||||||||
Discounted Cash Flows | ||||||||||||||||||||||||||||||||||||||
Yield | % | % | % | |||||||||||||||||||||||||||||||||||
Fair Value | Valuation Technique | Unobservable Input | Range | Weighted Average | ||||||||||||||||||||||||||||||||||
Description | Min | Max | ||||||||||||||||||||||||||||||||||||
(Continued) | (In thousands) | |||||||||||||||||||||||||||||||||||||
Non-performing residential mortgage loans | $ | Discounted Cash Flows | Yield | % | % | % | ||||||||||||||||||||||||||||||||
Recovery Amount | % | % | % | |||||||||||||||||||||||||||||||||||
Months to Resolution | 5.8 | 100.8 | 29.5 | |||||||||||||||||||||||||||||||||||
Performing commercial mortgage loans | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Non-performing commercial mortgage loans | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Recovery Amount | % | % | % | |||||||||||||||||||||||||||||||||||
Months to Resolution | 1.8 | 1.8 | 1.8 | |||||||||||||||||||||||||||||||||||
Consumer loans | Discounted Cash Flows | Yield | % | % | % | |||||||||||||||||||||||||||||||||
Projected Collateral Prepayments | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||||||||||||||||||||
Corporate loans | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | |||||||||||||||||||||||||||||||||
Discounted Cash Flows | ||||||||||||||||||||||||||||||||||||||
Yield | % | % | % | |||||||||||||||||||||||||||||||||||
Investment in unconsolidated entities—Loan Originators(6) | Enterprise Value | Equity Price-to-Book(7) | 1.2x | 1.9x | 1.5x | |||||||||||||||||||||||||||||||||
Investment in unconsolidated entities—Other(6) | Enterprise Value | Net Asset Value | n/a | n/a | n/a | |||||||||||||||||||||||||||||||||
Recent Transactions | Transaction Price | n/a | n/a | n/a | ||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | Net Discounted Cash Flows | Projected Collateral Prepayments | % | % | % | |||||||||||||||||||||||||||||||||
Projected Collateral Losses | % | % | % | |||||||||||||||||||||||||||||||||||
Projected Collateral Recoveries | % | % | % | |||||||||||||||||||||||||||||||||||
Other secured borrowings, at fair value(5) | ( | Market Quotes | Non Binding Third-Party Valuation | $ | $ | $ | ||||||||||||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||||||||||||||
Projected Collateral Prepayments |
(In thousands) | Beginning Balance as of June 30, 2022 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/Payments(1) | Sales/Issuances(2) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance as of September 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency RMBS | $ | $ | ( | $ | ( | $ | ( | $ | $ | ( | $ | $ | ( | $ | |||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||
CMBS | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
CLOs | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities backed by consumer loans | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate debt securities | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate equity securities | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage loans | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate loan | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in unconsolidated entities, at fair value | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets, at fair value | $ | $ | ( | $ | $ | ( | $ | $ | ( | $ | $ | ( | $ | ||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return swaps | $ | $ | $ | $ | ( | $ | $ | $ | $ | $ | ( | ||||||||||||||||||||||||||||||||||||||||||
Other secured borrowings, at fair value | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||
Senior notes, at fair value | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities, at fair value | $ | ( | $ | ( | $ | $ | $ | $ | ( | $ | $ | $ | ( |
(In thousands) | Beginning Balance as of June 30, 2021 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/Payments(1) | Sales/Issuances(2) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance as of September 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency RMBS | $ | $ | ( | $ | ( | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
CMBS | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
CLOs | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities backed by consumer loans | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate debt securities | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate equity securities | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage loans | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate loan | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in unconsolidated entities, at fair value | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return swaps | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets, at fair value | $ | $ | ( | $ | $ | ( | $ | $ | ( | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return swaps | $ | ( | $ | $ | ( | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||
Other secured borrowings, at fair value(3) | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities, at fair value | $ | ( | $ | $ | ( | $ | $ | $ | $ | $ | $ | ( |
(In thousands) | Beginning Balance as of December 31, 2021 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/Payments(1) | Sales/Issuances(2) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance as of September 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency RMBS | $ | $ | ( | $ | $ | ( | $ | $ | ( | $ | $ | ( | $ | ||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
CMBS | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
CLOs | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities backed by consumer loans | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate debt securities | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate equity securities | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Loans, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage loans | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate loan | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in unconsolidated entities, at fair value | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets, at fair value | $ | $ | ( | $ | $ | ( | $ | $ | ( | $ | $ | ( | $ | ||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return swaps | $ | $ | $ | $ | ( | $ | $ | $ | $ | $ | ( | ||||||||||||||||||||||||||||||||||||||||||
Other secured borrowings, at fair value | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||
Senior notes, at fair value | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities, at fair value | $ | ( | $ | ( | $ | $ | $ | $ | ( | $ | $ | $ | ( |
(In thousands) | Beginning Balance as of December 31, 2020 | Accreted Discounts / (Amortized Premiums) | Net Realized Gain/ (Loss) | Change in Net Unrealized Gain/(Loss) | Purchases/Payments(1) | Sales/Issuances(2) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance as of September 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency RMBS | $ | $ | ( | $ | $ | ( | $ | $ | ( | $ | $ | ( | $ | ||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
CMBS | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
CLOs | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Asset-backed securities backed by consumer loans | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate debt securities | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate equity securities | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage loans | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Consumer loans | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate loan | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Investment in unconsolidated entities, at fair value | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–assets, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total return swaps | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets, at fair value | $ | $ | ( | $ | $ | $ | $ | ( | $ | $ | ( | $ | |||||||||||||||||||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial derivatives–liabilities, at fair value: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total return swaps | $ | ( | $ | $ | ( | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||
Other secured borrowings, at fair value(3) | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities, at fair value | $ | ( | $ | $ | ( | $ | $ | $ | ( | $ | $ | $ | ( |
As of | ||||||||||||||||||||||||||
September 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
(In thousands) | Fair Value | Carrying Value | Fair Value | Carrying Value | ||||||||||||||||||||||
Other financial instruments | ||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||
Cash and cash equivalents | $ | $ | $ | $ | ||||||||||||||||||||||
Restricted cash | ||||||||||||||||||||||||||
Due from brokers | ||||||||||||||||||||||||||
Reverse repurchase agreements | ||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||
Repurchase agreements | ||||||||||||||||||||||||||
Other secured borrowings | ||||||||||||||||||||||||||
Senior notes, net | ||||||||||||||||||||||||||
Due to brokers |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | Current Principal | Unamortized Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon(1) | Yield | Life (Years)(2) | |||||||||||||||||||||||||||||||||||||||||||||||
Long: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
15-year fixed-rate mortgages | $ | $ | $ | $ | $ | ( | $ | % | % | |||||||||||||||||||||||||||||||||||||||||||||||
20-year fixed-rate mortgages | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
30-year fixed-rate mortgages | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Adjustable rate mortgages | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Reverse mortgages | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest only securities | n/a | n/a | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
CMBS | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency interest only securities | n/a | n/a | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
CLOs | n/a | n/a | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
ABS backed by consumer loans | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate debt | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate equity | n/a | n/a | ( | n/a | n/a | n/a | ||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury securities | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Long | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Short: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury securities | ( | ( | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
European sovereign bonds | ( | ( | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total Short | ( | ( | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | $ | ( | $ | % | % |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | Current Principal | Unamortized Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon(1) | Yield | Life (Years)(2) | |||||||||||||||||||||||||||||||||||||||||||||||
Long: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
15-year fixed-rate mortgages | $ | $ | $ | $ | $ | ( | $ | % | % | |||||||||||||||||||||||||||||||||||||||||||||||
20-year fixed-rate mortgages | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
30-year fixed-rate mortgages | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Adjustable rate mortgages | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Reverse mortgages | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest only securities | n/a | n/a | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
CMBS | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency interest only securities | n/a | n/a | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
CLOs | n/a | n/a | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||
ABS backed by consumer loans | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate debt | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Corporate equity | n/a | n/a | ( | n/a | n/a | n/a | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total Long | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Short: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury securities | ( | ( | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
European sovereign bonds | ( | ( | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total Short | ( | ( | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | $ | ( | $ | % | % |
($ in thousands) | Agency RMBS | Agency Interest Only Securities | ||||||||||||||||||||||||||||||||||||
Estimated Weighted Average Life(1) | Fair Value | Amortized Cost | Weighted Average Coupon(2) | Fair Value | Amortized Cost | Weighted Average Coupon(2) | ||||||||||||||||||||||||||||||||
Less than three years | $ | $ | % | $ | $ | % | ||||||||||||||||||||||||||||||||
Greater than three years and less than seven years | % | % | ||||||||||||||||||||||||||||||||||||
Greater than seven years and less than eleven years | % | % | ||||||||||||||||||||||||||||||||||||
Greater than eleven years | % | % | ||||||||||||||||||||||||||||||||||||
Total | $ | $ | % | $ | $ | % |
($ in thousands) | Agency RMBS | Agency Interest Only Securities | ||||||||||||||||||||||||||||||||||||
Estimated Weighted Average Life(1) | Fair Value | Amortized Cost | Weighted Average Coupon(2) | Fair Value | Amortized Cost | Weighted Average Coupon(2) | ||||||||||||||||||||||||||||||||
Less than three years | $ | $ | % | $ | $ | % | ||||||||||||||||||||||||||||||||
Greater than three years and less than seven years | % | % | ||||||||||||||||||||||||||||||||||||
Greater than seven years and less than eleven years | % | % | ||||||||||||||||||||||||||||||||||||
Greater than eleven years | % | % | ||||||||||||||||||||||||||||||||||||
Total | $ | $ | % | $ | $ | % |
($ in thousands) | Non-Agency RMBS and CMBS | Non-Agency IOs | CLOs and Other Securities(2) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Estimated Weighted Average Life(1) | Fair Value | Amortized Cost | Weighted Average Coupon(3) | Fair Value | Amortized Cost | Weighted Average Coupon(3) | Fair Value | Amortized Cost | Weighted Average Coupon(3) | |||||||||||||||||||||||||||||||||||||||||||||||
Less than three years | $ | $ | % | $ | $ | % | $ | $ | % | |||||||||||||||||||||||||||||||||||||||||||||||
Greater than three years and less than seven years | % | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Greater than seven years and less than eleven years | % | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Greater than eleven years | % | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | % | $ | $ | % | $ | $ | % |
($ in thousands) | Non-Agency RMBS and CMBS | Non-Agency IOs | CLOs and Other Securities(2) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Estimated Weighted Average Life(1) | Fair Value | Amortized Cost | Weighted Average Coupon(3) | Fair Value | Amortized Cost | Weighted Average Coupon(3) | Fair Value | Amortized Cost | Weighted Average Coupon(3) | |||||||||||||||||||||||||||||||||||||||||||||||
Less than three years | $ | $ | % | $ | $ | % | $ | $ | % | |||||||||||||||||||||||||||||||||||||||||||||||
Greater than three years and less than seven years | % | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Greater than seven years and less than eleven years | % | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Greater than eleven years | % | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | % | $ | $ | % | $ | $ | % |
Three-Month Period Ended | ||||||||||||||||||||||||||||||||||||||
(In thousands) | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Type | Coupon Interest | Net Amortization | Interest Income | Coupon Interest | Net Amortization | Interest Income | ||||||||||||||||||||||||||||||||
Agency RMBS | $ | $ | ( | $ | $ | $ | ( | $ | ||||||||||||||||||||||||||||||
Non-Agency RMBS and CMBS | ( | |||||||||||||||||||||||||||||||||||||
CLOs | ( | ( | ||||||||||||||||||||||||||||||||||||
Other securities(1) | ( | ( | ||||||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | $ | ( | $ |
Nine-Month Period Ended | ||||||||||||||||||||||||||||||||||||||
(In thousands) | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Type | Coupon Interest | Net Amortization | Interest Income | Coupon Interest | Net Amortization | Interest Income | ||||||||||||||||||||||||||||||||
Agency RMBS | $ | $ | ( | $ | $ | $ | ( | $ | ||||||||||||||||||||||||||||||
Non-Agency RMBS and CMBS | ||||||||||||||||||||||||||||||||||||||
CLOs | ( | |||||||||||||||||||||||||||||||||||||
Other securities(1) | ( | ( | ||||||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | $ | ( | $ |
Three-Month Period Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||
(In thousands) | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||
Security Type | Proceeds(1) | Gross Realized Gains | Gross Realized Losses(2) | Net Realized Gain (Loss) | Proceeds(1) | Gross Realized Gains | Gross Realized Losses(2) | Net Realized Gain (Loss) | ||||||||||||||||||||||||||||||||||||||||||
Agency RMBS | $ | $ | $ | ( | $ | ( | $ | $ | $ | ( | $ | ( | ||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS and CMBS | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||
CLOs | ( | |||||||||||||||||||||||||||||||||||||||||||||||||
Other securities(3) | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | $ | ( | $ | ( | $ | $ | $ | ( | $ |
Nine-Month Period Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||
(In thousands) | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||
Security Type | Proceeds(1) | Gross Realized Gains | Gross Realized Losses(2) | Net Realized Gain (Loss) | Proceeds(1) | Gross Realized Gains | Gross Realized Losses(2) | Net Realized Gain (Loss) | ||||||||||||||||||||||||||||||||||||||||||
Agency RMBS | $ | $ | $ | ( | $ | ( | $ | $ | $ | ( | $ | ( | ||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS and CMBS | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||
CLOs | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||
Other securities(3) | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | $ | ( | $ | ( | $ | $ | $ | ( | $ |
(In thousands) | Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||||||||||||||||
Security Type | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||||||||||||||||
Agency RMBS | $ | $ | ( | $ | $ | ( | $ | $ | ( | |||||||||||||||||||||||||||||
Non-Agency RMBS and CMBS | ( | ( | ( | |||||||||||||||||||||||||||||||||||
CLOs | ( | ( | ( | |||||||||||||||||||||||||||||||||||
Other securities(1) | ( | ( | ( | |||||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | ( | $ | $ | ( |
(In thousands) | Less than 12 Months | Greater than 12 Months | Total | |||||||||||||||||||||||||||||||||||
Security Type | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||||||||||||||||
Agency RMBS | $ | $ | ( | $ | $ | ( | $ | $ | ( | |||||||||||||||||||||||||||||
Non-Agency RMBS and CMBS | ( | ( | ( | |||||||||||||||||||||||||||||||||||
CLOs | ( | ( | ( | |||||||||||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | ( | $ | $ | ( |
As of | ||||||||||||||||||||||||||
(In thousands) | September 30, 2022 | December 31, 2021 | ||||||||||||||||||||||||
Loan Type | Unpaid Principal Balance | Fair Value | Unpaid Principal Balance | Fair Value | ||||||||||||||||||||||
Residential mortgage loans | $ | $ | $ | $ | ||||||||||||||||||||||
Commercial mortgage loans | ||||||||||||||||||||||||||
Consumer loans | ||||||||||||||||||||||||||
Corporate loans | ||||||||||||||||||||||||||
Total | $ | $ | $ | $ |
As of | ||||||||||||||||||||||||||
September 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
(In thousands) | Unpaid Principal Balance | Fair Value | Unpaid Principal Balance | Fair Value | ||||||||||||||||||||||
90 days or more past due—non-accrual status | ||||||||||||||||||||||||||
Residential mortgage loans | $ | $ | $ | $ | ||||||||||||||||||||||
Commercial mortgage loans | ||||||||||||||||||||||||||
Consumer loans |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | Unpaid Principal Balance | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life (Years)(1) | |||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans, held-for-investment(2) | $ | $ | $ | $ | $ | ( | $ | % | % | |||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans, held-for-sale | ( | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total residential mortgage loans | $ | $ | $ | $ | $ | ( | $ | % | % |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | Unpaid Principal Balance | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life (Years)(1) | |||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans, held-for-investment(2) | $ | $ | $ | $ | $ | ( | $ | % | % | |||||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans, held-for-sale | ( | ( | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total residential mortgage loans | $ | $ | $ | $ | $ | ( | $ | % | % |
Property Location by U.S. State | September 30, 2022 | December 31, 2021 | ||||||||||||
California | % | % | ||||||||||||
Florida | % | % | ||||||||||||
Texas | % | % | ||||||||||||
Utah | % | % | ||||||||||||
Arizona | % | % | ||||||||||||
North Carolina | % | % | ||||||||||||
Georgia | % | % | ||||||||||||
Tennessee | % | % | ||||||||||||
Pennsylvania | % | % | ||||||||||||
Massachusetts | % | % | ||||||||||||
Nevada | % | % | ||||||||||||
New Jersey | % | % | ||||||||||||
Illinois | % | % | ||||||||||||
Washington | % | % | ||||||||||||
Colorado | % | % | ||||||||||||
New York | % | % | ||||||||||||
Oregon | % | % | ||||||||||||
Maryland | % | % | ||||||||||||
Connecticut | % | % | ||||||||||||
Other | % | % | ||||||||||||
% | % |
As of | ||||||||||||||||||||||||||
September 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||
(In thousands) | Unpaid Principal Balance | Fair Value | Unpaid Principal Balance | Fair Value | ||||||||||||||||||||||
Re-performing | $ | $ | $ | $ | ||||||||||||||||||||||
Non-performing |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | Unpaid Principal Balance | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield(1) | Life (Years)(2) | |||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage loans, held-for-investment | $ | $ | $ | $ | $ | ( | $ | % | % |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | Unpaid Principal Balance | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield(1) | Life (Years)(2) | |||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage loans, held-for-investment | $ | $ | $ | $ | $ | ( | $ | % | % |
Property Location by U.S. State | September 30, 2022 | December 31, 2021 | ||||||||||||
Florida | % | % | ||||||||||||
Texas | % | % | ||||||||||||
New York | % | % | ||||||||||||
Arizona | % | % | ||||||||||||
Georgia | % | % | ||||||||||||
New Jersey | % | % | ||||||||||||
Michigan | % | % | ||||||||||||
Massachusetts | % | % | ||||||||||||
Illinois | % | % | ||||||||||||
Ohio | % | % | ||||||||||||
Oklahoma | % | % | ||||||||||||
North Carolina | % | % | ||||||||||||
Tennessee | % | % | ||||||||||||
Connecticut | % | % | ||||||||||||
New Hampshire | % | % | ||||||||||||
Louisiana | % | % | ||||||||||||
Pennsylvania | % | % | ||||||||||||
Rhode Island | % | % | ||||||||||||
Missouri | % | % | ||||||||||||
Other | % | % | ||||||||||||
% | % |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | Unpaid Principal Balance | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value(1) | Life (Years)(2) | Delinquency (Days) | ||||||||||||||||||||||||||||||||||||||||||
Consumer loans, held-for-investment | $ | $ | ( | $ | $ | $ | ( | $ |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | Unpaid Principal Balance | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value(1) | Life (Years)(2) | Delinquency (Days) | ||||||||||||||||||||||||||||||||||||||||||
Consumer loans, held-for-investment | $ | $ | $ | $ | $ | ( | $ |
Days Past Due | September 30, 2022 | December 31, 2021 | ||||||||||||
Current | % | % | ||||||||||||
30-59 Days | % | % | ||||||||||||
60-89 Days | % | % | ||||||||||||
90-119 Days | % | % | ||||||||||||
>120 Days | % | % | ||||||||||||
% | % |
Weighted Average | ||||||||||||||||||||||||||
($ in thousands) | Unpaid Principal Balance | Fair Value | Rate | Remaining Term (Years) | ||||||||||||||||||||||
Corporate loans, held-for-investment(1) | $ | $ | % |
Weighted Average | ||||||||||||||||||||||||||
($ in thousands) | Unpaid Principal Balance | Fair Value | Rate | Remaining Term (Years) | ||||||||||||||||||||||
Corporate loans, held-for-investment(1) | $ | $ | % |
Percentage Ownership of Unconsolidated Entity | ||||||||||||||||||||
Investment in Unconsolidated Entity | Form of Investment | September 30, 2022 | December 31, 2021 | |||||||||||||||||
Loan Originators: | ||||||||||||||||||||
Longbridge Financial, LLC(1) | Preferred shares | |||||||||||||||||||
LendSure Mortgage Corp.(1)(2) | Common shares | |||||||||||||||||||
Other(1)(3) | Various | 24.7%–80.0% | 31.5%–80.0% | |||||||||||||||||
Co-investments with Ellington affiliate(s)(1): | ||||||||||||||||||||
Elizon DB 2015-1 LLC(4)(5) | Membership Interest | |||||||||||||||||||
Elizon NM CRE 2020-1 LLC(4)(6) | Membership Interest | |||||||||||||||||||
Elizon CH CRE 2021-1 LLC(4)(7) | Membership Interest | |||||||||||||||||||
Elizon NAT CRE 2021-1 LLC(4)(8) | Membership Interest | |||||||||||||||||||
Other(4) | Membership Interest | |||||||||||||||||||
Equity investments in securitization-related risk retention vehicles(9) | Membership Interest | 24.6%–56.3% | ||||||||||||||||||
Other: | ||||||||||||||||||||
Jepson Holdings Limited(1)(4) | Membership Interest | |||||||||||||||||||
Other(1)(4)(10) | Various | 8.2%–79.0% | 8.0%–79.0% |
Three-Month Period Ended | Nine-Month Period Ended | |||||||||||||||||||||||||
(In thousands) | September 30, 2022 | September 30, 2021 | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||||
Revenue | $ | $ | $ | $ | ||||||||||||||||||||||
Net income (loss) | $ | $ | $ | $ |
Three-Month Period Ended | Nine-Month Period Ended | |||||||||||||||||||||||||
(In thousands) | September 30, 2022 | September 30, 2021 | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||||
Revenue(1)(2) | $ | $ | ( | $ | ( | $ | ||||||||||||||||||||
Net income (loss) | $ | $ | ( | $ | ( | $ |
Three-Month Period Ended | ||||||||||||||||||||||||||
September 30, 2022 | September 30, 2021 | |||||||||||||||||||||||||
Number of Properties | Carrying Value | Number of Properties | Carrying Value | |||||||||||||||||||||||
(In thousands) | (In thousands) | |||||||||||||||||||||||||
Beginning Balance (June 30, 2022 and 2021, respectively) | $ | $ | ||||||||||||||||||||||||
Transfers from mortgage loans | ||||||||||||||||||||||||||
Capital expenditures and other adjustments to cost | ||||||||||||||||||||||||||
Adjustments to record at the lower of cost or fair value | ( | |||||||||||||||||||||||||
Dispositions | ( | ( | ( | ( | ||||||||||||||||||||||
Ending Balance (September 30, 2022 and 2021, respectively) | $ | $ |
Nine-Month Period Ended | ||||||||||||||||||||||||||
September 30, 2022 | September 30, 2021 | |||||||||||||||||||||||||
Number of Properties | Carrying Value | Number of Properties | Carrying Value | |||||||||||||||||||||||
(In thousands) | (In thousands) | |||||||||||||||||||||||||
Beginning Balance (December 31, 2021 and 2020, respectively) | $ | $ | ||||||||||||||||||||||||
Transfers from mortgage loans | ||||||||||||||||||||||||||
Capital expenditures and other adjustments to cost | ||||||||||||||||||||||||||
Adjustments to record at the lower of cost or fair value | ( | ( | ||||||||||||||||||||||||
Dispositions | ( | ( | ( | ( | ||||||||||||||||||||||
Ending Balance (September 30, 2022 and 2021, respectively) | $ | $ |
September 30, 2022 | December 31, 2021 | |||||||||||||
(In thousands) | ||||||||||||||
Financial derivatives–assets, at fair value: | ||||||||||||||
TBA securities purchase contracts | $ | $ | ||||||||||||
TBA securities sale contracts | ||||||||||||||
Fixed payer interest rate swaps | ||||||||||||||
Fixed receiver interest rate swaps | ||||||||||||||
Credit default swaps on asset-backed securities | ||||||||||||||
Credit default swaps on asset-backed indices | ||||||||||||||
Credit default swaps on corporate bonds | ||||||||||||||
Credit default swaps on corporate bond indices | ||||||||||||||
Options | ||||||||||||||
Futures | ||||||||||||||
Forwards | ||||||||||||||
Warrants | ||||||||||||||
Total financial derivatives–assets, at fair value | ||||||||||||||
Financial derivatives–liabilities, at fair value: | ||||||||||||||
TBA securities purchase contracts | ( | ( | ||||||||||||
TBA securities sale contracts | ( | ( | ||||||||||||
Fixed payer interest rate swaps | ( | |||||||||||||
Fixed receiver interest rate swaps | ( | ( | ||||||||||||
Credit default swaps on asset-backed indices | ( | ( | ||||||||||||
Credit default swaps on corporate bonds | ( | ( | ||||||||||||
Credit default swaps on corporate bond indices | ( | ( | ||||||||||||
Total return swaps | ( | |||||||||||||
Futures | ( | ( | ||||||||||||
Forwards | ( | |||||||||||||
Total financial derivatives–liabilities, at fair value | ( | ( | ||||||||||||
Total | $ | $ |
Weighted Average | ||||||||||||||||||||||||||||||||
Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | ||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
2023 | $ | $ | % | % | ||||||||||||||||||||||||||||
2024 | ||||||||||||||||||||||||||||||||
2025 | ||||||||||||||||||||||||||||||||
2026 | ||||||||||||||||||||||||||||||||
2027 | ||||||||||||||||||||||||||||||||
2028 | ||||||||||||||||||||||||||||||||
2029 | ||||||||||||||||||||||||||||||||
2030 | ||||||||||||||||||||||||||||||||
2031 | ||||||||||||||||||||||||||||||||
2032 | ||||||||||||||||||||||||||||||||
2035 | ||||||||||||||||||||||||||||||||
2036 | ||||||||||||||||||||||||||||||||
2037 | ||||||||||||||||||||||||||||||||
2040 | ||||||||||||||||||||||||||||||||
2049 | ||||||||||||||||||||||||||||||||
2050 | ||||||||||||||||||||||||||||||||
2052 | ||||||||||||||||||||||||||||||||
Total | $ | $ | % | % |
Weighted Average | ||||||||||||||||||||||||||||||||
Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | |||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
2022 | $ | $ | ( | % | % | |||||||||||||||||||||||||||
2023 | ||||||||||||||||||||||||||||||||
2024 | ||||||||||||||||||||||||||||||||
2025 | ||||||||||||||||||||||||||||||||
2026 | ||||||||||||||||||||||||||||||||
2027 | ||||||||||||||||||||||||||||||||
2028 | ||||||||||||||||||||||||||||||||
2029 | ( | |||||||||||||||||||||||||||||||
2030 | ||||||||||||||||||||||||||||||||
2031 | ||||||||||||||||||||||||||||||||
2035 | ||||||||||||||||||||||||||||||||
2036 | ||||||||||||||||||||||||||||||||
2040 | ||||||||||||||||||||||||||||||||
2049 | ( | |||||||||||||||||||||||||||||||
2050 | ||||||||||||||||||||||||||||||||
Total | $ | $ | % | % |
Weighted Average | ||||||||||||||||||||||||||||||||
Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | |||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
2023 | $ | $ | ( | % | % | |||||||||||||||||||||||||||
2024 | ( | |||||||||||||||||||||||||||||||
2025 | ( | |||||||||||||||||||||||||||||||
2026 | ( | |||||||||||||||||||||||||||||||
2027 | ( | |||||||||||||||||||||||||||||||
2032 | ( | |||||||||||||||||||||||||||||||
2035 | ( | |||||||||||||||||||||||||||||||
2040 | ( | |||||||||||||||||||||||||||||||
2050 | ( | |||||||||||||||||||||||||||||||
Total | $ | $ | ( | % | % |
Weighted Average | ||||||||||||||||||||||||||||||||
Maturity | Notional Amount | Fair Value | Pay Rate | Receive Rate | Remaining Years to Maturity | |||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
2022 | $ | $ | % | % | ||||||||||||||||||||||||||||
2023 | ( | |||||||||||||||||||||||||||||||
2024 | ||||||||||||||||||||||||||||||||
2026 | ( | |||||||||||||||||||||||||||||||
2031 | ( | |||||||||||||||||||||||||||||||
2035 | ( | |||||||||||||||||||||||||||||||
2040 | ( | |||||||||||||||||||||||||||||||
2050 | ( | |||||||||||||||||||||||||||||||
Total | $ | $ | ( | % | % |
As of | ||||||||||||||||||||||||||||||||||||||
September 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||
Type(1) | Notional | Fair Value | Weighted Average Remaining Term (Years) | Notional | Fair Value | Weighted Average Remaining Term (Years) | ||||||||||||||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||||||||
Asset: | ||||||||||||||||||||||||||||||||||||||
Long: | ||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | ||||||||||||||||||||||||||||||||||||||
Short: | ||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | ( | ( | ||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | ( | ( | ||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bonds | ( | — | ||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | ( | — | ||||||||||||||||||||||||||||||||||||
Liability: | ||||||||||||||||||||||||||||||||||||||
Long: | ||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | ( | ( | ||||||||||||||||||||||||||||||||||||
Short: | ||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | ( | |||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bonds | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||
$ | ( | $ | $ | ( | $ |
As of | ||||||||||||||||||||||||||||||||||||||
September 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||
Description | Notional Amount | Fair Value | Remaining Months to Expiration | Notional Amount | Fair Value | Remaining Months to Expiration | ||||||||||||||||||||||||||||||||
(In thousands) | (In thousands) | |||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||
Short Contracts: | ||||||||||||||||||||||||||||||||||||||
U.S. Treasury futures | $ | ( | $ | 3.03 | $ | ( | $ | 3.00 | ||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||
Long Contracts: | ||||||||||||||||||||||||||||||||||||||
U.S. Treasury futures | ( | 2.70 | ( | 2.70 | ||||||||||||||||||||||||||||||||||
Short Contracts: | ||||||||||||||||||||||||||||||||||||||
U.S. Treasury futures | — | ( | ( | 2.70 | ||||||||||||||||||||||||||||||||||
Total, net | $ | ( | $ | 3.04 | $ | ( | $ | 2.93 |
Option | Underlying Swap | |||||||||||||||||||||||||||||||
Type | Fair Value | Months to Expiration | Notional Amount | Term (Years) | Fixed Rate | |||||||||||||||||||||||||||
($ in thousands) | ||||||||||||||||||||||||||||||||
Put options on credit default swaps on corporate bond indices (1) | $ | 5.5 | $ | % |
September 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||
Description | Number of Shares Underlying Warrant(1) | Fair Value | Remaining Years to Expiration | Number of Shares Underlying Warrant | Fair Value | Remaining Years to Expiration | ||||||||||||||||||||||||||||||||
(In thousands) | (In thousands) | |||||||||||||||||||||||||||||||||||||
Warrants | $ | $ |
September 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
TBA Securities | Notional Amount(1) | Cost Basis(2) | Market Value(3) | Net Carrying Value(4) | Notional Amount(1) | Cost Basis(2) | Market Value(3) | Net Carrying Value(4) | ||||||||||||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Purchase contracts: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||
Liabilities | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||
( | ||||||||||||||||||||||||||||||||||||||||||||||||||
Sale contracts: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Assets | ( | ( | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Liabilities | ( | ( | ( | ( | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
( | ( | ( | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Total TBA securities, net | $ | ( | $ | ( | $ | ( | $ | $ | ( | $ | ( | $ | ( | $ |
Three-Month Period Ended September 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Derivative Type | Primary Risk Exposure | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps(1) | Change in Net Unrealized Gains (Losses) on Financial Derivatives(1) | |||||||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | Interest Rate | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bonds | Credit | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||
Total return swaps | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Options | Credit | |||||||||||||||||||||||||||||||||||||||||||
TBAs | Interest Rate | |||||||||||||||||||||||||||||||||||||||||||
Futures | Interest Rate | |||||||||||||||||||||||||||||||||||||||||||
Forwards | Currency | |||||||||||||||||||||||||||||||||||||||||||
Warrants | Equity Market/Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | $ | $ | $ | $ |
Three-Month Period Ended September 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Derivative Type | Primary Risk Exposure | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps(1) | Change in Net Unrealized Gains (Losses) on Financial Derivatives(1) | |||||||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | Interest Rate | $ | ( | $ | ( | $ | ( | $ | $ | $ | ||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bonds | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Total return swaps | Credit | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||
TBAs | Interest Rate | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||
Options | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Futures | Interest Rate | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Forwards | Currency | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Warrants | Equity Market/Credit | |||||||||||||||||||||||||||||||||||||||||||
Total | $ | ( | $ | ( | $ | ( | $ | $ | $ |
Nine-Month Period Ended September 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Derivative Type | Primary Risk Exposure | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps(1) | Change in Net Unrealized Gains (Losses) on Financial Derivatives(1) | |||||||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | Interest Rate | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | Credit | |||||||||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | Credit | |||||||||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bonds | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Total return swaps | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Options | Credit | |||||||||||||||||||||||||||||||||||||||||||
TBAs | Interest Rate | |||||||||||||||||||||||||||||||||||||||||||
Futures | Interest Rate | |||||||||||||||||||||||||||||||||||||||||||
Forwards | Currency | |||||||||||||||||||||||||||||||||||||||||||
Warrants | Equity Market/Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Total | $ | $ | $ | $ | $ | $ |
Nine-Month Period Ended September 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Derivative Type | Primary Risk Exposure | Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | Net Realized Gains (Losses) on Financial Derivatives Other Than Periodic Settlements of Interest Rate Swaps(1) | Net Realized Gains (Losses) on Financial Derivatives(1) | Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | Change in Net Unrealized Gains (Losses) on Financial Derivatives Other Than on Accrued Periodic Settlements of Interest Rate Swaps(2) | Change in Net Unrealized Gains (Losses) on Financial Derivatives(2) | |||||||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | Interest Rate | $ | ( | $ | ( | $ | ( | $ | ( | $ | $ | |||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed securities | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Credit default swaps on asset-backed indices | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bond indices | Credit | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||
Credit default swaps on corporate bonds | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Total return swaps | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Options | Credit | ( | ( | |||||||||||||||||||||||||||||||||||||||||
TBAs | Interest Rate | ( | ( | |||||||||||||||||||||||||||||||||||||||||
Futures | Interest Rate | |||||||||||||||||||||||||||||||||||||||||||
Forwards | Currency | |||||||||||||||||||||||||||||||||||||||||||
Warrants | Equity Market/Credit | |||||||||||||||||||||||||||||||||||||||||||
Total | $ | ( | $ | $ | $ | ( | $ | $ |
Derivative Type | Nine-Month Period Ended September 30, 2022 | Year Ended December 31, 2021 | ||||||||||||
(In thousands) | ||||||||||||||
Interest rate swaps | $ | $ | ||||||||||||
TBAs | ||||||||||||||
Futures | ||||||||||||||
Credit default swaps | ||||||||||||||
Forwards | ||||||||||||||
Options | ||||||||||||||
Total return swaps | ||||||||||||||
Warrants |
Credit Derivatives | September 30, 2022 | December 31, 2021 | ||||||||||||
(In thousands) | ||||||||||||||
Fair Value of Written Credit Derivatives, Net | $ | ( | $ | |||||||||||
Notional Value of Written Credit Derivatives (1) |
(In thousands) | September 30, 2022 | December 31, 2021 | ||||||||||||
Assets | ||||||||||||||
Cash and cash equivalents | $ | $ | ||||||||||||
Restricted cash | ||||||||||||||
Securities, at fair value | ||||||||||||||
Loans, at fair value | ||||||||||||||
Investments in unconsolidated entities, at fair value | ||||||||||||||
Real estate owned | ||||||||||||||
Investment related receivables | ||||||||||||||
Other assets | ||||||||||||||
Total Assets | $ | $ | ||||||||||||
Liabilities | ||||||||||||||
Repurchase agreements | $ | $ | ||||||||||||
Other secured borrowings | ||||||||||||||
Other secured borrowings, at fair value | ||||||||||||||
Interest payable | ||||||||||||||
Accrued expenses and other liabilities | ||||||||||||||
Total Liabilities | ||||||||||||||
Total Stockholders' Equity | ||||||||||||||
Non-controlling interests | ||||||||||||||
Total Equity | ||||||||||||||
Total Liabilities and Equity | $ | $ |
Issuing Entity | Closing Date | Principal Balance of Loans Transferred to the Depositor | Total Face Amount of Certificates Issued | ||||||||||||||||||||
(In thousands) | |||||||||||||||||||||||
Ellington Financial Mortgage Trust 2019-2 | 11/19 | $ | $ | (1) | |||||||||||||||||||
Ellington Financial Mortgage Trust 2020-1 | 6/20 | (2) | |||||||||||||||||||||
Ellington Financial Mortgage Trust 2020-2 | 10/20 | (3) | |||||||||||||||||||||
Ellington Financial Mortgage Trust 2021-1 | 2/21 | (4) | |||||||||||||||||||||
Ellington Financial Mortgage Trust 2021-2 | 6/21 | (5) | |||||||||||||||||||||
Ellington Financial Mortgage Trust 2021-3 | 10/21 | (6) | |||||||||||||||||||||
Ellington Financial Mortgage Trust 2022-1 | 1/22 | (7) | |||||||||||||||||||||
Ellington Financial Mortgage Trust 2022-2 | 4/22 | (8) | |||||||||||||||||||||
Ellington Financial Mortgage Trust 2022-3 | 7/22 | (9) |
(In thousands) | September 30, 2022 | December 31, 2021 | ||||||||||||
Assets: | ||||||||||||||
Loans, at fair value | $ | $ | ||||||||||||
Investment related receivables | ||||||||||||||
Liabilities: | ||||||||||||||
Other secured borrowings, at fair value |
Securitization Closing | UPB of Loans Sold to Consumer Securitization Issuer | % Contributed by the Company | Principal Amount of Notes Issued(1) | % Ownership of Consumer Risk Retention Vehicle | ||||||||||||||||||||||
November 2020 | $ | % | $ | % | ||||||||||||||||||||||
March 2022(2) | % | % |
September 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||
Weighted Average | Weighted Average | |||||||||||||||||||||||||||||||||||||
Remaining Maturity | Outstanding Borrowings | Interest Rate | Remaining Days to Maturity | Outstanding Borrowings | Interest Rate | Remaining Days to Maturity | ||||||||||||||||||||||||||||||||
Agency RMBS: | (In thousands) | (In thousands) | ||||||||||||||||||||||||||||||||||||
30 Days or Less | $ | % | $ | % | ||||||||||||||||||||||||||||||||||
31-60 Days | % | % | ||||||||||||||||||||||||||||||||||||
61-90 Days | % | % | ||||||||||||||||||||||||||||||||||||
91-120 Days | % | % | ||||||||||||||||||||||||||||||||||||
121-150 Days | % | % | ||||||||||||||||||||||||||||||||||||
151-180 Days | % | % | ||||||||||||||||||||||||||||||||||||
181-364 Days | % | — | % | |||||||||||||||||||||||||||||||||||
> 364 Days | % | — | % | |||||||||||||||||||||||||||||||||||
Total Agency RMBS | % | % | ||||||||||||||||||||||||||||||||||||
Credit: | ||||||||||||||||||||||||||||||||||||||
30 Days or Less | % | % | ||||||||||||||||||||||||||||||||||||
31-60 Days | % | % | ||||||||||||||||||||||||||||||||||||
61-90 Days | % | % | ||||||||||||||||||||||||||||||||||||
91-120 Days | % | % | ||||||||||||||||||||||||||||||||||||
121-150 Days | % | % | ||||||||||||||||||||||||||||||||||||
151-180 Days | % | % | ||||||||||||||||||||||||||||||||||||
181-364 Days | % | % | — | |||||||||||||||||||||||||||||||||||
> 364 Days | % | — | % | |||||||||||||||||||||||||||||||||||
Total Credit Assets | % | % | ||||||||||||||||||||||||||||||||||||
U.S. Treasury Securities: | ||||||||||||||||||||||||||||||||||||||
30 Days or Less | % | % | — | |||||||||||||||||||||||||||||||||||
Total U.S. Treasury Securities | % | % | — | |||||||||||||||||||||||||||||||||||
Total | $ | % | $ | % |
Counterparty | Amount at Risk | Weighted Average Remaining Days to Maturity | Percentage of Equity | |||||||||||||||||
(In thousands) | ||||||||||||||||||||
Nomura Holdings Inc. | $ | % |
Year | Repurchase Agreements(1) | Other Secured Borrowings(2) | Senior Notes(1) | Total | ||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||
Next Twelve Months | $ | $ | $ | $ | ||||||||||||||||||||||
Year 2 | ||||||||||||||||||||||||||
Year 3 | ||||||||||||||||||||||||||
Year 4 | ||||||||||||||||||||||||||
Year 5 | ||||||||||||||||||||||||||
Total | $ | $ | $ | $ |
Effective Date of Promissory Note | Maturity Date of Promissory Note | Interest Rate as of | Outstanding Borrowings as of | Fair Value(1) as of | ||||||||||||||||||||||||||||||||||||||||||||||
Maximum Borrowing | September 30, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||
(In thousands) | (In thousands) | |||||||||||||||||||||||||||||||||||||||||||||||||
May 2021(2) | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||||||||
February 2022 | $ | $ | $ | $ | $ |
Grant Recipient | Number of OP LTIP Units Granted | Grant Date | Vesting Date(1) | |||||||||||||||||
Directors: | ||||||||||||||||||||
Dedicated or partially dedicated personnel: | ||||||||||||||||||||
Total unvested OP LTIP Units at September 30, 2022 |
Three-Month Period Ended | ||||||||||||||||||||||||||||||||||||||
September 30, 2022 | September 30, 2021 | |||||||||||||||||||||||||||||||||||||
Manager | Director/ Employee | Total | Manager | Director/ Employee | Total | |||||||||||||||||||||||||||||||||
OP LTIP Units Outstanding (6/30/2022 and 6/30/2021, respectively) | ||||||||||||||||||||||||||||||||||||||
Granted | ||||||||||||||||||||||||||||||||||||||
Exercised | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||
OP LTIP Units Outstanding (9/30/2022 and 9/30/2021, respectively) | ||||||||||||||||||||||||||||||||||||||
OP LTIP Units Unvested and Outstanding (9/30/2022 and 9/30/2021, respectively) | ||||||||||||||||||||||||||||||||||||||
OP LTIP Units Vested and Outstanding (9/30/2022 and 9/30/2021, respectively) |
Nine-Month Period Ended | ||||||||||||||||||||||||||||||||||||||
September 30, 2022 | September 30, 2021 | |||||||||||||||||||||||||||||||||||||
Manager | Director/ Employee | Total | Manager | Director/ Employee | Total | |||||||||||||||||||||||||||||||||
OP LTIP Units Outstanding (12/31/2021 and 12/31/2020, respectively) | ||||||||||||||||||||||||||||||||||||||
Granted | ||||||||||||||||||||||||||||||||||||||
Exercised | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||
OP LTIP Units Outstanding (9/30/2022 and 9/30/2021, respectively) | ||||||||||||||||||||||||||||||||||||||
OP LTIP Units Unvested and Outstanding (9/30/2022 and 9/30/2021, respectively) | ||||||||||||||||||||||||||||||||||||||
OP LTIP Units Vested and Outstanding (9/30/2022 and 9/30/2021, respectively) |
Three-Month Period Ended | Nine-Month Period Ended | |||||||||||||||||||||||||
September 30, 2022 | September 30, 2021 | September 30, 2022 | September 30, 2021 | |||||||||||||||||||||||
Shares of Common Stock Outstanding (6/30/2022, 6/30/2021, 12/31/2021, and 12/31/2020, respectively) | ||||||||||||||||||||||||||
Share Activity: | ||||||||||||||||||||||||||
Shares of common stock issued | ||||||||||||||||||||||||||
Shares of common stock issued in connection with incentive fee payment | ||||||||||||||||||||||||||
Shares of common stock repurchased | ( | ( | ||||||||||||||||||||||||
OP Units exercised | ||||||||||||||||||||||||||
Shares of Common Stock Outstanding (9/30/2022, 9/30/2021, 9/30/2022, and 9/30/2021, respectively) |
Three-Month Period Ended | Nine-Month Period Ended | |||||||||||||||||||||||||
(In thousands except share amounts) | September 30, 2022 | September 30, 2021 | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||||
Net income (loss) attributable to common stockholders | $ | ( | $ | $ | ( | $ | ||||||||||||||||||||
Add: Net income (loss) attributable to Convertible Non-controlling Interests(1) | ( | ( | ||||||||||||||||||||||||
Net income (loss) attributable to common stockholders and Convertible Non-controlling Interests | ( | ( | ||||||||||||||||||||||||
Dividends declared: | ||||||||||||||||||||||||||
Common stockholders | ( | ( | ( | ( | ||||||||||||||||||||||
Convertible Non-controlling Interests | ( | ( | ( | ( | ||||||||||||||||||||||
Total dividends declared to common stockholders and Convertible Non-controlling Interests | ( | ( | ( | ( | ||||||||||||||||||||||
Undistributed (Distributed in excess of) earnings: | ||||||||||||||||||||||||||
Common stockholders | ( | ( | ( | |||||||||||||||||||||||
Convertible Non-controlling Interests | ( | ( | ( | |||||||||||||||||||||||
Total undistributed (distributed in excess of) earnings attributable to common stockholders and Convertible Non-controlling Interests | $ | ( | $ | ( | $ | ( | $ | |||||||||||||||||||
Weighted average shares outstanding (basic and diluted): | ||||||||||||||||||||||||||
Weighted average shares of common stock outstanding | ||||||||||||||||||||||||||
Weighted average Convertible Non-controlling Interest Units outstanding | ||||||||||||||||||||||||||
Weighted average shares of common stock and Convertible Non-controlling Interest Units outstanding | ||||||||||||||||||||||||||
Basic earnings per share of common stock and Convertible Non-controlling Interest Unit: | ||||||||||||||||||||||||||
Distributed | $ | $ | $ | $ | ||||||||||||||||||||||
Undistributed (Distributed in excess of) | ( | ( | ( | |||||||||||||||||||||||
$ | ( | $ | $ | ( | $ | |||||||||||||||||||||
Diluted earnings per share of common stock and Convertible Non-controlling Interest Unit: | ||||||||||||||||||||||||||
Distributed | $ | $ | $ | $ | ||||||||||||||||||||||
Undistributed (Distributed in excess of) | ( | ( | ( | |||||||||||||||||||||||
$ | ( | $ | $ | ( | $ |
Description | Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | |||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Financial derivatives–assets | $ | $ | ( | $ | $ | ( | $ | |||||||||||||||||||||||||
Reverse repurchase agreements | ( | ( | ||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Financial derivatives–liabilities | ( | ( | ||||||||||||||||||||||||||||||
Repurchase agreements | ( |
Description | Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheet(1) | Financial Instruments Available for Offset | Financial Instruments Transferred or Pledged as Collateral(2)(3) | Cash Collateral (Received) Pledged(2)(3) | Net Amount | |||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Financial derivatives–assets | $ | $ | ( | $ | $ | ( | $ | |||||||||||||||||||||||||
Reverse repurchase agreements | ( | |||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Financial derivatives–liabilities | ( | ( | ||||||||||||||||||||||||||||||
Repurchase agreements | ( | ( |
Amount of Exposure | Number of Counterparties with Exposure | Maximum Percentage of Exposure to a Single Counterparty(1) | ||||||||||||||||||
(In thousands) | ||||||||||||||||||||
Cash and cash equivalents | $ | % | ||||||||||||||||||
Collateral on repurchase agreements held by dealers(2) | % | |||||||||||||||||||
Due from brokers | % | |||||||||||||||||||
Receivable for securities sold(3) | % |
Amount of Exposure | Number of Counterparties with Exposure | Maximum Percentage of Exposure to a Single Counterparty(1) | ||||||||||||||||||
(In thousands) | ||||||||||||||||||||
Cash and cash equivalents | $ | % | ||||||||||||||||||
Collateral on repurchase agreements held by dealers(2) | % | |||||||||||||||||||
Due from brokers | % | |||||||||||||||||||
Receivable for securities sold(3) | % |
Asset Class | Principal Assets | |||||||
Agency RMBS | . | Whole pool pass-through certificates; | ||||||
. | Partial pool pass-through certificates; | |||||||
. | Agency collateralized mortgage obligations, or "CMOs," including interest only securities, or "IOs," principal only securities, or "POs," inverse interest only securities, or "IIOs"; and | |||||||
CLOs | . | Retained tranches from CLO securitizations, including participating in the accumulation of the underlying assets for such securitization by providing capital to the vehicle accumulating assets; and | ||||||
. | Other CLO debt and equity tranches. | |||||||
CMBS and Commercial Mortgage Loans | . | CMBS; and | ||||||
. | Commercial mortgage loans and other commercial real estate debt. | |||||||
Consumer Loans and ABS | . | Consumer loans; | ||||||
. | ABS, including ABS backed by consumer loans; and | |||||||
. | Retained tranches from securitizations to which we have contributed assets. | |||||||
Mortgage-Related Derivatives | . | To-Be-Announced mortgage pass-through certificates, or "TBAs"; | ||||||
. | Credit default swaps, or "CDS," on individual RMBS, on the ABX, CMBX and PrimeX indices and on other mortgage-related indices; and | |||||||
. | Other mortgage-related derivatives. | |||||||
Non-Agency RMBS | . | RMBS backed by prime jumbo, Alt-A, non-QM, manufactured housing, and subprime mortgages; | ||||||
. | RMBS backed by fixed rate mortgages, Adjustable rate mortgages, or "ARMs," Option-ARMs, and Hybrid ARMs; | |||||||
. | RMBS backed by mortgages on single-family-rental properties; | |||||||
. | RMBS backed by first lien and second lien mortgages; | |||||||
. | RMBS backed by performing and non-performing mortgages; | |||||||
. | Investment grade and non-investment grade securities; | |||||||
. | Senior and subordinated securities; | |||||||
. | IOs, POs, IIOs, and inverse floaters; | |||||||
. | Collateralized debt obligations, or "CDOs"; | |||||||
. | RMBS backed by European residential mortgages, or "European RMBS"; | |||||||
. | Retained tranches from securitizations in which we have participated; and | |||||||
. | Credit risk transfer securities, or "CRTs." | |||||||
Residential Mortgage Loans | . | Non-QM loans; | ||||||
. | Residential "transition loans," such as residential bridge loans and residential "fix-and-flip" loans; | |||||||
. | Residential non-performing mortgage loans, or "NPLs"; | |||||||
. | Re-performing loans, or "RPLs," which generally are loans that were modified and/or formerly NPLs where the borrower has resumed making payments in some form or amount; | |||||||
. | Retained tranches from securitizations to which we have contributed assets; and | |||||||
. | Reverse mortgage loans. | |||||||
Strategic Investments in Loan Originators | . | Strategic equity and/or debt investments in loan originators and mortgage-related entities; |
Asset Class | Principal Assets | |||||||
(continued) | ||||||||
Other | . | Mortgage servicing rights, or "MSRs"; | ||||||
. | Real estate, including commercial and residential real property; | |||||||
. | Strategic equity and/or debt investments in entities related to our business; | |||||||
. | Corporate debt and equity securities and corporate loans; and | |||||||
. | Other non-mortgage-related derivatives. |
September 30, 2022 | June 30, 2022 | |||||||||||||||||||||||||
($ in thousands) | Fair Value | % of Total Long Credit Portfolio | Fair Value | % of Total Long Credit Portfolio | ||||||||||||||||||||||
Dollar Denominated: | ||||||||||||||||||||||||||
CLOs(2) | $ | 29,533 | 0.7 | % | $ | 34,478 | 0.8 | % | ||||||||||||||||||
CMBS | 19,552 | 0.5 | % | 28,625 | 0.7 | % | ||||||||||||||||||||
Commercial Mortgage Loans and REO(4)(5) | 553,728 | 12.7 | % | 562,154 | 13.7 | % | ||||||||||||||||||||
Consumer Loans and ABS backed by Consumer Loans(2) | 98,841 | 2.3 | % | 99,922 | 2.4 | % | ||||||||||||||||||||
Corporate Debt and Equity and Corporate Loans | 14,180 | 0.3 | % | 18,336 | 0.5 | % | ||||||||||||||||||||
Debt and Equity Investments in Loan Origination Entities(3) | 87,340 | 2.0 | % | 115,415 | 2.8 | % | ||||||||||||||||||||
Non-Agency RMBS | 197,903 | 4.5 | % | 221,725 | 5.4 | % | ||||||||||||||||||||
Residential Mortgage Loans and REO(4) | 3,349,797 | 76.6 | % | 2,996,700 | 73.1 | % | ||||||||||||||||||||
Non-Dollar Denominated: | ||||||||||||||||||||||||||
CLOs(2) | 1,526 | — | % | 1,627 | — | % | ||||||||||||||||||||
Corporate Debt and Equity | 300 | — | % | 430 | — | % | ||||||||||||||||||||
RMBS(6) | 19,286 | 0.4 | % | 22,387 | 0.6 | % | ||||||||||||||||||||
Total Long Credit Portfolio | $ | 4,371,986 | 100.0 | % | $ | 4,101,799 | 100.0 | % | ||||||||||||||||||
Less: Non-retained Tranches of Consolidated Securitization Trusts | 1,630,001 | 1,441,165 | ||||||||||||||||||||||||
Total Long Credit Portfolio excluding Non-retained Tranches of Consolidated Securitization Trusts | $ | 2,741,985 | $ | 2,660,634 |
September 30, 2022 | June 30, 2022 | |||||||||||||||||||||||||
($ in thousands) | Fair Value | % of Long Agency Portfolio | Fair Value | % of Long Agency Portfolio | ||||||||||||||||||||||
Long Agency RMBS: | ||||||||||||||||||||||||||
Fixed Rate | $ | 1,078,496 | 95.0 | % | $ | 1,267,183 | 94.8 | % | ||||||||||||||||||
Floating Rate | 6,498 | 0.6 | % | 7,489 | 0.6 | % | ||||||||||||||||||||
Reverse Mortgages | 30,796 | 2.7 | % | 35,933 | 2.7 | % | ||||||||||||||||||||
IOs | 19,525 | 1.7 | % | 24,773 | 1.9 | % | ||||||||||||||||||||
Total Long Agency RMBS | $ | 1,135,315 | 100.0 | % | $ | 1,335,378 | 100.0 | % |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
($ in thousands) | Unpaid Principal Balance | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield(1) | Life (Years)(2) | |||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage loans(3)(4) | $ | 748,810 | $ | (101) | $ | 748,709 | $ | 174 | $ | (2,510) | $ | 746,373 | 8.41 | % | 8.78 | % | 1.14 |
Property Type(1) | September 30, 2022 | |||||||
Multifamily | 69.8 | % | ||||||
Office | 7.6 | % | ||||||
Industrial | 6.5 | % | ||||||
Hotel | 6.4 | % | ||||||
Retail | 3.5 | % | ||||||
Commercial Mixed Use | 2.8 | % | ||||||
Mobile Home Community | 2.6 | % | ||||||
Self Storage | 0.8 | % | ||||||
100.0 | % |
Property Location by U.S. State(1) | September 30, 2022 | |||||||
Texas | 18.4 | % | ||||||
Florida | 18.1 | % | ||||||
Georgia | 12.6 | % | ||||||
New York | 7.1 | % | ||||||
Arizona | 5.8 | % | ||||||
New Jersey | 5.0 | % | ||||||
All other states <5% | 33.0 | % | ||||||
100.0 | % |
September 30, 2022 | ||||||||||||||
Loan Type | Unpaid Principal Balance | Fair Value | ||||||||||||
In thousands | ||||||||||||||
Non-QM loans | $ | 2,683,766 | $ | 2,437,273 | ||||||||||
Residential transition loans | 898,303 | 898,108 | ||||||||||||
Other residential loans | 15,335 | 13,429 | ||||||||||||
Total residential mortgage loans | $ | 3,597,404 | $ | 3,348,810 | ||||||||||
Residential REO(1) | 988 | |||||||||||||
Total residential mortgage loans and residential REO(1) | $ | 3,349,798 |
Investment in Unconsolidated Entity | Description | Fair Value | ||||||||||||
Loan Originators: | Entity Type | (In thousands) | ||||||||||||
Longbridge Financial, LLC | Reverse Mortgage Loan Originator | $ | 38,886 | |||||||||||
LendSure Mortgage Corp. | Residential Mortgage Loan Originator | 26,590 | ||||||||||||
Other | Residential Mortgage Loan, Commercial Mortgage Loan, and Consumer Loan Originators | 17,742 | ||||||||||||
83,218 | ||||||||||||||
Other Unconsolidated Entities: | Underlying Product Type | |||||||||||||
Co-investments with Ellington affiliate(s) | Commercial Mortgage Loans | 69,465 | ||||||||||||
Equity investments in securitization-related risk retention vehicles | Consumer Loans and European RMBS | 10,686 | ||||||||||||
Other | Various | 8,010 | ||||||||||||
88,161 | ||||||||||||||
171,379 |
Three-Month Period Ended | ||||||||||||||||||||||||||||||||
September 30, 2022 | June 30, 2022 | March 31, 2022 | December 31, 2021 | September 30, 2021 | ||||||||||||||||||||||||||||
Three-Month Constant Prepayment Rates(1) | 9.5% | 11.6% | 12.7% | 18.5% | 21.6% |
September 30, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||
Coupon (%) | Current Principal | Fair Value | Weighted Average Loan Age (Months) | Current Principal | Fair Value | Weighted Average Loan Age (Months) | ||||||||||||||||||||||||||||||||||||||
(In thousands) | (In thousands) | |||||||||||||||||||||||||||||||||||||||||||
Fixed-rate Agency RMBS: | ||||||||||||||||||||||||||||||||||||||||||||
15-year fixed-rate mortgages: | ||||||||||||||||||||||||||||||||||||||||||||
1.50–1.99 | $ | 19,814 | $ | 17,056 | 23 | $ | 20,406 | $ | 18,682 | 20 | ||||||||||||||||||||||||||||||||||
2.00–2.49 | 20,814 | 18,441 | 18 | 53,755 | 50,531 | 17 | ||||||||||||||||||||||||||||||||||||||
2.50–2.99 | 67,233 | 61,367 | 29 | 75,088 | 72,277 | 31 | ||||||||||||||||||||||||||||||||||||||
3.00–3.49 | 29,005 | 27,011 | 26 | 31,413 | 30,814 | 23 | ||||||||||||||||||||||||||||||||||||||
3.50–3.99 | 16,017 | 15,269 | 75 | 17,073 | 17,104 | 73 | ||||||||||||||||||||||||||||||||||||||
4.00–4.49 | 3,240 | 3,158 | 73 | 3,421 | 3,462 | 70 | ||||||||||||||||||||||||||||||||||||||
4.50–4.99 | 401 | 400 | 138 | 1,784 | 1,804 | 142 | ||||||||||||||||||||||||||||||||||||||
Total 15-year fixed-rate mortgages | 156,524 | 142,702 | 32 | 202,940 | 194,674 | 30 | ||||||||||||||||||||||||||||||||||||||
20-year fixed-rate mortgages: | ||||||||||||||||||||||||||||||||||||||||||||
2.00–2.49 | 2,608 | 2,158 | 22 | 2,663 | 2,381 | 19 | ||||||||||||||||||||||||||||||||||||||
2.50–2.99 | 4,443 | 3,805 | 23 | 4,539 | 4,187 | 20 | ||||||||||||||||||||||||||||||||||||||
4.50–4.99 | 331 | 324 | 106 | 386 | 396 | 103 | ||||||||||||||||||||||||||||||||||||||
Total 20-year fixed-rate mortgages | 7,382 | 6,287 | 27 | 7,588 | 6,964 | 24 | ||||||||||||||||||||||||||||||||||||||
30-year fixed-rate mortgages: | ||||||||||||||||||||||||||||||||||||||||||||
2.00–2.49 | 52,680 | 42,889 | 16 | 147,302 | 128,586 | 11 | ||||||||||||||||||||||||||||||||||||||
2.50–2.99 | 298,402 | 252,206 | 18 | 407,547 | 369,130 | 14 | ||||||||||||||||||||||||||||||||||||||
3.00–3.49 | 234,425 | 206,077 | 23 | 235,927 | 222,056 | 20 | ||||||||||||||||||||||||||||||||||||||
3.50–3.99 | 113,531 | 103,847 | 49 | 117,936 | 115,294 | 46 | ||||||||||||||||||||||||||||||||||||||
4.00–4.49 | 138,977 | 130,588 | 46 | 123,141 | 123,432 | 52 | ||||||||||||||||||||||||||||||||||||||
4.50–4.99 | 141,306 | 135,973 | 30 | 70,939 | 72,553 | 57 | ||||||||||||||||||||||||||||||||||||||
5.00–5.49 | 49,287 | 48,603 | 41 | 29,882 | 31,107 | 69 | ||||||||||||||||||||||||||||||||||||||
5.50–5.99 | 8,259 | 8,271 | 23 | 2,122 | 2,274 | 83 | ||||||||||||||||||||||||||||||||||||||
6.00–6.49 | 1,009 | 1,053 | 124 | 1,017 | 1,113 | 121 | ||||||||||||||||||||||||||||||||||||||
Total 30-year fixed-rate mortgages | 1,037,876 | 929,507 | 29 | 1,135,813 | 1,065,545 | 26 | ||||||||||||||||||||||||||||||||||||||
Total fixed-rate Agency RMBS | $ | 1,201,782 | $ | 1,078,496 | 29 | $ | 1,346,341 | $ | 1,267,183 | 27 |
As of | ||||||||||||||
($ in thousands) | September 30, 2022 | June 30, 2022 | ||||||||||||
Recourse(1) borrowings: | ||||||||||||||
Repurchase agreements | $ | 2,895,019 | $ | 2,865,222 | ||||||||||
Other secured borrowings | 40,900 | 45,455 | ||||||||||||
Senior Notes, at par | 210,000 | 296,000 | ||||||||||||
Total recourse borrowings | $ | 3,145,919 | $ | 3,206,677 | ||||||||||
Debt-to-equity ratio based on total recourse borrowings(1) | 2.7:1 | 2.6:1 | ||||||||||||
Debt-to-equity ratio based on total recourse borrowings excluding U.S. Treasury securities | 2.6:1 | 2.6:1 | ||||||||||||
Debt-to-equity ratio based on total recourse borrowings excluding U.S. Treasury securities, adjusted for unsettled purchases and sales(3) | 2.6:1 | 2.6:1 | ||||||||||||
Non-Recourse(2) Borrowings: | ||||||||||||||
Other Secured Borrowings, at fair value(4) | $ | 1,635,829 | $ | 1,448,182 | ||||||||||
Total Recourse and Non-Recourse Borrowings | $ | 4,781,748 | $ | 4,654,859 | ||||||||||
Debt-to-equity ratio based on total recourse and non-recourse borrowings | 4.1:1 | 3.8:1 | ||||||||||||
Debt-to-equity ratio based on total recourse and non-recourse borrowings excluding U.S. Treasury securities | 4.0:1 | 3.8:1 | ||||||||||||
Debt-to-equity ratio based on total recourse and non-recourse borrowings excluding U.S. Treasury securities, adjusted for unsettled purchases and sales(3) | 4.0:1 | 3.7:1 |
(In thousands) | September 30, 2022 | December 31, 2021 | ||||||||||||
Long: | ||||||||||||||
Credit: | ||||||||||||||
Dollar Denominated: | ||||||||||||||
CLO(2) | $ | 29,533 | $ | 60,903 | ||||||||||
CMBS | 19,552 | 25,643 | ||||||||||||
Commercial Mortgage Loans and REO(3)(5) | 553,728 | 387,165 | ||||||||||||
Consumer Loans and ABS backed by Consumer Loans(2) | 98,841 | 153,124 | ||||||||||||
Corporate Debt and Equity and Corporate Loans | 14,180 | 20,128 | ||||||||||||
Debt and Equity Investments in Loan Origination Entities(4) | 87,340 | 141,315 | ||||||||||||
Non-Agency RMBS | 197,903 | 191,728 | ||||||||||||
Residential Mortgage Loans and REO(3) | 3,349,797 | 2,017,219 | ||||||||||||
Non-Dollar Denominated: | ||||||||||||||
CLO(2) | 1,526 | 3,092 | ||||||||||||
Consumer Loans and ABS backed by Consumer Loans | — | 213 | ||||||||||||
Corporate Debt and Equity | 300 | 13 | ||||||||||||
RMBS(6) | 19,286 | 25,846 | ||||||||||||
Agency: | ||||||||||||||
Fixed-Rate Specified Pools | 1,078,496 | 1,600,862 | ||||||||||||
Floating-Rate Specified Pools | 6,498 | 9,456 | ||||||||||||
IOs | 19,525 | 33,288 | ||||||||||||
Reverse Mortgage Pools | 30,796 | 53,010 | ||||||||||||
Government Debt: | ||||||||||||||
Dollar Denominated | 30,483 | — | ||||||||||||
Total Long | $ | 5,537,784 | $ | 4,723,005 | ||||||||||
Short: | ||||||||||||||
Credit: | ||||||||||||||
Government Debt: | ||||||||||||||
Dollar Denominated | (177,604) | (92,190) | ||||||||||||
Non-Dollar Denominated | (21,938) | (28,335) | ||||||||||||
Total Short | $ | (199,542) | $ | (120,525) |
September 30, 2022 | ||||||||||||||||||||||||||
Notional | Net Fair Value | |||||||||||||||||||||||||
(In thousands) | Long | Short | Net | |||||||||||||||||||||||
Mortgage-Related Derivatives: | ||||||||||||||||||||||||||
CDS on MBS and MBS Indices | $ | 324 | $ | (56,565) | $ | (56,241) | $ | 2,295 | ||||||||||||||||||
Total Net Mortgage-Related Derivatives | 2,295 | |||||||||||||||||||||||||
Corporate-Related Derivatives: | ||||||||||||||||||||||||||
CDS on Corporate Bonds and Corporate Bond Indices | 1,867 | (194,282) | (192,415) | 757 | ||||||||||||||||||||||
Total Return Swaps on Corporate Debt(3) | 2,988 | — | 2,988 | (37) | ||||||||||||||||||||||
Warrants(4) | 1,897 | — | 1,897 | 663 | ||||||||||||||||||||||
Total Net Corporate-Related Derivatives | 1,383 | |||||||||||||||||||||||||
Interest Rate-Related Derivatives: | ||||||||||||||||||||||||||
TBAs | 57,507 | (741,598) | (684,091) | 28,318 | ||||||||||||||||||||||
Interest Rate Swaps | 1,370,121 | (2,470,170) | (1,100,049) | 76,782 | ||||||||||||||||||||||
U.S. Treasury Futures(5) | 1,900 | (50,100) | (48,200) | 586 | ||||||||||||||||||||||
Total Interest Rate-Related Derivatives | 105,686 | |||||||||||||||||||||||||
Other Derivatives: | ||||||||||||||||||||||||||
Foreign Currency Forwards(6) | — | (11,400) | (11,400) | 261 | ||||||||||||||||||||||
Total Net Other Derivatives | 261 | |||||||||||||||||||||||||
Net Total | $ | 109,625 |
December 31, 2021 | ||||||||||||||||||||||||||
Notional | Net Fair Value | |||||||||||||||||||||||||
(In thousands) | Long | Short | Net | |||||||||||||||||||||||
Mortgage-Related Derivatives: | ||||||||||||||||||||||||||
CDS on MBS and MBS Indices | $ | 573 | $ | (15,348) | $ | (14,775) | $ | 2,015 | ||||||||||||||||||
Total Net Mortgage-Related Derivatives | 2,015 | |||||||||||||||||||||||||
Corporate-Related Derivatives: | ||||||||||||||||||||||||||
CDS on Corporate Bonds and Corporate Bond Indices | 2,168 | (24,583) | (22,415) | (1,813) | ||||||||||||||||||||||
Options | 30,000 | — | 30,000 | 278 | ||||||||||||||||||||||
Warrants(3) | 1,897 | — | 1,897 | 706 | ||||||||||||||||||||||
Total Net Corporate-Related Derivatives | (829) | |||||||||||||||||||||||||
Interest Rate-Related Derivatives: | ||||||||||||||||||||||||||
TBAs | 273,223 | (913,382) | (640,159) | 320 | ||||||||||||||||||||||
Interest Rate Swaps | 474,741 | (1,519,488) | (1,044,747) | 4,895 | ||||||||||||||||||||||
U.S. Treasury Futures(4) | 1,900 | (221,400) | (219,500) | 403 | ||||||||||||||||||||||
Total Interest Rate-Related Derivatives | 5,618 | |||||||||||||||||||||||||
Other Derivatives: | ||||||||||||||||||||||||||
Foreign Currency Forwards(5) | — | (16,494) | (16,494) | (208) | ||||||||||||||||||||||
Total Net Other Derivatives | (208) | |||||||||||||||||||||||||
Net Total | $ | 6,596 |
Three-Month Period Ended | Nine Month-Period Ended | |||||||||||||||||||||||||
(In thousands except per share amounts) | September 30, 2022 | September 30, 2021 | September 30, 2022 | September 30, 2021 | ||||||||||||||||||||||
Interest Income (Expense) | ||||||||||||||||||||||||||
Interest income | $ | 78,592 | $ | 40,146 | $ | 192,388 | $ | 126,115 | ||||||||||||||||||
Interest expense | (42,080) | (10,604) | (82,121) | (33,111) | ||||||||||||||||||||||
Net interest income | 36,512 | 29,542 | 110,267 | 93,004 | ||||||||||||||||||||||
Other Income (Loss)(1) | ||||||||||||||||||||||||||
Realized and unrealized gains (losses) on securities and loans, net | (183,997) | 3,147 | (528,525) | 13,633 | ||||||||||||||||||||||
Realized and unrealized gains (losses) on financial derivatives, net | 69,254 | (627) | 187,190 | 10,621 | ||||||||||||||||||||||
Realized and unrealized gains (losses) on real estate owned, net | (139) | 622 | 101 | (1,498) | ||||||||||||||||||||||
Unrealized gains (losses) on other secured borrowings, at fair value, net | 79,430 | 1,568 | 202,329 | 4,945 | ||||||||||||||||||||||
Unrealized gains (losses) on senior notes, at fair value | 9,135 | — | 16,485 | — | ||||||||||||||||||||||
Other, net | (31) | 1,418 | 1,022 | 4,365 | ||||||||||||||||||||||
Total other income (loss) | (26,348) | 6,128 | (121,398) | 32,066 | ||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||
Base management fee to affiliate (Net of fee rebates of $444, $395, $1,705, and $784, respectively)(2) | 3,950 | 3,675 | 12,206 | 10,308 | ||||||||||||||||||||||
Incentive fee to affiliate | — | 5,255 | — | 12,412 | ||||||||||||||||||||||
Other investment related expenses | 5,968 | 2,879 | 20,472 | 12,565 | ||||||||||||||||||||||
Other operating expenses | 4,545 | 4,438 | 14,454 | 12,716 | ||||||||||||||||||||||
Total expenses | 14,463 | 16,247 | 47,132 | 48,001 | ||||||||||||||||||||||
Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities | (4,299) | 19,423 | (58,263) | 77,069 | ||||||||||||||||||||||
Income tax expense (benefit) | (81) | (2,009) | (14,867) | 3,149 | ||||||||||||||||||||||
Earnings (losses) from investments in unconsolidated entities | (25,513) | 2,549 | (54,284) | 27,786 | ||||||||||||||||||||||
Net Income (Loss) | (29,731) | 23,981 | (97,680) | 101,706 | ||||||||||||||||||||||
Net income (loss) attributable to non-controlling interests | (264) | 1,476 | (1,075) | 4,809 | ||||||||||||||||||||||
Dividends on preferred stock | 3,823 | 1,941 | 11,468 | 5,822 | ||||||||||||||||||||||
Net Income (Loss) Attributable to Common Stockholders | $ | (33,290) | $ | 20,564 | $ | (108,073) | $ | 91,075 | ||||||||||||||||||
Net Income (Loss) Per Common Share | $ | (0.55) | $ | 0.41 | $ | (1.82) | $ | 1.99 |
Three-Month Period Ended | Nine-Month Period Ended | |||||||||||||||||||||||||
(In thousands, except per share amounts) | September 30, 2022 | September 30, 2021(1) | September 30, 2022 | September 30, 2021(1) | ||||||||||||||||||||||
Net income (loss) | $ | (29,731) | $ | 23,981 | $ | (97,680) | $ | 101,706 | ||||||||||||||||||
Income tax expense (benefit) | (81) | (2,009) | (14,867) | 3,149 | ||||||||||||||||||||||
Net income (loss) before income tax expense (benefit) | (29,812) | 21,972 | (112,547) | 104,855 | ||||||||||||||||||||||
Adjustments: | ||||||||||||||||||||||||||
Realized (gains) losses on securities and loans, net | 33,247 | (6,359) | 51,272 | (8,627) | ||||||||||||||||||||||
Realized (gains) losses on financial derivatives, net | (18,995) | 1,782 | (89,108) | (4,438) | ||||||||||||||||||||||
Realized (gains) losses on real estate owned, net | 18 | 50 | (474) | 63 | ||||||||||||||||||||||
Unrealized (gains) losses on securities and loans, net | 150,750 | 3,212 | 477,253 | (5,006) | ||||||||||||||||||||||
Unrealized (gains) losses on financial derivatives, net | (50,259) | (1,155) | (98,082) | (6,183) | ||||||||||||||||||||||
Unrealized (gains) losses on real estate owned, net | 121 | (672) | 373 | 1,435 | ||||||||||||||||||||||
Unrealized (gains) losses on other secured borrowings, at fair value, net | (79,430) | (1,568) | (202,329) | (4,945) | ||||||||||||||||||||||
Unrealized (gains) losses on senior notes, at fair value | (9,135) | — | (16,485) | — | ||||||||||||||||||||||
Other realized and unrealized (gains) losses, net(2) | 805 | 435 | 2,020 | 1,044 | ||||||||||||||||||||||
Net realized gains (losses) on periodic settlements of interest rate swaps | 2,841 | (1,069) | 640 | (1,808) | ||||||||||||||||||||||
Net unrealized gains (losses) on accrued periodic settlements of interest rate swaps | 361 | 252 | 1,759 | (47) | ||||||||||||||||||||||
Incentive fee to affiliate | — | 5,255 | — | 12,412 | ||||||||||||||||||||||
Non-cash equity compensation expense | 369 | 244 | 1,019 | 717 | ||||||||||||||||||||||
Negative (positive) component of interest income represented by Catch-up Premium Amortization Adjustment | (1,604) | 2,944 | (3,101) | (10) | ||||||||||||||||||||||
Non-capitalized transaction costs and other expense adjustments | 2,732 | 471 | 11,956 | 4,423 | ||||||||||||||||||||||
(Earnings) losses from investments in unconsolidated entities(3) | 25,513 | (2,549) | 54,284 | (27,786) | ||||||||||||||||||||||
Adjusted distributable earnings from investments in unconsolidated entities(3) | 3,271 | 3,196 | 8,927 | 7,941 | ||||||||||||||||||||||
Total Adjusted Distributable Earnings | 30,793 | 26,441 | 87,377 | 74,040 | ||||||||||||||||||||||
Dividends on preferred stock | 3,823 | 1,941 | 11,468 | 5,822 | ||||||||||||||||||||||
Adjusted Distributable Earnings attributable to non-controlling interests | 508 | 1,544 | 1,346 | 4,200 | ||||||||||||||||||||||
Adjusted Distributable Earnings Attributable to Common Stockholders | $ | 26,462 | $ | 22,956 | $ | 74,563 | 64,018 | |||||||||||||||||||
Adjusted Distributable Earnings Attributable to Common Stockholders, per share | $ | 0.44 | $ | 0.46 | $ | 1.26 | $ | 1.40 |
Credit(1) | Agency(1) | Total(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
(In thousands) | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | ||||||||||||||||||||||||||||||||||||||||||||
Three-month period ended September 30, 2022 | $ | 66,026 | $ | 4,379,384 | 6.03 | % | $ | 10,781 | $ | 1,397,945 | 3.08 | % | $ | 76,807 | $ | 5,777,329 | 5.32 | % | |||||||||||||||||||||||||||||||||||
Three-month period ended September 30, 2021 | $ | 34,666 | $ | 2,168,359 | 6.39 | % | $ | 5,246 | $ | 1,474,354 | 1.42 | % | $ | 39,912 | $ | 3,642,713 | 4.38 | % |
Three-Month Period Ended | ||||||||||||||
(In thousands) | September 30, 2022 | September 30, 2021 | ||||||||||||
Repos and Total other secured borrowings | $ | 37,195 | $ | 8,684 | ||||||||||
Senior Notes | 3,917 | 1,248 | ||||||||||||
Securities sold short (1) | 925 | 613 | ||||||||||||
Other (2) | 43 | 59 | ||||||||||||
Total | $ | 42,080 | $ | 10,604 |
Three-Month Period Ended | ||||||||||||||||||||||||||||||||||||||
September 30, 2022 | September 30, 2021 | |||||||||||||||||||||||||||||||||||||
Collateral for Secured Borrowing | Average Borrowings | Interest Expense | Average Cost of Funds | Average Borrowings | Interest Expense | Average Cost of Funds | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||||
Credit | $ | 3,441,741 | $ | 31,983 | 3.69 | % | $ | 1,577,246 | $ | 8,060 | 2.03 | % | ||||||||||||||||||||||||||
Agency RMBS | 1,229,624 | 5,038 | 1.63 | % | 1,408,058 | 624 | 0.18 | % | ||||||||||||||||||||||||||||||
Subtotal(1) | 4,671,365 | 37,021 | 3.14 | % | 2,985,304 | 8,684 | 1.15 | % | ||||||||||||||||||||||||||||||
U.S. Treasury Securities | 30,922 | 174 | 2.23 | % | 441 | — | 0.10 | % | ||||||||||||||||||||||||||||||
Total | $ | 4,702,287 | $ | 37,195 | 3.14 | % | $ | 2,985,745 | $ | 8,684 | 1.15 | % | ||||||||||||||||||||||||||
Credit(1) | Agency(1) | Total(1) | |||||||||||||||||||||||||||||||||||||||||||||||||||
(In thousands) | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | Interest Income | Average Holdings | Yield | ||||||||||||||||||||||||||||||||||||||||||||
Nine-month period ended September 30, 2022 | $ | 159,876 | $ | 3,863,208 | 5.52 | % | $ | 30,028 | $ | 1,480,110 | 2.70 | % | $ | 189,904 | $ | 5,343,318 | 4.74 | % | |||||||||||||||||||||||||||||||||||
Nine-month period ended September 30, 2021 | $ | 102,015 | $ | 2,062,442 | 6.60 | % | $ | 23,326 | $ | 1,380,854 | 2.25 | % | $ | 125,341 | $ | 3,443,296 | 4.85 | % |
Nine-Month Period Ended | ||||||||||||||
(In thousands) | September 30, 2022 | September 30, 2021 | ||||||||||||
Repos and Total other secured borrowings | $ | 70,281 | $ | 27,870 | ||||||||||
Senior Notes | 9,532 | 3,745 | ||||||||||||
Securities sold short (1) | 2,137 | 932 | ||||||||||||
Other (2) | 171 | 564 | ||||||||||||
Total | $ | 82,121 | $ | 33,111 |
Nine-Month Period Ended | ||||||||||||||||||||||||||||||||||||||
September 30, 2022 | September 30, 2021 | |||||||||||||||||||||||||||||||||||||
Collateral for Secured Borrowing | Average Borrowings | Interest Expense | Average Cost of Funds | Average Borrowings | Interest Expense | Average Cost of Funds | ||||||||||||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||||||||||||||
Credit | $ | 2,786,329 | $ | 62,101 | 2.98 | % | $ | 1,472,463 | $ | 25,836 | 2.35 | % | ||||||||||||||||||||||||||
Agency RMBS | 1,396,925 | 7,966 | 0.76 | % | 1,344,165 | 2,034 | 0.20 | % | ||||||||||||||||||||||||||||||
Subtotal(1) | 4,183,254 | 70,067 | 2.24 | % | 2,816,628 | 27,870 | 1.32 | % | ||||||||||||||||||||||||||||||
U.S. Treasury Securities | 16,619 | 214 | 1.72 | % | 258 | — | 0.06 | % | ||||||||||||||||||||||||||||||
Total | $ | 4,199,873 | $ | 70,281 | 2.24 | % | $ | 2,816,886 | $ | 27,870 | 1.32 | % | ||||||||||||||||||||||||||
(In thousands) | September 30, 2022 | December 31, 2021 | ||||||||||||||||||||||||
Remaining Days to Maturity | Outstanding Borrowings | % of Total | Outstanding Borrowings | % of Total | ||||||||||||||||||||||
30 Days or Less | $ | 497,574 | 17.2 | % | $ | 557,499 | 22.5 | % | ||||||||||||||||||
31 - 60 Days | 471,659 | 16.3 | % | 356,594 | 14.4 | % | ||||||||||||||||||||
61 - 90 Days | 189,745 | 6.6 | % | 251,343 | 10.2 | % | ||||||||||||||||||||
91 - 120 Days | 1,216,722 | 42.0 | % | 164,403 | 6.7 | % | ||||||||||||||||||||
121 - 150 Days | 93,579 | 3.2 | % | 279,268 | 11.3 | % | ||||||||||||||||||||
151 - 180 Days | 84,819 | 2.9 | % | 159,687 | 6.5 | % | ||||||||||||||||||||
181 - 364 Days | 340,921 | 11.8 | % | 570,694 | 23.1 | % | ||||||||||||||||||||
> 364 Days | — | — | % | 130,275 | 5.3 | % | ||||||||||||||||||||
$ | 2,895,019 | 100.0 | % | $ | 2,469,763 | 100.0 | % |
Quarter Ended | Borrowings Outstanding at Quarter End | Average Borrowings Outstanding | Maximum Borrowings Outstanding at Any Month End | |||||||||||||||||
(In thousands) | ||||||||||||||||||||
September 30, 2022 | $ | 2,895,019 | $ | 2,877,500 | $ | 2,912,264 | ||||||||||||||
June 30, 2022 | 2,865,222 | 2,590,120 | 2,865,222 | |||||||||||||||||
March 31, 2022 | 2,717,638 | 2,533,978 | 2,717,638 | |||||||||||||||||
December 31, 2021 | 2,469,763 | 2,187,363 | 2,469,763 | |||||||||||||||||
September 30, 2021 | 2,105,836 | 1,958,411 | 2,175,918 | |||||||||||||||||
June 30, 2021 | 1,916,749 | 1,971,441 | 2,062,580 | |||||||||||||||||
March 31, 2021 | 1,909,511 | 1,736,912 | 1,909,511 | |||||||||||||||||
December 31, 2020 | 1,496,931 | 1,408,935 | 1,496,931 | |||||||||||||||||
September 30, 2020 | 1,439,984 | 1,368,191 | 1,551,147 | |||||||||||||||||
June 30, 2020(1) | 1,294,549 | 1,520,985 | 1,542,577 | |||||||||||||||||
March 31, 2020(2) | 2,034,225 | 2,440,982 | 2,485,496 | |||||||||||||||||
December 31, 2019(3) | 2,445,300 | 2,119,394 | 2,445,300 |
Declaration Date | Dividend Per Share | Dividend Amount | Record Date | Payment Date | ||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||
2022: | ||||||||||||||||||||||||||
September 8, 2022 | $ | 0.15 | $ | 9,189 | September 30, 2022 | October 25, 2022 | ||||||||||||||||||||
August 4, 2022 | 0.15 | 9,186 | August 31, 2022 | September 26, 2022 | ||||||||||||||||||||||
July 8, 2022 | 0.15 | 9,108 | July 29, 2022 | August 25, 2022 | ||||||||||||||||||||||
June 7, 2022 | 0.15 | 9,108 | June 30, 2022 | July 25, 2022 | ||||||||||||||||||||||
May 2, 2022 | 0.15 | 9,121 | May 31, 2022 | June 27, 2022 | ||||||||||||||||||||||
April 7, 2022 | 0.15 | 9,121 | April 29, 2022 | May 25, 2022 | ||||||||||||||||||||||
March 7, 2022 | 0.15 | 9,064 | March 31, 2022 | April 25, 2022 | ||||||||||||||||||||||
February 7, 2022 | 0.15 | 8,730 | February 28, 2022 | March 25, 2022 | ||||||||||||||||||||||
January 7, 2022 | 0.15 | 8,727 | January 31, 2022 | February 25, 2022 | ||||||||||||||||||||||
2021: | ||||||||||||||||||||||||||
September 8, 2021 | 0.15 | 7,855 | September 30, 2021 | October 25, 2021 | ||||||||||||||||||||||
August 4, 2021 | 0.15 | 7,691 | August 31, 2021 | September 27, 2021 | ||||||||||||||||||||||
July 8, 2021 | 0.15 | 7,614 | July 30, 2021 | August 25, 2021 | ||||||||||||||||||||||
June 7, 2021 | 0.15 | 6,669 | June 30, 2021 | July 26, 2021 | ||||||||||||||||||||||
May 6, 2021 | 0.15 | 6,669 | May 28, 2021 | June 25, 2021 | ||||||||||||||||||||||
April 4, 2021 | 0.14 | 6,224 | April 30, 2021 | May 25, 2021 | ||||||||||||||||||||||
March 5, 2021 | 0.10 | 4,446 | March 31, 2021 | April 26, 2021 | ||||||||||||||||||||||
February 5, 2021 | 0.10 | 4,444 | February 26, 2021 | March 25, 2021 | ||||||||||||||||||||||
January 8, 2021 | 0.10 | 4,444 | January 29, 2021 | February 25, 2021 |
Declaration Date | Dividend Per Share | Dividend Amount | Record Date | Payment Date | ||||||||||||||||||||||
(In thousands) | ||||||||||||||||||||||||||
Series A Preferred Stock: | ||||||||||||||||||||||||||
2022: | ||||||||||||||||||||||||||
September 8, 2022 | $ | 0.421875 | $ | 1,941 | September 30, 2022 | October 31, 2022 | ||||||||||||||||||||
June 7, 2022 | 0.421875 | 1,941 | June 30, 2022 | August 1, 2022 | ||||||||||||||||||||||
March 7, 2022 | 0.421875 | 1,941 | March 31, 2022 | May 2, 2022 | ||||||||||||||||||||||
2021: | ||||||||||||||||||||||||||
July 8, 2021 | 0.421875 | 1,941 | July 19, 2021 | July 30, 2021 | ||||||||||||||||||||||
April 4, 2021 | 0.421875 | 1,941 | April 19, 2021 | April 30, 2021 | ||||||||||||||||||||||
January 8, 2021 | 0.421875 | 1,941 | January 19, 2021 | February 1, 2021 | ||||||||||||||||||||||
Series B Preferred Stock: | ||||||||||||||||||||||||||
2022: | ||||||||||||||||||||||||||
September 8, 2022 | $ | 0.390625 | $ | 3,680 | September 30, 2022 | October 31, 2022 | ||||||||||||||||||||
June 7, 2022 | 0.390625 | 3,680 | June 30, 2022 | August 1, 2022 | ||||||||||||||||||||||
March 7, 2022 | 0.390625 | 3,680 | March 31, 2022 | May 2, 2022 | ||||||||||||||||||||||
(In thousands) | Estimated Change for a Decrease in Interest Rates by | Estimated Change for an Increase in Interest Rates by | ||||||||||||||||||||||||||||||||||||||||||||||||
50 Basis Points | 100 Basis Points | 50 Basis Points | 100 Basis Points | |||||||||||||||||||||||||||||||||||||||||||||||
Category of Instruments | Market Value | % of Total Equity | Market Value | % of Total Equity | Market Value | % of Total Equity | Market Value | % of Total Equity | ||||||||||||||||||||||||||||||||||||||||||
Agency RMBS | $ | 31,798 | 2.70 | % | $ | 63,000 | 5.34 | % | $ | (32,393) | (2.75) | % | $ | (65,380) | (5.54) | % | ||||||||||||||||||||||||||||||||||
Long TBAs | 2,474 | 0.21 | % | 4,812 | 0.41 | % | (2,611) | (0.22) | % | (5,358) | (0.45) | % | ||||||||||||||||||||||||||||||||||||||
Short TBAs | (19,226) | (1.63) | % | (37,725) | (3.2) | % | 19,953 | 1.69 | % | 40,632 | 3.44 | % | ||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS, CMBS, ABS and Loans | 17,682 | 1.50 | % | 34,023 | 2.88 | % | (19,023) | (1.61) | % | (39,386) | (3.34) | % | ||||||||||||||||||||||||||||||||||||||
U.S. Treasury Securities, and Interest Rate Swaps, Options, and Futures | (25,293) | (2.15) | % | (51,598) | (4.37) | % | 24,282 | 2.06 | % | 47,551 | 4.03 | % | ||||||||||||||||||||||||||||||||||||||
Corporate Securities and Other | 6 | — | % | 14 | — | % | (6) | — | % | (13) | — | % | ||||||||||||||||||||||||||||||||||||||
Repurchase Agreements, Reverse Repurchase Agreements, and Senior Notes | (5,108) | (0.43) | % | (10,208) | (0.86) | % | 5,102 | 0.43 | % | 10,176 | 0.86 | % | ||||||||||||||||||||||||||||||||||||||
Total | $ | 2,333 | 0.20 | % | $ | 2,318 | 0.20 | % | $ | (4,696) | (0.40) | % | $ | (11,778) | (1.00) | % |
Total Number of Shares Purchased | Average Price Paid | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Approximate Number of Shares that May Yet be Purchased Under the Plans or Programs | |||||||||||||||||||||||
July 1, 2022 – July 31, 2022 | — | $ | — | — | 759,851 | |||||||||||||||||||||
August 1, 2022 – August 31, 2022 | — | — | — | 759,851 | ||||||||||||||||||||||
September 1, 2022 – September 30, 2022 | 40,000 | 12.38 | 40,000 | 719,851 | ||||||||||||||||||||||
Total | 40,000 | $ | 12.38 | 40,000 | 719,851 |
Exhibit | Description | |||||||
31.1 | ||||||||
31.2 | ||||||||
32.1* | ||||||||
32.2* | ||||||||
101.INS | Inline XBRL Instance Document | |||||||
101.SCH | Inline XBRL Taxonomy Extension Schema | |||||||
101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase | |||||||
101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase | |||||||
101.LAB | Inline XBRL Taxonomy Extension Label Linkbase | |||||||
101.PRE | Inline XBRL Taxonomy Extension Presentation Linkbase | |||||||
104 | Cover Page Interactive Data File (embedded within the Inline XBRL document) |
ELLINGTON FINANCIAL INC. | ||||||||||||||
Date: | November 9, 2022 | By: | /s/ LAURENCE PENN | |||||||||||
Laurence Penn Chief Executive Officer (Principal Executive Officer) | ||||||||||||||
ELLINGTON FINANCIAL INC. | ||||||||||||||
Date: | November 9, 2022 | By: | /s/ JR HERLIHY | |||||||||||
JR Herlihy Chief Financial Officer (Principal Financial and Accounting Officer) |
Date: | November 9, 2022 | |||||||||||||
/s/ Laurence Penn | ||||||||||||||
Laurence Penn | ||||||||||||||
Chief Executive Officer (Principal Executive Officer) |
Date: | November 9, 2022 | |||||||||||||
/s/ JR Herlihy | ||||||||||||||
JR Herlihy | ||||||||||||||
Chief Financial Officer | ||||||||||||||
(Principal Financial and Accounting Officer) |
Date: | November 9, 2022 | /s/ Laurence Penn | ||||||||||||
Laurence Penn Chief Executive Officer (Principal Executive Officer) |
Date: | November 9, 2022 | /s/ JR Herlihy | ||||||||||||
JR Herlihy Chief Financial Officer (Principal Financial and Accounting Officer) |
Condensed Consolidated Balance Sheet (Parenthetical) - USD ($) |
Sep. 30, 2022 |
Dec. 31, 2021 |
---|---|---|
Statement of Financial Position [Abstract] | ||
Common Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 |
Common stock, shares authorized | 100,000,000 | 100,000,000 |
Common stock, shares issued | 60,438,787 | 57,458,169 |
Common stock, shares outstanding | 60,438,787 | 57,458,169 |
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 |
Preferred Stock, Shares Authorized | 100,000,000 | 100,000,000 |
Preferred Stock, Shares Issued | 9,420,421 | 9,400,000 |
Preferred Stock, Shares Outstanding | 9,420,421 | 9,400,000 |
Preferred Stock, Liquidation Preference, Value | $ 235,511 | $ 235,000 |
Condensed Consolidated Statement of Operations - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
||||||||
Net Interest Income | |||||||||||
Interest income | $ 78,592 | $ 40,146 | $ 192,388 | $ 126,115 | |||||||
Interest expense | (42,080) | (10,604) | (82,121) | (33,111) | |||||||
Total net interest income | 36,512 | 29,542 | 110,267 | 93,004 | |||||||
Other Income (Loss)(1) | |||||||||||
Realized gains (losses) on securities and loans, net | (33,247) | 6,359 | [1] | (51,272) | 8,627 | [1] | |||||
Realized (gains) losses on financial derivatives, net | 18,995 | (1,782) | [1] | 89,108 | 4,438 | [1] | |||||
Realized gains (losses) on real estate owned, net | (18) | (50) | [1] | 474 | (63) | [1] | |||||
Unrealized gains (losses) on securities and loans, net | (150,750) | (3,212) | [1] | (477,253) | 5,006 | [1] | |||||
Unrealized gains (losses) on financial derivatives, net | 50,259 | 1,155 | [1] | 98,082 | 6,183 | [1] | |||||
Unrealized gains (losses) on real estate owned, net | (121) | 672 | [1] | (373) | (1,435) | [1] | |||||
Unrealized gains (losses) on other secured borrowings, at fair value, net | 79,430 | 1,568 | [1] | 202,329 | 4,945 | [1] | |||||
Unrealized gains (losses) on senior notes, at fair value | 9,135 | 0 | 16,485 | 0 | |||||||
Other, net | (31) | 1,418 | [1] | 1,022 | 4,365 | [1] | |||||
Total other income (loss) | (26,348) | 6,128 | [1] | (121,398) | 32,066 | [1] | |||||
Expenses | |||||||||||
Base management fee to affiliate (Net of fee rebates) | 3,950 | 3,675 | [2] | 12,206 | [2] | 10,308 | [2] | ||||
Incentive Fee Expense | 0 | 5,255 | 0 | 12,412 | |||||||
Other investment related expenses | |||||||||||
Servicing expense | 1,097 | 1,182 | 3,580 | 3,142 | |||||||
Debt issuance costs related to Other secured borrowings, at fair value | 1,941 | 0 | 6,291 | 3,704 | |||||||
Debt issuance costs related to Senior notes, at fair value | 0 | 0 | 3,615 | 0 | |||||||
Other | 2,930 | 1,697 | 6,986 | 5,719 | |||||||
Professional fees | 1,177 | 1,202 | 3,534 | 3,437 | |||||||
Compensation expense | 1,508 | 1,554 | 5,328 | 4,386 | |||||||
Other expenses | 1,860 | 1,682 | 5,592 | 4,893 | |||||||
Total expenses | 14,463 | 16,247 | 47,132 | 48,001 | |||||||
Net Income (Loss) before Income Tax Expense (Benefit) and Earnings (Losses) from Investments in Unconsolidated Entities | (4,299) | 19,423 | (58,263) | 77,069 | |||||||
Income Tax Expense (Benefit) | (81) | (2,009) | (14,867) | 3,149 | |||||||
Earnings (losses) from investments in unconsolidated entities | (25,513) | 2,549 | (54,284) | 27,786 | |||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest, Total | (29,731) | 23,981 | (97,680) | 101,706 | |||||||
Net income (loss) attributable to non-controlling interests | (264) | 1,476 | (1,075) | 4,809 | |||||||
Dividends on preferred stock | 3,823 | 1,941 | 11,468 | 5,822 | |||||||
Net Income (Loss) Attributable to Common Stockholders | $ (33,290) | $ 20,564 | $ (108,073) | $ 91,075 | |||||||
Net Income (Loss) per Share of Common Stock: | |||||||||||
Basic and Diluted (USD per share) | $ (0.55) | $ 0.41 | $ (1.82) | $ 1.99 | |||||||
|
Condensed Consolidated Statement of Operations (Parenthetical) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||
---|---|---|---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
||||
Consolidated Statement of Operations (Parenthetical) [Abstract] | |||||||
Management Fee Expense, Rebates | $ 444 | $ 395 | $ 1,705 | $ 784 | [1] | ||
|
Condensed Consolidated Statement of Changes in Equity - USD ($) $ in Thousands |
Total |
Total Stockholders' Equity |
Common Stock |
Additional Paid-in Capital |
Retained Earnings/(Accumulated Deficit) |
Non-controlling Interest |
Preferred Stock [Member] |
Preferred Stock [Member]
Total Stockholders' Equity
|
Common Stock |
Common Stock
Total Stockholders' Equity
|
Common Stock
Common Stock
|
Common Stock
Additional Paid-in Capital
|
||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Preferred Stock, Value, Outstanding | $ 111,034 | |||||||||||||||||
Beginning balance (in shares) at Dec. 31, 2020 | 43,781,684 | 43,781,684 | ||||||||||||||||
Beginning balance at Dec. 31, 2020 | $ 921,572 | $ 885,215 | $ 44 | $ 915,658 | $ (141,521) | $ 36,357 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 41,256 | 39,797 | 39,797 | 1,459 | ||||||||||||||
Contributions from non-controlling interests | 1,517 | 1,517 | ||||||||||||||||
Dividends | [1] | (13,334) | (13,134) | (13,134) | (200) | |||||||||||||
Dividends, Preferred Stock, Cash | [2] | (1,941) | (1,941) | (1,941) | ||||||||||||||
Distributions to non-controlling interests | (5,923) | (5,923) | ||||||||||||||||
Adjustment to non-controlling interests | (307) | (307) | 307 | |||||||||||||||
Share-based long term incentive plan unit awards | 229 | 226 | 226 | 3 | ||||||||||||||
Ending balance (in shares) at Mar. 31, 2021 | 43,781,684 | |||||||||||||||||
Ending balance at Mar. 31, 2021 | $ 943,376 | 909,856 | $ 44 | 915,577 | (116,799) | 33,520 | ||||||||||||
Beginning balance (in shares) at Dec. 31, 2020 | 43,781,684 | 43,781,684 | ||||||||||||||||
Beginning balance at Dec. 31, 2020 | $ 921,572 | 885,215 | $ 44 | 915,658 | (141,521) | 36,357 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ 101,706 | |||||||||||||||||
Repurchase of shares of common stock (in shares) | 0 | |||||||||||||||||
Ending balance (in shares) at Sep. 30, 2021 | 51,677,667 | 51,677,667 | ||||||||||||||||
Ending balance at Sep. 30, 2021 | $ 1,095,270 | 1,063,326 | $ 52 | 1,057,939 | (105,699) | 31,944 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Dividends declared (in usd per share) | $ 1.19 | |||||||||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 1.265625 | |||||||||||||||||
Stock Issued During Period, Shares, New Issues | 7,852,900 | |||||||||||||||||
Shares Issued As Payment of Incentive Fee, Shares | 37,373 | |||||||||||||||||
Preferred Stock, Value, Outstanding | $ 111,034 | |||||||||||||||||
Beginning balance (in shares) at Mar. 31, 2021 | 43,781,684 | |||||||||||||||||
Beginning balance at Mar. 31, 2021 | 943,376 | 909,856 | $ 44 | 915,577 | (116,799) | 33,520 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 36,469 | 34,595 | 34,595 | 1,874 | ||||||||||||||
Contributions from non-controlling interests | 5,931 | 5,931 | ||||||||||||||||
Dividends | (19,563) | (19,265) | (19,265) | (298) | ||||||||||||||
Dividends, Preferred Stock, Cash | (1,940) | (1,940) | (1,940) | |||||||||||||||
Distributions to non-controlling interests | (9,413) | (9,413) | ||||||||||||||||
Share-based long term incentive plan unit awards | $ 244 | 240 | 240 | 4 | ||||||||||||||
Ending balance (in shares) at Jun. 30, 2021 | 43,781,684 | 43,781,684 | ||||||||||||||||
Ending balance at Jun. 30, 2021 | $ 955,104 | 923,486 | $ 44 | 915,817 | (103,409) | 31,618 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Preferred Stock, Value, Outstanding | 111,034 | |||||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | 23,981 | 22,505 | 22,505 | 1,476 | ||||||||||||||
Stock Issued During Period, Value, New Issues | $ 141,303 | $ 141,303 | $ 8 | $ 141,295 | ||||||||||||||
Shares Issued As Payment of Incentive Fee | $ 716 | 716 | 0 | 716 | ||||||||||||||
Contributions from non-controlling interests | 4,030 | 4,030 | ||||||||||||||||
Dividends | (23,161) | (22,854) | (22,854) | (307) | ||||||||||||||
Dividends, Preferred Stock, Cash | (1,941) | (1,941) | (1,941) | |||||||||||||||
Distributions to non-controlling interests | $ (5,006) | (5,006) | ||||||||||||||||
Stock issued during period, shares, conversion of units | 5,710 | |||||||||||||||||
Stock Issued During Period, Value, Conversion of Units | 105 | 105 | (105) | |||||||||||||||
Adjustment to non-controlling interests | (234) | (234) | 234 | |||||||||||||||
Repurchase of shares of common stock (in shares) | 0 | |||||||||||||||||
Share-based long term incentive plan unit awards | $ 244 | 240 | 240 | 4 | ||||||||||||||
Ending balance (in shares) at Sep. 30, 2021 | 51,677,667 | 51,677,667 | ||||||||||||||||
Ending balance at Sep. 30, 2021 | $ 1,095,270 | 1,063,326 | $ 52 | 1,057,939 | (105,699) | 31,944 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Dividends declared (in usd per share) | $ 0.45 | |||||||||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 0.421875 | |||||||||||||||||
Stock Issued During Period, Shares, New Issues | 7,852,900 | 7,852,900 | ||||||||||||||||
Shares Issued As Payment of Incentive Fee, Shares | 37,373 | 37,373 | ||||||||||||||||
Preferred Stock, Value, Outstanding | $ 111,034 | |||||||||||||||||
Preferred Stock, Value, Outstanding | $ 226,939 | |||||||||||||||||
Beginning balance (in shares) at Dec. 31, 2021 | 57,458,169 | 57,458,169 | ||||||||||||||||
Beginning balance at Dec. 31, 2021 | $ 1,323,556 | 1,291,321 | $ 58 | 1,161,603 | (97,279) | 32,235 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (6,498) | (6,078) | (6,078) | (420) | ||||||||||||||
Stock Issued During Period, Value, New Issues | [3] | $ 493 | $ 493 | $ 38,454 | 38,454 | 2 | 38,452 | |||||||||||
Shares Issued As Payment of Incentive Fee | $ 325 | 325 | 0 | 325 | ||||||||||||||
Contributions from non-controlling interests | 5,846 | 5,846 | ||||||||||||||||
Dividends | [1] | (26,521) | (26,189) | (26,189) | (332) | |||||||||||||
Dividends, Preferred Stock, Cash | [2] | (3,824) | (3,824) | (3,824) | ||||||||||||||
Distributions to non-controlling interests | (9,181) | (9,181) | ||||||||||||||||
Adjustment to non-controlling interests | (706) | (706) | 706 | |||||||||||||||
Share-based long term incentive plan unit awards | 288 | 284 | 284 | 4 | ||||||||||||||
Ending balance (in shares) at Mar. 31, 2022 | 59,662,263 | |||||||||||||||||
Ending balance at Mar. 31, 2022 | $ 1,322,938 | 1,294,080 | $ 60 | 1,199,958 | (133,370) | 28,858 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Stock Issued During Period, Shares, New Issues | [3] | 2,185,000 | ||||||||||||||||
Shares Issued As Payment of Incentive Fee, Shares | 19,094 | |||||||||||||||||
Beginning balance (in shares) at Dec. 31, 2021 | 57,458,169 | 57,458,169 | ||||||||||||||||
Beginning balance at Dec. 31, 2021 | $ 1,323,556 | 1,291,321 | $ 58 | 1,161,603 | (97,279) | 32,235 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ (97,680) | |||||||||||||||||
Repurchase of shares of common stock (in shares) | 128,184 | |||||||||||||||||
Repurchase of shares of common stock | $ (1,700) | |||||||||||||||||
Ending balance (in shares) at Sep. 30, 2022 | 60,438,787 | 60,438,787 | ||||||||||||||||
Ending balance at Sep. 30, 2022 | $ 1,180,629 | 1,155,306 | $ 61 | 1,213,493 | (285,680) | 25,323 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Dividends declared (in usd per share) | $ 1.35 | |||||||||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 2.4375 | |||||||||||||||||
Stock Issued During Period, Shares, New Issues | 3,085,642 | |||||||||||||||||
Shares Issued As Payment of Incentive Fee, Shares | 19,094 | |||||||||||||||||
Preferred Stock, Value, Outstanding | $ 227,432 | |||||||||||||||||
Beginning balance (in shares) at Mar. 31, 2022 | 59,662,263 | |||||||||||||||||
Beginning balance at Mar. 31, 2022 | 1,322,938 | 1,294,080 | $ 60 | 1,199,958 | (133,370) | 28,858 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (61,451) | (61,060) | (61,060) | (391) | ||||||||||||||
Stock Issued During Period, Value, New Issues | [3] | $ 6,767 | 6,767 | 0 | 6,767 | |||||||||||||
Contributions from non-controlling interests | 4,037 | 4,037 | ||||||||||||||||
Dividends | [1] | (27,350) | (27,008) | (27,008) | (342) | |||||||||||||
Dividends, Preferred Stock, Cash | [2] | (3,821) | (3,821) | (3,821) | ||||||||||||||
Distributions to non-controlling interests | (5,863) | (5,863) | ||||||||||||||||
Adjustment to non-controlling interests | (3) | (3) | 3 | |||||||||||||||
Repurchase of shares of common stock (in shares) | (88,184) | |||||||||||||||||
Repurchase of shares of common stock | (1,164) | (1,164) | (1,164) | 0 | ||||||||||||||
Share-based long term incentive plan unit awards | $ 362 | 358 | 358 | 4 | ||||||||||||||
Ending balance (in shares) at Jun. 30, 2022 | 59,957,779 | 59,957,779 | ||||||||||||||||
Ending balance at Jun. 30, 2022 | $ 1,234,455 | 1,208,149 | $ 60 | 1,205,916 | (225,259) | 26,306 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Stock Issued During Period, Shares, New Issues | [3] | 383,700 | ||||||||||||||||
Preferred Stock, Value, Outstanding | 227,432 | |||||||||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (29,731) | (29,467) | (29,467) | (264) | ||||||||||||||
Stock Issued During Period, Value, New Issues | $ 8,026 | $ 8,026 | 1 | $ 8,025 | ||||||||||||||
Contributions from non-controlling interests | 467 | 467 | ||||||||||||||||
Dividends | (27,477) | (27,131) | (27,131) | (346) | ||||||||||||||
Dividends, Preferred Stock, Cash | (3,823) | (3,823) | (3,823) | |||||||||||||||
Distributions to non-controlling interests | $ (1,162) | (1,162) | ||||||||||||||||
Stock issued during period, shares, conversion of units | 4,066 | |||||||||||||||||
Stock Issued During Period, Value, Conversion of Units | 66 | 66 | (66) | |||||||||||||||
Adjustment to non-controlling interests | (383) | (383) | 383 | |||||||||||||||
Repurchase of shares of common stock (in shares) | 40,000 | (40,000) | ||||||||||||||||
Repurchase of shares of common stock | $ (495) | (495) | (495) | $ 0 | ||||||||||||||
Share-based long term incentive plan unit awards | $ 369 | 364 | 364 | 5 | ||||||||||||||
Ending balance (in shares) at Sep. 30, 2022 | 60,438,787 | 60,438,787 | ||||||||||||||||
Ending balance at Sep. 30, 2022 | $ 1,180,629 | $ 1,155,306 | $ 61 | $ 1,213,493 | $ (285,680) | $ 25,323 | ||||||||||||
CHANGE IN SHAREHOLDERS’ EQUITY RESULTING FROM OPERATIONS | ||||||||||||||||||
Dividends declared (in usd per share) | $ 0.45 | |||||||||||||||||
Preferred Stock, Dividends Per Share, Declared | $ 0.8125 | |||||||||||||||||
Stock Issued During Period, Shares, New Issues | 516,942 | 516,942 | ||||||||||||||||
Shares Issued As Payment of Incentive Fee, Shares | 0 | |||||||||||||||||
Preferred Stock, Value, Outstanding | $ 227,432 | |||||||||||||||||
|
Condensed Consolidated Statement of Cash Flows - USD ($) $ in Thousands |
9 Months Ended | |||
---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
|||
Cash flows provided by (used in) operating activities: | ||||
Shares issued in connection with incentive fee payment (non-cash) | $ 325 | $ 716 | ||
Share-based Payment Arrangement, Noncash Expense | 1,019 | 0 | ||
Net cash provided by (used in) operating activities | 70,204 | 58,832 | ||
Cash Flows from Investing Activities: | ||||
Purchase of securities | (1,034,217) | (1,770,962) | ||
Purchase of loans | (2,758,684) | (1,225,176) | ||
Capital improvements of real estate owned | (137) | (2,205) | ||
Proceeds from disposition of securities | 1,069,959 | 1,090,836 | ||
Proceeds from disposition of loans | 27,502 | 1,064 | ||
Contributions to investments in unconsolidated entities | (15,254) | (9,171) | ||
Distributions from investments in unconsolidated entities | 202,818 | 119,395 | ||
Proceeds from disposition of real estate owned | 5,198 | 1,335 | ||
Proceeds from principal payments of securities | 259,252 | 357,692 | ||
Proceeds from principal payments of loans | 484,637 | 225,426 | ||
Proceeds from investments sold short | 776,902 | 377,784 | ||
Repurchase of securities sold short | (675,663) | (384,275) | ||
Payments on financial derivatives | (86,868) | (41,821) | ||
Proceeds from financial derivatives | 165,384 | 41,283 | ||
Payments made on reverse repurchase agreements | (26,676,129) | (15,049,417) | ||
Proceeds from reverse repurchase agreements | 26,592,168 | 15,046,818 | ||
Due from brokers, net | 17,949 | (628) | ||
Due to brokers, net | 59,325 | (82) | ||
Net cash provided by (used in) investing activities | (1,585,858) | (1,222,104) | ||
Cash flows provided by (used in) financing activities: | ||||
Net proceeds from issuance of common stock | [1] | 53,342 | 141,619 | |
Proceeds from Issuance of Preferred Stock and Preference Stock | [1] | 511 | 0 | |
Offering costs paid | (757) | (482) | ||
Payments for Repurchase of Common Stock | (1,659) | 0 | ||
Dividends paid | (91,459) | (58,469) | ||
Contributions from non-controlling interests | 11,853 | 10,744 | ||
Distributions to non-controlling interests | (16,206) | (20,342) | ||
Proceeds from issuance of other secured borrowings | 15,063 | 64,837 | ||
Principal payments on other secured borrowings | (27,066) | (25,718) | ||
Borrowings under repurchase agreements | 9,074,510 | 4,131,514 | ||
Repayments of repurchase agreements | (8,392,715) | (3,482,991) | ||
Proceeds from Issuance of Unsecured Debt | 206,385 | 0 | ||
Repayments of Unsecured Debt | (86,000) | 0 | ||
Proceeds from Issuance of Other Secured Borrowings, at fair value | 857,578 | 534,477 | ||
Repayments of Other secured borrowings, at fair value | 0 | (111,529) | ||
Due from brokers, net | (5,393) | (26,700) | ||
Due to brokers, net | 61 | (1,718) | ||
Net cash provided by (used in) financing activities | 1,598,048 | 1,155,242 | ||
Net Increase (Decrease) in Cash, Cash Equivalents, and Restricted Cash | 82,394 | (8,030) | ||
Cash, Cash Equivalents, and Restricted Cash, Beginning of Period | 92,836 | 111,822 | ||
Cash, Cash Equivalents, and Restricted Cash, End of Period | 175,230 | 103,792 | ||
Supplemental disclosure of cash flow information: | ||||
Interest paid | 75,005 | 34,531 | ||
Income tax paid | 144 | 2,485 | ||
Dividends payable | 11,732 | 9,149 | ||
Shares issued in connection with incentive fee payment (non-cash) | 325 | 716 | ||
Share-based Payment Arrangement, Noncash Expense | 1,019 | 0 | ||
Transfers from mortgage loans to real estate owned (non-cash) | 1,018 | 14,033 | ||
Transfers from mortgage loans to investments in non-consolidated entities (non-cash) | 209,965 | 82,837 | ||
Transfers from corporate loans to investments in unconsolidated entities (non-cash) | 1,000 | 0 | ||
Purchase of Loans Non Cash | 0 | 800 | ||
Principal payments on Other secured borrowings, at fair value (non-cash) | (259,899) | (341,503) | ||
Proceeds received from Other secured borrowings, at fair value (non-cash) | 255,914 | 40,670 | ||
Principal payments on Other secured borrowings (non-cash) | (43,719) | 0 | ||
Proceeds from issuance of Other secured borrowings (non-cash) | 0 | 800 | ||
Proceeds from principal payments of investments (non-cash) | 267,368 | 341,503 | ||
Repayments of repurchase agreement (non-cash) | $ (256,539) | $ (39,618) | ||
|
Organization and Investment Objective |
9 Months Ended |
---|---|
Sep. 30, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Investment Objective | Organization and Investment Objective Ellington Financial Inc., formerly known as Ellington Financial LLC, was originally formed as a Delaware limited liability company on July 9, 2007 and commenced operations on August 17, 2007. On February 28, 2019, Ellington Financial LLC filed a certificate of conversion with the Secretary of State of the State of Delaware (the "Secretary") to convert from a Delaware limited liability company to a Delaware corporation (the "Conversion") and change its name to Ellington Financial Inc. The Conversion became effective on March 1, 2019, and upon effectiveness, each of Ellington Financial LLC's existing common shares representing limited liability company interests, no par value, converted into one issued and outstanding, fully paid and nonassessable share of common stock, $0.001 par value per share, of Ellington Financial Inc. In connection with the Conversion, Ellington Financial Inc.'s Board of Directors (the "Board of Directors") approved Ellington Financial Inc.'s Certificate of Incorporation (which was also filed with the Secretary) and Bylaws. Ellington Financial Operating Partnership LLC (the "Operating Partnership"), a 99.0% owned consolidated subsidiary of Ellington Financial Inc., was formed as a Delaware limited liability company on December 14, 2012 and commenced operations on January 1, 2013. All of Ellington Financial Inc.'s operations and business activities are conducted through the Operating Partnership. Ellington Financial Inc., the Operating Partnership, and their consolidated subsidiaries are hereafter collectively referred to as the "Company." All intercompany accounts are eliminated in consolidation. The Company conducts its operations to qualify and be taxed as a real estate investment trust, or "REIT," under the Internal Revenue Code of 1986, as amended (the "Code"), and has elected to be taxed as a corporation effective January 1, 2019. In anticipation of the Company's intended election to be taxed as a REIT under the Code beginning with its 2019 taxable year (the "REIT Election"), the Company implemented an internal restructuring as of December 31, 2018. As part of this restructuring, the Company moved certain of its non-REIT-qualifying investments and financial derivatives to taxable REIT subsidiaries or, "TRSs," and disposed of certain of its investments in non-REIT-qualifying investments and financial derivatives. The Company invests in a diverse array of financial assets, including residential and commercial mortgage loans, residential mortgage-backed securities, or "RMBS," commercial mortgage-backed securities, or "CMBS," consumer loans and asset-backed securities, or "ABS," including ABS backed by consumer loans, collateralized loan obligations, or "CLOs," non-mortgage- and mortgage-related derivatives, equity investments in loan origination companies, and other strategic investments. Ellington Financial Management LLC (the "Manager") is an SEC-registered investment adviser that serves as the Manager to the Company pursuant to the terms of its Seventh Amended and Restated Management Agreement (the "Management Agreement"), which was approved by the Board of Directors effective March 13, 2018. The Manager is an affiliate of Ellington Management Group, L.L.C. ("Ellington"), an investment management firm that is registered as both an investment adviser and a commodity pool operator. In accordance with the terms of the Management Agreement, the Manager implements the investment strategy and manages the business and operations on a day-to-day basis for the Company and performs certain services for the Company, subject to oversight by the Board of Directors.
|
Significant Accounting Policies |
9 Months Ended |
---|---|
Sep. 30, 2022 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Significant Accounting Policies (A) Basis of Presentation: The Company's unaudited condensed consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," and Regulation S-X. The condensed consolidated financial statements include the accounts of the Company, the Operating Partnership, its subsidiaries, and variable interest entities, or "VIEs," for which the Company is deemed to be the primary beneficiary. All intercompany balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in the condensed consolidated financial statements and notes thereto should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2021. (B) Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820") to its holdings of financial instruments. ASC 820 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: •Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities and exchange-traded derivatives; •Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are RMBS, for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS," U.S. Treasury securities and sovereign debt, certain non-Agency RMBS, CMBS, CLOs, corporate debt, and actively traded derivatives such as interest rate swaps, foreign currency forwards, and other over-the-counter derivatives; and •Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, CLOs, ABS, credit default swaps, or "CDS," on individual ABS, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, private corporate debt and equity investments, other secured borrowings, at fair value, and senior notes, at fair value. For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its financial instruments. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar financial instruments. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For mortgage-backed securities, or "MBS," forward settling to-be-announced mortgage-backed-securities, or "TBAs," CLOs, and corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given financial instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically classified as Level 2. Non-Agency RMBS, CMBS, Agency interest only and inverse interest only RMBS, CLOs, and corporate bonds are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. The Company's investments in distressed corporate debt can be in the form of loans as well as total return swaps on loans. These investments, as well as related non-listed equity investments, are generally designated as Level 3 assets. Valuations for total return swaps are typically based on prices of the underlying loans received from third-party pricing services. Private equity investments are generally classified as Level 3. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. For residential and commercial mortgage loans, and consumer loans, management determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. Management has obtained third-party valuations on the majority of these investments and expects to continue to solicit third-party valuations in the future. In determining fair value for non-performing mortgage loans, management evaluates third-party valuations, if applicable, as well as management's estimates of the value of the underlying real estate, using information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. In determining fair value for performing mortgage loans and consumer loans, management evaluates third-party valuations, if applicable, as well as discounted cash flows of the loans based on market assumptions. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans are classified as Level 3. The Company has securitized certain mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans." The Company's securitized non-QM loans are held as part of a collateralized financing entity, or "CFE." A CFE is a VIE that holds financial assets, issues beneficial interests in those assets, and has no more than nominal equity, and for which the issued beneficial interests have contractual recourse only to the related assets of the CFE. ASC 810, Consolidation ("ASC 810") allows the Company to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. The Company has elected the fair value option, or "FVO," for initial and subsequent recognition of the debt issued by its consolidated securitization trusts and has determined that each consolidated securitization trust meets the definition of a CFE; see Note 10 "Securitization Transactions—Residential Mortgage Loan Securitizations" for further discussion on the Company's securitization trusts. The Company has determined the inputs to the fair value measurement of the financial liabilities of each of its CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of each of the CFEs to measure the fair value of the financial assets of each of the CFEs. The fair value of the debt issued by each CFE is typically valued using both external pricing data, which includes third-party valuations, and internal pricing models. The securitized non-QM loans, which are assets of the CFEs, are included in Loans, at fair value, on the Company's Consolidated Balance Sheet. The debt issued by the CFEs is included in Other secured borrowings, at fair value, on the Company's Consolidated Balance Sheet. Unrealized gains (losses) from changes in fair value of Other secured borrowings, at fair value, are included in Unrealized gains (losses) on other secured borrowings, at fair value, net, on the Company's Condensed Consolidated Statement of Operations. The securitized non-QM loans and the debt issued by the Company's CFEs are both classified as Level 3. For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities or indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally classified as Level 2. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are classified as Level 3. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its financial derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each financial derivative agreement. Investments in private operating entities, such as loan originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results, and independent third party valuation estimates. These investments are classified as Level 3. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2, based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is directed by the Manager's Valuation Committee (the "Valuation Committee"), and overseen by the Company's audit committee. The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's financial instruments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures. Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's consolidated financial statements. (C) Accounting for Securities: Purchases and sales of investments in securities are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. Investments in securities are recorded in accordance with ASC 320, Investments—Debt and Equity Securities ("ASC 320") or ASC 325-40, Beneficial Interests in Securitized Financial Assets ("ASC 325-40"). The Company generally classifies its securities as available-for-sale. The Company has chosen to elect the FVO pursuant to ASC 825, Financial Instruments ("ASC 825") for its investments in securities. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, as a component of Unrealized gains (losses) on securities and loans, net, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all investment activities will be recorded in a similar manner. Many of the Company's investments in securities, such as MBS and CLOs, are issued by entities that are deemed to be VIEs. For the majority of such investments, the Company has determined it is not the primary beneficiary of such VIEs and therefore has not consolidated such VIEs. The Company's maximum risk of loss in these unconsolidated VIEs is generally limited to the fair value of the Company's investment in the VIE. The Company evaluates its investments in interest only securities to determine whether they meet the requirements for classification as financial derivatives under ASC 815, Derivatives and Hedging ("ASC 815"). For interest only securities, where the holder is entitled only to a portion of the interest payments made on the mortgages underlying certain MBS, and inverse interest only securities, which are interest only securities whose coupon has an inverse relationship to its benchmark rate, such as LIBOR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities. The Company applies the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13") and evaluates the cost basis of its investments in securities on at least a quarterly basis, under ASC 326-30, Financial Instruments—Credit Losses: Available-for-Sale Debt Securities ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. (D) Accounting for Loans: The Company's loan portfolio primarily consists of residential mortgage, commercial mortgage, and consumer loans. The Company's loans are accounted for under ASC 310-10, Receivables, and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. When the Company has the intent to sell loans, such loans will be classified as held-for-sale. Mortgage loans held-for-sale are accounted for under ASC 948-310, Financial services—mortgage banking. The Company may aggregate its loans into pools based on common risk characteristics at purchase. The Company has chosen to elect the FVO pursuant to ASC 825 for its loan portfolios. Loans are recorded at fair value on the Consolidated Balance Sheet and changes in fair value are recorded in earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. The Company generates income from fees on certain loans, generally commercial mortgage loans, that it originates and holds for investment, including origination and exit fees. Such fee income is recorded when earned and included in Other, net on the Condensed Consolidated Statement of Operations. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. For residential and commercial mortgage loans, the Company generally accrues interest payments. Such loans are typically moved to non-accrual status if the loan becomes 90 days or more delinquent. The Company does not accrue interest payments on its consumer loans; interest payments are recorded upon receipt. Once consumer loans are more than 120 days past due, the Company will generally charge off such loans. The Company evaluates its charged-off loans and determines collectibility, if any, on such loans. The Company evaluates the collectibility of both interest and principal on each of its loan investments and whether the cost basis of the loan is impaired. A loan's cost basis is impaired when, based on current information and market developments, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the FVO on all of its loan investments. Consistent with the Company's application of the principles of ASU 2016-13, in its assessment of whether a credit loss exists, the Company compares the present value of the amount expected to be collected on the impaired loan with the amortized cost basis of such loan. If the present value of the amount expected to be collected on the impaired loan is less than the amortized cost basis of such loan, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a loan's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the loan's cost basis. This adjustment to the amortized cost basis of the loan is reflected in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. (E) Interest Income: The Company amortizes premiums and accretes discounts on its debt securities. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon rate. For debt securities that are deemed to be of high credit quality at the time of purchase (generally Agency RMBS, exclusive of interest only securities), premiums and discounts are amortized/accreted into interest income over the life of such securities using the effective interest method. For such securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (generally non-Agency RMBS, CMBS, ABS, CLOs, and interest only securities) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices, GDP growth rates, and unemployment rates). These assumptions are re-evaluated not less than quarterly. Changes in projected cash flows may result in prospective changes in the yield/interest income recognized on such securities based on the updated expected future cash flows. For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, based on current information and market developments, the Company re-assesses the collectibility of interest and principal, and generally designates a loan as in non-accrual status either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as in non-accrual status, as long as principal is still expected to be collectible in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectible in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). Certain of the Company's debt securities and loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. Consistent with the Company's application of the principles of ASU 2016-13, if at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method. In estimating future cash flows on the Company's debt securities, there are a number of assumptions that are subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment. (F) Investments in unconsolidated entities: The Company has made and may in the future make non-controlling equity investments in various entities, such as loan originators. Such investments are generally in the form of preferred and/or common equity, or membership interests. In certain cases, the Company can exercise significant influence over the entity (e.g. by having representation on the entity's board of directors) but the requirements for consolidation under ASC 810 are not met; in such cases the Company is required to account for such equity investments under ASC 323-10, Investments—Equity Method and Joint Ventures ("ASC 323-10"). The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in unconsolidated entities, which, in management's view, more appropriately reflects the results of operations for a particular reporting period, as all investment activities will be recorded in a similar manner. The period change in fair value of the Company's investments in unconsolidated entities is recorded on the Condensed Consolidated Statement of Operations in Earnings (losses) from investments in unconsolidated entities. (G) Real Estate Owned "REO": When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company's initial cost basis in REO is equal to the fair value of the real estate associated with the foreclosed mortgage loan, less expected costs to sell. REO valuations are reflected at the lower of cost or fair value. The fair value of such REO is typically based on management's estimates which generally use information including general economic data, BPOs, recent sales, property appraisals, and bids, and takes into account the expected costs to sell the property. REO recorded at fair value on a non-recurring basis are classified as Level 3. (H) Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities and sovereign debt to mitigate the potential impact of changes in interest rates and/or foreign exchange rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to elect the FVO pursuant to ASC 825 for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Condensed Consolidated Statement of Operations in Realized gains (losses) on securities and loans, net. (I) Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral master trade agreements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, or the "Dodd-Frank Act." The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is included in Due to brokers, on the Consolidated Balance Sheet. Conversely, cash collateral posted by the Company is included in Due from brokers, on the Consolidated Balance Sheet. The types of derivatives primarily utilized by the Company are swaps, TBAs, futures, options, and forwards. Swaps: The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps and total return swaps is credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Primarily to help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company also enters into interest rate swaps whereby the Company pays one floating rate and receives a different floating rate, or "basis swaps." The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a "reference asset" (usually a bond, loan, or an index or basket of bonds or loans). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the obligor of the reference asset (or underlying obligor, in the case of a reference asset that is an index). The Company typically writes (sells) protection to take a "long" position with respect to the underlying reference assets, or purchases (buys) protection to take a "short" position with respect to the underlying reference assets or to hedge exposure to other investment holdings. The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the corporate debt, security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. Swaps change in value with movements in interest rates, credit quality, or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Condensed Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. TBA Securities: The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company usually does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. TBAs are accounted for by the Company as financial derivatives. The difference between the forward contract price and the market value of the TBA position as of the reporting date is included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Futures Contracts: A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including equity index futures and foreign currency futures. Initial margin deposits are made upon entering into futures contracts and can generally be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Options: The Company may purchase or write put or call options contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options contracts that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead, the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. Forward Currency Contracts: A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Financial derivative assets are included in Financial derivatives—assets, at fair value, on the Consolidated Balance Sheet. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value, on the Consolidated Balance Sheet. The Company has chosen to elect the FVO pursuant to ASC 825 for its financial derivatives. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Changes in unrealized gains and losses on financial derivatives are included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Realized gains and losses on financial derivatives are included in Realized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. (J) Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in interest bearing overnight accounts and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. See Note 18 for further discussion of restricted cash balances. (K) Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature. (L) Reverse Repurchase Agreements: The Company enters into reverse repurchase agreement transactions whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to reverse repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on a reverse repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Assets held pursuant to reverse repurchase agreements are reflected as assets on the Consolidated Balance Sheet. Reverse repurchase agreements are carried at their contractual amounts, which approximates fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. There are no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. (M) Transfers of Financial Assets: The Company enters into transactions whereby it transfers financial assets to third parties. Upon such a transfer of financial assets, the Company will sometimes retain or acquire interests in the related assets. The Company evaluates transferred assets pursuant to ASC 860-10, Transfers of Financial Assets, or "ASC 860-10," which requires that a determination be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor's continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. When a transfer of financial assets does not qualify as a sale, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. ASC 860-10 is a standard that requires the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." (N) Variable Interest Entities: VIEs are entities in which: (i) the equity investors do not have the characteristics of a controlling financial interest, or (ii) there is insufficient equity to permit the entity to finance its activities without additional subordinated financial support from other parties. Consolidation of a VIE is required by the entity that is deemed to be the primary beneficiary of the VIE. The Company evaluates all of its interests in VIEs for consolidation under ASC 810. The primary beneficiary is generally the party with both (i) the power to direct the activities of the VIE that most significantly impact its economic performance, and (ii) the obligation to absorb losses and the right to receive benefits from the VIE which could be potentially significant to the VIE. When the Company has an interest in an entity that has been determined to be a VIE, the Company assesses whether it is deemed to be the primary beneficiary of the VIE. The Company will only consolidate a VIE for which it has concluded it is the primary beneficiary. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance, the Company considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes (i) identifying the activities that most significantly impact the VIE's economic performance; and (ii) identifying which party, if any, has power over those activities. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests, including debt and/or equity investments, as well as other arrangements deemed to be variable interests in the VIE. These assessments to determine whether the Company is the primary beneficiary require significant judgment. In instances where the Company and its related parties have interests in a VIE, the Company considers whether there is a single party in the related party group that meets the criteria to be deemed the primary beneficiary. If one party within the related party group meets such criteria, that reporting entity would be deemed to be the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets the criteria to be deemed the primary beneficiary, but the related party group as a whole meets such criteria, the determination of the primary beneficiary within the related party group requires significant judgment. The Company performs analysis, which is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. The Company performs ongoing reassessments of (i) whether any entities previously evaluated have become VIEs, based on certain events, and therefore subject to assessment to determine whether consolidation is appropriate, and (ii) whether changes in the facts and circumstances regarding the Company's involvement with a VIE causes its consolidation conclusion regarding the VIE to change. See Note 9 and Note 13 for further information on the Company's consolidated VIEs. The Company's maximum amount at risk is generally limited to the Company's investment in the VIE. The Company is generally not contractually required to provide and has not provided any form of financial support to the VIEs. The Company holds beneficial interests in certain securitization trusts that are considered VIEs. The beneficial interests in these securitization trusts are represented by certificates issued by the trusts. The securitization trusts have been structured as pass-through entities that receive principal and interest payments on the underlying collateral and distribute those payments to the certificate holders, which include both third-party investors and the Company. The certificates held by the Company typically include some or all of the most subordinated tranches. The assets held by the trusts are restricted in that they can only be used to fulfill the obligations of the related trust. In certain cases, the design and structure of the securitization trust is such that the Company effectively retains control of the assets as well as the activities that most significantly impact the economic performance of the trust. In such cases, the Company is determined to be the primary beneficiary, and the Company consolidates the trust and all intercompany transactions are eliminated in consolidation. In cases where the Company does not effectively retain control of the assets of, or have the power to direct the activities that most significantly impact the economic performance of, the related trust, it does not consolidate the trust. See Note 10 for further discussion of the Company's securitization trusts. (O) Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are generally charged against stockholders' equity upon the completion of a capital raise. Offering costs typically include legal, accounting, and other fees associated with the cost of raising capital. (P) Debt Issuance Costs: Debt issuance costs associated with debt for which the Company has elected the FVO are expensed at the issuance of the debt, and are included in Investment related expenses—Other on the Condensed Consolidated Statement of Operations. Costs associated with the issuance of debt for which the Company has not elected the FVO are deferred and amortized over the life of the debt, which approximates the effective interest rate method, and are included in Interest expense on the Condensed Consolidated Statement of Operations. Deferred debt issuance costs are presented on the Consolidated Balance Sheet as a direct deduction from the related debt liability, unless such deferred debt issuance costs are associated with borrowing facilities that are expected to have a future benefit, such as giving the Company the ability to access additional borrowings over the contractual term of the debt, in which case such deferred debt issuance costs are included in Other assets on the Consolidated Balance Sheet. Debt issuance costs include legal and accounting fees, purchasers' or underwriters' discount, as well as other fees associated with the cost of the issuance of the related debt. (Q) Expenses: Expenses are recognized as incurred on the Condensed Consolidated Statement of Operations. (R) Investment Related Expenses: Investment related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include dividend expense on common stock sold short, servicing fees and corporate and escrow advances on mortgage and consumer loans, and various other expenses and fees related directly to the Company's financial instruments. The Company has elected the FVO for its investments, and as a result all investment related expenses are expensed as incurred and included in Investment related expenses on the Condensed Consolidated Statement of Operations. (S) Investment Related Receivables: Investment related receivables on the Company's Consolidated Balance Sheet includes receivables for securities sold and interest and principal receivable on securities and loans. (T) Long Term Incentive Plan Units: Long term incentive plan units of the Operating Partnership ("OP LTIP Units") have been issued to certain Ellington personnel dedicated or partially dedicated to the Company, certain of the Company's directors, as well as the Manager. Costs associated with OP LTIP Units issued to dedicated or partially dedicated personnel, or to the Company's directors, are measured as of the grant date based on the Company's closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation. The vesting periods for OP LTIP Units are typically one year from issuance for non-executive directors, and are typically one year to two years from issuance for dedicated or partially dedicated personnel. (U) Non-controlling interests: Non-controlling interests include interests in the Operating Partnership represented by units convertible into shares of the Company's common stock ("Convertible Non-controlling Interests"). Convertible Non-controlling Interests include both the OP LTIP Units and those common units ("OP Units") of the Operating Partnership not held by the Company (collectively, the "Convertible Non-controlling Interest Units"). Non-controlling interests also include the interests of joint venture partners in certain of our consolidated subsidiaries. The joint venture partners' interests are not convertible into shares of the Company's common stock. The Company adjusts the Convertible Non-controlling Interests to align their carrying value with their share of total outstanding Operating Partnership units, including both the OP Units held by the Company and the Convertible Non-controlling Interests. Any such adjustments are reflected in Adjustment to non-controlling interests, on the Consolidated Statement of Changes in Equity. See Note 15 for further discussion of non-controlling interests. (V) Dividends: Dividends payable on shares of common stock and Convertible Non-controlling Interest Units are recorded on the declaration date. (W) Shares Repurchased: Shares of common stock that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares of common stock issued and outstanding. The cost of such repurchases is charged against Additional paid-in-capital on the Company's Consolidated Balance Sheet. (X) Earnings Per Share ("EPS"): Basic EPS is computed using the two class method by dividing net income (loss) after adjusting for the impact of Convertible Non-controlling Interests which are participating securities, by the weighted average number of shares of common stock outstanding calculated including Convertible Non-controlling Interests. Because the Company's Convertible Non-controlling Interests are participating securities, they are included in the calculation of both basic and diluted EPS. (Y) Foreign Currency: The functional currency of the Company is U.S. dollars. Assets and liabilities denominated in foreign currencies are remeasured into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Other, net, on the Condensed Consolidated Statement of Operations. The Company's reporting currency is U.S. Dollars. If the Company has investments in unconsolidated entities that have a functional currency other than U.S. Dollars, the fair value is translated to U.S. dollars using the current exchange rate at the valuation date. The cumulative translation adjustment, if any, associated with the Company's investments in unconsolidated entities is recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders' equity. (Z) Income Taxes: The Company has elected to be taxed as a REIT under Sections 856 through 860 of the Code. As a REIT, the Company is generally not subject to corporate-level federal and state income tax on net income it distributes to its stockholders within the prescribed timeframes. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including distributing at least 90% of its annual taxable income to stockholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local and foreign taxes on its income and property, and to federal income and excise taxes on its undistributed taxable income. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The Company elected to treat certain domestic and foreign subsidiaries as TRSs, and may in the future elect to treat other current or future subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS may, but is not required to, declare dividends to the Company; such dividends will be included in the Company's taxable income/(loss) and may necessitate a distribution to the Company's stockholders. Conversely, if the Company retains earnings at the level of a domestic TRS, such earnings will increase the book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state, and local corporate income taxes. The Company has elected and may elect in the future to treat certain of its foreign corporate subsidiaries as TRSs and, accordingly, taxable income generated by these TRSs may not be subject to U.S. federal, state, and local corporate income taxation, but generally will be included in the Company's income on a current basis as Subpart F income, whether or not distributed. However, certain of the Company's foreign subsidiaries may be subject to income taxes in the relevant foreign jurisdictions. The Company's financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is more than 50% likely to be realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or its open tax years. In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and its open tax years. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. The Company recognizes interest and penalties, if any, related to uncertain tax positions, as income tax expense included in Income tax expense (benefit) on the Condensed Consolidated Statement of Operations. (AA) Recent Accounting Pronouncements: In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform—Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2020-04"), which provides optional guidance for a limited period meant to ease the potential burden in accounting for, or recognizing the effects of, reform to LIBOR and certain other reference rates. The standard became effective for all entities beginning on March 12, 2020 and may be elected over time. However, ASU 2020-04 is only applicable to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform, and that were entered into or evaluated prior to January 1, 2023. In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2021-01"), which clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications apply to derivatives that are affected by the reform to LIBOR. The amendments in this update became effective immediately for all entities. ASU 2021-01 provides increased clarity as the Company continues to evaluate the transition of reference rates, and it is currently evaluating the impact that the adoption of ASU 2020-04 would have on the consolidated financial statements.
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Text Block] | Valuation The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021: September 30, 2022:
December 31, 2021:
The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2022 and December 31, 2021: September 30, 2022:
(1)For the range minimum, the range maximum, and the weighted average yield, excludes non-Agency RMBS with a negative yield, with a total fair value of $0.2 million. Including these securities the weighted average yield was 13.6%. (2)Shown in basis points. (3)For range minimum, range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $0.5 million. Including these securities the weighted average was 512 basis points. (4)Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (5)Includes $9.0 million of non-performing securitized residential mortgage loans. (6)Represents an estimation of where market participants might value an enterprise on a price-to-book basis. December 31, 2021:
(1)For the range minimum, the range maximum, and the weighted average yield, excludes non-Agency RMBS with a negative yield, with a total fair value of $2.1 million. Including these securities the weighted average yield was 6.5%. (2)For the range minimum, the range maximum, and the weighted average yield, excludes CLOs with a negative yield, with a total fair value of $14 thousand. Including these securities the weighted average yield was 32.7%. (3)Shown in basis points. (4)For range minimum, range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $2.1 million. Including these securities the weighted average was 485 basis points. (5)Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (6)Includes $8.8 million of non-performing securitized residential mortgage loans. (7)Represent an estimation of where market participants might value an enterprise on a price-to-book basis. Third-party non-binding valuations are validated by comparing such valuations to internally generated prices based on the Company's models and, when available, to recent trading activity in the same or similar instruments. For those instruments valued using discounted and net discounted cash flows, collateral prepayments, losses, recoveries, and scheduled amortization are projected over the remaining life of the collateral and expressed as a percentage of the collateral's current principal balance. Averages are weighted based on the fair value of the related instrument. In the case of credit default swaps on asset-backed securities, averages are weighted based on each instrument's bond equivalent value. Bond equivalent value represents the investment amount of a corresponding position in the reference obligation, calculated as the difference between the outstanding principal balance of the underlying reference obligation and the fair value, inclusive of accrued interest, of the derivative contract. For those assets valued using the LIBOR Option Adjusted Spread ("LIBOR OAS") valuation methodology, cash flows are projected using the Company's models over multiple interest rate scenarios, and these projected cash flows are then discounted using the LIBOR rates implied by each interest rate scenario. The LIBOR OAS of an asset is then computed as the unique constant yield spread that, when added to all LIBOR rates in each interest rate scenario generated by the model, will equate (a) the expected present value of the projected asset cash flows over all model scenarios to (b) the actual current market price of the asset. LIBOR OAS is therefore model-dependent. Generally speaking, LIBOR OAS measures the additional yield spread over LIBOR that an asset provides at its current market price after taking into account any interest rate options embedded in the asset. The Company considers the expected timeline to resolution in the determination of fair value for its non-performing commercial and residential mortgage loans. Material changes in any of the inputs above in isolation could result in a significant change to reported fair value measurements. Additionally, fair value measurements are impacted by the interrelationships of these inputs. For example, for instruments subject to prepayments and credit losses, such as non-Agency RMBS and consumer loans and ABS backed by consumer loans, a higher expectation of collateral prepayments will generally be accompanied by a lower expectation of collateral losses. Conversely, higher losses will generally be accompanied by lower prepayments. Because the Company's credit default swaps on asset-backed security holdings represent credit default swap contracts whereby the Company has purchased credit protection, such credit default swaps on asset-backed securities generally have the directionally opposite sensitivity to prepayments, losses, and recoveries as compared to the Company's long securities holdings. Prepayments do not represent a significant input for the Company's commercial mortgage-backed securities and commercial mortgage loans. Losses and recoveries do not represent a significant input for the Company's Agency RMBS interest only securities, given the guarantee of the issuing government agency or government-sponsored enterprise. The tables below includes a roll-forward of the Company's financial instruments for the three- and nine-month periods ended September 30, 2022 and 2021 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Three-Month Period Ended September 30, 2022
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2022, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2022. For Level 3 financial instruments held by the Company at September 30, 2022, change in net unrealized gain (loss) of $(8.0) million, $(113.1) million, $(27.0) million, $0.7 million, $(37) thousand, $79.4 million, and $9.1 million, for the three-month period ended September 30, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, other secured borrowings, at fair value, and senior notes, at fair value, respectively. At September 30, 2022, the Company transferred $17.0 million of assets from Level 3 to Level 2 and $8.2 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Three-Month Period Ended September 30, 2021
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. (3)Conformed to current period presentation. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2021, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2021. For Level 3 financial instruments held by the Company at September 30, 2021, change in net unrealized gain (loss) of $3.1 million, $(4.7) million, $(2.7) million, $0.1 million, $0.1 million, and $1.5 million, for the three-month period ended September 30, 2021 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively. At September 30, 2021, the Company transferred $11.0 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Nine-Month Period Ended September 30, 2022
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2022, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2022. For Level 3 financial instruments held by the Company at September 30, 2022, change in net unrealized gain (loss) of $(31.8) million, $(297.6) million, $(61.0) million, $0.6 million, $(37) thousand, $202.3 million, and $16.5 million, for the nine-month period ended September 30, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, other secured borrowings, at fair value, and senior notes, at fair value, respectively. At September 30, 2022, the Company transferred $41.9 million of assets from Level 3 to Level 2 and $36.0 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Nine-Month Period Ended September 30, 2021
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. (3)Conformed to current period presentation. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2021, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2021. For Level 3 financial instruments held by the Company at September 30, 2021, change in net unrealized gain (loss) of $13.6 million, $(2.4) million, $19.9 million, $(0.1) million, and $4.7 million, for the nine-month period ended September 30, 2021 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively. At September 30, 2021, the Company transferred $38.1 million of assets from Level 3 to Level 2 and $12.9 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021:
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Investment in Securities |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment in Securities | Investment in Securities The Company's securities portfolio primarily consists of Agency RMBS, non-Agency RMBS, CMBS, CLOs, ABS backed by consumer loans, and corporate debt and equity. The following tables detail the Company's investment in securities as of September 30, 2022 and December 31, 2021. September 30, 2022:
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. December 31, 2021:
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. The following tables detail weighted average life of the Company's Agency RMBS as of September 30, 2022 and December 31, 2021. September 30, 2022:
(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. December 31, 2021:
(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of September 30, 2022 and December 31, 2021. September 30, 2022:
(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2)Other Securities includes ABS backed by consumer loans, corporate debt, and U.S. Treasury securities. (3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. December 31, 2021:
(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2)Other Securities includes ABS backed by consumer loans, corporate debt, and U.S. Treasury securities. (3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. The following table details the components of interest income by security type for the three- and nine-month periods ended September 30, 2022 and 2021:
(1)Other securities includes ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities.
(1)Other securities includes ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities. For the three-month periods ended September 30, 2022 and 2021 the Catch-Up Premium Amortization Adjustment was $1.6 million and $(2.9) million, respectively. For the nine-month periods ended September 30, 2022 and 2021 the Catch-Up Premium Amortization Adjustment was $3.1 million and $10 thousand, respectively. The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and nine-month periods ended September 30, 2022 and 2021.
(1)Includes proceeds on sales of securities not yet settled as of period end. (2)Excludes realized losses of $(2.0) million and $(0.3) million, for the three-month periods ended September 30, 2022 and 2021, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (3)Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.
(1)Includes proceeds on sales of securities not yet settled as of period end. (2)Excludes realized losses of $(4.5) million and $(1.5) million for the nine-month periods ended September 30, 2022 and 2021, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (3)Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities. The following tables present the fair value and gross unrealized losses of our long securities, excluding those where there are expected credit losses as of the balance sheet date in relation to such securities' cost bases, by length of time that such securities have been in an unrealized loss position at September 30, 2022 and December 31, 2021. September 30, 2022:
(1)Other securities includes corporate debt and equity securities. December 31, 2021:
As described in Note 2, the Company evaluates the cost basis of its securities for impairment on at least a quarterly basis. As of September 30, 2022 and December 31, 2021, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $28.0 million and $17.5 million, respectively, related to adverse changes in estimated future cash flows on its securities. Certain of the Company's securities, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination and the Company has established an initial estimate for credit losses on such securities. As of December 31, 2021, the estimated credit losses on such securities was $0.3 million; there were no estimated credit losses on such securities at September 30, 2022. The Company has determined for certain securities that a portion of such securities cost basis is not collectible. For the three-month periods ended September 30, 2022 and 2021, the Company recognized realized losses on these securities of $(2.0) million and $(0.3) million, respectively. For the nine-month periods ended September 30, 2022 and 2021, the Company recognized realized losses on these securities of $(4.5) million and $(1.5) million, respectively. Such losses are reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.
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Investment in Loans |
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment in Loans | Investment in Loans The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer, and corporate loans. As discussed in Note 2, the Company has elected the FVO for its investments in loans. The following table is a summary of the Company's investments in loans as of September 30, 2022 and December 31, 2021:
The Company is subject to credit risk in connection with its investments in loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs. Credit risk in our loan portfolio can be amplified by exogenous shocks impacting our borrowers such as man-made or natural disasters, such as the COVID-19 pandemic. The following table provides details, by loan type, for loans that are 90 days or more past due as of September 30, 2022 and December 31, 2021:
Residential Mortgage Loans The tables below detail certain information regarding the Company's residential mortgage loans as of September 30, 2022 and December 31, 2021. September 30, 2022:
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2)Includes $1.763 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $70 thousand and $(233.4) million of gross unrealized gains and gross unrealized losses, respectively. See Residential Mortgage Loan Securitizations in Note 10 for additional information. December 31, 2021:
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2)Includes $1.042 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $11.5 million and $(3.7) million of gross unrealized gains and gross unrealized losses, respectively. See Residential Mortgage Loan Securitizations in Note 10 for additional information. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2022 and December 31, 2021:
The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of September 30, 2022 and December 31, 2021.
As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis. As of September 30, 2022 and December 31, 2021, the Company had expected future credit losses related to adverse changes in estimated future cash flows, which it tracks for purposes of calculating interest income, of $24.2 million and $3.0 million, respectively, related to its residential mortgage loans. Certain of the Company's residential mortgage loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination and the Company has established an initial estimate for credit losses on such loans; as of September 30, 2022 and December 31, 2021, the estimated credit losses on such loans was $36 thousand and $0.1 million, respectively. The Company has determined for certain of its residential mortgage loans that a portion of such loans' cost basis is not collectible. For the nine-month period ended September 30, 2021, the Company recognized realized losses on these loans of $(33) thousand; no such realized losses were recognized during the three month periods ended September 30, 2022 and 2021 or the nine-month period ended September 30, 2022. Such losses are reflected in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. As of September 30, 2022 and December 31, 2021, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $22.1 million and $8.1 million, respectively. Commercial Mortgage Loans The tables below detail certain information regarding the Company's commercial mortgage loans as of September 30, 2022 and December 31, 2021: September 30, 2022:
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $31.8 million. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2021:
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $15.5 million. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2022 and December 31, 2021:
As of September 30, 2022, the Company had two non-performing commercial mortgage loans with an unpaid principal balance and fair value of $31.8 million and $31.8 million, respectively. As of December 31, 2021, the Company had one non- performing commercial mortgage loan with an unpaid principal balance and fair value of $15.5 million and $15.5 million, respectively. As described in Note 2, the Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis. As of September 30, 2022 and December 31, 2021, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $1.5 million and $0.3 million, related to adverse changes in estimated future cash flows on its commercial mortgage loans. The Company did not have any commercial mortgage loans in the process of foreclosure as of September 30, 2022 or December 31, 2021. Consumer Loans The tables below detail certain information regarding the Company's consumer loans as of September 30, 2022 and December 31, 2021: September 30, 2022:
(1)Includes $0.2 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2021:
(1)Includes $0.3 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. During the nine-month period ended September 30, 2022, the Company sold the majority of its performing consumer loans, with an unpaid principal balance of $47.7 million, to a securitization trust; see Note 10, Participation in Multi-Seller Consumer Loan Securitization. This sale resulted in a significant reduction in the size of our consumer loan portfolio as of September 30, 2022 as compared to December 31, 2021. The table below provides details on the delinquency status as a percentage of total unpaid principal balance of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of September 30, 2022 and December 31, 2021.
During the three-month periods ended September 30, 2022 and 2021, the Company charged off $0.3 million and $0.5 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. During each of the nine-month periods ended September 30, 2022 and 2021, the Company charged off $2.9 million, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of September 30, 2022 and December 31, 2021, the Company held charged-off consumer loans with an aggregate fair value of $0.2 million and $0.3 million, respectively, for which the Company has determined that it is probable the servicer will be able to collect principal and interest. As described in Note 2, the Company evaluates the cost basis of its consumer loans for impairment on at least a quarterly basis. As of September 30, 2022 and December 31, 2021, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $0.5 million and $1.3 million, respectively, on its consumer loans. The Company has determined for certain of its consumer loans that a portion of such loans' cost basis is not collectible. For the three-month periods ended September 30, 2022 and 2021, the Company recognized realized losses on these loans of $(1.3) million and $(0.1) million, respectively. For the nine-month periods ended September 30, 2022 and 2021, the Company recognized realized losses on these loans of $(1.8) million and $(1.4) million, respectively. Corporate Loans The tables below detail certain information regarding the Company's corporate loans as of September 30, 2022 and December 31, 2021: September 30, 2022:
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2021:
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.
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Investments in Unconsolidated Entities |
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Equity Method Investments and Joint Ventures [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Unconsolidated Entities | Investments in Unconsolidated EntitiesThe Company has various equity investments in entities where it has the ability to exert significant influence over such entity, but does not control such entity. In these cases the criteria for consolidation have not been met and the Company is required to account for such investments under ASC 323-10; the Company has elected the FVO for its investments in unconsolidated entities. As of September 30, 2022 and December 31, 2021, the Company's investments in unconsolidated entities had an aggregate fair value of $171.4 million and $195.6 million, respectively, which is included on the Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. For the three-month periods ended September 30, 2022, and 2021, the Company recognized $(25.5) million and $2.5 million, respectively, in Earnings (losses) from investments in unconsolidated entities, on its Condensed Consolidated Statement of Operations. For the nine-month periods ended September 30, 2022, and 2021, the Company recognized $(54.3) million and $27.8 million, respectively, in Earnings (losses) from investments in unconsolidated entities, on its Condensed Consolidated Statement of Operations. Certain of the entities that the Company accounts for under ASC 323-10 are deemed to be VIEs, and the maximum amount at risk is generally limited to the Company's investment in the VIE. As of September 30, 2022 and December 31, 2021, the fair value of the Company's investments in unconsolidated entities that have been deemed to be VIEs was $81.1 million and $63.9 million, respectively. The following table provides details about the Company's investments in unconsolidated entities as of September 30, 2022 and December 31, 2021:
(1)See Note 13 for additional details on the Company's related party transactions. (2)Excludes investment in equity interests convertible into non-voting common shares; including such interests the Company's additional non-voting stake in the entity was 13.8% as of both September 30, 2022 and December 31, 2021. See Note 13 Related Party Transactions—Transactions Involving Certain Loan Originators for additional information. (3)Excludes investment in non-voting common shares equal to 16.4% of a loan originator; including such shares the Company's total stake in such entity was 61.4% as of both September 30, 2022 and December 31, 2021. See Note 13 Related Party Transactions—Transactions Involving Certain Loan Originators for additional information. (4)The Company has evaluated this entity and determined that it meets the definition of a VIE. The Company evaluated its interest in the VIE and determined that the Company does not have the power to direct the activities of the VIE and does not have control of the underlying assets, where applicable. As a result, the Company determined that it is not the primary beneficiary of this VIE and therefore has not consolidated the VIE. (5)As discussed in Note 13 Related Party Transactions—Participation in Multi-Borrower Financing Facilities, the Company and the Affiliated Entities (as defined in Note 13) each consolidate their segregated silos of the Joint Entity (as defined in Note 13). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 66.0% and 47.5% as of September 30, 2022 and December 31, 2021, respectively. (6)As discussed in Note 13 Related Party Transactions—Participation in Multi-Borrower Financing Facilities, the Company and the Affiliated Entities (as defined in Note 13) each consolidate their segregated silos of the Joint Entity (as defined in Note 13). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 54.2% and 31.0% as of September 30, 2022 and December 31, 2021, respectively. (7)As discussed in Note 13 Related Party Transactions—Participation in Multi-Borrower Financing Facilities, the Company and the Affiliated Entities (as defined in Note 13) each consolidate their segregated silos of the Joint Entity (as defined in Note 13). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 59.1% and 44.8% as of September 30, 2022 and December 31, 2021, respectively. (8)As discussed in Note 13 Related Party Transactions—Participation in Multi-Borrower Financing Facilities, the Company and the Affiliated Entities (as defined in Note 13) each consolidate their segregated silos of the Joint Entity (as defined in Note 13). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 66.4% as of September 30, 2022; the Company did not have an interest in this entity as of December 31, 2021. (9)Includes interests in Consumer Risk Retention Vehicles, as defined in Note 10—Participation in Multi-Seller Consumer Loan Securitizations. The Company has evaluated these entities and determined that they do not meet the definition of a VIE. The Company evaluated its interest in the entity under the voting interest model outlined in ASC 810, and has determined that the Company does not control these entities. As a result, the Company has not consolidated the entity. See Note 10 for additional details on the Company's securitization transactions. (10)Includes interest in warehouse facilities; see Note 13—Participation in CLO Transactions, for additional details. As of September 30, 2022 and December 31, 2021, the Company had non-controlling equity interests in various loan originators with an aggregate fair value of $83.2 million and $137.8 million, respectively. As of September 30, 2022, the Company's two largest investments in unconsolidated entities were in mortgage loan originators, LendSure Mortgage Corp., or "LendSure" and Longbridge Financial, LLC, or "Longbridge." The Company's investment in LendSure was considered significant pursuant to Regulation S-X for the nine-month period ended September 30, 2022. For the three-month periods ended September 30, 2022 and 2021, the Company recognized $(6.9) million and $6.0 million, respectively, of unrealized gains (losses) from its investment in LendSure, which is included in Earnings (losses) from investments in unconsolidated entities on the Condensed Consolidated Statement of Operations. For the nine-month periods ended September 30, 2022 and 2021, the Company recognized $(18.9) million and $11.6 million, respectively, of unrealized gains (losses) from its investment in LendSure, which is included in Earnings (losses) from investments in unconsolidated entities on the Condensed Consolidated Statement of Operations. As of September 30, 2022 and December 31, 2021, the fair value of the Company's investment in LendSure was $26.6 million and $45.5 million, respectively, which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The following table provides a summary of the results of operations of LendSure for the three- and nine-month periods ended September 30, 2022 and 2021.
The Company's investment in Longbridge was considered significant pursuant to Regulation S-X for the nine-month period ended September 30, 2022. For the three-month periods ended September 30, 2022 and 2021, the Company recognized $(20.2) million and $(6.2) million, respectively, of unrealized gains (losses) from its investment in Longbridge, which is included in Earnings (losses) from investments in unconsolidated entities on the Condensed Consolidated Statement of Operations. For the nine-month periods ended September 30, 2022 and 2021, the Company recognized $(37.1) million and $5.1 million, respectively, of unrealized gains (losses) from its investment in Longbridge, which is included in Earnings (losses) from investments in unconsolidated entities on the Condensed Consolidated Statement of Operations. As of September 30, 2022 and December 31, 2021, the fair value of the Company's investment in Longbridge was $38.9 million and $74.5 million, respectively, which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The following table provides a summary of the results of operations of Longbridge for the three- and nine-month periods ended September 30, 2022 and 2021.
(1)Longbridge includes in Revenue mark-to-market gains and losses on certain reverse mortgage loans held for investment. (2)Longbridge has conformed prior period to current period presentation.
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Real Estate Owned |
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Real Estate Owned, Disclosure of Detailed Components [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Owned | Real Estate Owned As discussed in Note 2, the Company obtains possession of REO as a result of foreclosures on the associated mortgage loans. The following tables detail activity in the Company's carrying value of REO for the three- and nine-month periods ended September 30, 2022 and 2021:
During the three-month period ended September 30, 2022, the Company sold one REO property, realizing a net gain (loss) of approximately $(18) thousand. During the three-month period ended September 30, 2021, the Company sold three REO properties, realizing a net gain (loss) of approximately $(50) thousand. During the nine-month period ended September 30, 2022, the Company sold five REO properties, realizing a net gain (loss) of approximately $0.5 million. During the nine-month period ended September 30, 2021, the Company sold five REO properties, realizing a net gain (loss) of approximately $(63) thousand. Such realized gains (losses) are included in Realized gains (losses) on real estate owned, net, on the Company's Condensed Consolidated Statement of Operations. As of September 30, 2022 and December 31, 2021 all of the Company's REO had been obtained as a result of obtaining physical possession through foreclosure. Of the Company's total REO holdings, $20.3 million and $23.9 million were measured at fair value on a non-recurring basis as of September 30, 2022 and December 31, 2021, respectively.
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Financial Derivatives |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Derivatives | Financial Derivatives The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company manages certain risks associated with its investments and borrowings, including interest rate, credit, liquidity, and foreign exchange rate risk primarily by managing the amount, sources, and duration of its investments and borrowings, and through the use of derivative financial instruments. The Company's derivative financial instruments are used to manage differences in the amount, timing, and duration of its known or expected cash receipts and its known or expected cash payments principally related to its investments and borrowings. The following table details the fair value of the Company's holdings of financial derivatives as of September 30, 2022 and December 31, 2021:
Interest Rate Swaps The following tables provide information about the Company's fixed payer interest rate swaps as of September 30, 2022 and December 31, 2021: September 30, 2022:
December 31, 2021:
The following tables provide information about the Company's fixed receiver interest rate swaps as of September 30, 2022 and December 31, 2021: September 30, 2022:
December 31, 2021:
Credit Default Swaps The following table provides information about the Company's credit default swaps as of September 30, 2022 and December 31, 2021:
(1)Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection. Futures The following table provides information about the Company's long and short positions in futures as of September 30, 2022 and December 31, 2021:
Options The following table provides information about the Company's options contracts as of December 31, 2021. The Company did not hold any options contracts as of September 30, 2022. December 31, 2021:
(1)Represents the option on the part of the Company to enter into a credit default swap on a corporate bond index whereby the Company would pay a fixed rate and receive credit protection payments. Warrants The following table provides information about the Company's warrants contracts to purchase shares as of September 30, 2022 and December 31, 2021:
(1)Excludes number of shares underlying warrant to purchase additional equity interest in a loan originator in which the Company currently holds an equity interest. The Company has the right to purchase 10% of the loan originator at the time of purchase for a pre-determined price. As of September 30, 2022, the fair value of the estimated fair value of such warrants was insignificant. Such warrants were not held at December 31, 2021. TBAs The Company transacts in the forward settling TBA market. Pursuant to these TBA transactions, the Company agrees to purchase or sell, for future delivery, Agency RMBS with certain principal and interest terms and certain types of underlying collateral, but the particular Agency RMBS to be delivered is not identified until shortly before the TBA settlement date. TBAs are generally liquid, have quoted market prices, and represent the most actively traded class of MBS. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for investment purposes, including holding long positions. The Company does not usually take delivery of TBAs; rather, it settles the associated receivable and payable with its trading counterparties on a net basis. Transactions with the same counterparty for the same TBA that result in a reduction of the position are treated as extinguished. As of September 30, 2022 and December 31, 2021, the Company had outstanding TBA purchase and sale contracts as follows:
(1)Notional amount represents the principal balance of the underlying Agency RMBS. (2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3)Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4)Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Consolidated Balance Sheet. Gains and losses on the Company's derivative contracts for the three- and nine-month periods ended September 30, 2022 and 2021 are summarized in the tables below:
(1)Includes foreign currency remeasurement on financial derivatives in the amount of $(18) thousand for the three-month period ended September 30, 2022, which is included on the Condensed Consolidated Statement of Operations in Other, net.
(1)Includes foreign currency remeasurement on financial derivatives in the amount of $(7) thousand for the three-month period ended September 30, 2021, which is included on the Condensed Consolidated Statement of Operations in Other, net.
(1)Includes foreign currency remeasurement on financial derivatives in the amount of $(43) thousand for the nine-month period ended September 30, 2022, which is included on the Condensed Consolidated Statement of Operations in Other, net.
(1)Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $18 thousand for the nine-month period ended September 30, 2021, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2)Includes foreign currency remeasurement on financial derivatives in the amount of $(38) thousand for the nine-month period ended September 30, 2021, which is included on the Condensed Consolidated Statement of Operations in Other, net. The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the nine-month period ended September 30, 2022 and the year ended December 31, 2021:
From time to time the Company enters into credit derivative contracts for which the Company sells credit protection ("written credit derivatives"). As of September 30, 2022 and December 31, 2021, all of the Company's open written credit derivatives were credit default swaps on either mortgage/asset-backed indices (ABX and CMBX indices) or corporate bond indices (CDX), collectively referred to as credit indices, or on individual corporate bonds, for which the Company receives periodic payments at fixed rates from credit protection buyers, and is obligated to make payments to the credit protection buyer upon the occurrence of a "credit event" with respect to underlying reference assets. Written credit derivatives held by the Company at September 30, 2022 and December 31, 2021 are summarized below:
(1)The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty. A credit default swap on a credit index or a corporate bond typically terminates at the stated maturity date in the case of corporate indices or bonds, or, in the case of ABX and CMBX indices, the date that all of the reference assets underlying the index are paid off in full, retired, or otherwise cease to exist. Implied credit spreads may be used to determine the market value of such contracts and are reflective of the cost of buying/selling credit protection. Higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make protection payments) under the contract. In situations where the credit quality of the underlying reference assets has deteriorated, the percentage of notional values that would be paid up front to enter into a new such contract ("points up front") is frequently used as an indication of credit risk. Credit protection sellers entering the market in such situations would expect to be paid points up front corresponding to the approximate fair value of the contract. As of September 30, 2022, the implied credit spread on the Company's outstanding written credit derivative was 466 basis points; as of December 31, 2021, implied credit spreads on written credit derivatives outstanding ranged between 113 and 141 basis points. Excluded from these spread ranges are contracts outstanding for which the individual spread is greater than 2,000 basis points. The Company believes that these contracts would be quoted based on estimated points up front. The total fair value of contracts with individual implied credit spreads in excess of 2,000 basis points was $(33) thousand and $(38) thousand as of September 30, 2022 and December 31, 2021, respectively. Estimated points up front on these contracts as of September 30, 2022 ranged between 46.3 and 88.8. Estimated points up front on these contracts as of December 31, 2021 ranged between 55.4 and 85.2. Total net up-front payments (paid) or received relating to written credit derivatives outstanding as of both September 30, 2022 and December 31, 2021 were $0.8 million.
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Consolidated VIEs |
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Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consolidated VIEs | Consolidated VIEs As discussed in Note 2, the Company has interests in entities that it has determined to be VIEs. The following table summarizes the assets and liabilities of the Company's consolidated VIEs that are included on the Company's Consolidated Balance Sheet as of September 30, 2022 and December 31, 2021. See Note 10 and Note 13 for additional information on the Company's consolidated VIEs.
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Securitization Transactions |
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Securitization Transactions [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securitization Transactions | Securitization Transactions Participation in CLO Transactions Since June 2017, an affiliate of Ellington has sponsored four CLO securitization transactions (the "Ellington-sponsored CLO Securitizations"), collateralized by corporate loans and managed by an affiliate of Ellington (the "CLO Manager"). Ellington, the Company, several other affiliates of Ellington, and in certain cases, third parties, participated in the Ellington-sponsored CLO Securitizations (collectively, the "CLO Co-Participants"). Pursuant to each Ellington-sponsored CLO Securitization, a newly formed securitization trust (each a "CLO Issuer") issued various classes of notes, which were in turn sold to unrelated third parties and the applicable CLO Co-Participants. The CLO Issuers are each deemed to be a VIE. The Company evaluates its interests in the CLO Issuers under ASC 810, and while the Company retains credit risk in each of the securitization trusts through its beneficial ownership of a portion of the subordinated interests of each of the securitization trusts, which are the first to absorb credit losses on the securitized assets, the Company does not retain control of these assets or the power to direct the activities of the CLO Issuers that most significantly impact the CLO Issuers' economic performance. As a result, the Company determined that it is not the primary beneficiary of the CLO Issuers, and therefore the Company has not consolidated the CLO Issuers. The Company's maximum amount at risk is limited to the Company's investment in each of the CLO Issuers. As of September 30, 2022 and December 31, 2021, the fair value of the Company's investment in the notes issued by the CLO Issuers was $11.4 million and $27.6 million, respectively. See Note 13 for further details on the Company's participation in CLO transactions. Residential Mortgage Loan Securitizations Since November 2017, the Company, through certain wholly owned subsidiaries (each, a "Sponsor"), has sponsored securitizations of non-QM loans. In each case, the applicable Sponsor transferred a pool of non-QM loans (each, a Collateral Pool") to a wholly owned entity (each, a "Depositor") and on the closing date such loans were deposited into newly created securitization trusts (collectively, the "Issuing Entities"). Pursuant to the securitizations, the Issuing Entities issued various classes of mortgage pass-through certificates (the "Certificates") which are backed by the cash flows from the underlying non-QM loans. Under the Dodd-Frank Act, sponsors of securitizations are generally required to retain at least 5% of the economic interest in the credit risk of the securitized assets (the "Risk Retention Rules"). In order to comply with the Risk Retention Rules, in each securitization, the Company purchased and intends to hold, at a minimum, the requisite amount of the most subordinated classes of Certificates and the excess cash flow certificates. The applicable Sponsor also purchased the Certificates entitled to excess servicing fees in each securitization, while the remaining classes of Certificates were purchased by unrelated parties. Notwithstanding that the Certificates carry final scheduled distribution dates in November 2059 or later, the applicable Depositor may, at its sole option, purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) the applicable anniversary of the closing date (typically two or three years) of the respective securitization or (2) the date on which the aggregate unpaid principal balance of the applicable Collateral Pool has declined below 30% of the aggregate unpaid principal balance of the applicable Collateral Pool as of the date as of which such loans were originally transferred to the applicable Issuing Entity. The purchase price that the Depositor is required to pay in connection with an Optional Redemption is equal to the sum of the unpaid principal balance of each class of Certificates as of the redemption date and any accrued and unpaid interest thereon. In light of these Optional Redemption rights held by the applicable Depositor, the transfers of non-QM loans to each of the Issuing Entities do not qualify as sales under ASC 860-10. In the event that certain breaches of representations or warranties are discovered with respect to any underlying non-QM loans, the Company could be required to repurchase or replace such loans. Each Sponsor also serves as the servicing administrator of its respective securitization, for which it is entitled to receive a monthly fee equal to one-twelfth of the product of (a) 0.03% and (b) the unpaid principal balance of the underlying non-QM loans as of the first day of the related due period. Each Sponsor in its role as servicing administrator provides direction and consent for certain loss mitigation activities to the third-party servicer of the underlying non-QM loans. In certain circumstances, the servicing administrator will be required to reimburse the servicer for principal and interest advances and servicing advances made by the servicer. In light of the Company's retained interests in each of the securitizations, together with the Optional Redemption rights and the Company's ability to direct the third-party servicer regarding certain loss mitigation activities, the Company is deemed to be the primary beneficiary of the Issuing Entities, which are VIEs, and has consolidated the Issuing Entities. Interest income from these loans and the expenses related to the servicing of these loans are included in Interest income and Investment related expenses—Servicing expense, respectively, on the Condensed Consolidated Statement of Operations. The Issuing Entities each meet the definition of a CFE as defined in Note 2, and as a result the assets of each of the Issuing Entities have been valued using the fair value of the liabilities of the respective Issuing Entity, as such liabilities have been assessed to be more observable than such assets. The debt of the Issuing Entities is included in Other secured borrowings, at fair value, on the Consolidated Balance Sheet and is shown net of the Certificates held by the Company. The following table details the Company's outstanding consolidated residential mortgage loan securitizations:
(1)In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.4% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.7 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (2)In order to comply with the Risk Retention Rules, the Sponsor purchased the most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.1% of the fair value of all Certificates issued. Additionally, the Sponsor purchased two other subordinated classes of Certificates with an aggregate value equal to 6.4% of the fair value of all Certificates issued as of the settlement date; the Company subsequently sold such subordinated classes of Certificates to third parties. Finally, the Sponsor also purchased, for an aggregate purchase price of $1.9 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (3)In order to comply with the Risk Retention Rules, the Sponsor purchased the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.2% of the fair value of all Certificates issued. Additionally, the Sponsor purchased the most subordinated class of Certificates with an aggregate value as of the settlement date equal to 2.4% of the fair value of all Certificates issued. Finally, the Sponsor also purchased, for an aggregate purchase price of $1.4 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (4)In order to comply with the Risk Retention Rules, the Sponsor purchased the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.4% of the fair value of all Certificates issued. Additionally, the Sponsor purchased the most subordinated class of Certificates with an aggregate value as of the settlement date equal to 0.4% of the fair value of all Certificates issued. Finally, the Sponsor also purchased, for an aggregate purchase price of $1.6 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (5)In order to comply with the Risk Retention Rules, the Sponsor purchased the most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.5% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $2.1 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (6)In order to comply with the Risk Retention Rules, the Sponsor purchased the most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.3% of the fair value of all Certificates issued. Additionally, the Sponsor purchased one other subordinated class of Certificates with an aggregate value equal to 2.0% of the fair value of all Certificates issued as of the settlement date; the Company subsequently sold such subordinated class of Certificates to third parties. The Sponsor also purchased, for an aggregate purchase price of $1.8 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (7)In order to comply with the Risk Retention Rules, the Sponsor purchased the most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.3% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $3.6 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (8)In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.6% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.3 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (9)In order to comply with the Risk Retention Rules, the Sponsor purchased the three most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.0% of the fair value of all Certificates issued. Additionally, the Sponsor purchased one other subordinated class of Certificates with an aggregate value equal to 3.1% of the fair value of all Certificates issued as of the settlement date; the Company subsequently sold such subordinated class of Certificates to third parties. The Sponsor also purchased, for an aggregate purchase price of $1.3 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. The following table details the assets and liabilities of the consolidated securitization trusts included in the Company's Consolidated Balance Sheet as of September 30, 2022 and December 31, 2021:
Participation in Multi-Seller Consumer Loan Securitizations The Company has participated in various securitizations whereby the Company, together with certain other entities managed by Ellington (the "Consumer Co-Participants"), sold consumer loans to newly formed securitization trusts (each a "Consumer Securitization Issuer"). The sales were accounted for as sales in accordance with ASC 860-10. The following table provides additional details for each such securitization.
(1)Total principal amount of notes issued by the Consumer Securitization Issuer pursuant to the securitization. (2)UPB of loans sold to the Consumer Securitization Issuer represent the UPB of consumer loans sold by the Company and the Consumer Co-Participants. Such amount excludes $227.6 million of UPB of consumer loans sold to the Consumer Securitization Issuer by a third-party. As shown in the above table, pursuant to each of the securitizations, the respective Consumer Securitization Issuer issued senior and subordinated notes. Trust certificates representing beneficial ownership of each of the Consumer Securitization Issuers were also issued. In connection with each transaction, through a jointly owned newly formed entity (each a "Consumer Risk Retention Vehicle"), the Company and the Consumer Co-Participants acquired certain of the subordinated notes as well as the trust certificates in the respective Consumer Securitization Issuer. As of September 30, 2022 and December 31, 2021, the Company's total interest in the Consumer Risk Retention Vehicles, for which the Company has elected the FVO, was $10.0 million and $11.5 million, respectively. The fair value of the Consumer Risk Retention Vehicles is included on the Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. The notes and trust certificates issued by each of the Consumer Securitization Issuers are backed by the cash flows from the underlying consumer loans. If there are breaches of representations and warranties with respect to any underlying consumer loans, the Company could, under certain circumstances, be required to repurchase or replace such loans. Absent such breaches, the Company has no obligation to repurchase or replace any underlying consumer loans that become delinquent or otherwise default. In addition, another affiliate of Ellington acts as the administrator for these securitizations and is paid a monthly fee for its services. The Consumer Securitization Issuers are each deemed to be a VIE. The Company has evaluated its interest in each of the Consumer Securitization Issuers under ASC 810, and while the Company retains credit risk in each of the securitization trusts through its beneficial ownership of most of the subordinated interests of each of the securitization trusts, which are the first to absorb credit losses on the securitized assets, neither the Company nor the Consumer Risk Retention Vehicles retain control of these assets or the power to direct the activities of the Consumer Securitization Issuers that most significantly impact the Consumer Securitization Issuers' economic performance. As a result, the Company determined that neither the Company nor the Consumer Risk Retention Vehicles are the primary beneficiary of the respective Consumer Securitization Issuer, and therefore the Company has not consolidated the Consumer Securitization Issuers. Additionally, the Company evaluated its interest in each of the Consumer Risk Retention Vehicles, which do not meet the criteria to be deemed a VIE, under the voting interest model provided by ASC 810 and determined the Company does not control the Consumer Risk Retention Vehicles. As a result, the Company has not consolidated the Consumer Risk Retention Vehicles.
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Borrowings |
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Borrowings | Borrowings Secured Borrowings The Company's secured borrowings consist of repurchase agreements, Other secured borrowings, and Other secured borrowings, at fair value. As of September 30, 2022 and December 31, 2021, the Company's total secured borrowings were $4.6 billion and $3.6 billion, respectively. Repurchase Agreements The Company enters into repurchase agreements. A repurchase agreement involves the sale of an asset to a counterparty together with a simultaneous agreement to repurchase the transferred asset or similar asset from such counterparty at a future date. The Company accounts for its repurchase agreements as collateralized borrowings, with the transferred assets effectively serving as collateral for the related borrowing. The Company's repurchase agreements typically range in term from 30 to 364 days, although the Company also has repurchase agreements that provide for longer or shorter terms. The principal economic terms of each repurchase agreement—such as loan amount, interest rate, and maturity date—are typically negotiated on a transaction-by-transaction basis. Other terms and conditions, such as those relating to events of default, are typically governed under the Company's master repurchase agreements. Absent an event of default, the Company maintains beneficial ownership of the transferred securities during the term of the repurchase agreement and receives the related principal and interest payments. Interest rates on these borrowings are generally fixed based on prevailing rates corresponding to the terms of the borrowings, and for most repurchase agreements, interest is generally paid at the termination of the repurchase agreement, at which time the Company may enter into a new repurchase agreement at prevailing market rates with the same counterparty, repay that counterparty and possibly negotiate financing terms with a different counterparty, or choose to no longer finance the related asset. Some repurchase agreements provide for periodic payments of interest, such as monthly payments. In response to a decline in the fair value of the transferred securities, whether as a result of changes in market conditions, security paydowns, or other factors, repurchase agreement counterparties will typically make a margin call, whereby the Company will be required to post additional securities and/or cash as collateral with the counterparty in order to re-establish the agreed-upon collateralization requirements. In the event of increases in fair value of the transferred securities, the Company can generally require the counterparty to post collateral with it in the form of cash or securities. The Company is generally permitted to sell or re-pledge any securities posted by the counterparty as collateral; however, upon termination of the repurchase agreement, or other circumstance in which the counterparty is no longer required to post such margin, the Company must return to the counterparty the same security that had been posted. At any given time, the Company seeks to have its outstanding borrowings under repurchase agreements with several different counterparties in order to reduce the exposure to any single counterparty. The Company had outstanding borrowings under repurchase agreements with 23 counterparties as of both September 30, 2022 and December 31, 2021. As of September 30, 2022, remaining days to maturity on the Company's open repurchase agreements ranged from 3 days to 355 days. Interest rates on the Company's open repurchase agreements ranged from 0.20% to 6.89% as of September 30, 2022. As of December 31, 2021, remaining days to maturity on the Company's open repurchase agreements ranged from 3 days to 638 days. Interest rates on the Company's open repurchase agreements ranged from 0.10% to 3.75% as of December 31, 2021. The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS and credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), by remaining maturity as of September 30, 2022 and December 31, 2021:
Repurchase agreements involving underlying investments that the Company sold prior to period end, for settlement following period end, are shown using their contractual maturity dates even though such repurchase agreements may be expected to be terminated early upon settlement of the sale of the underlying investment. As of September 30, 2022 and December 31, 2021, the fair value of investments transferred as collateral under outstanding borrowings under repurchase agreements was $3.4 billion and $2.8 billion, respectively. Collateral transferred under outstanding borrowings under repurchase agreements as of September 30, 2022 and December 31, 2021, include investments in the amount of $25.5 million and $4.1 million, respectively, that were sold prior to period end but for which such sale had not yet settled. In addition, as of September 30, 2022 and December 31, 2021, the Company posted net cash collateral of $73.3 million and $70.3 million, respectively, to its counterparties. Amount at risk represents the excess, if any, for each counterparty of the fair value of collateral held by such counterparty over the amounts outstanding under repurchase agreements. The following table provides details by counterparty for such counterparties for which the amounts at risk relating to our repurchase agreements was greater than 10% of total equity as of September 30, 2022. There was no counterparty for which the amount at risk was greater than 10% of total equity as of December 31, 2021.
Other Secured Borrowings The Company entered into agreements to finance a portfolio of unsecured loans through a recourse secured borrowing facility. The facility terminated in February 2022. The facility accrued interest on a floating-rate basis. As of December 31, 2021, the Company had outstanding borrowings under this facility in the amount of $2.7 million, which is included under the caption Other secured borrowings, on the Company's Consolidated Balance Sheet. The effective interest rate, inclusive of related deferred financing costs, was 2.10% as of December 31, 2021. As of December 31, 2021, the fair value of unsecured loans collateralizing this borrowing was $4.3 million. The Company had a non-recourse secured borrowing facility that was used to finance a portfolio of unsecured loans; such facility was terminated in March 2022. The facility accrued interest on a floating rate basis. As of December 31, 2021, the Company had outstanding borrowings under this facility in the amount of $38.5 million, which is included under the caption Other secured borrowings, on the Company's Consolidated Balance Sheet. The effective interest rate on this facility, inclusive of any related deferred financing costs, was 2.25% as of December 31, 2021. As of December 31, 2021, the fair value of unsecured loans collateralizing this borrowing was $57.1 million. The Company has entered into an agreement to finance a portfolio of ABS backed by consumer loans through a recourse secured borrowing facility. The facility includes a revolving borrowing period ending in September 2024 (or earlier following a trigger event), whereby the Company can vary its borrowings based on the size of its portfolio, subject to certain maximum limits. Following the revolving borrowing period, the facility amortizes, with a final termination date in September 2026. The facility accrues interest on a floating rate basis. As of September 30, 2022 and December 31, 2021, the Company had outstanding borrowings under this facility in the amount of $40.9 million and $46.9 million, respectively, which is included under the caption Other secured borrowings, on the Company's Consolidated Balance Sheet. The effective interest rate on this facility, was 7.34% and 4.70% as of September 30, 2022 and December 31, 2021, respectively. As of September 30, 2022 and December 31, 2021, the fair value of ABS backed by consumer loans collateralizing this borrowing was $71.4 million and $67.5 million, respectively. There are a number of covenants, including several financial covenants, associated with this borrowing; as of both September 30, 2022 and December 31, 2021, the Company was in compliance with all of its covenants. The Company has completed securitization transactions, as discussed in Note 10, whereby it financed portfolios of non-QM loans. As of September 30, 2022 and December 31, 2021, the fair value of the Company's outstanding liabilities associated with these securitization transactions was $1.636 billion and $984.2 million, respectively, representing the fair value of the securitization trust certificates held by third parties as of such date, and is included on the Company's Consolidated Balance Sheet in Other secured borrowings, at fair value. The weighted average coupon of the Certificates held by third parties was 2.98% and 1.68% as of September 30, 2022 and December 31, 2021, respectively. As of September 30, 2022 and December 31, 2021, the fair value of non-QM loans held in the consolidated securitization trusts was $1.8 billion and $1.0 billion, respectively. In March 2020, the Company entered into a participation agreement with an unrelated third-party, the "Junior Participant," whereby the Company transferred to the Junior Participant an interest in a small balance commercial mortgage loan, the "Partial Loan," (together with the Company's interest, the "Whole Commercial Loan"). The Partial Loan was subordinate to the interest in the loan held by the Company. In accordance with ASC 860-10, the Partial Loan transferred to the Junior Participant did not meet the definition of a participating interest and, as a result, the Company did not recognize the transfer of the Partial Loan to the Junior Participant as a sale. The Company recorded the Whole Commercial Loan in Loans, at fair value, on the Consolidated Balance Sheet. The Whole Commercial Loan was repaid in February 2022. As of December 31, 2021, the fair value of the Whole Commercial Loan was $18.0 million. The Company's liability to the Junior Participant as of December 31, 2021, was $7.5 million, and is included in Other secured borrowings on the Company's Consolidated Balance Sheet. The Company and a third-party (the "Participant") have entered into participation agreements whereby in each case the Company sold a participation in a syndicated bank loan (the "Participated Loans"). Simultaneous with the execution of the participation agreement, the Company entered into a forward purchase agreement with the Participant to repurchase the Participated Loan at a predetermined price. As of December 31, 2021, the fair value of the Participated Loans was $1.1 million, and is included in Securities, at fair value on the Company's Consolidated Balance Sheet. The Company's liability to the Participant was $1.0 million, as of December 31, 2021, and is included in Other secured borrowings on the Company's Consolidated Balance Sheet. The effective interest rate on the liability to the Participant was 3.17% as of December 31, 2021. Unsecured Borrowings Senior Notes The Company issued $86.0 million in aggregate principal amount of unsecured long-term debt, which was structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "5.50% Senior Notes"). The 5.50% Senior Notes bore interest at a rate of 5.50%. The 5.50% Senior Notes were repaid at maturity on September 1, 2022. The 5.50% Senior Notes were carried at amortized cost and are included in Senior Notes, net, on the Condensed Consolidated Balance Sheet. The 5.50% Senior Notes had an effective interest rate of approximately 5.80%, inclusive of debt issuance costs. In addition to the 5.50% Senior Notes, the Company has also issued $210.0 million in aggregate principal amount of unsecured long-term debt, which is structured as a joint and several co-issuance by certain of the Company's consolidated subsidiaries and fully guaranteed by the Company (the "5.875% Senior Notes"). The 5.875% Senior Notes bear interest at a rate of 5.875%, subject to adjustment based on changes, if any, in the ratings of the 5.875% Senior Notes. Interest on the 5.875% Senior Notes is payable semi-annually in arrears on April 1 and October 1 of each year. The 5.875% Senior Notes mature on April 1, 2027. Prior to April 1, 2026, the Company may redeem the 5.875% Senior Notes, at its option, in whole or in part, at a premium as detailed in the indenture dated March 31, 2022. On or after April 1, 2026, the Company may redeem all or a part of the 5.875% Senior Notes at a redemption price of 100%, plus accrued and unpaid interest. The Company has elected the FVO for the 5.875% Senior Notes which are included in Senior Notes, at fair value on the Condensed Consolidated Balance Sheet. Change in unrealized gains and losses on the Company's Senior Notes, at fair value are included in Other, net, on the Condensed Consolidated Statement of Operations. There are a number of covenants, including several financial covenants, associated with each of the 5.50% Senior Notes and the 5.875% Senior Notes (collectively, the "Senior Notes"); as of both September 30, 2022 and December 31, 2021, the Company was in compliance with all of its covenants for the outstanding Senior Notes. The Senior Notes are unsecured and are effectively subordinated to secured indebtedness of the Company, to the extent of the value of the collateral securing such indebtedness. Schedule of Principal Repayments The following table details the Company's principal repayment schedule, over the next 5 years, for outstanding borrowings as of September 30, 2022:
(1)Reflects the Company's contractual principal repayment dates. (2)Includes $1.221 billion of expected principal repayments related to the Company's consolidated residential mortgage loan securitizations, which are projected based upon the underlying assets' expected repayments and may be prior to the stated contractual maturities.
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Income Taxes |
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Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes The Company has elected to be taxed as a REIT under the Code. A REIT is generally not subject to U.S. federal, state, and local income tax on the portion of its income that is distributed to its owners if it distributes at least 90% of its REIT taxable income within the prescribed time frames, determined without regard to the deduction for dividends paid and excluding any net capital gains. The Company intends to operate in a manner which will allow it to continue to meet the requirements for qualification as a REIT. Accordingly, Ellington Financial Inc. does not believe that it will be subject to U.S. federal, state, and local income tax on the portion of its net taxable income that is distributed to its stockholders as long as certain asset, income, and share ownership tests are met. Cash dividends declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a dividend is designated by the Company as a capital gain dividend. Distributions in excess of the Company's current and accumulated earnings and profits will be characterized as return of capital or capital gains. The Company accounts for income taxes in accordance with ASC 740, Income Taxes, or "ASC 740." Deferred income taxes reflect the net tax effects of temporary differences that may exist between the carrying amounts of assets and liabilities under U.S. GAAP and the carrying amounts used for income tax purposes. For the three-month periods ended September 30, 2022 and 2021, the Company recorded income tax expense (benefit) of $(0.1) million and $(2.0) million, respectively. The income tax benefit for the three-month periods ended September 30, 2022 and 2021 was the result of net realized and unrealized losses in a domestic TRS. For the nine-month periods ended September 30, 2022 and 2021, the Company recorded income tax expense (benefit) of $(14.9) million and $3.1 million, respectively. The reversal in the Company's income tax accrual period over period was the result of net realized and unrealized losses in a domestic TRS for the nine-month period ended September 30, 2022 as compared to net realized and unrealized gains in a domestic TRS for the nine-month period ended September 30, 2021. Based upon the available evidence at September 30, 2022, the Company determined that it was more likely than not that the deferred tax assets of its TRS would not be utilized in future periods. As a result, the Company recorded a $18.7 million valuation allowance to fully reserve against these deferred tax assets.
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Related Party Transactions |
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Related Party Transactions | Related Party Transactions The Company is party to the Management Agreement (which may be amended from time to time), pursuant to which the Manager manages the assets, operations, and affairs of the Company, in consideration of which the Company pays the Manager management and incentive fees. The descriptions of the Base Management Fees and Incentive Fees are detailed below. Base Management Fees The Operating Partnership pays the Manager 1.50% per annum of total equity of the Operating Partnership calculated in accordance with U.S. GAAP as of the end of each fiscal quarter (before deductions for base management fees and incentive fees payable with respect to such fiscal quarter), provided that total equity is adjusted to exclude one-time events pursuant to changes in U.S. GAAP, as well as non-cash charges after discussion between the Manager and the Company's independent directors, and approval by a majority of the Company's independent directors in the case of non-cash charges. Pursuant to the Management Agreement, if the Company invests at issuance in the equity of any collateralized debt obligation that is managed, structured, or originated by Ellington or one of its affiliates, or if the Company invests in any other investment fund or other investment for which Ellington or one of its affiliates receives management, origination, or structuring fees, then, unless agreed otherwise by a majority of the Company's independent directors, the base management and incentive fees payable by the Company to its Manager will be reduced by an amount equal to the applicable portion (as described in the Management Agreement) of any such management, origination, or structuring fees. For the three-month period ended September 30, 2022, the total base management fee incurred was $4.0 million, consisting of $4.4 million of total gross base management fee incurred, less $0.4 million of management fee rebates. For the three-month period ended September 30, 2021, the total base management fee incurred was $3.7 million, consisting of approximately $4.1 million of total gross base management fee incurred, less $0.4 million of management fee rebates. For the nine-month period ended September 30, 2022, the total base management fee incurred was $12.2 million, consisting of $13.9 million of total gross base management fee incurred, less $1.7 million of management fee rebates. For the nine-month ended September 30, 2021, the total base management fee incurred was $10.3 million, consisting of $11.1 million of total gross base management fee incurred, less $0.8 million of management fee rebates. See "—Participation in CLO Transactions" below for details on management fee rebates. Incentive Fees The Manager is entitled to receive a quarterly incentive fee equal to the positive excess, if any, of (i) the product of (A) 25% and (B) the excess of (1) Adjusted Net Income (described below) for the Incentive Calculation Period (which means such fiscal quarter and the immediately preceding three fiscal quarters) over (2) the sum of the Hurdle Amounts (described below) for the Incentive Calculation Period, over (ii) the sum of the incentive fees already paid or payable for each fiscal quarter in the Incentive Calculation Period preceding such fiscal quarter. For purposes of calculating the incentive fee, "Adjusted Net Income" for the Incentive Calculation Period means the net increase in equity from operations of the Operating Partnership, after all base management fees but before any incentive fees for such period, and excluding any non-cash equity compensation expenses for such period, as reduced by any Loss Carryforward (as described below) as of the end of the fiscal quarter preceding the Incentive Calculation Period. For purposes of calculating the incentive fee, the "Loss Carryforward" as of the end of any fiscal quarter is calculated by determining the excess, if any, of (1) the Loss Carryforward as of the end of the immediately preceding fiscal quarter over (2) the Company's net increase in equity from operations (expressed as a positive number) or net decrease in equity from operations (expressed as a negative number) of the Operating Partnership for such fiscal quarter. As of September 30, 2022 there was a Loss Carryforward of $108.4 million; there was no Loss Carryforward as of December 31, 2021. For purposes of calculating the incentive fee, the "Hurdle Amount" means, with respect to any fiscal quarter, the product of (i) one-fourth of the greater of (A) 9% and (B) 3% plus the 10-year U.S. Treasury rate for such fiscal quarter, (ii) the sum of (A) the weighted average gross proceeds per share of all common stock and OP Unit issuances since inception of the Company and up to the end of such fiscal quarter, with each issuance weighted by both the number of shares of common stock and OP Units issued in such issuance and the number of days that such issued shares of common stock and OP Units were outstanding during such fiscal quarter, using a first-in first-out basis of accounting (i.e. attributing any share of common stock and OP Unit repurchases to the earliest issuances first) and (B) the result obtained by dividing (I) retained earnings attributable to shares of common stock and OP Units at the beginning of such fiscal quarter by (II) the average number of shares of common stock and OP Units outstanding for each day during such fiscal quarter, and (iii) the sum of (x) the average number of shares of common stock and long term incentive plan units of the Company outstanding for each day during such fiscal quarter, and (y) the average number of Convertible Non-controlling Interests outstanding for each day during such fiscal quarter. For purposes of determining the Hurdle Amount, issuances of common stock, and Convertible Non-controlling Interests (a) as equity incentive awards, (b) to the Manager as part of its base management fee or incentive fee and (c) to the Manager or any of its affiliates in privately negotiated transactions, are excluded from the calculation. The payment of the incentive fee will be in a combination of shares of common stock and cash, provided that at least 10% of any quarterly payment will be made in shares of common stock. The Company incurred incentive fees of $5.3 million and $12.4 million for the three- and nine-month periods ended September 30, 2021. The Company did not accrue an incentive fee for either of the three- or nine-month periods ended September 30, 2022, since on a rolling four quarter basis, the Company's income did not exceed the prescribed hurdle amount. Termination Fees The Management Agreement requires the Company to pay a termination fee to the Manager in the event of (1) the Company's termination or non-renewal of the Management Agreement without cause or (2) the Company's termination of the Management Agreement based on unsatisfactory performance by the Manager that is materially detrimental to the Company or (3) the Manager's termination of the Management Agreement upon a default by the Company in the performance of any material term of the Management Agreement. Such termination fee will be equal to the amount of three times the sum of (i) the average annual quarterly base management fee amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal and (ii) the average annual quarterly incentive fee amounts paid or payable with respect to the two 12-month periods ending on the last day of the latest fiscal quarter completed on or prior to the date of the notice of termination or non-renewal. Expense Reimbursement Under the terms of the Management Agreement the Company is required to reimburse the Manager for operating expenses related to the Company that are incurred by the Manager, including expenses relating to legal, accounting, due diligence, other services, and all other costs and expenses. The Company's reimbursement obligation is not subject to any dollar limitation. Expenses will be reimbursed in cash within 60 days following delivery of the expense statement by the Manager; provided, however, that such reimbursement may be offset by the Manager against amounts due to the Company from the Manager. The Company will not reimburse the Manager for the salaries and other compensation of the Manager's personnel except that the Company will be responsible for expenses incurred by the Manager in employing certain dedicated or partially dedicated personnel as further described below. The Company reimburses the Manager for the allocable share of the compensation, including, without limitation, wages, salaries, and employee benefits paid or reimbursed, as approved by the Compensation Committee of the Board of Directors to certain dedicated or partially dedicated personnel who spend all or a portion of their time managing the Company's affairs, based upon the percentage of time devoted by such personnel to the Company's affairs. In their capacities as officers or personnel of the Manager or its affiliates, such personnel will devote such portion of their time to the Company's affairs as is necessary to enable the Company to operate its business. For the nine-month periods ended September 30, 2022 and 2021, the Company reimbursed the Manager $12.3 million and $8.7 million, respectively, for previously incurred operating expenses. As of September 30, 2022 and December 31, 2021, the outstanding payable to the Manager for operating expenses was $3.8 million and $3.7 million, respectively, which are included in Accrued expenses and other liabilities on the Consolidated Balance Sheet. Transactions Involving Certain Loan Originators As of September 30, 2022 and December 31, 2021, the loan originators in which the Company holds equity investments represent related parties. Transactions that have been entered into with these related party loan originators are summarized below. The Company is a party to a mortgage loan purchase and sale flow agreement, with a mortgage loan originator in which the Company holds a non-controlling equity investment, whereby the Company purchases residential mortgage loans that satisfy certain specified criteria. The Company has also provided a $5.0 million line of credit to the mortgage originator. Under the terms of this line of credit, the Company has agreed to make advances to the mortgage originator solely for the purpose of funding specifically identified residential mortgage loans designated for sale to the Company. To the extent the advances are drawn by the mortgage originator, it must pay interest, at a rate of 15% per annum, on the outstanding balance of each advance from the date the advance is made until such advance is repaid in full. The mortgage originator is required to repay advances in full no later than two business days following the date that the Company purchases the related residential mortgage loans from the mortgage originator. As of both September 30, 2022 and December 31, 2021, there were no advances outstanding. The Company has also entered into agreements whereby it guarantees the performance of such mortgage originator under third-party master repurchase agreements. See Note 21, Commitments and Contingencies, for further information on the Company's guarantees of the third-party borrowing arrangements. Additionally, in August 2020, the Company entered into a commitment agreement whereby the Company committed to purchase $150 million of residential mortgage loans. In connection with satisfying the conditions set forth under such commitment agreement, the Company received warrants to purchase a maximum of 9.329 million shares of non-voting common stock. In December 2021, warrants to purchase 1.049 million shares of non-voting common stock were terminated. As of both September 30, 2022 and December 31, 2021, the Company held warrants to purchase 8.28 million shares; such warrants have a fair value of $5.9 million and $10.0 million, respectively, and are included in Investments in unconsolidated entities on the Consolidated Balance Sheet. The Company, through a related party of Ellington, or the "Loan Purchaser," is a party to a consumer loan purchase and sale flow agreement with a consumer loan originator in which the Company holds an investment in common and preferred stock and warrants to purchase additional preferred stock, whereby the Loan Purchaser purchases consumer loans that satisfy certain specified criteria. The Company has investments in participation certificates related to consumer loans titled in the name of the Loan Purchaser. Through its participation certificates, the Company has beneficial interests in the loan cash flows, net of servicing-related fees and expenses. The total fair value of the Company's participation certificates was $75.6 million and $72.8 million as of September 30, 2022 and December 31, 2021, respectively, which is included in Securities, at fair value on the Consolidated Balance Sheet. An employee of Ellington has a less-than-10% equity interest in, and serves on the board of, this consumer loan originator. Another employee of Ellington, who serves as an officer of the Company, also serves on the board, as the Company's representative. The following table provides details of financing that the Company has provided, in the form of secured promissory notes, to certain loan origination-related entities in which the Company also holds equity investments:
(1)Classified as a Corporate loan and is included in Loans, at fair value on the Consolidated Balance Sheet. (2)Convertible into non-voting equity interests, at the option of the borrower, at any time prior to maturity. In June 2022, the Company converted a $2.0 million corporate loan to a mortgage loan originator into preferred equity, and in connection with such conversion, the Company purchased an additional $150 thousand of such preferred equity. The Company also held a non-controlling common equity investment in this originator. As of September 30, 2022, the Company's investments in this originator were written off as the Company determined its cost basis was non-recoverable. For the three- and nine-month periods ended September 30, 2022, the Company recognized a realized loss of $(1.3) million and $(4.8) million, respectively, related to its investment in this originator, which are included in Earnings (losses) from investments in unconsolidated entities, on its Condensed Consolidated Statement of Operations. Consumer, Residential, and Commercial Loan Transactions with Affiliates The Company purchases certain of its consumer loans through an affiliate, or the "Purchasing Entity." The Purchasing Entity has entered into purchase agreements, open-ended in duration, with third party consumer loan originators whereby it has agreed to purchase eligible consumer loans. The amount of loans purchased under these purchase agreements is dependent on, among other factors, the amount of loans originated in any given period by the selling originators. The Company and certain other affiliates of Ellington have entered into agreements with the Purchasing Entity whereby the Company and each of those other affiliates of Ellington have agreed to purchase their allocated portion (subject to monthly determination based on available capital and other factors) of the eligible loans acquired by the Purchasing Entity under each purchase agreement. Immediately after the Purchasing Entity purchases beneficial interests in the loans, the Company and other affiliates of Ellington purchase such beneficial interests from the Purchasing Entity, at the same price paid by the Purchasing Entity. During the nine-month periods ended September 30, 2022 and 2021, the Company purchased loans under these agreements with an aggregate principal balance of $10.0 million and $25.0 million, respectively. As of December 31, 2021, the estimated remaining contingent purchase obligations of the Company under these purchase agreements was approximately $13.4 million in principal balance; as of September 30, 2022, there were no remaining contingent purchase obligations. The Company's beneficial interests in the consumer loans purchased through the Purchasing Entity are evidenced by participation certificates issued by trusts that hold legal title to the loans. These trusts are owned by a related party of Ellington and were established to hold such loans. Through its participation certificates, the Company participates in the cash flows of the underlying loans held by each trust. The total amount of consumer loans underlying the Company's participation certificates and held in the related party trusts was $5.6 million and $61.7 million as of September 30, 2022 and December 31, 2021, respectively. The Company has beneficial interests in residential mortgage loans and REO held in a trust owned by a related party of Ellington. Through these beneficial interests, the Company participates in the cash flows of the underlying loans held by such trust. The total amount of residential mortgage loans and REO underlying the Company's beneficial interests and held in the related party trust was $1.587 billion and $975.7 million as of September 30, 2022 and December 31, 2021, respectively. The Company is a co-investor in certain small balance commercial mortgage loans with several other investors, including an unrelated third party and various affiliates of Ellington. These loans are beneficially owned by a consolidated subsidiary of the Company. As of September 30, 2022 and December 31, 2021, the aggregate fair value of these small balance commercial loans was $16.3 million and $34.0 million, respectively. As of September 30, 2022, the non-controlling interests held by the unrelated third party and the Ellington affiliates were $1.3 million and $2.0 million, respectively. As of December 31, 2021, the non-controlling interests held by the unrelated third party and the Ellington affiliates were $2.0 million and $3.6 million, respectively. The Company is also a co-investor in certain small balance commercial mortgage loans and REO with other investors, including various unrelated third parties and various affiliates of Ellington. Each co-investor in a particular loan has an interest in the limited liability company that owns such loan or REO. As of September 30, 2022 and December 31, 2021, the aggregate fair value of the Company's investments in the jointly owned limited liability companies was approximately $69.5 million and $36.9 million, respectively. Such investments are included in Investments in unconsolidated entities, on the Consolidated Balance Sheet. The consumer, residential mortgage, and certain commercial mortgage loans that are the subject of the foregoing loan transactions are held in trusts, each of which the Company has determined to be a VIE. The Company has evaluated each of these VIEs and determined that the Company has the power to direct the activities of each VIE that most significantly impact such VIE's economic performance and the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. As a result the Company has determined it is the primary beneficiary of each of these VIEs and has consolidated each VIE. Equity Investment in Unconsolidated Entity The Company is a co-investor, together with other affiliates of Ellington, in Jepson Holdings Limited ("Jepson"), the parent of an entity (the "Jepson Risk Retention Vehicle") that has sponsored various European mortgage loan securitizations. The Jepson Risk Retention Vehicle is expected to hold certain of the notes it issues for each securitization it completes in order to comply with European risk retention rules. As of both September 30, 2022 and December 31, 2021, the Company's equity investment in Jepson Holdings Limited had a fair value of $0.6 million and $1.0 million, respectively. See Note 6 for additional details on this equity investment. Participation in Multi-Borrower Financing Facilities The Company is a co-participant with certain other entities managed by Ellington or its affiliates (the "Affiliated Entities") in various entities (each, a "Joint Entity"), which were formed in order to facilitate the financing of small balance commercial mortgage loans, residential mortgage loans, and REO (collectively, the "Mortgage Loan and REO Assets"), through repurchase agreements. Each Joint Entity has a master repurchase agreement with a particular financing counterparty. In connection with the financing of the Mortgage Loan and REO Assets under repurchase agreements, each of the Company and the Affiliated Entities transferred certain of their respective Mortgage Loan and REO Assets to one of the Joint Entities in exchange for its pro rata share of the financing proceeds that the respective Joint Entity received from the financing counterparty. While the Company's Mortgage Loan and REO Assets were transferred to the Joint Entity, the Company's Mortgage Loan and REO Assets and the related debt were not derecognized for financial reporting purposes, in accordance with ASC 860-10, because the Company continued to retain the risks and rewards of ownership of its Mortgage Loan and REO Assets. As of September 30, 2022 and December 31, 2021, the Joint Entities had aggregate outstanding issued debt under the repurchase agreements in the amount of $935.3 million and $566.0 million, respectively. The Company's segregated silo of this debt as of September 30, 2022 and December 31, 2021 was $322.9 million and $150.5 million, respectively, and is included under the caption Repurchase agreements on the Company's Consolidated Balance Sheet. To the extent that there is a default under the repurchase agreements, all of the assets of each respective Joint Entity, including those beneficially owned by any non-defaulting owners of such Joint Entity, could be used to satisfy the outstanding obligations under such repurchase agreement. As of both September 30, 2022 and December 31, 2021, no party to any of the repurchase agreements was in default. Each of the Joint Entities has been determined to be a VIE. The Company has evaluated each of these VIEs and determined that it continued to retain the risks and rewards of ownership of certain of the Mortgage Loan and REO Assets, where such Mortgage Loan and REO Assets and the related debt are segregated for the Company and each of the Affiliated Entities. On account of the segregation of certain of each co-participant's assets and liabilities within each of the Joint Entities, as well as the retention by each co-participant of control over its segregated Mortgage Loan and REO Assets within the Joint Entities, the Company has determined that it is the primary beneficiary of, and has consolidated its segregated silo of assets and liabilities within, each of the Joint Entities. See Note 9 and Note 11 for additional information. Participation in CLO Transactions As discussed in Note 10, the Company participated in a number of CLO securitization transactions, all managed by the CLO Manager. The CLO Manager is entitled to receive management and incentive fees in accordance with the respective management agreements between the CLO Manager and the respective CLO Issuers. In accordance with the Management Agreement, the Manager rebates to the Company the portion of the management fees payable by each CLO Issuer to the CLO Manager that are allocable to the Company's participating interest in the unsecured subordinated notes issued by such CLO Issuer. For each of the three-month periods ended September 30, 2022 and 2021, the amount of such management fee rebates was $0.4 million. For the nine-month periods ended September 30, 2022 and 2021, the amount of such management fee rebates was $1.7 million and $0.8 million, respectively In addition, from time to time, the Company along with various other affiliates of Ellington, and in certain cases various third parties, advance funds in the form of loans ("Initial Funding Loans") to securitization vehicles to enable them to establish warehouse facilities for the purpose of acquiring the assets to be securitized. Pursuant to the terms of the warehouse facilities and the Initial Funding Loans, the applicable securitization trust is required, at the closing of each respective CLO securitization, first to repay the warehouse facility, then to repay the Initial Funding Loans, and then to distribute interest earned, net of any necessary reserves and/or interest expense, and the aggregate realized or unrealized gains, if any, on assets purchased into the warehouse facility. In the event that such CLO securitization fails to close, the assets held by the respective securitization vehicle would, subject to a cure period, be liquidated. As of September 30, 2022 and December 31, 2021, the Company's investment in such warehouse facilities was $0.5 million and $1.7 million, respectively, which are included on the Consolidated Balance Sheet in Investments in unconsolidated entities. During the nine-month periods ended September 30, 2022 and 2021, the Company purchased various underperforming corporate debt and equity securities from certain of the Ellington-sponsored CLO Securitizations at market prices determined through the procedures set forth in the indentures of the respective Ellington-sponsored CLO Securitizations. The total amount of such debt and equity securities purchased during the three-month period ended September 30, 2022 was $2.3 million; no such purchases were made during the three-month period ended September 30, 2021. The total amount of such debt and equity securities purchased during the nine-month periods ended September 30, 2022 and 2021 was $7.3 million and $5.5 million, respectively.
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Share-based Payment Arrangement [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long-Term Incentive Plan Units | Long-Term Incentive Plan UnitsOP LTIP Units subject to the Company's incentive plans are generally exercisable by the holder at any time after vesting. Each OP LTIP Unit is convertible into an OP Unit on a one-for-one basis. Subject to certain conditions, the OP Units are redeemable by the holder for an equivalent number of shares of common stock of the Company or for the cash value of such shares of common stock, at the Company's election. Costs associated with the OP LTIP Units issued under the Company's incentive plans are measured as of the grant date and expensed ratably over the vesting period. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the three-month periods ended September 30, 2022 and 2021 was $0.4 million and $0.2 million, respectively. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the nine-month periods ended September 30, 2022 and 2021 was $1.0 million and $0.7 million, respectively. On March 7, 2022, the Company's Board of Directors authorized the issuance of 40,254 OP LTIP Units to certain of Ellington's personnel dedicated to the Company pursuant to the Company's 2017 Equity Incentive Plan. On September 13, 2022, the Company's Board of Directors authorized the issuance of 24,796 OP LTIP Units to certain of its directors pursuant to the Company's 2017 Equity Incentive Plan. These OP LTIP Units will vest and become non-forfeitable on September 12, 2023. The below table details unvested OP LTIP Units as of September 30, 2022:
(1)Date at which such OP LTIP Units will vest and become non-forfeitable. The following tables summarize issuance and exercise activity of OP LTIP Units for the three- and nine-month periods ended September 30, 2022 and 2021:
There were an aggregate of 1,542,257 and 1,626,401 shares of common stock of the Company underlying awards, including OP LTIP Units, available for future issuance under the Company's 2017 Equity Incentive Plan as of September 30, 2022 and December 31, 2021, respectively.
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Non-controlling Interests |
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Noncontrolling Interest [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-controlling Interests | Non-controlling Interests Operating Partnership Non-controlling interests include the Convertible Non-controlling Interests in the Operating Partnership owned by an affiliate of our Manager, our directors, and certain current and former Ellington employees and their related parties in the form of OP LTIP Units. Income allocated to Convertible Non-controlling Interests is based on the non-controlling interest owners' ownership percentage of the Operating Partnership during the period, calculated using a daily weighted average of all shares of common stock of the Company and Convertible Non-controlling Interests outstanding during the period. Holders of Convertible Non-controlling Interests are entitled to receive the same distributions that holders of shares of common stock of the Company receive. Convertible Non-controlling Interests are non-voting with respect to matters as to which holders of common stock of the Company are entitled to vote. As of September 30, 2022, the Convertible Non-controlling Interests consisted of the outstanding 736,797 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 1.0% in the Operating Partnership. As of December 31, 2021, the Convertible Non-controlling Interests consisted of the outstanding 675,813 OP LTIP Units and 46,360 OP Units, and represented an interest of approximately 1.0% in the Operating Partnership. As of September 30, 2022 and December 31, 2021, non-controlling interests related to all outstanding Convertible Non-controlling Interests was $12.0 million and $13.4 million, respectively. Joint Venture Interests Non-controlling interests also include the interests of joint venture partners in various consolidated subsidiaries of the Company. These subsidiaries hold the Company's investments in certain commercial mortgage loans and REO. The joint venture partners participate in the income, expense, gains and losses of such subsidiaries as set forth in the related operating agreements of the subsidiaries. The joint venture partners make capital contributions to the subsidiaries as new approved investments are purchased by the subsidiaries, and are generally entitled to distributions when investments are sold or otherwise disposed of. As of September 30, 2022 and December 31, 2021, the joint venture partners' interests in subsidiaries of the Company were $13.3 million and $18.7 million, respectively. The joint venture partners' interests are not convertible into shares of common stock of the Company or OP Units, nor are the joint venture partners entitled to receive distributions that holders of shares of common stock of the Company receive.
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Share-based Payment Arrangement | Long-Term Incentive Plan UnitsOP LTIP Units subject to the Company's incentive plans are generally exercisable by the holder at any time after vesting. Each OP LTIP Unit is convertible into an OP Unit on a one-for-one basis. Subject to certain conditions, the OP Units are redeemable by the holder for an equivalent number of shares of common stock of the Company or for the cash value of such shares of common stock, at the Company's election. Costs associated with the OP LTIP Units issued under the Company's incentive plans are measured as of the grant date and expensed ratably over the vesting period. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the three-month periods ended September 30, 2022 and 2021 was $0.4 million and $0.2 million, respectively. Total expense associated with OP LTIP Units issued under the Company's incentive plans for the nine-month periods ended September 30, 2022 and 2021 was $1.0 million and $0.7 million, respectively. On March 7, 2022, the Company's Board of Directors authorized the issuance of 40,254 OP LTIP Units to certain of Ellington's personnel dedicated to the Company pursuant to the Company's 2017 Equity Incentive Plan. On September 13, 2022, the Company's Board of Directors authorized the issuance of 24,796 OP LTIP Units to certain of its directors pursuant to the Company's 2017 Equity Incentive Plan. These OP LTIP Units will vest and become non-forfeitable on September 12, 2023. The below table details unvested OP LTIP Units as of September 30, 2022:
(1)Date at which such OP LTIP Units will vest and become non-forfeitable. The following tables summarize issuance and exercise activity of OP LTIP Units for the three- and nine-month periods ended September 30, 2022 and 2021:
There were an aggregate of 1,542,257 and 1,626,401 shares of common stock of the Company underlying awards, including OP LTIP Units, available for future issuance under the Company's 2017 Equity Incentive Plan as of September 30, 2022 and December 31, 2021, respectively.
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Common Stock Capitalization | Equity Preferred Stock The Company has authorized 100,000,000 shares of preferred stock, $0.001 par value per share. As of September 30, 2022 and December 31, 2021, the total amount of cumulative preferred dividends in arrears was $2.5 million and $1.6 million, respectively. As of both September 30, 2022 and December 31, 2021, there were 4,600,000 shares of 6.750% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series A Preferred Stock") outstanding. As of September 30, 2022 and December 31, 2021, there were 4,820,421 and 4,800,000 shares, respectively, of 6.250% Series B Fixed-Rate Reset Cumulative Redeemable Preferred Stock, $0.001 par value per share ("Series B Preferred Stock") outstanding. On January 20, 2022, the Company commenced an "at-the-market" offering for our preferred stock, or the "Preferred ATM Program," by entering into equity distribution agreements with third party sales agents under which it is authorized to offer and sell up to $100.0 million of Series A Preferred Stock and/or Series B Preferred Stock from time to time. During the nine-month period ended September 30, 2022, the Company issued 20,421 shares of Series B Preferred Stock, which provided $0.5 million of net proceeds after $23 thousand of commissions and offering costs. The Company did not issue any shares of preferred stock during the three-month period ended September 30, 2022. Series A The Company's Series A Preferred Stock ranks senior to its common stock and Convertible Non-controlling Interests with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Additionally, the Company's Series A Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series A Preferred Stock is not redeemable by the Company prior to October 30, 2024, except under circumstances where it is necessary to allow the Company to maintain its qualification as a REIT for U.S. federal income tax purposes and except in certain instances upon the occurrence of a change of control. Holders of the Company's Series A Preferred Stock generally do not have any voting rights. Holders of the Series A Preferred Stock are entitled to receive cumulative cash dividends (i) from and including the original issue date to, but excluding, October 30, 2024, at a fixed rate equal to 6.750% per annum of the $25.00 per share liquidation preference and (ii) from and including October 30, 2024, at a floating rate equal to three-month LIBOR plus a spread of 5.196% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each January, April, July, and October. Series B The Company's Series B Preferred Stock ranks senior to its common stock and Convertible Non-controlling Interests but on a parity with the Company's Series A Preferred Stock with respect to the payment of dividends and the distribution of assets upon a voluntary or involuntary liquidation, dissolution or winding up of the Company. Additionally, the Company's Series B Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption. The Series B Preferred Stock is not redeemable by the Company prior to January 30, 2027, except under circumstances where it is necessary to allow the Company to maintain its qualification as a REIT for U.S. federal income tax purposes and except in certain instances upon the occurrence of a change of control. Holders of the Company's Series B Preferred Stock generally do not have any voting rights. Holders of the Series B Preferred Stock are entitled to receive cumulative cash dividends from and including the original issue date to, but excluding, January 30, 2027 (the "First Reset Date"), at a fixed rate equal to 6.250% per annum of the $25.00 per share liquidation preference. The applicable fixed rate resets on the First Reset Date and again on the fifth anniversary of the preceding reset date (each a "Reset Date"), at a rate equal to the five-year treasury rate as measured three business days prior to the Reset Date plus 4.99% per annum of the $25.00 per share liquidation preference. Dividends are payable quarterly in arrears on or about the 30th day of each January, April, July, and October. Common Stock The Company has authorized 100,000,000 shares of common stock, $0.001 par value per share. The Board of Directors may authorize the issuance of additional shares, subject to the approval of the holders of at least a majority of the shares of common stock then outstanding present in person or represented by proxy at a meeting of the stockholders. As of September 30, 2022 and December 31, 2021, there were 60,438,787 and 57,458,169 shares of common stock outstanding, respectively. On July 30, 2021, the Company issued 37,373 shares of its common stock to its Manager for payment of 10% of the incentive fee incurred; see Note 13 for additional details on the Management Agreement. On February 22, 2022, the Company issued 19,094 shares of its common stock to its Manager for payment of 10% of the incentive fee incurred; see Note 13 for additional details on the Management Agreement. On August 6, 2021, the Company commenced an "at-the-market" offering program for shares of its common stock, or "Common ATM program," by entering into equity distribution agreements with third party sales agents under which it was authorized to offer and sell up to 10.0 million shares of common stock from time to time. During the three-month period ended September 30, 2022, the Company issued 516,942 shares of common stock under the Common ATM Program which provided $8.0 million of net proceeds after $0.1 million of agent commissions and offering costs. During the nine-month period ended September 30, 2022, the Company issued 3,085,642 shares of common stock under the Common ATM Program which provided $53.2 million of net proceeds after $0.8 million of agent commissions and offering costs. During the three- and nine-month periods ended September 30, 2021, the Company issued 1,549,900 shares of common stock under the ATM program which provided $28.2 million of net proceeds after $0.4 million of agent commissions and offering costs. The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three- and nine-month periods ended September 30, 2022 and 2021:
If all Convertible Non-controlling Interests that have been previously issued were to become fully vested and exchanged for shares of common stock as of September 30, 2022 and December 31, 2021, the Company's issued and outstanding shares of common stock would increase to 61,221,944 and 58,180,342 shares, respectively. On June 13, 2018, the Board of Directors approved the adoption of a share repurchase program under which the Company is authorized to repurchase up to 1.55 million shares of common stock. The program, which is open-ended in duration, allows the Company to make repurchases from time to time on the open market or in negotiated transactions, including under Rule 10b5-1 plans. Repurchases are at the Company's discretion, subject to applicable law, share availability, price and financial performance, among other considerations. During the three-month periods ended September 30, 2022, the Company repurchased 40,000 shares at an average price per share of $12.38 and a total cost of $0.5 million. During the nine-month periods ended September 30, 2022, the Company repurchased 128,184 shares at an average price per share of $12.94 and a total cost of $1.7 million. The Company did not repurchase any shares of common stock during either of the three- or nine-month periods ended September 30, 2021. From inception of the current repurchase plan through September 30, 2022, the Company repurchased 830,149 shares at an average price per share of $13.29 and a total cost of $11.0 million.
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Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings Per Share | Earnings Per Share The components of the computation of basic and diluted EPS are as follows:
(1)For the three-month periods ended September 30, 2022 and 2021, excludes net income (loss) of $0.2 million and $1.2 million, respectively, attributable to joint venture partners, which have non-participating interests as described in Note 15. For the nine-month periods ended September 30, 2022 and 2021, excludes net income (loss) of $0.3 million and $3.4 million, respectively, attributable to joint venture partners, which have non-participating interests as described in Note 15.
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Restricted Cash |
9 Months Ended |
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Sep. 30, 2022 | |
Restricted Cash and Investments [Abstract] | |
Restricted Cash | Restricted CashThe Company is required to maintain a specific cash balance in a segregated account pursuant to a flow consumer loan purchase and sale agreement. As of December 31, 2021, the Company's restricted cash balance related to the flow consumer loan purchase and sale agreement was $0.2 million. The Company did not have a restricted cash balance as of September 30, 2022. |
Offsetting of Assets and Liabilities |
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Offsetting of Assets and Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting of Assets and Liabilities | Offsetting of Assets and LiabilitiesThe Company generally records financial instruments at fair value as described in Note 2. Financial instruments are generally recorded on a gross basis on the Consolidated Balance Sheet. In connection with the vast majority of its derivative, reverse repurchase and repurchase agreements, and the related trading agreements, the Company and its counterparties are required to pledge collateral. Cash or other collateral is exchanged as required with each of the Company's counterparties in connection with open derivative positions, and reverse repurchase and repurchase agreements. The following tables present information about certain assets and liabilities representing financial instruments as of September 30, 2022 and December 31, 2021. The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's reverse repurchase and repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. September 30, 2022:
(1)In the Company's Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2)For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of September 30, 2022 was $3.4 billion. As of September 30, 2022, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged (received) of $1.1 million and $1.2 million, respectively. (3)When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. December 31, 2021:
(1)In the Company's Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2)For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2021 was $2.8 billion. As of December 31, 2021, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged of $10.7 million and $2.0 million, respectively. (3)When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows.
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Counterparty Risk |
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Risks and Uncertainties [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Counterparty Risk | Counterparty Risk The Company is exposed to concentrations of counterparty risk. It seeks to mitigate such risk by diversifying its exposure among various counterparties, when appropriate. The following table summarizes the Company's exposure to counterparty risk as of September 30, 2022 and December 31, 2021. September 30, 2022:
(1)Each counterparty is a financial institution that the Company believes to be creditworthy as of September 30, 2022. (2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3)Included in Investment related receivables on the Consolidated Balance Sheet. December 31, 2021:
(1)Each counterparty is a financial institution that the Company believes to be creditworthy as of December 31, 2022. (2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3)Included in Investment related receivables on the Consolidated Balance Sheet.
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Commitments and Contingencies |
9 Months Ended |
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Sep. 30, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies and Commitments | Commitments and Contingencies The Company provides current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Company. In the normal course of business the Company may also enter into contracts that contain a variety of representations, warranties, and general indemnifications. The Company's maximum exposure under these arrangements, including future claims that may be made against the Company that have not yet occurred, is unknown. The Company has not incurred any costs to defend lawsuits or settle claims related to these indemnification agreements. As of both September 30, 2022 and December 31, 2021, the Company has no liabilities recorded for these agreements. The Company's maximum risk of loss from credit events on its securities (excluding Agency securities, which are guaranteed by the issuing government agency or government-sponsored enterprise), loans, and investments in unconsolidated entities is limited to the amount paid for such investment. Commitments and Contingencies Related to Investments in Residential Mortgage Loans In connection with certain of the Company's investments in residential mortgage loans, the Company has unfunded commitments in the amount of $175.4 million and $43.7 million as of September 30, 2022 and December 31, 2021, respectively. Commitments and Contingencies Related to Investments in Mortgage Loan Originators In connection with certain of its investments in mortgage loan originators, the Company has outstanding commitments and contingencies as described below. As described in Note 13, the Company is party to a flow mortgage loan purchase and sale agreement with a mortgage loan originator. The Company has entered into agreements whereby it guarantees the performance of this mortgage loan originator under master repurchase agreements. The Company's maximum guarantees were capped at $15.0 million as of both September 30, 2022 and December 31, 2021. As of December 31, 2021, the mortgage loan originator had $8.4 million of outstanding borrowings under the agreements guaranteed by the Company; there were no such borrowings outstanding at September 30, 2022. The Company's obligations under these arrangements are deemed to be guarantees under ASC 460-10. The Company has elected the FVO for its guarantees, which are included in Accrued expenses and other liabilities on the Consolidated Balance Sheet. As of December 31, 2021, the estimated fair value of such guarantee was insignificant. The Company is party to a flow mortgage loan purchase and sale agreement with a mortgage loan originator in which it holds an equity investment and as well as an investment in the Convertible Note, as discussed in Note 13. In addition, in May 2021, the Company committed to purchase $650.0 million of eligible residential mortgage loans from this originator. As of September 30, 2022 and December 31, 2021, the Company had unfunded commitments related to such investments in the amount of $331.9 million and $603.6 million, respectively. As described in Note 13, the Company entered into various secured promissory notes with certain loan originators in which it also holds an equity interest. As of both September 30, 2022 and December 31, 2021, the Company had unfunded commitments related to such secured promissory notes of $3.0 million. Commitments and Contingencies Related to Investments in Unconsolidated Entities The Company has entered into agreements whereby it guarantees the performance of a securitization-related risk retention vehicle, in which it has an equity investment, under a promissory note. The Company's maximum guarantees were capped at $15.5 million. As of September 30, 2022 and December 31, 2021, the amount of the promissory note outstanding, for which the Company provided a guarantee, was $7.3 million and $15.5 million, respectively. Commitments and Contingencies Related to Corporate Loans The Company has investments in certain corporate loans whereby the borrowers can request additional funds under the respective agreements. As of September 30, 2022 and December 31, 2021, the Company had unfunded commitments related to such investments in the amount of $4.2 million and $5.4 million, respectively. The Company has extended a line of credit whereby the borrower can draw funds up to $1.0 million. As of both September 30, 2022 and December 31, 2021, the Company had unfunded commitments related to such line of credit in the amount of $0.9 million.
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Subsequent Events |
9 Months Ended |
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Sep. 30, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Dividends Declared On October 6, 2022, the Board of Directors approved a dividend in the amount of $0.15 per share of common stock payable on November 25, 2022 to stockholders of record as of October 31, 2022. On November 7, 2022, the Board of Directors approved a dividend in the amount of $0.15 per share of common stock payable on December 27, 2022 to stockholders of record as of November 30, 2022. Acquisition of Longbridge Financial, LLC As of September 30, 2022, the Company held a 49.6% ownership interest (the "Existing Equity Interest") in Longbridge. As discussed in Note 6, the fair value of the Existing Equity Interest was $38.9 million as of September 30, 2022, which is included on the Condensed Consolidated Balance Sheet in Investments in unconsolidated entities, at fair value. As previously disclosed, on February 18, 2022, the Company entered into an agreement with Home Point Capital Inc. ("Home Point") to purchase Home Point's 49.6% ownership interest (the "Additional Equity Interest") in Longbridge. On October 3, 2022 the Company paid Home Point $38.9 million in cash to complete the purchase of the Additional Equity Interest. In combination, the Existing Equity Interest and the Additional Equity Interest constitute a controlling interest in Longbridge, and as a result, the Company will consolidate Longbridge and report it as a separate segment. The initial accounting for this acquisition was incomplete as of the issuance date of these financial statements.
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Significant Accounting Policies (Policies) |
9 Months Ended |
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Sep. 30, 2022 | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Basis of Presentation | Basis of Presentation: The Company's unaudited condensed consolidated financial statements have been prepared in conformity with generally accepted accounting principles in the United States of America, or "U.S. GAAP," and Regulation S-X. The condensed consolidated financial statements include the accounts of the Company, the Operating Partnership, its subsidiaries, and variable interest entities, or "VIEs," for which the Company is deemed to be the primary beneficiary. All intercompany balances and transactions have been eliminated. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be material. In management's opinion, all material adjustments considered necessary for a fair statement of the Company's consolidated financial statements have been included and are only of a normal recurring nature. Interim results are not necessarily indicative of the results that may be expected for the entire fiscal year. The information included in the condensed consolidated financial statements and notes thereto should be read in conjunction with the Company's Annual Report on Form 10-K for the year ended December 31, 2021. |
Valuation | Valuation: The Company applies ASC 820-10, Fair Value Measurement ("ASC 820") to its holdings of financial instruments. ASC 820 establishes a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows: •Level 1—inputs to the valuation methodology are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets. Currently, the types of financial instruments the Company generally includes in this category are listed equities and exchange-traded derivatives; •Level 2—inputs to the valuation methodology other than quoted prices included in Level 1 are observable for the asset or liability, either directly or indirectly. Currently, the types of financial instruments that the Company generally includes in this category are RMBS, for which the principal and interest payments are guaranteed by a U.S. government agency or a U.S. government-sponsored entity, or "Agency RMBS," U.S. Treasury securities and sovereign debt, certain non-Agency RMBS, CMBS, CLOs, corporate debt, and actively traded derivatives such as interest rate swaps, foreign currency forwards, and other over-the-counter derivatives; and •Level 3—inputs to the valuation methodology are unobservable and significant to the fair value measurement. The types of financial instruments that the Company generally includes in this category are certain RMBS, CMBS, CLOs, ABS, credit default swaps, or "CDS," on individual ABS, and total return swaps on distressed corporate debt, in each case where there is less price transparency. Also included in this category are residential and commercial mortgage loans, consumer loans, private corporate debt and equity investments, other secured borrowings, at fair value, and senior notes, at fair value. For certain financial instruments, the various inputs that management uses to measure fair value may fall into different levels of the fair value hierarchy. For each such financial instrument, the determination of which category within the fair value hierarchy is appropriate is based on the lowest level of input that is significant to the fair value measurement. ASC 820 prioritizes the various inputs that management uses to measure fair value, with the highest priority given to inputs that are observable and reflect quoted prices (unadjusted) for identical assets or liabilities in active markets (Level 1), and the lowest priority given to inputs that are unobservable and significant to the fair value measurement (Level 3). The assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument. The Company may use valuation techniques consistent with the market and income approaches to measure the fair value of its financial instruments. The market approach uses third-party valuations and information obtained from market transactions involving identical or similar financial instruments. The income approach uses projections of the future economic benefit of an instrument to determine its fair value, such as in the discounted cash flow methodology. The inputs or methodology used for valuing financial instruments are not necessarily an indication of the risk associated with investing in these financial instruments. The leveling of each financial instrument is reassessed at the end of each period. Transfers between levels of the fair value hierarchy are assumed to occur at the end of the reporting period. Summary Valuation Techniques For financial instruments that are traded in an "active market," the best measure of fair value is the quoted market price. However, many of the Company's financial instruments are not traded in an active market. Therefore, management generally uses third-party valuations when available. If third-party valuations are not available, management uses other valuation techniques, such as the discounted cash flow methodology. The following are summary descriptions, for various categories of financial instruments, of the valuation methodologies management uses in determining fair value of the Company's financial instruments in such categories. Management utilizes such methodologies to assign a fair value (the estimated price that, in an orderly transaction at the valuation date, would be received to sell an asset, or paid to transfer a liability, as the case may be) to each such financial instrument. For mortgage-backed securities, or "MBS," forward settling to-be-announced mortgage-backed-securities, or "TBAs," CLOs, and corporate debt and equity, management seeks to obtain at least one third-party valuation, and often obtains multiple valuations when available. Management has been able to obtain third-party valuations on the vast majority of these instruments and expects to continue to solicit third-party valuations in the future. Management generally values each financial instrument at the average of third-party valuations received and not rejected as described below. Third-party valuations are not binding, management may adjust the valuations it receives (e.g., downward adjustments for odd lots), and management may challenge or reject a valuation when, based on its validation criteria, management determines that such valuation is unreasonable or erroneous. Furthermore, based on its validation criteria, management may determine that the average of the third-party valuations received for a given financial instrument does not result in what management believes to be the fair value of such instrument, and in such circumstances management may override this average with its own good faith valuation. The validation criteria may take into account output from management's own models, recent trading activity in the same or similar instruments, and valuations received from third parties. The use of proprietary models requires the use of a significant amount of judgment and the application of various assumptions including, but not limited to, assumptions concerning future prepayment rates and default rates. Given their relatively high level of price transparency, Agency RMBS pass-throughs are typically classified as Level 2. Non-Agency RMBS, CMBS, Agency interest only and inverse interest only RMBS, CLOs, and corporate bonds are generally classified as either Level 2 or Level 3 based on analysis of available market data and/or third-party valuations. The Company's investments in distressed corporate debt can be in the form of loans as well as total return swaps on loans. These investments, as well as related non-listed equity investments, are generally designated as Level 3 assets. Valuations for total return swaps are typically based on prices of the underlying loans received from third-party pricing services. Private equity investments are generally classified as Level 3. Furthermore, the methodology used by the third-party valuation providers is reviewed at least annually by management, so as to ascertain whether such providers are utilizing observable market data to determine the valuations that they provide. For residential and commercial mortgage loans, and consumer loans, management determines fair value by taking into account both external pricing data, which includes third-party valuations, and internal pricing models. Management has obtained third-party valuations on the majority of these investments and expects to continue to solicit third-party valuations in the future. In determining fair value for non-performing mortgage loans, management evaluates third-party valuations, if applicable, as well as management's estimates of the value of the underlying real estate, using information including general economic data, broker price opinions, or "BPOs," recent sales, property appraisals, and bids. In determining fair value for performing mortgage loans and consumer loans, management evaluates third-party valuations, if applicable, as well as discounted cash flows of the loans based on market assumptions. Cash flow assumptions typically include projected default and prepayment rates and loss severities, and may include adjustments based on appraisals and BPOs. Mortgage and consumer loans are classified as Level 3. The Company has securitized certain mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Financial Protection Bureau, or "non-QM loans." The Company's securitized non-QM loans are held as part of a collateralized financing entity, or "CFE." A CFE is a VIE that holds financial assets, issues beneficial interests in those assets, and has no more than nominal equity, and for which the issued beneficial interests have contractual recourse only to the related assets of the CFE. ASC 810, Consolidation ("ASC 810") allows the Company to elect to measure both the financial assets and financial liabilities of the CFE using the more observable of the fair value of the financial assets and the fair value of the financial liabilities of the CFE. The Company has elected the fair value option, or "FVO," for initial and subsequent recognition of the debt issued by its consolidated securitization trusts and has determined that each consolidated securitization trust meets the definition of a CFE; see Note 10 "Securitization Transactions—Residential Mortgage Loan Securitizations" for further discussion on the Company's securitization trusts. The Company has determined the inputs to the fair value measurement of the financial liabilities of each of its CFEs to be more observable than those of the financial assets and, as a result, has used the fair value of the financial liabilities of each of the CFEs to measure the fair value of the financial assets of each of the CFEs. The fair value of the debt issued by each CFE is typically valued using both external pricing data, which includes third-party valuations, and internal pricing models. The securitized non-QM loans, which are assets of the CFEs, are included in Loans, at fair value, on the Company's Consolidated Balance Sheet. The debt issued by the CFEs is included in Other secured borrowings, at fair value, on the Company's Consolidated Balance Sheet. Unrealized gains (losses) from changes in fair value of Other secured borrowings, at fair value, are included in Unrealized gains (losses) on other secured borrowings, at fair value, net, on the Company's Condensed Consolidated Statement of Operations. The securitized non-QM loans and the debt issued by the Company's CFEs are both classified as Level 3. For financial derivatives with greater price transparency, such as CDS on asset-backed indices, CDS on corporate indices, certain options on the foregoing, and total return swaps on publicly traded equities or indices, market-standard pricing sources are used to obtain valuations; these financial derivatives are generally classified as Level 2. Interest rate swaps, swaptions, and foreign currency forwards are typically valued based on internal models that use observable market data, including applicable interest rates and foreign currency rates in effect as of the measurement date; the model-generated valuations are then typically compared to counterparty valuations for reasonableness. These financial derivatives are also generally classified as Level 2. Financial derivatives with less price transparency, such as CDS on individual ABS, are generally valued based on internal models, and are classified as Level 3. In the case of CDS on individual ABS, the valuation process typically starts with an estimation of the value of the underlying ABS. In valuing its financial derivatives, the Company also considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each financial derivative agreement. Investments in private operating entities, such as loan originators, are valued based on available metrics, such as relevant market multiples and comparable company valuations, company specific-financial data including actual and projected results, and independent third party valuation estimates. These investments are classified as Level 3. The Company's repurchase and reverse repurchase agreements are carried at cost, which approximates fair value. Repurchase and reverse repurchase agreements are classified as Level 2, based on the adequacy of the collateral and their short term nature. The Company's valuation process, including the application of validation criteria, is directed by the Manager's Valuation Committee (the "Valuation Committee"), and overseen by the Company's audit committee. The Valuation Committee includes senior level executives from various departments within the Manager, and each quarter, the Valuation Committee reviews and approves the valuations of the Company's financial instruments. The valuation process also includes a monthly review by the Company's third-party administrator. The goal of this review is to replicate various aspects of the Company's valuation process based on the Company's documented procedures.Because of the inherent uncertainty of valuation, the estimated fair value of the Company's financial instruments may differ significantly from the values that would have been used had a ready market for the financial instruments existed, and the differences could be material to the Company's consolidated financial statements.
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Accounting for Securities | Accounting for Securities: Purchases and sales of investments in securities are generally recorded on trade date, and realized and unrealized gains and losses are calculated based on identified cost. Investments in securities are recorded in accordance with ASC 320, Investments—Debt and Equity Securities ("ASC 320") or ASC 325-40, Beneficial Interests in Securitized Financial Assets ("ASC 325-40"). The Company generally classifies its securities as available-for-sale. The Company has chosen to elect the FVO pursuant to ASC 825, Financial Instruments ("ASC 825") for its investments in securities. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, as a component of Unrealized gains (losses) on securities and loans, net, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all investment activities will be recorded in a similar manner. Many of the Company's investments in securities, such as MBS and CLOs, are issued by entities that are deemed to be VIEs. For the majority of such investments, the Company has determined it is not the primary beneficiary of such VIEs and therefore has not consolidated such VIEs. The Company's maximum risk of loss in these unconsolidated VIEs is generally limited to the fair value of the Company's investment in the VIE. The Company evaluates its investments in interest only securities to determine whether they meet the requirements for classification as financial derivatives under ASC 815, Derivatives and Hedging ("ASC 815"). For interest only securities, where the holder is entitled only to a portion of the interest payments made on the mortgages underlying certain MBS, and inverse interest only securities, which are interest only securities whose coupon has an inverse relationship to its benchmark rate, such as LIBOR, the Company has determined that such investments do not meet the requirements for treatment as financial derivatives and are classified as securities. The Company applies the principles of ASU 2016-13, Financial Instruments—Credit Losses ("ASU 2016-13") and evaluates the cost basis of its investments in securities on at least a quarterly basis, under ASC 326-30, Financial Instruments—Credit Losses: Available-for-Sale Debt Securities ("ASC 326-30"). When the fair value of a security is less than its amortized cost basis as of the balance sheet date, the security's cost basis is considered impaired. The Company must evaluate the decline in the fair value of the impaired security and determine whether such decline resulted from a credit loss or non-credit related factors. In its assessment of whether a credit loss exists, the Company compares the present value of estimated future cash flows of the impaired security with the amortized cost basis of such security. The estimated future cash flows reflect those that a "market participant" would use and typically include assumptions related to fluctuations in interest rates, prepayment speeds, default rates, collateral performance, and the timing and amount of projected credit losses, as well incorporating observations of current market developments and events. Cash flows are discounted at an interest rate equal to the current yield used to accrete interest income. If the present value of estimated future cash flows is less than the amortized cost basis of the security, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a security's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the security's cost basis. This adjustment to the amortized cost basis of the security is reflected in Net realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.
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Accounting for Loans | Accounting for Loans: The Company's loan portfolio primarily consists of residential mortgage, commercial mortgage, and consumer loans. The Company's loans are accounted for under ASC 310-10, Receivables, and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. When the Company has the intent to sell loans, such loans will be classified as held-for-sale. Mortgage loans held-for-sale are accounted for under ASC 948-310, Financial services—mortgage banking. The Company may aggregate its loans into pools based on common risk characteristics at purchase. The Company has chosen to elect the FVO pursuant to ASC 825 for its loan portfolios. Loans are recorded at fair value on the Consolidated Balance Sheet and changes in fair value are recorded in earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. The Company generates income from fees on certain loans, generally commercial mortgage loans, that it originates and holds for investment, including origination and exit fees. Such fee income is recorded when earned and included in Other, net on the Condensed Consolidated Statement of Operations. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. For residential and commercial mortgage loans, the Company generally accrues interest payments. Such loans are typically moved to non-accrual status if the loan becomes 90 days or more delinquent. The Company does not accrue interest payments on its consumer loans; interest payments are recorded upon receipt. Once consumer loans are more than 120 days past due, the Company will generally charge off such loans. The Company evaluates its charged-off loans and determines collectibility, if any, on such loans. The Company evaluates the collectibility of both interest and principal on each of its loan investments and whether the cost basis of the loan is impaired. A loan's cost basis is impaired when, based on current information and market developments, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the FVO on all of its loan investments. Consistent with the Company's application of the principles of ASU 2016-13, in its assessment of whether a credit loss exists, the Company compares the present value of the amount expected to be collected on the impaired loan with the amortized cost basis of such loan. If the present value of the amount expected to be collected on the impaired loan is less than the amortized cost basis of such loan, an expected credit loss exists and is included in Unrealized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations. If it is determined as of the financial reporting date that all or a portion of a loan's cost basis is not collectible, then the Company will recognize a realized loss to the extent of the adjustment to the loan's cost basis. This adjustment to the amortized cost basis of the loan is reflected in Realized gains (losses) on securities and loans, net, on the Condensed Consolidated Statement of Operations.
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Interest Income | Interest Income: The Company amortizes premiums and accretes discounts on its debt securities. Coupon interest income on fixed-income investments is generally accrued based on the outstanding principal balance or notional value and the current coupon rate. For debt securities that are deemed to be of high credit quality at the time of purchase (generally Agency RMBS, exclusive of interest only securities), premiums and discounts are amortized/accreted into interest income over the life of such securities using the effective interest method. For such securities whose cash flows vary depending on prepayments, an effective yield retroactive to the time of purchase is periodically recomputed based on actual prepayments and changes in projected prepayment activity, and a catch-up adjustment, or "Catch-up Premium Amortization Adjustment," is made to amortization to reflect the cumulative impact of the change in effective yield. For debt securities (generally non-Agency RMBS, CMBS, ABS, CLOs, and interest only securities) that are deemed not to be of high credit quality at the time of purchase, interest income is recognized based on the effective interest method. For purposes of estimating future expected cash flows, management uses assumptions including, but not limited to, assumptions for future prepayment rates, default rates, and loss severities (each of which may in turn incorporate various macro-economic assumptions, such as future housing prices, GDP growth rates, and unemployment rates). These assumptions are re-evaluated not less than quarterly. Changes in projected cash flows may result in prospective changes in the yield/interest income recognized on such securities based on the updated expected future cash flows. For each loan purchased with the expectation that both interest and principal will be paid in full, the Company generally amortizes or accretes any premium or discount over the life of the loan utilizing the effective interest method. However, based on current information and market developments, the Company re-assesses the collectibility of interest and principal, and generally designates a loan as in non-accrual status either when any payments have become 90 or more days past due, or when, in the opinion of management, it is probable that the Company will be unable to collect either interest or principal in full. Once a loan is designated as in non-accrual status, as long as principal is still expected to be collectible in full, interest payments are recorded as interest income only when received (i.e., under the cash basis method); accruals of interest income are only resumed when the loan becomes contractually current and performance is demonstrated to be resumed. However, if principal is not expected to be collectible in full, the cost recovery method is used (i.e., no interest income is recognized, and all payments received—whether contractually interest or principal—are applied to cost). Certain of the Company's debt securities and loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination. Consistent with the Company's application of the principles of ASU 2016-13, if at the date of acquisition for a particular asset the Company projects a significant difference between contractual cash flows and expected cash flows, it establishes an initial estimate for credit losses as an upward adjustment to the acquisition cost of the asset for the purpose of calculating interest income using the effective yield method. In estimating future cash flows on the Company's debt securities, there are a number of assumptions that are subject to significant uncertainties and contingencies, including, in the case of MBS, assumptions relating to prepayment rates, default rates, loan loss severities, and loan repurchases. These estimates require the use of a significant amount of judgment.
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Investments in Unconsolidated Entities | Investments in unconsolidated entities: The Company has made and may in the future make non-controlling equity investments in various entities, such as loan originators. Such investments are generally in the form of preferred and/or common equity, or membership interests. In certain cases, the Company can exercise significant influence over the entity (e.g. by having representation on the entity's board of directors) but the requirements for consolidation under ASC 810 are not met; in such cases the Company is required to account for such equity investments under ASC 323-10, Investments—Equity Method and Joint Ventures ("ASC 323-10"). The Company has chosen to elect the FVO pursuant to ASC 825 for its investments in unconsolidated entities, which, in management's view, more appropriately reflects the results of operations for a particular reporting period, as all investment activities will be recorded in a similar manner. The period change in fair value of the Company's investments in unconsolidated entities is recorded on the Condensed Consolidated Statement of Operations in Earnings (losses) from investments in unconsolidated entities. |
REO | Real Estate Owned "REO": When the Company obtains possession of real property in connection with a foreclosure or similar action, the Company de-recognizes the associated mortgage loan according to ASU 2014-04, Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure ("ASU 2014-04"). Under the provisions of ASU 2014-04, the Company is deemed to have received physical possession of real estate property collateralizing a mortgage loan when it obtains legal title to the property upon completion of a foreclosure or when the borrower conveys all interest in the property to it through a deed in lieu of foreclosure or similar legal agreement. The Company's initial cost basis in REO is equal to the fair value of the real estate associated with the foreclosed mortgage loan, less expected costs to sell. REO valuations are reflected at the lower of cost or fair value. The fair value of such REO is typically based on management's estimates which generally use information including general economic data, BPOs, recent sales, property appraisals, and bids, and takes into account the expected costs to sell the property. REO recorded at fair value on a non-recurring basis are classified as Level 3. |
Securities Sold Short | Securities Sold Short: The Company may purchase or engage in short sales of U.S. Treasury securities and sovereign debt to mitigate the potential impact of changes in interest rates and/or foreign exchange rates on the performance of its portfolio. When the Company sells securities short, it typically satisfies its security delivery settlement obligation by borrowing or purchasing the security sold short from the same or a different counterparty. When borrowing a security sold short from a counterparty, the Company generally is required to deliver cash or securities to such counterparty as collateral for the Company's obligation to return the borrowed security. The Company has chosen to elect the FVO pursuant to ASC 825 for its securities sold short. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. As such, securities sold short are recorded at fair value on the Consolidated Balance Sheet and the period change in fair value is recorded in current period earnings on the Condensed Consolidated Statement of Operations as a component of Unrealized gains (losses) on securities and loans, net. A realized gain or loss will be recognized upon the termination of a short sale if the market price is less or greater than the original sale price. Such realized gain or loss is recorded on the Company's Condensed Consolidated Statement of Operations in Realized gains (losses) on securities and loans, net. |
Financial Derivatives | Financial Derivatives: The Company enters into various types of financial derivatives subject to its investment guidelines, which include restrictions associated with maintaining qualification as a REIT. The Company's financial derivatives are predominantly subject to bilateral master trade agreements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010, or the "Dodd-Frank Act." The Company may be required to deliver or receive cash or securities as collateral upon entering into derivative transactions. In addition, changes in the value of derivative transactions may require the Company or the counterparty to post or receive additional collateral. In the case of cleared derivatives, the clearinghouse becomes the Company's counterparty and a futures commission merchant acts as an intermediary between the Company and the clearinghouse with respect to all facets of the related transaction, including the posting and receipt of required collateral. Cash collateral received by the Company is included in Due to brokers, on the Consolidated Balance Sheet. Conversely, cash collateral posted by the Company is included in Due from brokers, on the Consolidated Balance Sheet. The types of derivatives primarily utilized by the Company are swaps, TBAs, futures, options, and forwards. Swaps: The Company may enter into various types of swaps, including interest rate swaps, credit default swaps, and total return swaps. The primary risk associated with the Company's interest rate swap activity is interest rate risk. The primary risk associated with the Company's credit default swaps and total return swaps is credit risk. The Company is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. Primarily to help mitigate interest rate risk, the Company enters into interest rate swaps. Interest rate swaps are contractual agreements whereby one party pays a floating interest rate on a notional principal amount and receives a fixed-rate payment on the same notional principal, or vice versa, for a fixed period of time. Interest rate swaps change in value with movements in interest rates. The Company also enters into interest rate swaps whereby the Company pays one floating rate and receives a different floating rate, or "basis swaps." The Company enters into credit default swaps. A credit default swap is a contract under which one party agrees to compensate another party for the financial loss associated with the occurrence of a "credit event" in relation to a "reference amount" or notional value of a "reference asset" (usually a bond, loan, or an index or basket of bonds or loans). The definition of a credit event may vary from contract to contract. A credit event may occur (i) when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) fails to make scheduled principal or interest payments to its holders, (ii) with respect to credit default swaps referencing mortgage/asset-backed securities and indices, when the reference asset (or underlying asset, in the case of a reference asset that is an index or basket) is downgraded below a certain rating level, or (iii) with respect to credit default swaps referencing corporate entities and indices, upon the bankruptcy of the obligor of the reference asset (or underlying obligor, in the case of a reference asset that is an index). The Company typically writes (sells) protection to take a "long" position with respect to the underlying reference assets, or purchases (buys) protection to take a "short" position with respect to the underlying reference assets or to hedge exposure to other investment holdings. The Company enters into total return swaps in order to take a "long" or "short" position with respect to an underlying reference asset. The Company is subject to market price volatility of the underlying reference asset. A total return swap involves commitments to pay interest in exchange for a market-linked return based on a notional value. To the extent that the total return of the corporate debt, security, group of securities or index underlying the transaction exceeds or falls short of the offsetting interest obligation, the Company will receive a payment from or make a payment to the counterparty. Swaps change in value with movements in interest rates, credit quality, or total return of the reference securities. During the term of swap contracts, changes in value are recognized as unrealized gains or losses on the Condensed Consolidated Statement of Operations. When a contract is terminated, the Company realizes a gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Company's basis in the contract, if any. Periodic payments or receipts required by swap agreements are recorded as unrealized gains or losses when accrued and realized gains or losses when received or paid. Upfront payments paid and/or received by the Company to open swap contracts are recorded as an asset and/or liability on the Consolidated Balance Sheet and are recorded as a realized gain or loss on the termination date. TBA Securities: The Company transacts in the forward settling TBA market. A TBA position is a forward contract for the purchase ("long position") or sale ("short position") of Agency RMBS at a predetermined price, face amount, issuer, coupon, and maturity on an agreed-upon future delivery date. For each TBA contract and delivery month, a uniform settlement date for all market participants is determined by the Securities Industry and Financial Markets Association. The specific Agency RMBS to be delivered into the contract at the settlement date are not known at the time of the transaction. The Company usually does not take delivery of TBAs, but rather enters into offsetting transactions and settles the associated receivable and payable balances with its counterparties. The Company uses TBAs to mitigate interest rate risk, usually by taking short positions. The Company also invests in TBAs as a means of acquiring additional exposure to Agency RMBS, or for speculative purposes, including holding long positions. TBAs are accounted for by the Company as financial derivatives. The difference between the forward contract price and the market value of the TBA position as of the reporting date is included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Futures Contracts: A futures contract is an exchange-traded agreement to buy or sell an asset for a set price on a future date. The Company enters into Eurodollar and/or U.S. Treasury security futures contracts to hedge its interest rate risk. The Company may also enter into various other futures contracts, including equity index futures and foreign currency futures. Initial margin deposits are made upon entering into futures contracts and can generally be either in the form of cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses by marking-to-market to reflect the current market value of the contract. Variation margin payments are made or received periodically, depending upon whether unrealized losses or gains are incurred. When the contract is closed, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Options: The Company may purchase or write put or call options contracts or enter into swaptions. The Company enters into options contracts typically to help mitigate overall market, credit, or interest rate risk depending on the type of options contract. However, the Company also enters into options contracts from time to time for speculative purposes. When the Company purchases an options contract, the option asset is initially recorded at an amount equal to the premium paid, if any, and is subsequently marked-to-market. Premiums paid for purchasing options contracts that expire unexercised are recognized on the expiration date as realized losses. If an options contract is exercised, the premium paid is subtracted from the proceeds of the sale or added to the cost of the purchase to determine whether the Company has realized a gain or loss on the related transaction. When the Company writes an options contract, the option liability is initially recorded at an amount equal to the premium received, if any, and is subsequently marked-to-market. Premiums received for writing options contracts that expire unexercised are recognized on the expiration date as realized gains. If an options contract is exercised, the premium received is subtracted from the cost of the purchase or added to the proceeds of the sale to determine whether the Company has realized a gain or loss on the related investment transaction. When the Company enters into a closing transaction, the Company will realize a gain or loss depending upon whether the amount from the closing transaction is greater or less than the premiums paid or received. The Company may also enter into options contracts that contain forward-settling premiums. In this case, no money is exchanged upfront. Instead, the agreed-upon premium is paid by the buyer upon expiration of the option, regardless of whether or not the option is exercised. Forward Currency Contracts: A forward currency contract is an agreement between two parties to purchase or sell a specific quantity of currency with the delivery and settlement at a specific future date and exchange rate. During the period the forward currency contract is open, changes in the value of the contract are recognized as unrealized gains or losses. When the contract is settled, the Company records a realized gain or loss equal to the difference between the proceeds of the closing transaction and the Company's basis in the contract. Financial derivative assets are included in Financial derivatives—assets, at fair value, on the Consolidated Balance Sheet. Financial derivative liabilities are included in Financial derivatives—liabilities, at fair value, on the Consolidated Balance Sheet. The Company has chosen to elect the FVO pursuant to ASC 825 for its financial derivatives. Electing the FVO allows the Company to record changes in fair value in the Condensed Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Changes in unrealized gains and losses on financial derivatives are included in Unrealized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations. Realized gains and losses on financial derivatives are included in Realized gains (losses) on financial derivatives, net, on the Condensed Consolidated Statement of Operations.
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Cash and Cash Equivalents | Cash and Cash Equivalents: Cash and cash equivalents include cash and short term investments with original maturities of three months or less at the date of acquisition. Cash and cash equivalents typically include amounts held in interest bearing overnight accounts and amounts held in money market funds, and these balances generally exceed insured limits. The Company holds its cash at institutions that it believes to be highly creditworthy. Restricted cash represents cash that the Company can use only for specific purposes. See Note 18 for further discussion of restricted cash balances. |
Transfers of Financial Assets | Transfers of Financial Assets: The Company enters into transactions whereby it transfers financial assets to third parties. Upon such a transfer of financial assets, the Company will sometimes retain or acquire interests in the related assets. The Company evaluates transferred assets pursuant to ASC 860-10, Transfers of Financial Assets, or "ASC 860-10," which requires that a determination be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor's continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. When a transfer of financial assets does not qualify as a sale, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. ASC 860-10 is a standard that requires the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." |
Variable Interest Entities | Variable Interest Entities: VIEs are entities in which: (i) the equity investors do not have the characteristics of a controlling financial interest, or (ii) there is insufficient equity to permit the entity to finance its activities without additional subordinated financial support from other parties. Consolidation of a VIE is required by the entity that is deemed to be the primary beneficiary of the VIE. The Company evaluates all of its interests in VIEs for consolidation under ASC 810. The primary beneficiary is generally the party with both (i) the power to direct the activities of the VIE that most significantly impact its economic performance, and (ii) the obligation to absorb losses and the right to receive benefits from the VIE which could be potentially significant to the VIE. When the Company has an interest in an entity that has been determined to be a VIE, the Company assesses whether it is deemed to be the primary beneficiary of the VIE. The Company will only consolidate a VIE for which it has concluded it is the primary beneficiary. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE's economic performance, the Company considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes (i) identifying the activities that most significantly impact the VIE's economic performance; and (ii) identifying which party, if any, has power over those activities. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests, including debt and/or equity investments, as well as other arrangements deemed to be variable interests in the VIE. These assessments to determine whether the Company is the primary beneficiary require significant judgment. In instances where the Company and its related parties have interests in a VIE, the Company considers whether there is a single party in the related party group that meets the criteria to be deemed the primary beneficiary. If one party within the related party group meets such criteria, that reporting entity would be deemed to be the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets the criteria to be deemed the primary beneficiary, but the related party group as a whole meets such criteria, the determination of the primary beneficiary within the related party group requires significant judgment. The Company performs analysis, which is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. The Company performs ongoing reassessments of (i) whether any entities previously evaluated have become VIEs, based on certain events, and therefore subject to assessment to determine whether consolidation is appropriate, and (ii) whether changes in the facts and circumstances regarding the Company's involvement with a VIE causes its consolidation conclusion regarding the VIE to change. See Note 9 and Note 13 for further information on the Company's consolidated VIEs. The Company's maximum amount at risk is generally limited to the Company's investment in the VIE. The Company is generally not contractually required to provide and has not provided any form of financial support to the VIEs. The Company holds beneficial interests in certain securitization trusts that are considered VIEs. The beneficial interests in these securitization trusts are represented by certificates issued by the trusts. The securitization trusts have been structured as pass-through entities that receive principal and interest payments on the underlying collateral and distribute those payments to the certificate holders, which include both third-party investors and the Company. The certificates held by the Company typically include some or all of the most subordinated tranches. The assets held by the trusts are restricted in that they can only be used to fulfill the obligations of the related trust. In certain cases, the design and structure of the securitization trust is such that the Company effectively retains control of the assets as well as the activities that most significantly impact the economic performance of the trust. In such cases, the Company is determined to be the primary beneficiary, and the Company consolidates the trust and all intercompany transactions are eliminated in consolidation. In cases where the Company does not effectively retain control of the assets of, or have the power to direct the activities that most significantly impact the economic performance of, the related trust, it does not consolidate the trust. See Note 10 for further discussion of the Company's securitization trusts.
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Offering Costs/Underwriters' Discount | Offering Costs/Underwriters' Discount: Offering costs and underwriters' discount are generally charged against stockholders' equity upon the completion of a capital raise. Offering costs typically include legal, accounting, and other fees associated with the cost of raising capital. |
Debt Issuance Costs | Debt Issuance Costs: Debt issuance costs associated with debt for which the Company has elected the FVO are expensed at the issuance of the debt, and are included in Investment related expenses—Other on the Condensed Consolidated Statement of Operations. Costs associated with the issuance of debt for which the Company has not elected the FVO are deferred and amortized over the life of the debt, which approximates the effective interest rate method, and are included in Interest expense on the Condensed Consolidated Statement of Operations. Deferred debt issuance costs are presented on the Consolidated Balance Sheet as a direct deduction from the related debt liability, unless such deferred debt issuance costs are associated with borrowing facilities that are expected to have a future benefit, such as giving the Company the ability to access additional borrowings over the contractual term of the debt, in which case such deferred debt issuance costs are included in Other assets on the Consolidated Balance Sheet. Debt issuance costs include legal and accounting fees, purchasers' or underwriters' discount, as well as other fees associated with the cost of the issuance of the related debt. |
Expenses | Expenses: Expenses are recognized as incurred on the Condensed Consolidated Statement of Operations. |
Investment Related Expenses | Investment Related Expenses: Investment related expenses consist of expenses directly related to specific financial instruments. Such expenses generally include dividend expense on common stock sold short, servicing fees and corporate and escrow advances on mortgage and consumer loans, and various other expenses and fees related directly to the Company's financial instruments. The Company has elected the FVO for its investments, and as a result all investment related expenses are expensed as incurred and included in Investment related expenses on the Condensed Consolidated Statement of Operations. |
Investment Related Receivables [Policy Text Block] | Investment Related Receivables: Investment related receivables on the Company's Consolidated Balance Sheet includes receivables for securities sold and interest and principal receivable on securities and loans. |
LTIP Units | Long Term Incentive Plan Units: Long term incentive plan units of the Operating Partnership ("OP LTIP Units") have been issued to certain Ellington personnel dedicated or partially dedicated to the Company, certain of the Company's directors, as well as the Manager. Costs associated with OP LTIP Units issued to dedicated or partially dedicated personnel, or to the Company's directors, are measured as of the grant date based on the Company's closing stock price on the New York Stock Exchange and are amortized over the vesting period in accordance with ASC 718-10, Compensation—Stock Compensation. The vesting periods for OP LTIP Units are typically one year from issuance for non-executive directors, and are typically one year to two years from issuance for dedicated or partially dedicated personnel. |
Non-controlling interest | Non-controlling interests: Non-controlling interests include interests in the Operating Partnership represented by units convertible into shares of the Company's common stock ("Convertible Non-controlling Interests"). Convertible Non-controlling Interests include both the OP LTIP Units and those common units ("OP Units") of the Operating Partnership not held by the Company (collectively, the "Convertible Non-controlling Interest Units"). Non-controlling interests also include the interests of joint venture partners in certain of our consolidated subsidiaries. The joint venture partners' interests are not convertible into shares of the Company's common stock. The Company adjusts the Convertible Non-controlling Interests to align their carrying value with their share of total outstanding Operating Partnership units, including both the OP Units held by the Company and the Convertible Non-controlling Interests. Any such adjustments are reflected in Adjustment to non-controlling interests, on the Consolidated Statement of Changes in Equity. See Note 15 for further discussion of non-controlling interests. |
Dividends | Dividends: Dividends payable on shares of common stock and Convertible Non-controlling Interest Units are recorded on the declaration date. |
Shares Repurchased | Shares Repurchased: Shares of common stock that are repurchased by the Company subsequent to issuance are immediately retired upon settlement and decrease the total number of shares of common stock issued and outstanding. The cost of such repurchases is charged against Additional paid-in-capital on the Company's Consolidated Balance Sheet. |
Earnings Per Share ("EPS") | Earnings Per Share ("EPS"): Basic EPS is computed using the two class method by dividing net income (loss) after adjusting for the impact of Convertible Non-controlling Interests which are participating securities, by the weighted average number of shares of common stock outstanding calculated including Convertible Non-controlling Interests. Because the Company's Convertible Non-controlling Interests are participating securities, they are included in the calculation of both basic and diluted EPS. |
Foreign Currency | Foreign Currency: The functional currency of the Company is U.S. dollars. Assets and liabilities denominated in foreign currencies are remeasured into U.S. dollars at current exchange rates at the following dates: (i) assets, liabilities, and unrealized gains/losses—at the valuation date; and (ii) income, expenses, and realized gains/losses—at the accrual/transaction date. The Company isolates the portion of realized and change in unrealized gain (loss) resulting from changes in foreign currency exchange rates on investments and financial derivatives from the fluctuations arising from changes in fair value of investments and financial derivatives held. Changes in realized and change in unrealized gain (loss) due to foreign currency are included in Other, net, on the Condensed Consolidated Statement of Operations. The Company's reporting currency is U.S. Dollars. If the Company has investments in unconsolidated entities that have a functional currency other than U.S. Dollars, the fair value is translated to U.S. dollars using the current exchange rate at the valuation date. The cumulative translation adjustment, if any, associated with the Company's investments in unconsolidated entities is recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders' equity. |
Income Taxes | Income Taxes: The Company has elected to be taxed as a REIT under Sections 856 through 860 of the Code. As a REIT, the Company is generally not subject to corporate-level federal and state income tax on net income it distributes to its stockholders within the prescribed timeframes. To qualify as a REIT, the Company must meet a number of organizational and operational requirements, including distributing at least 90% of its annual taxable income to stockholders. Even if the Company qualifies as a REIT, it may be subject to certain federal, state, local and foreign taxes on its income and property, and to federal income and excise taxes on its undistributed taxable income. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state, and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The Company elected to treat certain domestic and foreign subsidiaries as TRSs, and may in the future elect to treat other current or future subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS may, but is not required to, declare dividends to the Company; such dividends will be included in the Company's taxable income/(loss) and may necessitate a distribution to the Company's stockholders. Conversely, if the Company retains earnings at the level of a domestic TRS, such earnings will increase the book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state, and local corporate income taxes. The Company has elected and may elect in the future to treat certain of its foreign corporate subsidiaries as TRSs and, accordingly, taxable income generated by these TRSs may not be subject to U.S. federal, state, and local corporate income taxation, but generally will be included in the Company's income on a current basis as Subpart F income, whether or not distributed. However, certain of the Company's foreign subsidiaries may be subject to income taxes in the relevant foreign jurisdictions. The Company's financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company follows the authoritative guidance on accounting for and disclosure of uncertainty on tax positions, which requires management to determine whether a tax position of the Company is more likely than not to be sustained upon examination by the applicable taxing authority, including resolution of any related appeals or litigation processes, based on the technical merits of the position. For uncertain tax positions, the tax benefit to be recognized is measured as the largest amount of benefit that is more than 50% likely to be realized upon ultimate settlement. The Company did not have any unrecognized tax benefits resulting from tax positions related to the current period or its open tax years. In the normal course of business, the Company may be subject to examination by federal, state, local, and foreign jurisdictions, where applicable, for the current period and its open tax years. The Company may take positions with respect to certain tax issues which depend on legal interpretation of facts or applicable tax regulations. Should the relevant tax regulators successfully challenge any of such positions, the Company might be found to have a tax liability that has not been recorded in the accompanying consolidated financial statements. Also, management's conclusions regarding the authoritative guidance may be subject to review and adjustment at a later date based on changing tax laws, regulations, and interpretations thereof. The Company recognizes interest and penalties, if any, related to uncertain tax positions, as income tax expense included in Income tax expense (benefit) on the Condensed Consolidated Statement of Operations.
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Recent Accounting Pronouncements | Recent Accounting Pronouncements: In March 2020, the FASB issued ASU 2020-04, Reference Rate Reform—Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2020-04"), which provides optional guidance for a limited period meant to ease the potential burden in accounting for, or recognizing the effects of, reform to LIBOR and certain other reference rates. The standard became effective for all entities beginning on March 12, 2020 and may be elected over time. However, ASU 2020-04 is only applicable to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform, and that were entered into or evaluated prior to January 1, 2023. In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting ("ASU 2021-01"), which clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications apply to derivatives that are affected by the reform to LIBOR. The amendments in this update became effective immediately for all entities. ASU 2021-01 provides increased clarity as the Company continues to evaluate the transition of reference rates, and it is currently evaluating the impact that the adoption of ASU 2020-04 would have on the consolidated financial statements. |
Financial Assets Sold under Agreement to Repurchase [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Repurchase and Resale Agreements | Repurchase Agreements: The Company enters into repurchase agreements with third-party broker-dealers whereby it sells securities under agreements to be repurchased at an agreed-upon price and date. The Company accounts for repurchase agreements as collateralized borrowings, with the initial sale price representing the amount borrowed, and with the future repurchase price consisting of the amount borrowed plus interest, at the implied interest rate of the repurchase agreement, on the amount borrowed over the term of the repurchase agreement. The interest rate on a repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. When the Company enters into a repurchase agreement, the lender establishes and maintains an account containing cash and/or securities having a value not less than the repurchase price, including accrued interest, of the repurchase agreement. Repurchase agreements are carried at their contractual amounts, which approximate fair value as the debt is short-term in nature. |
Securities Purchased under Agreements to Resell [Member] | |
Assets Sold under Agreements to Repurchase [Line Items] | |
Repurchase and Resale Agreements | Reverse Repurchase Agreements: The Company enters into reverse repurchase agreement transactions whereby it purchases securities under agreements to resell at an agreed-upon price and date. In general, securities received pursuant to reverse repurchase agreements are delivered to counterparties of short sale transactions. The interest rate on a reverse repurchase agreement is based on competitive rates (or competitive market spreads, in the case of agreements with floating interest rates) at the time such agreement is entered into. Assets held pursuant to reverse repurchase agreements are reflected as assets on the Consolidated Balance Sheet. Reverse repurchase agreements are carried at their contractual amounts, which approximates fair value due to their short-term nature. Repurchase and reverse repurchase agreements that are conducted with the same counterparty may be reported on a net basis if they meet the requirements of ASC 210-20, Balance Sheet Offsetting. There are no repurchase and reverse repurchase agreements reported on a net basis in the Company's consolidated financial statements. |
Valuation (Tables) |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block] | The tables below reflect the value of the Company's Level 1, Level 2, and Level 3 financial instruments that are measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021: September 30, 2022:
December 31, 2021:
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Schedule of Significant Unobservable Inputs, Qualitative Information | The following tables identify the significant unobservable inputs that affect the valuation of the Company's Level 3 assets and liabilities as of September 30, 2022 and December 31, 2021: September 30, 2022:
(1)For the range minimum, the range maximum, and the weighted average yield, excludes non-Agency RMBS with a negative yield, with a total fair value of $0.2 million. Including these securities the weighted average yield was 13.6%. (2)Shown in basis points. (3)For range minimum, range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $0.5 million. Including these securities the weighted average was 512 basis points. (4)Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (5)Includes $9.0 million of non-performing securitized residential mortgage loans. (6)Represents an estimation of where market participants might value an enterprise on a price-to-book basis. December 31, 2021:
(1)For the range minimum, the range maximum, and the weighted average yield, excludes non-Agency RMBS with a negative yield, with a total fair value of $2.1 million. Including these securities the weighted average yield was 6.5%. (2)For the range minimum, the range maximum, and the weighted average yield, excludes CLOs with a negative yield, with a total fair value of $14 thousand. Including these securities the weighted average yield was 32.7%. (3)Shown in basis points. (4)For range minimum, range maximum, and the weighted average of LIBOR OAS, excludes Agency interest only securities with a negative LIBOR OAS, with a total fair value of $2.1 million. Including these securities the weighted average was 485 basis points. (5)Securitized residential mortgage loans and Other secured borrowings, at fair value, represent financial assets and liabilities of the Company's CFEs as discussed in Note 2. (6)Includes $8.8 million of non-performing securitized residential mortgage loans. (7)Represent an estimation of where market participants might value an enterprise on a price-to-book basis.
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Fair Value Measurement Using Significant Unobservable Inputs | The tables below includes a roll-forward of the Company's financial instruments for the three- and nine-month periods ended September 30, 2022 and 2021 (including the change in fair value), for financial instruments classified by the Company within Level 3 of the valuation hierarchy. Three-Month Period Ended September 30, 2022
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2022, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2022. For Level 3 financial instruments held by the Company at September 30, 2022, change in net unrealized gain (loss) of $(8.0) million, $(113.1) million, $(27.0) million, $0.7 million, $(37) thousand, $79.4 million, and $9.1 million, for the three-month period ended September 30, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, other secured borrowings, at fair value, and senior notes, at fair value, respectively. At September 30, 2022, the Company transferred $17.0 million of assets from Level 3 to Level 2 and $8.2 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Three-Month Period Ended September 30, 2021
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. (3)Conformed to current period presentation. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2021, as well as Level 3 financial instruments disposed of by the Company during the three-month period ended September 30, 2021. For Level 3 financial instruments held by the Company at September 30, 2021, change in net unrealized gain (loss) of $3.1 million, $(4.7) million, $(2.7) million, $0.1 million, $0.1 million, and $1.5 million, for the three-month period ended September 30, 2021 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, and other secured borrowings, at fair value, respectively. At September 30, 2021, the Company transferred $11.0 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Nine-Month Period Ended September 30, 2022
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2022, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2022. For Level 3 financial instruments held by the Company at September 30, 2022, change in net unrealized gain (loss) of $(31.8) million, $(297.6) million, $(61.0) million, $0.6 million, $(37) thousand, $202.3 million, and $16.5 million, for the nine-month period ended September 30, 2022 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, financial derivatives–liabilities, other secured borrowings, at fair value, and senior notes, at fair value, respectively. At September 30, 2022, the Company transferred $41.9 million of assets from Level 3 to Level 2 and $36.0 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources. Nine-Month Period Ended September 30, 2021
(1)For Investments in unconsolidated entities, at fair value, amount represents contributions to investments in unconsolidated entities. (2)For Investments in unconsolidated entities, at fair value, amount represents distributions from investments in unconsolidated entities. (3)Conformed to current period presentation. All amounts of net realized and change in net unrealized gain (loss) in the table above are reflected in the accompanying Condensed Consolidated Statement of Operations. The table above incorporates changes in net unrealized gain (loss) for both Level 3 financial instruments held by the Company at September 30, 2021, as well as Level 3 financial instruments disposed of by the Company during the nine-month period ended September 30, 2021. For Level 3 financial instruments held by the Company at September 30, 2021, change in net unrealized gain (loss) of $13.6 million, $(2.4) million, $19.9 million, $(0.1) million, and $4.7 million, for the nine-month period ended September 30, 2021 relate to securities, loans, investments in unconsolidated entities, financial derivatives–assets, and other secured borrowings, at fair value, respectively. At September 30, 2021, the Company transferred $38.1 million of assets from Level 3 to Level 2 and $12.9 million from Level 2 to Level 3. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria. The leveling of each financial instrument is reassessed at the end of each period, and is based on pricing information received from third-party pricing sources.
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Schedule of Financial Instruments | The following table summarizes the estimated fair value of all other financial instruments not measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021:
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Investment in Securities (Tables) |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Investment Holdings | The following tables detail the Company's investment in securities as of September 30, 2022 and December 31, 2021. September 30, 2022:
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. December 31, 2021:
(1)Weighted average coupon represents the weighted average coupons of the securities, rather than, in the case of collateralized securities, the coupon rates or loan rates on the underlying collateral. (2)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal.
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Securities by Weighted Average Life | The following tables detail weighted average life of the Company's Agency RMBS as of September 30, 2022 and December 31, 2021. September 30, 2022:
(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. December 31, 2021:
(1)Expected average lives of RMBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. The following tables detail weighted average life of the Company's long non-Agency RMBS, CMBS, and CLOs and other securities as of September 30, 2022 and December 31, 2021. September 30, 2022:
(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2)Other Securities includes ABS backed by consumer loans, corporate debt, and U.S. Treasury securities. (3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral. December 31, 2021:
(1)Expected average lives of MBS are generally shorter than stated contractual maturities. Average lives are affected by the contractual maturities of the underlying mortgages, scheduled periodic payments of principal, and unscheduled prepayments of principal. (2)Other Securities includes ABS backed by consumer loans, corporate debt, and U.S. Treasury securities. (3)Weighted average coupon represents the weighted average coupons of the securities, rather than the coupon rates or loan rates on the underlying collateral.
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Investment Income | The following table details the components of interest income by security type for the three- and nine-month periods ended September 30, 2022 and 2021:
(1)Other securities includes ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities.
(1)Other securities includes ABS backed by consumer loans, corporate debt securities, and U.S. Treasury securities.
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Schedule of Realized Gain (Loss) | The following tables present proceeds from sales and the resulting realized gains and (losses) of the Company's securities for the three- and nine-month periods ended September 30, 2022 and 2021.
(1)Includes proceeds on sales of securities not yet settled as of period end. (2)Excludes realized losses of $(2.0) million and $(0.3) million, for the three-month periods ended September 30, 2022 and 2021, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (3)Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.
(1)Includes proceeds on sales of securities not yet settled as of period end. (2)Excludes realized losses of $(4.5) million and $(1.5) million for the nine-month periods ended September 30, 2022 and 2021, respectively, related to adjustments to the cost basis of certain securities for which the Company has determined all or a portion of such securities cost basis to be uncollectible. (3)Other securities includes ABS backed by consumer loans, corporate debt and equity, exchange-traded equity, and U.S. Treasury securities.
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Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value | The following tables present the fair value and gross unrealized losses of our long securities, excluding those where there are expected credit losses as of the balance sheet date in relation to such securities' cost bases, by length of time that such securities have been in an unrealized loss position at September 30, 2022 and December 31, 2021. September 30, 2022:
(1)Other securities includes corporate debt and equity securities. December 31, 2021:
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Investment in Loans (Tables) |
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Investments in Loans | The following table is a summary of the Company's investments in loans as of September 30, 2022 and December 31, 2021:
The tables below detail certain information regarding the Company's residential mortgage loans as of September 30, 2022 and December 31, 2021. September 30, 2022:
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2)Includes $1.763 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $70 thousand and $(233.4) million of gross unrealized gains and gross unrealized losses, respectively. See Residential Mortgage Loan Securitizations in Note 10 for additional information. December 31, 2021:
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. (2)Includes $1.042 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $11.5 million and $(3.7) million of gross unrealized gains and gross unrealized losses, respectively. See Residential Mortgage Loan Securitizations in Note 10 for additional information. The tables below detail certain information regarding the Company's commercial mortgage loans as of September 30, 2022 and December 31, 2021: September 30, 2022:
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $31.8 million. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2021:
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $15.5 million. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The tables below detail certain information regarding the Company's consumer loans as of September 30, 2022 and December 31, 2021: September 30, 2022:
(1)Includes $0.2 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. December 31, 2021:
(1)Includes $0.3 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest. (2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal. The tables below detail certain information regarding the Company's corporate loans as of September 30, 2022 and December 31, 2021: September 30, 2022:
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans. December 31, 2021:
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.
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Financing Receivable, Past Due [Table Text Block] | The following table provides details, by loan type, for loans that are 90 days or more past due as of September 30, 2022 and December 31, 2021:
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Schedules of Exposure to Counterparty Risk | The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2022 and December 31, 2021:
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2022 and December 31, 2021:
September 30, 2022:
(1)Each counterparty is a financial institution that the Company believes to be creditworthy as of September 30, 2022. (2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3)Included in Investment related receivables on the Consolidated Balance Sheet. December 31, 2021:
(1)Each counterparty is a financial institution that the Company believes to be creditworthy as of December 31, 2022. (2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3)Included in Investment related receivables on the Consolidated Balance Sheet.
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Financing Receivable Credit Quality Indicators [Table Text Block] | The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of September 30, 2022 and December 31, 2021.
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Consumer Loans, Delinquency Status [Table Text Block] | The table below provides details on the delinquency status as a percentage of total unpaid principal balance of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of September 30, 2022 and December 31, 2021.
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Investments in Unconsolidated Entities (Tables) |
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Equity Method Investments and Joint Ventures [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments in Unconsolidated Entities | The following table provides details about the Company's investments in unconsolidated entities as of September 30, 2022 and December 31, 2021:
(1)See Note 13 for additional details on the Company's related party transactions. (2)Excludes investment in equity interests convertible into non-voting common shares; including such interests the Company's additional non-voting stake in the entity was 13.8% as of both September 30, 2022 and December 31, 2021. See Note 13 Related Party Transactions—Transactions Involving Certain Loan Originators for additional information. (3)Excludes investment in non-voting common shares equal to 16.4% of a loan originator; including such shares the Company's total stake in such entity was 61.4% as of both September 30, 2022 and December 31, 2021. See Note 13 Related Party Transactions—Transactions Involving Certain Loan Originators for additional information. (4)The Company has evaluated this entity and determined that it meets the definition of a VIE. The Company evaluated its interest in the VIE and determined that the Company does not have the power to direct the activities of the VIE and does not have control of the underlying assets, where applicable. As a result, the Company determined that it is not the primary beneficiary of this VIE and therefore has not consolidated the VIE. (5)As discussed in Note 13 Related Party Transactions—Participation in Multi-Borrower Financing Facilities, the Company and the Affiliated Entities (as defined in Note 13) each consolidate their segregated silos of the Joint Entity (as defined in Note 13). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 66.0% and 47.5% as of September 30, 2022 and December 31, 2021, respectively. (6)As discussed in Note 13 Related Party Transactions—Participation in Multi-Borrower Financing Facilities, the Company and the Affiliated Entities (as defined in Note 13) each consolidate their segregated silos of the Joint Entity (as defined in Note 13). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 54.2% and 31.0% as of September 30, 2022 and December 31, 2021, respectively. (7)As discussed in Note 13 Related Party Transactions—Participation in Multi-Borrower Financing Facilities, the Company and the Affiliated Entities (as defined in Note 13) each consolidate their segregated silos of the Joint Entity (as defined in Note 13). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 59.1% and 44.8% as of September 30, 2022 and December 31, 2021, respectively. (8)As discussed in Note 13 Related Party Transactions—Participation in Multi-Borrower Financing Facilities, the Company and the Affiliated Entities (as defined in Note 13) each consolidate their segregated silos of the Joint Entity (as defined in Note 13). The Company's effective percentage ownership before the effects of consolidation of both its and the Affiliated Entities' respective segregated silos of the Joint Entity, was 66.4% as of September 30, 2022; the Company did not have an interest in this entity as of December 31, 2021. (9)Includes interests in Consumer Risk Retention Vehicles, as defined in Note 10—Participation in Multi-Seller Consumer Loan Securitizations. The Company has evaluated these entities and determined that they do not meet the definition of a VIE. The Company evaluated its interest in the entity under the voting interest model outlined in ASC 810, and has determined that the Company does not control these entities. As a result, the Company has not consolidated the entity. See Note 10 for additional details on the Company's securitization transactions. (10)Includes interest in warehouse facilities; see Note 13—Participation in CLO Transactions, for additional details. The following table provides a summary of the results of operations of LendSure for the three- and nine-month periods ended September 30, 2022 and 2021.
(1)Longbridge includes in Revenue mark-to-market gains and losses on certain reverse mortgage loans held for investment. (2)Longbridge has conformed prior period to current period presentation.
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Real Estate Owned (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Real Estate Owned, Disclosure of Detailed Components [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Real Estate Owned | The following tables detail activity in the Company's carrying value of REO for the three- and nine-month periods ended September 30, 2022 and 2021:
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Financial Derivatives (Tables) |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments | The following table details the fair value of the Company's holdings of financial derivatives as of September 30, 2022 and December 31, 2021:
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Schedule of Interest Rate Derivatives [Table Text Block] | The following tables provide information about the Company's fixed payer interest rate swaps as of September 30, 2022 and December 31, 2021: September 30, 2022:
December 31, 2021:
The following tables provide information about the Company's fixed receiver interest rate swaps as of September 30, 2022 and December 31, 2021: September 30, 2022:
December 31, 2021:
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Schedule of Credit Default Swaps [Table Text Block] | The following table provides information about the Company's credit default swaps as of September 30, 2022 and December 31, 2021:
(1)Long notional represents contracts where the Company has written protection and short notional represents contracts where the Company has purchased protection.
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Schedule of Futures Contracts [Table Text Block] | The following table provides information about the Company's long and short positions in futures as of September 30, 2022 and December 31, 2021:
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Schedule of Derivative Warrant Contracts [Table Text Block] | Warrants The following table provides information about the Company's warrants contracts to purchase shares as of September 30, 2022 and December 31, 2021:
(1)Excludes number of shares underlying warrant to purchase additional equity interest in a loan originator in which the Company currently holds an equity interest. The Company has the right to purchase 10% of the loan originator at the time of purchase for a pre-determined price. As of September 30, 2022, the fair value of the estimated fair value of such warrants was insignificant. Such warrants were not held at December 31, 2021.
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Schedule of TBA securities [Table Text Block] | As of September 30, 2022 and December 31, 2021, the Company had outstanding TBA purchase and sale contracts as follows:
(1)Notional amount represents the principal balance of the underlying Agency RMBS. (2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3)Market value represents the current market value of the underlying Agency RMBS (on a forward delivery basis) as of period end. (4)Net carrying value represents the difference between the market value of the TBA contract as of period end and the cost basis, and is reported in Financial derivatives-assets, at fair value and Financial derivatives-liabilities, at fair value on the Consolidated Balance Sheet.
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Schedule of Gains and Losses on Derivative Contracts | Gains and losses on the Company's derivative contracts for the three- and nine-month periods ended September 30, 2022 and 2021 are summarized in the tables below:
(1)Includes foreign currency remeasurement on financial derivatives in the amount of $(18) thousand for the three-month period ended September 30, 2022, which is included on the Condensed Consolidated Statement of Operations in Other, net.
(1)Includes foreign currency remeasurement on financial derivatives in the amount of $(7) thousand for the three-month period ended September 30, 2021, which is included on the Condensed Consolidated Statement of Operations in Other, net.
(1)Includes foreign currency remeasurement on financial derivatives in the amount of $(43) thousand for the nine-month period ended September 30, 2022, which is included on the Condensed Consolidated Statement of Operations in Other, net.
(1)Includes realized gain/(loss) on transactions involving foreign-currency-denominated financial derivatives in the amount of $18 thousand for the nine-month period ended September 30, 2021, which is included on the Condensed Consolidated Statement of Operations in Other, net. (2)Includes foreign currency remeasurement on financial derivatives in the amount of $(38) thousand for the nine-month period ended September 30, 2021, which is included on the Condensed Consolidated Statement of Operations in Other, net.
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Derivative activity, volume | The table below details the average notional values of the Company's financial derivatives, using absolute value of month end notional values, for the nine-month period ended September 30, 2022 and the year ended December 31, 2021:
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Schedule of Credit Derivatives | Written credit derivatives held by the Company at September 30, 2022 and December 31, 2021 are summarized below:
(1)The notional value is the maximum amount that a seller of credit protection would be obligated to pay, and a buyer of credit protection would receive, upon occurrence of a "credit event." Movements in the value of credit default swap transactions may require the Company or the counterparty to post or receive collateral. Amounts due or owed under credit derivative contracts with an International Swaps and Derivatives Association, or "ISDA," counterparty may be offset against amounts due or owed on other credit derivative contracts with the same ISDA counterparty. As a result, the notional value of written credit derivatives involving a particular underlying reference asset or index has been reduced (but not below zero) by the notional value of any contracts where the Company has purchased credit protection on the same reference asset or index with the same ISDA counterparty.
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Schedule of options contracts | The following table provides information about the Company's options contracts as of December 31, 2021. The Company did not hold any options contracts as of September 30, 2022. December 31, 2021:
(1)Represents the option on the part of the Company to enter into a credit default swap on a corporate bond index whereby the Company would pay a fixed rate and receive credit protection payments.
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Consolidated VIEs (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Consolidated VIEs | The following table summarizes the assets and liabilities of the Company's consolidated VIEs that are included on the Company's Consolidated Balance Sheet as of September 30, 2022 and December 31, 2021. See Note 10 and Note 13 for additional information on the Company's consolidated VIEs.
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Securitization Transactions (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Securitization Transactions [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Residential Loan Securitizations | The following table details the Company's outstanding consolidated residential mortgage loan securitizations:
(1)In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.4% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.7 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (2)In order to comply with the Risk Retention Rules, the Sponsor purchased the most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.1% of the fair value of all Certificates issued. Additionally, the Sponsor purchased two other subordinated classes of Certificates with an aggregate value equal to 6.4% of the fair value of all Certificates issued as of the settlement date; the Company subsequently sold such subordinated classes of Certificates to third parties. Finally, the Sponsor also purchased, for an aggregate purchase price of $1.9 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (3)In order to comply with the Risk Retention Rules, the Sponsor purchased the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.2% of the fair value of all Certificates issued. Additionally, the Sponsor purchased the most subordinated class of Certificates with an aggregate value as of the settlement date equal to 2.4% of the fair value of all Certificates issued. Finally, the Sponsor also purchased, for an aggregate purchase price of $1.4 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (4)In order to comply with the Risk Retention Rules, the Sponsor purchased the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.4% of the fair value of all Certificates issued. Additionally, the Sponsor purchased the most subordinated class of Certificates with an aggregate value as of the settlement date equal to 0.4% of the fair value of all Certificates issued. Finally, the Sponsor also purchased, for an aggregate purchase price of $1.6 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (5)In order to comply with the Risk Retention Rules, the Sponsor purchased the most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.5% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $2.1 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (6)In order to comply with the Risk Retention Rules, the Sponsor purchased the most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.3% of the fair value of all Certificates issued. Additionally, the Sponsor purchased one other subordinated class of Certificates with an aggregate value equal to 2.0% of the fair value of all Certificates issued as of the settlement date; the Company subsequently sold such subordinated class of Certificates to third parties. The Sponsor also purchased, for an aggregate purchase price of $1.8 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (7)In order to comply with the Risk Retention Rules, the Sponsor purchased the most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.3% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $3.6 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (8)In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.6% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.3 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (9)In order to comply with the Risk Retention Rules, the Sponsor purchased the three most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.0% of the fair value of all Certificates issued. Additionally, the Sponsor purchased one other subordinated class of Certificates with an aggregate value equal to 3.1% of the fair value of all Certificates issued as of the settlement date; the Company subsequently sold such subordinated class of Certificates to third parties. The Sponsor also purchased, for an aggregate purchase price of $1.3 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties.
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Schedule of Assets and Liabilities of Consolidated Securitization Trusts | The following table details the assets and liabilities of the consolidated securitization trusts included in the Company's Consolidated Balance Sheet as of September 30, 2022 and December 31, 2021:
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Schedule of participation in consumer loan securitizations | The following table provides additional details for each such securitization.
(1)Total principal amount of notes issued by the Consumer Securitization Issuer pursuant to the securitization. (2)UPB of loans sold to the Consumer Securitization Issuer represent the UPB of consumer loans sold by the Company and the Consumer Co-Participants. Such amount excludes $227.6 million of UPB of consumer loans sold to the Consumer Securitization Issuer by a third-party.
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Borrowings (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Repurchase Agreements [Table Text Block] | The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS and credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), by remaining maturity as of September 30, 2022 and December 31, 2021:
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Schedule of Maturities of Long-term Debt [Table Text Block] | Schedule of Principal Repayments The following table details the Company's principal repayment schedule, over the next 5 years, for outstanding borrowings as of September 30, 2022:
(1)Reflects the Company's contractual principal repayment dates. (2)Includes $1.221 billion of expected principal repayments related to the Company's consolidated residential mortgage loan securitizations, which are projected based upon the underlying assets' expected repayments and may be prior to the stated contractual maturities.
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Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity | The following table provides details by counterparty for such counterparties for which the amounts at risk relating to our repurchase agreements was greater than 10% of total equity as of September 30, 2022. There was no counterparty for which the amount at risk was greater than 10% of total equity as of December 31, 2021.
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Related Party (Tables) |
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Related Party Transactions [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of promissory notes | The following table provides details of financing that the Company has provided, in the form of secured promissory notes, to certain loan origination-related entities in which the Company also holds equity investments:
(1)Classified as a Corporate loan and is included in Loans, at fair value on the Consolidated Balance Sheet. (2)Convertible into non-voting equity interests, at the option of the borrower, at any time prior to maturity. In June 2022, the Company converted a $2.0 million corporate loan to a mortgage loan originator into preferred equity, and in connection with such conversion, the Company purchased an additional $150 thousand of such preferred equity. The Company also held a non-controlling common equity investment in this originator. As of September 30, 2022, the Company's investments in this originator were written off as the Company determined its cost basis was non-recoverable. For the three- and nine-month periods ended September 30, 2022, the Company recognized a realized loss of $(1.3) million and $(4.8) million, respectively, related to its investment in this originator, which are included in Earnings (losses) from investments in unconsolidated entities, on its Condensed Consolidated Statement of Operations.
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Long-Term Incentive Plan Units (Tables) |
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Share-based Payment Arrangement [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unvested LTIP Units | The below table details unvested OP LTIP Units as of September 30, 2022:
(1)Date at which such OP LTIP Units will vest and become non-forfeitable.
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Roll-Forward of Company's LTIP Units Outstanding | The following tables summarize issuance and exercise activity of OP LTIP Units for the three- and nine-month periods ended September 30, 2022 and 2021:
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Equity (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Stockholders' Equity Note [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Common Shares Outstanding | The following table summarizes issuance, repurchase, and other activity with respect to the Company's common stock for the three- and nine-month periods ended September 30, 2022 and 2021:
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Earnings Per Share (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Computation Of Basic And Diluted EPS | The components of the computation of basic and diluted EPS are as follows:
(1)For the three-month periods ended September 30, 2022 and 2021, excludes net income (loss) of $0.2 million and $1.2 million, respectively, attributable to joint venture partners, which have non-participating interests as described in Note 15. For the nine-month periods ended September 30, 2022 and 2021, excludes net income (loss) of $0.3 million and $3.4 million, respectively, attributable to joint venture partners, which have non-participating interests as described in Note 15.
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Offsetting of Assets and Liabilities (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting of Assets and Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Offsetting of Assets and Liabilities | The following tables present information about certain assets and liabilities representing financial instruments as of September 30, 2022 and December 31, 2021. The Company has not entered into master netting agreements with any of its counterparties. Certain of the Company's reverse repurchase and repurchase agreements and financial derivative transactions are governed by underlying agreements that generally provide a right of net settlement, as well as a right of offset in the event of default or in the event of a bankruptcy of either party to the transaction. September 30, 2022:
(1)In the Company's Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2)For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of September 30, 2022 was $3.4 billion. As of September 30, 2022, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged (received) of $1.1 million and $1.2 million, respectively. (3)When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows. December 31, 2021:
(1)In the Company's Consolidated Balance Sheet, all balances associated with repurchase agreements, reverse repurchase agreements, and financial derivatives are presented on a gross basis. (2)For the purpose of this presentation, for each row the total amount of financial instruments transferred or pledged and cash collateral (received) or pledged may not exceed the applicable gross amount of assets or (liabilities) as presented here. Therefore, the Company has reduced the amount of financial instruments transferred or pledged as collateral related to the Company's repurchase agreements and cash collateral pledged on the Company's financial derivative liabilities. Total financial instruments transferred or pledged as collateral on the Company's repurchase agreements as of December 31, 2021 was $2.8 billion. As of December 31, 2021, total cash collateral on financial derivative assets and liabilities excludes excess net cash collateral pledged of $10.7 million and $2.0 million, respectively. (3)When collateral is pledged to or pledged by a counterparty, it is often pledged or posted with respect to all positions with such counterparty, and in such cases such collateral cannot be specifically identified as relating to a particular asset or liability. As a result, in preparing the above tables, the Company has made assumptions in allocating pledged or posted collateral among the various rows.
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Counterparty Risk (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Risks and Uncertainties [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedules of Exposure to Counterparty Risk | The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2022 and December 31, 2021:
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of September 30, 2022 and December 31, 2021:
September 30, 2022:
(1)Each counterparty is a financial institution that the Company believes to be creditworthy as of September 30, 2022. (2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3)Included in Investment related receivables on the Consolidated Balance Sheet. December 31, 2021:
(1)Each counterparty is a financial institution that the Company believes to be creditworthy as of December 31, 2022. (2)Includes securities, loans, and REO as well as cash posted as collateral for repurchase agreements. (3)Included in Investment related receivables on the Consolidated Balance Sheet.
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Organization and Investment Objective (Details) - $ / shares |
Sep. 30, 2022 |
Dec. 31, 2021 |
---|---|---|
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||
Common Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 |
Ellington Financial Operating Partnership LLC [Member] | Total Stockholders' Equity | ||
Organization, Consolidation and Presentation of Financial Statements [Line Items] | ||
Ownership Percentage | 99.00% |
Significant Accounting Policies (Details) |
9 Months Ended |
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Sep. 30, 2022 | |
Significant Accounting Policies [Line Items] | |
Number of days to determine non-performance of loan | 90 days |
Long-Term Incentive Plan Units [Member] | Director [Member] | |
Significant Accounting Policies [Line Items] | |
Vesting period | 1 year |
Minimum | Long-Term Incentive Plan Units [Member] | Dedicated or partially dedicated personnel [Member] | |
Significant Accounting Policies [Line Items] | |
Vesting period | 1 year |
Maximum | Long-Term Incentive Plan Units [Member] | Dedicated or partially dedicated personnel [Member] | |
Significant Accounting Policies [Line Items] | |
Vesting period | 2 years |
Valuation (Schedule of Financial Instruments) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
||||
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | [1],[2] | $ 1,522,772 | $ 2,087,360 | |||
Investment in unconsolidated entities, at fair value | [1] | 171,379 | 195,643 | |||
Financial derivatives–assets, at fair value- | 160,043 | 18,894 | ||||
Investments sold short, at fair value- | (199,542) | (120,525) | ||||
Financial derivatives–liabilities, at fair value- | (50,418) | (12,298) | ||||
Other secured borrowings, at fair value | [1] | (1,635,829) | (984,168) | |||
Senior notes, at fair value | 193,515 | 0 | ||||
Level 3 | Non-Agency RMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 105,785 | 134,888 | ||||
Level 3 | CMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 8,669 | 13,134 | ||||
Level 3 | CLOs | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 17,288 | 26,678 | ||||
Level 3 | Corporate loan [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 10,531 | |||||
Fair Value, Measurements, Recurring | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 5,677,089 | 4,717,218 | ||||
Total liabilities | (2,079,304) | (1,116,991) | ||||
Fair Value, Measurements, Recurring | Investments Sold Short | Government debt | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short, at fair value- | (199,542) | (120,525) | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (17) | (1,870) | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (251) | (99) | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (32) | (39) | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Interest rate swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (49,041) | (9,098) | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | TBA securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (798) | (909) | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Futures | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (242) | (75) | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (208) | |||||
Fair Value, Measurements, Recurring | Financial Derivatives - Liabilities | Total return swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (37) | |||||
Fair Value, Measurements, Recurring | Other secured borrowings, at fair value | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Other secured borrowings, at fair value | (1,635,829) | (984,168) | ||||
Senior notes, at fair value | 193,515 | |||||
Fair Value, Measurements, Recurring | Securities | Agency RMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 1,135,315 | 1,696,616 | ||||
Fair Value, Measurements, Recurring | Securities | Non-Agency RMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 216,548 | 216,554 | ||||
Fair Value, Measurements, Recurring | Securities | CMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 19,552 | 25,643 | ||||
Fair Value, Measurements, Recurring | Securities | CLOs | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 30,535 | 62,329 | ||||
Fair Value, Measurements, Recurring | Securities | Asset-backed securities, backed by consumer loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 75,568 | 73,108 | ||||
Fair Value, Measurements, Recurring | Securities | Corporate debt securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 3,602 | 5,554 | ||||
Fair Value, Measurements, Recurring | Securities | Corporate equity securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 11,169 | 7,556 | ||||
Fair Value, Measurements, Recurring | Securities | U.S. Treasury securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 30,483 | |||||
Fair Value, Measurements, Recurring | Loans | Residential mortgage loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 3,348,810 | 2,016,228 | ||||
Fair Value, Measurements, Recurring | Loans | Commercial mortgage loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 464,513 | 326,197 | ||||
Fair Value, Measurements, Recurring | Loans | Consumer loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 6,038 | 62,365 | ||||
Fair Value, Measurements, Recurring | Loans | Corporate loan [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 3,534 | 10,531 | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 77 | 303 | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 930 | 156 | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 95 | |||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 2,250 | 1,751 | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Interest rate swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 125,823 | 13,993 | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | TBA securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 29,116 | 1,229 | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Futures | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 828 | 478 | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 261 | |||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Warrants | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 663 | 706 | ||||
Fair Value, Measurements, Recurring | Financial Derivatives - Assets | Put Option [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 278 | |||||
Fair Value, Measurements, Recurring | Investment in unconsolidated entities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investment in unconsolidated entities, at fair value | 171,379 | 195,643 | ||||
Fair Value, Measurements, Recurring | Level 1 | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 828 | 478 | ||||
Total liabilities | (242) | (75) | ||||
Fair Value, Measurements, Recurring | Level 1 | Investments Sold Short | Government debt | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Interest rate swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | TBA securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Futures | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (242) | (75) | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | |||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Liabilities | Total return swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | |||||
Fair Value, Measurements, Recurring | Level 1 | Other secured borrowings, at fair value | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Other secured borrowings, at fair value | 0 | 0 | ||||
Senior notes, at fair value | 0 | |||||
Fair Value, Measurements, Recurring | Level 1 | Securities | Agency RMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Securities | Non-Agency RMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Securities | CMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Securities | CLOs | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Securities | Asset-backed securities, backed by consumer loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Securities | Corporate debt securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Securities | Corporate equity securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Securities | U.S. Treasury securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | |||||
Fair Value, Measurements, Recurring | Level 1 | Loans | Residential mortgage loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Loans | Commercial mortgage loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Loans | Consumer loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Loans | Corporate loan [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | |||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Interest rate swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | TBA securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Futures | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 828 | 478 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | |||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Warrants | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 1 | Financial Derivatives - Assets | Put Option [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | |||||
Fair Value, Measurements, Recurring | Level 1 | Investment in unconsolidated entities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investment in unconsolidated entities, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 1,452,010 | 1,835,201 | ||||
Total liabilities | (249,681) | (132,748) | ||||
Fair Value, Measurements, Recurring | Level 2 | Investments Sold Short | Government debt | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short, at fair value- | (199,542) | (120,525) | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (17) | (1,870) | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (251) | (99) | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (32) | (39) | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Interest rate swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (49,041) | (9,098) | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | TBA securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (798) | (909) | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Futures | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (208) | |||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Liabilities | Total return swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | |||||
Fair Value, Measurements, Recurring | Level 2 | Other secured borrowings, at fair value | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Other secured borrowings, at fair value | 0 | 0 | ||||
Senior notes, at fair value | 0 | |||||
Fair Value, Measurements, Recurring | Level 2 | Securities | Agency RMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 1,127,496 | 1,686,906 | ||||
Fair Value, Measurements, Recurring | Level 2 | Securities | Non-Agency RMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 110,763 | 81,666 | ||||
Fair Value, Measurements, Recurring | Level 2 | Securities | CMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 10,883 | 12,509 | ||||
Fair Value, Measurements, Recurring | Level 2 | Securities | CLOs | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 13,247 | 35,651 | ||||
Fair Value, Measurements, Recurring | Level 2 | Securities | Asset-backed securities, backed by consumer loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Securities | Corporate debt securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | 356 | ||||
Fair Value, Measurements, Recurring | Level 2 | Securities | Corporate equity securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Securities | U.S. Treasury securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 30,483 | |||||
Fair Value, Measurements, Recurring | Level 2 | Loans | Residential mortgage loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Loans | Commercial mortgage loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Loans | Consumer loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Loans | Corporate loan [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 930 | 156 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 95 | |||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 2,250 | 1,751 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Interest rate swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 125,823 | 13,993 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | TBA securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 29,116 | 1,229 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Futures | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 261 | |||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Warrants | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 663 | 706 | ||||
Fair Value, Measurements, Recurring | Level 2 | Financial Derivatives - Assets | Put Option [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 278 | |||||
Fair Value, Measurements, Recurring | Level 2 | Investment in unconsolidated entities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investment in unconsolidated entities, at fair value | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Total assets | 4,224,251 | 2,881,539 | ||||
Total liabilities | (1,829,381) | (984,168) | ||||
Fair Value, Measurements, Recurring | Level 3 | Investments Sold Short | Government debt | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investments sold short, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on corporate bond indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Credit default swaps on asset-backed indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Interest rate swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | TBA securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Futures | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | 0 | |||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Liabilities | Total return swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–liabilities, at fair value- | (37) | |||||
Fair Value, Measurements, Recurring | Level 3 | Other secured borrowings, at fair value | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Other secured borrowings, at fair value | (1,635,829) | (984,168) | ||||
Senior notes, at fair value | 193,515 | |||||
Fair Value, Measurements, Recurring | Level 3 | Securities | Agency RMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 7,819 | 9,710 | ||||
Fair Value, Measurements, Recurring | Level 3 | Securities | Non-Agency RMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 105,785 | 134,888 | ||||
Fair Value, Measurements, Recurring | Level 3 | Securities | CMBS | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 8,669 | 13,134 | ||||
Fair Value, Measurements, Recurring | Level 3 | Securities | CLOs | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 17,288 | 26,678 | ||||
Fair Value, Measurements, Recurring | Level 3 | Securities | Asset-backed securities, backed by consumer loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 75,568 | 73,108 | ||||
Fair Value, Measurements, Recurring | Level 3 | Securities | Corporate debt securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 3,602 | 5,198 | ||||
Fair Value, Measurements, Recurring | Level 3 | Securities | Corporate equity securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 11,169 | 7,556 | ||||
Fair Value, Measurements, Recurring | Level 3 | Securities | U.S. Treasury securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Securities, at fair value(1)(2) | 0 | |||||
Fair Value, Measurements, Recurring | Level 3 | Loans | Residential mortgage loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 3,348,810 | 2,016,228 | ||||
Fair Value, Measurements, Recurring | Level 3 | Loans | Commercial mortgage loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 464,513 | 326,197 | ||||
Fair Value, Measurements, Recurring | Level 3 | Loans | Consumer loans | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 6,038 | 62,365 | ||||
Fair Value, Measurements, Recurring | Level 3 | Loans | Corporate loan [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Loans, at fair value | 3,534 | 10,531 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on asset-backed securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 77 | 303 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on corporate bond indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on corporate bonds | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | |||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Credit default swaps on asset-backed indices | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Interest rate swaps | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | TBA securities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Futures | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Forwards | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | |||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Warrants | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | 0 | ||||
Fair Value, Measurements, Recurring | Level 3 | Financial Derivatives - Assets | Put Option [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Financial derivatives–assets, at fair value- | 0 | |||||
Fair Value, Measurements, Recurring | Level 3 | Investment in unconsolidated entities | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Investment in unconsolidated entities, at fair value | $ 171,379 | $ 195,643 | ||||
|
Valuation (Schedule of Significant Unobservable Inputs, Qualitative Information) (Details) - Level 3 |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2022
USD ($)
$ / shares
|
Dec. 31, 2021
USD ($)
$ / shares
|
|
Non-Agency RMBS | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 105,785,000 | $ 134,888,000 |
Fair Value of Level 3 Assets, Negative Yield | $ 200,000 | $ 2,100,000 |
Non-Agency RMBS | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair Value Inputs, Yield Including Negative | 13.60% | 6.50% |
Non-Agency RMBS | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0 | 0 |
Non-Agency RMBS | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 1.213 | 0.386 |
Non-Agency RMBS | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.137 | 0.068 |
Non-Agency RMBS | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0 | 0 |
Non-Agency RMBS | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.990 | 0.744 |
Non-Agency RMBS | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.340 | 0.391 |
Non-Agency RMBS | Measurement Input, Default Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0 | 0 |
Non-Agency RMBS | Measurement Input, Default Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.973 | 0.829 |
Non-Agency RMBS | Measurement Input, Default Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.203 | 0.225 |
Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0 | 0 |
Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.701 | 0.915 |
Non-Agency RMBS | Measurement Input, Projected Collateral Recoveries | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.189 | 0.175 |
CMBS | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 8,669,000 | $ 13,134,000 |
CMBS | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.067 | 0.076 |
CMBS | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.159 | 0.263 |
CMBS | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.116 | 0.103 |
CMBS | Measurement Input, Default Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.005 | 0 |
CMBS | Measurement Input, Default Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.295 | 0.065 |
CMBS | Measurement Input, Default Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.048 | 0.023 |
CMBS | Measurement Input, Projected Collateral Recoveries | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.705 | 0.100 |
CMBS | Measurement Input, Projected Collateral Recoveries | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.964 | 1.000 |
CMBS | Measurement Input, Projected Collateral Recoveries | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.931 | 0.950 |
CLOs | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 17,288,000 | $ 26,678,000 |
Fair Value of Level 3 Assets, Negative Yield | $ 14,000 | |
CLOs | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair Value Inputs, Yield Including Negative | 32.70% | |
CLOs | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.160 | 0.090 |
CLOs | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.496 | 2.921 |
CLOs | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.288 | 0.328 |
CLOs | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.134 | |
CLOs | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.945 | |
CLOs | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.913 | |
CLOs | Measurement Input, Default Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.019 | |
CLOs | Measurement Input, Default Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.689 | |
CLOs | Measurement Input, Default Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.044 | |
CLOs | Measurement Input, Projected Collateral Recoveries | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.013 | |
CLOs | Measurement Input, Projected Collateral Recoveries | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.178 | |
CLOs | Measurement Input, Projected Collateral Recoveries | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.034 | |
Agency RMBS | Interest only securities | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 7,819,000 | $ 9,710,000 |
Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.237 | 0.495 |
Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 1.000 | 1.000 |
Agency RMBS | Interest only securities | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.589 | 0.788 |
Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.022 | 0.095 |
Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.291 | 0.228 |
Asset-backed securities, backed by consumer loans | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.127 | 0.157 |
Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.000 | 0.000 |
Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.177 | 0.116 |
Asset-backed securities, backed by consumer loans | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.141 | 0.090 |
Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.005 | 0.010 |
Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.292 | 0.311 |
Asset-backed securities, backed by consumer loans | Measurement Input, Default Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.228 | 0.209 |
Investment in unconsolidated entities | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 171,379,000 | $ 195,643,000 |
Corporate loan [Member] | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | 10,531,000 | |
Valuation, Market Approach | Non-Agency RMBS | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 62,658,000 | $ 89,344,000 |
Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 0.47 | 0.34 |
Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 153.16 | 222.87 |
Valuation, Market Approach | Non-Agency RMBS | Measurement Input, Quoted Price | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 69.69 | 85.17 |
Valuation, Market Approach | CMBS | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 8,115,000 | $ 12,866,000 |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 6.35 | 7.00 |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 74.51 | 90.77 |
Valuation, Market Approach | CMBS | Measurement Input, Quoted Price | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 34.62 | 56.98 |
Valuation, Market Approach | CLOs | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 10,755,000 | $ 18,664,000 |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 4.00 | 14.00 |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 70.00 | 99.75 |
Valuation, Market Approach | CLOs | Measurement Input, Quoted Price | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 40.18 | 54.99 |
Valuation, Market Approach | Agency RMBS | Interest only securities | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 2,650,000 | $ 3,558,000 |
Valuation, Market Approach | Agency RMBS | Interest only securities | Measurement Input, Quoted Price | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 0.39 | 0.72 |
Valuation, Market Approach | Agency RMBS | Interest only securities | Measurement Input, Quoted Price | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 18.97 | 20.36 |
Valuation, Market Approach | Agency RMBS | Interest only securities | Measurement Input, Quoted Price | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 11.36 | 7.31 |
Valuation, Market Approach | Corporate loan [Member] | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 7,000,000 | |
Valuation, Market Approach | Corporate loan [Member] | Measurement Input, Quoted Price | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 100.00 | |
Valuation, Market Approach | Corporate loan [Member] | Measurement Input, Quoted Price | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 100.00 | |
Valuation, Market Approach | Corporate loan [Member] | Measurement Input, Quoted Price | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | $ / shares | 100.00 | |
Valuation, Market Approach | Other secured borrowings, at fair value | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ (1,635,829,000) | $ (984,168,000) |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Debt instrument, measurement input | 51.06 | 93.34 |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Debt instrument, measurement input | 97.28 | 102.14 |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Quoted Price | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Debt instrument, measurement input | 88.76 | 99.94 |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Debt instrument, measurement input | 0.050 | 0.018 |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Debt instrument, measurement input | 0.067 | 0.025 |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Debt instrument, measurement input | 0.063 | 0.021 |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Debt instrument, measurement input | 0.874 | 0 |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Debt instrument, measurement input | 0.909 | 0.972 |
Valuation, Market Approach | Other secured borrowings, at fair value | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Debt instrument, measurement input | 0.889 | 0.681 |
Valuation, Income Approach | Non-Agency RMBS | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 43,127,000 | $ 45,544,000 |
Valuation, Income Approach | CMBS | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | 554,000 | 268,000 |
Valuation, Income Approach | CLOs | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | 6,533,000 | 8,014,000 |
Valuation, Income Approach | Agency RMBS | Interest only securities | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | 5,169,000 | 6,152,000 |
Fair Value of Agency IOs, negative OAS measurement input | $ 500,000 | $ 2,100,000 |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, LIBOR OAS | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.0074 | 0.0135 |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, LIBOR OAS | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.4176 | 1.9247 |
Valuation, Income Approach | Agency RMBS | Interest only securities | Measurement Input, LIBOR OAS | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.0611 | 0.0683 |
Valuation, Income Approach | Agency RMBS | Interest only securities | Net LIBOR OAS [Member] | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.0512 | 0.0485 |
Valuation, Income Approach | Asset-backed securities, backed by consumer loans | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 75,568,000 | $ 73,108,000 |
Valuation, Income Approach | Corporate debt and equity | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 14,771,000 | $ 12,754,000 |
Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.100 | 0.081 |
Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.258 | 0.443 |
Valuation, Income Approach | Corporate debt and equity | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.113 | 0.147 |
Valuation, Income Approach | Consumer loans | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 6,038,000 | $ 62,365,000 |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.105 | 0.052 |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.730 | 0.756 |
Valuation, Income Approach | Consumer loans | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.145 | 0.093 |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.000 | 0.000 |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.237 | 0.284 |
Valuation, Income Approach | Consumer loans | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.134 | 0.141 |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.014 | 0.009 |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.603 | 0.866 |
Valuation, Income Approach | Consumer loans | Measurement Input, Default Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Securities, measurement input | 0.115 | 0.097 |
Valuation, Income Approach | Corporate loan [Member] | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 3,534,000 | $ 3,531,000 |
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.060 | 0.030 |
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.070 | 0.219 |
Valuation, Income Approach | Corporate loan [Member] | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.061 | 0.161 |
Valuation, Income Approach | Credit default swaps on asset-backed securities | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 77,000 | $ 303,000 |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.228 | 0.339 |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.310 | 0.419 |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Prepayment Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.237 | 0.401 |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.065 | 0.065 |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.088 | 0.088 |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Default Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.086 | 0.070 |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.121 | 0.112 |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.158 | 0.114 |
Valuation, Income Approach | Credit default swaps on asset-backed securities | Measurement Input, Projected Collateral Recoveries | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.122 | 0.113 |
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 32,848,000 | $ 123,779,000 |
Enterprise Value | Investment in unconsolidated entities | Measurement Input, Net Asset Value | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 87,864,000 | $ 57,828,000 |
measurement input equity multiple | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Equity method investment, measurement input | 1.0 | 1.2 |
measurement input equity multiple | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Equity method investment, measurement input | 3.3 | 1.9 |
measurement input equity multiple | Investment in unconsolidated entities | Measurement Input, Equity Price-to-Book | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Equity method investment, measurement input | 1.4 | 1.5 |
Valuation, Cost Approach | Investment in unconsolidated entities | Measurement Input, Exercise Price | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 50,667,000 | $ 14,036,000 |
Performing and/or Re-performing | Residential mortgage loans | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 952,656,000 | |
Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.025 | 0.009 |
Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.624 | 0.575 |
Performing and/or Re-performing | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.075 | 0.047 |
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 432,740,000 | $ 310,735,000 |
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.074 | 0.051 |
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.117 | 0.106 |
Performing and/or Re-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.094 | 0.072 |
Performing and/or Re-performing | Valuation, Income Approach | Residential mortgage loans | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 1,560,948,000 | $ 951,723,000 |
Performing and/or Re-performing | Valuation, Cost Approach | Residential mortgage loans | Measurement Input, Exercise Price | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | 933,000 | |
Securitized loans [Member] | Residential mortgage loans | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | 1,762,845,000 | 1,041,545,000 |
Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 1,676,395,000 | $ 1,003,164,000 |
Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | Measurement Input, Quoted Price | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.57 | 88.36 |
Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | Measurement Input, Quoted Price | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 97.28 | 102.14 |
Securitized loans [Member] | Valuation, Market Approach | Residential mortgage loans | Measurement Input, Quoted Price | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 86.70 | 99.83 |
Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 86,450,000 | $ 38,381,000 |
Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.042 | 0.013 |
Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.183 | 0.235 |
Securitized loans [Member] | Valuation, Income Approach | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.072 | 0.042 |
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.040 | 0.008 |
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.601 | 0.359 |
Non-performing | Residential mortgage loans | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.131 | 0.115 |
Non-performing | Residential mortgage loans | Measurement Input recovery amount | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input, Recovery Amount | $ 0.016 | $ 0.005 |
Non-performing | Residential mortgage loans | Measurement Input recovery amount | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input, Recovery Amount | 1.883 | 1.748 |
Non-performing | Residential mortgage loans | Measurement Input recovery amount | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input, Recovery Amount | 0.284 | 0.348 |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 31,773,000 | $ 15,462,000 |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Investment, measurement input, recovery time | 2 months 24 days | 1 month 24 days |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Investment, measurement input, recovery time | 2 months 24 days | 1 month 24 days |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Investment, measurement input, recovery time | 2 months 24 days | 1 month 24 days |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.145 | 0.106 |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.235 | 0.106 |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input, Discount Rate | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input | 0.191 | 0.106 |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input recovery amount | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input, Recovery Amount | $ 1.000 | $ 1.002 |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input recovery amount | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input, Recovery Amount | 1.002 | 1.002 |
Non-performing | Valuation, Income Approach | Commercial mortgage loans | Measurement Input recovery amount | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Loans, Measurement Input, Recovery Amount | 1.001 | 1.002 |
Non-performing | Valuation, Income Approach | Residential mortgage loans | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 25,017,000 | $ 22,027,000 |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Minimum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Investment, measurement input, recovery time | 5 months 24 days | 5 months 24 days |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Maximum | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Investment, measurement input, recovery time | 103 months 21 days | 100 months 24 days |
Non-performing | Valuation, Income Approach | Residential mortgage loans | Weighted Average | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Investment, measurement input, recovery time | 25 months 21 days | 29 months 15 days |
Non-performing securitized residential mortgage loans [Member] | Valuation, Income Approach | Residential mortgage loans | ||
Fair Value Measurements Inputs and Valuation Techniques [Line Items] | ||
Fair value | $ 9,000,000 | $ 8,800,000 |
Valuation (Significant Unobservable Inputs Rollforward) (Details) - Level 3 $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2022
USD ($)
|
Sep. 30, 2021
USD ($)
|
Sep. 30, 2022
USD ($)
|
Sep. 30, 2021
USD ($)
|
Dec. 31, 2021
USD ($)
|
|
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | $ 3,950,113 | $ 2,181,112 | $ 2,881,539 | $ 1,959,802 | |
Assets, Accreted Discounts/Amortized Premiums | (7,533) | (9,930) | (22,621) | (19,714) | |
Assets, Realized Gain (Loss) | 237 | 11,996 | 10,978 | 15,710 | |
Assets, Change In Net Unrealized Gain/(Loss) | (145,458) | (8,023) | (383,801) | 40,536 | |
Assets, Purchases | 847,645 | 522,267 | 3,076,762 | 1,413,347 | |
Assets, Sales | (411,990) | (325,302) | (1,332,677) | (1,001,333) | |
Assets, Transfers into Level 3 | 8,207 | 11,040 | 35,984 | 12,922 | |
Assets, Transfers out of Level 3 | (16,970) | 0 | (41,913) | (38,110) | |
Assets, Ending Balance | 4,224,251 | 2,383,160 | 4,224,251 | 2,383,160 | |
Liabilities, Begining Balance | (1,650,832) | (1,003,093) | (984,168) | (755,405) | |
Liabilities, Accreted Discounts/Amortized Premiums | (397) | 0 | (397) | 0 | |
Liabilities, Realized Gain/(Loss) | 0 | (67) | 0 | (1,428) | |
Liabilities, Change In Net Unrealized Gain/(Loss) | 88,528 | 1,538 | 218,777 | 5,214 | |
Liabilities Purchases/Payments | 57,864 | 129,316 | 271,817 | 454,460 | |
Liabilities, Sales/Issuance | (324,544) | 0 | (1,335,410) | (575,147) | |
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 | |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 | |
Liabilities, Ending Balance | (1,829,381) | (872,306) | (1,829,381) | (872,306) | |
Non-Agency RMBS | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 105,785 | 105,785 | $ 134,888 | ||
Non-Agency RMBS | Valuation, Income Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 43,127 | 43,127 | 45,544 | ||
Non-Agency RMBS | Valuation, Market Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 62,658 | 62,658 | 89,344 | ||
CMBS | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 8,669 | 8,669 | 13,134 | ||
CMBS | Valuation, Income Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 554 | 554 | 268 | ||
CMBS | Valuation, Market Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 8,115 | 8,115 | 12,866 | ||
CLOs | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 17,288 | 17,288 | 26,678 | ||
CLOs | Valuation, Income Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 6,533 | 6,533 | 8,014 | ||
CLOs | Valuation, Market Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 10,755 | 10,755 | 18,664 | ||
Asset-backed securities, backed by consumer loans | Valuation, Income Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 75,568 | 75,568 | 73,108 | ||
Residential mortgage loans | Performing Financial Instruments [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 952,656 | ||||
Residential mortgage loans | Valuation, Income Approach | Performing Financial Instruments [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 1,560,948 | 1,560,948 | 951,723 | ||
Residential mortgage loans | Measurement Input, Exercise Price | Valuation, Cost Approach | Performing Financial Instruments [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 933 | ||||
Commercial mortgage loans | Valuation, Income Approach | Performing Financial Instruments [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 432,740 | 432,740 | 310,735 | ||
Consumer loans | Valuation, Income Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 6,038 | 6,038 | 62,365 | ||
Corporate loan [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 10,531 | ||||
Corporate loan [Member] | Valuation, Income Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 3,534 | 3,534 | 3,531 | ||
Corporate loan [Member] | Valuation, Market Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 7,000 | ||||
Credit default swaps on asset-backed securities | Valuation, Income Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 77 | 77 | 303 | ||
Other secured borrowings, at fair value | Valuation, Market Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Fair value | $ (1,635,829) | $ (1,635,829) | $ (984,168) | ||
Other secured borrowings, at fair value | Measurement Input, Quoted Price | Valuation, Market Approach | Minimum | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Debt instrument, measurement input | 51.06 | 51.06 | 93.34 | ||
Other secured borrowings, at fair value | Measurement Input, Quoted Price | Valuation, Market Approach | Maximum | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Debt instrument, measurement input | 97.28 | 97.28 | 102.14 | ||
Other secured borrowings, at fair value | Measurement Input, Quoted Price | Valuation, Market Approach | Weighted Average | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Debt instrument, measurement input | 88.76 | 88.76 | 99.94 | ||
Investment in unconsolidated entities | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | $ 171,379 | $ 171,379 | $ 195,643 | ||
Investment in unconsolidated entities | Measurement Input, Net Asset Value | Enterprise Value | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 87,864 | 87,864 | 57,828 | ||
Investment in unconsolidated entities | Measurement Input, Exercise Price | Valuation, Cost Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Total assets | 50,667 | 50,667 | $ 14,036 | ||
Senior Notes | Valuation, Market Approach | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Fair value | $ (193,515) | $ (193,515) | |||
Senior Notes | Measurement Input, Quoted Price | Valuation, Market Approach | Minimum | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Debt instrument, measurement input | 92.15 | 92.15 | |||
Senior Notes | Measurement Input, Quoted Price | Valuation, Market Approach | Maximum | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Debt instrument, measurement input | 92.15 | 92.15 | |||
Senior Notes | Measurement Input, Quoted Price | Valuation, Market Approach | Weighted Average | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Debt instrument, measurement input | 92.15 | 92.15 | |||
Other secured borrowings, at fair value | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Liabilities, Payments | 129,249 | 453,032 | |||
Liabilities, Issuances | 0 | (575,147) | |||
Liabilities, Begining Balance | $ (1,448,182) | (1,003,037) | $ (984,168) | (754,921) | |
Liabilities, Accreted Discounts/Amortized Premiums | (397) | 0 | (397) | 0 | |
Liabilities, Realized Gain/(Loss) | 0 | 0 | 0 | 0 | |
Liabilities, Change In Net Unrealized Gain/(Loss) | 79,430 | 1,482 | 202,329 | 4,730 | |
Liabilities Purchases/Payments | 57,864 | 271,817 | |||
Liabilities, Sales/Issuance | (324,544) | (1,125,410) | |||
Liabilities, Transfers into Level 3 | 0 | 0 | 0 | 0 | |
Liabilities, Transfers out of Level 3 | 0 | 0 | 0 | 0 | |
Liabilities, Ending Balance | (1,635,829) | (872,306) | (1,635,829) | (872,306) | |
Change in unrealized gains (losses), liabilities | 79,400 | 1,500 | 202,300 | 4,700 | |
Financial Derivatives - Liabilities | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Change in unrealized gains (losses), liabilities | (37) | 100 | (37) | ||
Financial Derivatives - Liabilities | Total return swaps | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 0 | 0 | |||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |||
Assets, Realized Gain (Loss) | 0 | 0 | |||
Assets, Change In Net Unrealized Gain/(Loss) | (37) | (37) | |||
Assets, Purchases | 0 | 0 | |||
Assets, Sales | 0 | 0 | |||
Assets, Transfers into Level 3 | 0 | 0 | |||
Assets, Transfers out of Level 3 | 0 | 0 | |||
Assets, Ending Balance | (37) | (37) | |||
Senior notes | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Liabilities, Begining Balance | (202,650) | 0 | |||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | |||
Liabilities, Realized Gain/(Loss) | 0 | 0 | |||
Liabilities, Change In Net Unrealized Gain/(Loss) | 9,135 | 16,485 | |||
Liabilities Purchases/Payments | 0 | 0 | |||
Liabilities, Sales/Issuance | 0 | (210,000) | |||
Liabilities, Transfers into Level 3 | 0 | 0 | |||
Liabilities, Transfers out of Level 3 | 0 | 0 | |||
Liabilities, Ending Balance | (193,515) | (193,515) | |||
Senior Notes | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Change in unrealized gains (losses), liabilities | 9,100 | 16,500 | |||
Securities | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Change in unrealized gain (loss), assets | (8,000) | 3,100 | (31,800) | 13,600 | |
Securities | Agency RMBS | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 12,389 | 9,936 | 9,710 | 11,663 | |
Assets, Accreted Discounts/Amortized Premiums | (751) | (1,285) | (1,595) | (2,570) | |
Assets, Realized Gain (Loss) | (723) | (15) | 9 | 943 | |
Assets, Change In Net Unrealized Gain/(Loss) | (62) | 278 | (1,421) | (1,408) | |
Assets, Purchases | 0 | 2,038 | 840 | 2,039 | |
Assets, Sales | (2,214) | 0 | (1,074) | (1,533) | |
Assets, Transfers into Level 3 | 1,094 | 780 | 3,393 | 5,093 | |
Assets, Transfers out of Level 3 | (1,914) | 0 | (2,043) | (2,495) | |
Assets, Ending Balance | 7,819 | 11,732 | 7,819 | 11,732 | |
Securities | Non-Agency RMBS | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 131,449 | 114,464 | 134,888 | 127,838 | |
Assets, Accreted Discounts/Amortized Premiums | (73) | 612 | 743 | 1,926 | |
Assets, Realized Gain (Loss) | 216 | 680 | 2,167 | 2,993 | |
Assets, Change In Net Unrealized Gain/(Loss) | (5,402) | (1,918) | (14,655) | (2,533) | |
Assets, Purchases | 0 | 154 | 18,614 | 22,392 | |
Assets, Sales | (13,789) | (9,005) | (26,541) | (42,009) | |
Assets, Transfers into Level 3 | 3,240 | 1,613 | 18,916 | 5,831 | |
Assets, Transfers out of Level 3 | (9,856) | 0 | (28,347) | (9,838) | |
Assets, Ending Balance | 105,785 | 106,600 | 105,785 | 106,600 | |
Securities | CMBS | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 9,380 | 17,025 | 13,134 | 63,148 | |
Assets, Accreted Discounts/Amortized Premiums | 54 | 27 | 97 | 404 | |
Assets, Realized Gain (Loss) | 1,932 | 1,987 | 3,050 | 4,329 | |
Assets, Change In Net Unrealized Gain/(Loss) | (581) | (468) | (2,142) | 4,946 | |
Assets, Purchases | 0 | 0 | 620 | 0 | |
Assets, Sales | (3,265) | (15,070) | (5,297) | (60,449) | |
Assets, Transfers into Level 3 | 3,230 | 8,647 | 5,470 | 397 | |
Assets, Transfers out of Level 3 | 2,081 | 0 | 6,263 | 627 | |
Assets, Ending Balance | 8,669 | 12,148 | 8,669 | 12,148 | |
Securities | CLOs | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 23,378 | 33,989 | 26,678 | 111,100 | |
Assets, Accreted Discounts/Amortized Premiums | (631) | (1,688) | (2,048) | (371) | |
Assets, Realized Gain (Loss) | 3,324 | 2,689 | 6,231 | 934 | |
Assets, Change In Net Unrealized Gain/(Loss) | (221) | 3,007 | (2,859) | 19,782 | |
Assets, Purchases | 0 | 85 | 0 | 104 | |
Assets, Sales | (6,086) | (7,961) | (13,659) | (77,879) | |
Assets, Transfers into Level 3 | 643 | 0 | 8,205 | 1,601 | |
Assets, Transfers out of Level 3 | (3,119) | 0 | (5,260) | (25,150) | |
Assets, Ending Balance | 17,288 | 30,121 | 17,288 | 30,121 | |
Securities | Asset-backed securities, backed by consumer loans | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 78,183 | 69,254 | 73,108 | 44,925 | |
Assets, Accreted Discounts/Amortized Premiums | (2,376) | (1,813) | (4,528) | (3,796) | |
Assets, Realized Gain (Loss) | 318 | 287 | 18 | 466 | |
Assets, Change In Net Unrealized Gain/(Loss) | (2,618) | (1,598) | (8,250) | (3,181) | |
Assets, Purchases | 13,063 | 15,853 | 49,300 | 61,665 | |
Assets, Sales | (11,002) | (10,688) | (34,080) | (28,784) | |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | |
Assets, Ending Balance | 75,568 | 71,295 | 75,568 | 71,295 | |
Securities | Corporate debt securities | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 1,767 | 5,444 | 5,198 | 4,082 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | |
Assets, Realized Gain (Loss) | 133 | 1,271 | 1,666 | 1,497 | |
Assets, Change In Net Unrealized Gain/(Loss) | (148) | (700) | (1,828) | (517) | |
Assets, Purchases | 5,391 | 2,207 | 10,703 | 3,824 | |
Assets, Sales | (3,541) | (3,803) | (12,137) | (4,467) | |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | |
Assets, Ending Balance | 3,602 | 4,419 | 3,602 | 4,419 | |
Securities | Corporate equity securities | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 10,276 | 8,497 | 7,556 | 1,590 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | |
Assets, Realized Gain (Loss) | (80) | 661 | 1,659 | 276 | |
Assets, Change In Net Unrealized Gain/(Loss) | 188 | 224 | (1,176) | 2,538 | |
Assets, Purchases | 785 | 351 | 5,768 | 5,329 | |
Assets, Sales | 0 | (1,739) | (2,638) | (1,739) | |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | |
Assets, Ending Balance | 11,169 | 7,994 | 11,169 | 7,994 | |
Loans | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Change in unrealized gain (loss), assets | (113,100) | (4,700) | (297,600) | (2,400) | |
Loans | Residential mortgage loans | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 2,995,584 | 1,445,651 | 2,016,228 | 1,187,069 | |
Assets, Accreted Discounts/Amortized Premiums | (3,394) | (3,864) | (12,405) | (9,575) | |
Assets, Realized Gain (Loss) | (1,561) | 277 | 56 | 738 | |
Assets, Change In Net Unrealized Gain/(Loss) | (114,175) | (4,475) | (297,423) | (2,788) | |
Assets, Purchases | 712,965 | 405,291 | 2,332,444 | 955,069 | |
Assets, Sales | (240,609) | (186,179) | (690,090) | (473,812) | |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | |
Assets, Ending Balance | 3,348,810 | 1,656,701 | 3,348,810 | 1,656,701 | |
Loans | Commercial mortgage loans | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 477,378 | 228,450 | 326,197 | 213,031 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 24 | |
Assets, Realized Gain (Loss) | 11 | 17 | 22 | 323 | |
Assets, Change In Net Unrealized Gain/(Loss) | 54 | 71 | (1,170) | 141 | |
Assets, Purchases | 77,888 | 72,415 | 411,693 | 219,914 | |
Assets, Sales | (90,818) | (33,362) | (272,229) | (165,842) | |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | |
Assets, Ending Balance | 464,513 | 267,591 | 464,513 | 267,591 | |
Loans | Consumer loans | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 7,410 | 52,016 | 62,365 | 47,525 | |
Assets, Accreted Discounts/Amortized Premiums | (362) | (1,919) | (2,885) | (5,756) | |
Assets, Realized Gain (Loss) | (1,172) | (105) | (1,870) | (1,381) | |
Assets, Change In Net Unrealized Gain/(Loss) | 986 | 19 | 615 | 476 | |
Assets, Purchases | 523 | 13,941 | 11,505 | 40,008 | |
Assets, Sales | (1,347) | (8,276) | (63,692) | (25,196) | |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | |
Assets, Ending Balance | 6,038 | 55,676 | 6,038 | 55,676 | |
Loans | Corporate loan [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 10,448 | 16,584 | 10,531 | 5,855 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | |
Assets, Realized Gain (Loss) | 0 | 0 | (1,000) | 0 | |
Assets, Change In Net Unrealized Gain/(Loss) | 0 | (267) | 0 | (267) | |
Assets, Purchases | 100 | 254 | 2,425 | 10,985 | |
Assets, Sales | (7,014) | (10) | (8,422) | (12) | |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | |
Assets, Ending Balance | 3,534 | 16,561 | 3,534 | 16,561 | |
Investment in unconsolidated entities | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 192,269 | 178,979 | 195,643 | 141,620 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | |
Assets, Realized Gain (Loss) | (1,317) | 4,225 | (177) | 4,386 | |
Assets, Change In Net Unrealized Gain/(Loss) | (24,196) | (1,676) | (54,107) | 23,400 | |
Assets, Purchases | 36,928 | 9,674 | 232,838 | 92,008 | |
Assets, Sales | (32,305) | (49,183) | (202,818) | (119,395) | |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | |
Assets, Ending Balance | 171,379 | 142,019 | 171,379 | 142,019 | |
Change in unrealized gain (loss), assets | (27,000) | (2,700) | (61,000) | 19,900 | |
Financial Derivatives - Assets | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Change in unrealized gain (loss), assets | 700 | 100 | 600 | (100) | |
Financial Derivatives - Assets | Total return swaps | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 520 | 9 | |||
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | |||
Assets, Realized Gain (Loss) | 26 | 167 | |||
Assets, Change In Net Unrealized Gain/(Loss) | (520) | (9) | |||
Assets, Purchases | 0 | 0 | |||
Assets, Sales | (26) | (167) | |||
Assets, Transfers into Level 3 | 0 | 0 | |||
Assets, Transfers out of Level 3 | 0 | 0 | |||
Assets, Ending Balance | 0 | 0 | |||
Financial Derivatives - Assets | Credit default swaps on asset-backed securities | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Assets, Beginning Balance | 202 | 303 | 303 | 347 | |
Assets, Accreted Discounts/Amortized Premiums | 0 | 0 | 0 | 0 | |
Assets, Realized Gain (Loss) | (844) | (4) | (853) | 39 | |
Assets, Change In Net Unrealized Gain/(Loss) | 717 | 0 | 615 | (44) | |
Assets, Purchases | 2 | 4 | 12 | 10 | |
Assets, Sales | 0 | 0 | 0 | (49) | |
Assets, Transfers into Level 3 | 0 | 0 | 0 | 0 | |
Assets, Transfers out of Level 3 | 0 | 0 | 0 | 0 | |
Assets, Ending Balance | $ 77 | 303 | $ 77 | 303 | |
Financial Derivatives - Liabilities | Total return swaps | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Liabilities, Payments | 67 | 1,428 | |||
Liabilities, Issuances | 0 | 0 | |||
Liabilities, Begining Balance | (56) | (484) | |||
Liabilities, Accreted Discounts/Amortized Premiums | 0 | 0 | |||
Liabilities, Realized Gain/(Loss) | (67) | (1,428) | |||
Liabilities, Change In Net Unrealized Gain/(Loss) | 56 | 484 | |||
Liabilities, Transfers into Level 3 | 0 | 0 | |||
Liabilities, Transfers out of Level 3 | 0 | 0 | |||
Liabilities, Ending Balance | $ 0 | $ 0 |
Valuation (Fair Value of Other Financial Instruments) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|||
Assets: | ||||
Cash and cash equivalents | [1] | $ 175,230 | $ 92,661 | |
Due from brokers | 86,957 | 93,549 | ||
Reverse repurchase agreements | 204,654 | 123,250 | ||
Liabilities: | ||||
Repurchase agreements | [1] | 2,895,019 | 2,469,763 | |
Other secured borrowings | [1] | 40,900 | 96,622 | |
Senior notes, net | 0 | 85,802 | ||
Due to brokers | 61,978 | 2,233 | ||
Credit Default Swap, Selling Protection [Member] | ||||
Liabilities: | ||||
Total net up-front payments received | 800 | 800 | ||
Fair Value | ||||
Assets: | ||||
Cash and cash equivalents | 175,230 | 92,661 | ||
Restricted cash | 0 | 175 | ||
Due from brokers | 86,957 | 93,549 | ||
Reverse repurchase agreements | 204,654 | 123,250 | ||
Liabilities: | ||||
Repurchase agreements | 2,895,019 | 2,469,763 | ||
Other secured borrowings | 40,900 | 96,622 | ||
Senior notes, net | 0 | 86,249 | ||
Due to brokers | 61,978 | 2,233 | ||
Carrying Value | ||||
Assets: | ||||
Cash and cash equivalents | 175,230 | 92,661 | ||
Restricted cash | 0 | 175 | ||
Due from brokers | 86,957 | 93,549 | ||
Reverse repurchase agreements | 204,654 | 123,250 | ||
Liabilities: | ||||
Repurchase agreements | 2,895,019 | 2,469,763 | ||
Other secured borrowings | 40,900 | 96,622 | ||
Senior notes, net | 0 | 85,802 | ||
Due to brokers | $ 61,978 | $ 2,233 | ||
|
Investment in Securities (Summary of Investment in Securities) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ 1,562,334 | $ 1,993,242 | ||||
Unamortized Premium (Discount) | (150,657) | (143,262) | ||||
Amortized Cost | 1,510,819 | 1,975,520 | ||||
Gross Unrealized Gains | 33,362 | 36,882 | ||||
Gross Unrealized Losses | (220,951) | (45,567) | ||||
Investment Owned At Fair Value, Net | 1,323,230 | 1,966,835 | ||||
Securities, at fair value(1)(2) | [1],[2] | 1,522,772 | 2,087,360 | |||
Securities sold short, at fair value | $ (199,542) | $ (120,525) | ||||
Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.66% | 3.52% | ||||
Weighted Average Yield | 4.05% | 3.24% | ||||
Weighted average life | 7 years 1 month 2 days | 5 years 11 months 8 days | ||||
Long | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ 1,778,662 | $ 2,115,078 | ||||
Unamortized Premium (Discount) | (152,013) | (144,853) | ||||
Amortized Cost | 1,725,791 | 2,095,765 | ||||
Gross Unrealized Gains | 17,749 | 36,320 | ||||
Gross Unrealized Losses | (220,768) | (44,725) | ||||
Securities, at fair value(1)(2) | $ 1,522,772 | $ 2,087,360 | ||||
Long | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.67% | 3.37% | ||||
Weighted Average Yield | 4.29% | 3.37% | ||||
Weighted average life | 7 years 4 months 17 days | 5 years 10 months 24 days | ||||
Long | 15-year fixed-rate mortgages | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ 156,524 | $ 223,140 | ||||
Unamortized Premium (Discount) | 4,390 | 10,668 | ||||
Amortized Cost | 160,914 | 233,808 | ||||
Gross Unrealized Gains | 0 | 696 | ||||
Gross Unrealized Losses | (18,212) | (1,953) | ||||
Securities, at fair value(1)(2) | $ 142,702 | $ 232,551 | ||||
Long | 15-year fixed-rate mortgages | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 2.54% | 2.65% | ||||
Weighted Average Yield | 1.76% | 1.44% | ||||
Weighted average life | 4 years 5 months 12 days | 4 years 5 months 12 days | ||||
Long | 20-year fixed-rate mortgages | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ 7,382 | $ 46,353 | ||||
Unamortized Premium (Discount) | 393 | 2,800 | ||||
Amortized Cost | 7,775 | 49,153 | ||||
Gross Unrealized Gains | 0 | 16 | ||||
Gross Unrealized Losses | (1,488) | (1,280) | ||||
Securities, at fair value(1)(2) | $ 6,287 | $ 47,889 | ||||
Long | 20-year fixed-rate mortgages | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 2.41% | 2.42% | ||||
Weighted Average Yield | 1.56% | 1.31% | ||||
Weighted average life | 7 years 1 month 2 days | 5 years 7 months 13 days | ||||
Long | 30-year fixed-rate mortgages | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ 1,037,876 | $ 1,265,499 | ||||
Unamortized Premium (Discount) | 22,495 | 59,047 | ||||
Amortized Cost | 1,060,371 | 1,324,546 | ||||
Gross Unrealized Gains | 0 | 8,187 | ||||
Gross Unrealized Losses | (130,864) | (12,311) | ||||
Securities, at fair value(1)(2) | $ 929,507 | $ 1,320,422 | ||||
Long | 30-year fixed-rate mortgages | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.32% | 3.01% | ||||
Weighted Average Yield | 2.91% | 2.13% | ||||
Weighted average life | 8 years 11 months 4 days | 7 years | ||||
Long | Adjustable rate mortgages | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ 6,672 | $ 9,131 | ||||
Unamortized Premium (Discount) | 584 | 566 | ||||
Amortized Cost | 7,256 | 9,697 | ||||
Gross Unrealized Gains | 0 | 25 | ||||
Gross Unrealized Losses | (758) | (266) | ||||
Securities, at fair value(1)(2) | $ 6,498 | $ 9,456 | ||||
Long | Adjustable rate mortgages | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.41% | 3.15% | ||||
Weighted Average Yield | 2.29% | 2.12% | ||||
Weighted average life | 4 years 9 months 14 days | 4 years 7 months 13 days | ||||
Long | Reverse mortgages | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ 30,502 | $ 50,601 | ||||
Unamortized Premium (Discount) | 3,189 | 3,215 | ||||
Amortized Cost | 33,691 | 53,816 | ||||
Gross Unrealized Gains | 0 | 300 | ||||
Gross Unrealized Losses | (2,895) | (1,106) | ||||
Securities, at fair value(1)(2) | $ 30,796 | $ 53,010 | ||||
Long | Reverse mortgages | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.47% | 3.06% | ||||
Weighted Average Yield | 2.39% | 2.21% | ||||
Weighted average life | 4 years 8 months 1 day | 4 years 2 months 1 day | ||||
Long | Interest only securities | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Amortized Cost | $ 20,101 | $ 32,607 | ||||
Gross Unrealized Gains | 1,510 | 3,371 | ||||
Gross Unrealized Losses | (2,086) | (2,690) | ||||
Securities, at fair value(1)(2) | $ 19,525 | $ 33,288 | ||||
Long | Interest only securities | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.53% | 3.46% | ||||
Weighted Average Yield | 9.63% | 8.91% | ||||
Weighted average life | 5 years 6 months 14 days | 4 years 3 months 29 days | ||||
Long | Non-Agency RMBS | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ 331,522 | $ 326,762 | ||||
Unamortized Premium (Discount) | (117,925) | (130,015) | ||||
Amortized Cost | 213,597 | 196,747 | ||||
Gross Unrealized Gains | 5,021 | 10,276 | ||||
Gross Unrealized Losses | (25,319) | (5,418) | ||||
Securities, at fair value(1)(2) | $ 193,299 | $ 201,605 | ||||
Long | Non-Agency RMBS | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.85% | 4.17% | ||||
Weighted Average Yield | 7.28% | 6.15% | ||||
Weighted average life | 6 years 2 months 12 days | 3 years 11 months 26 days | ||||
Long | CMBS | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ 38,996 | $ 46,873 | ||||
Unamortized Premium (Discount) | (17,920) | (23,570) | ||||
Amortized Cost | 21,076 | 23,303 | ||||
Gross Unrealized Gains | 388 | 469 | ||||
Gross Unrealized Losses | (5,787) | (892) | ||||
Securities, at fair value(1)(2) | $ 15,677 | $ 22,880 | ||||
Long | CMBS | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 2.60% | 2.84% | ||||
Weighted Average Yield | 8.45% | 7.00% | ||||
Weighted average life | 8 years 1 month 28 days | 7 years 10 months 6 days | ||||
Long | Non-Agency IOs | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Amortized Cost | $ 23,450 | $ 16,701 | ||||
Gross Unrealized Gains | 4,471 | 1,405 | ||||
Gross Unrealized Losses | (797) | (394) | ||||
Securities, at fair value(1)(2) | $ 27,124 | $ 17,712 | ||||
Long | Non-Agency IOs | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 0.20% | 0.64% | ||||
Weighted Average Yield | 14.84% | 14.71% | ||||
Weighted average life | 8 years 4 months 28 days | 5 years 5 months 4 days | ||||
Long | CLOs | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Amortized Cost | $ 45,013 | $ 70,444 | ||||
Gross Unrealized Gains | 2,999 | 5,919 | ||||
Gross Unrealized Losses | (17,477) | (14,034) | ||||
Securities, at fair value(1)(2) | $ 30,535 | $ 62,329 | ||||
Long | CLOs | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.87% | 3.59% | ||||
Weighted Average Yield | 8.69% | 8.94% | ||||
Weighted average life | 3 years 6 months 14 days | 3 years 1 month 9 days | ||||
Long | Asset-backed securities, backed by consumer loans | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ 111,727 | $ 118,154 | ||||
Unamortized Premium (Discount) | (26,001) | (43,139) | ||||
Amortized Cost | 85,726 | 75,015 | ||||
Gross Unrealized Gains | 432 | 1,242 | ||||
Gross Unrealized Losses | (10,590) | (3,149) | ||||
Securities, at fair value(1)(2) | $ 75,568 | $ 73,108 | ||||
Long | Asset-backed securities, backed by consumer loans | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 12.00% | 11.65% | ||||
Weighted Average Yield | 12.93% | 14.80% | ||||
Weighted average life | 1 year 2 months 4 days | 1 year 3 months 18 days | ||||
Long | Corporate debt securities | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ 25,161 | $ 28,565 | ||||
Unamortized Premium (Discount) | (21,244) | (24,425) | ||||
Amortized Cost | 3,917 | 4,140 | ||||
Gross Unrealized Gains | 88 | 1,723 | ||||
Gross Unrealized Losses | (403) | (309) | ||||
Securities, at fair value(1)(2) | $ 3,602 | $ 5,554 | ||||
Long | Corporate debt securities | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 0.00% | 0.65% | ||||
Weighted Average Yield | 0.00% | 7.50% | ||||
Weighted average life | 1 year 1 month 6 days | 1 year 11 months 15 days | ||||
Long | Corporate equity securities | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Amortized Cost | $ 10,578 | $ 5,788 | ||||
Gross Unrealized Gains | 2,840 | 2,691 | ||||
Gross Unrealized Losses | (2,249) | (923) | ||||
Securities, at fair value(1)(2) | 11,169 | 7,556 | ||||
Long | U.S. Treasury securities | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | 32,300 | |||||
Unamortized Premium (Discount) | 26 | |||||
Amortized Cost | 32,326 | |||||
Gross Unrealized Gains | 0 | |||||
Gross Unrealized Losses | (1,843) | |||||
Securities, at fair value(1)(2) | $ 30,483 | |||||
Long | U.S. Treasury securities | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 2.89% | |||||
Weighted Average Yield | 2.85% | |||||
Weighted average life | 5 years 3 months 29 days | |||||
Short | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ (216,328) | (121,836) | ||||
Unamortized Premium (Discount) | 1,356 | 1,591 | ||||
Investment Sold, Not yet Purchased, Sale Proceeds | (214,972) | (120,245) | ||||
Gross Unrealized Gains | 15,613 | 562 | ||||
Gross Unrealized Losses | (183) | (842) | ||||
Securities sold short, at fair value | $ (199,542) | $ (120,525) | ||||
Short | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.93% | 0.87% | ||||
Weighted Average Yield | 2.21% | 1.02% | ||||
Weighted average life | 4 years 11 months 4 days | 6 years 8 months 23 days | ||||
Short | Corporate debt securities | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ (93,750) | |||||
Unamortized Premium (Discount) | 1,421 | |||||
Investment Sold, Not yet Purchased, Sale Proceeds | (92,329) | |||||
Gross Unrealized Gains | 406 | |||||
Gross Unrealized Losses | (267) | |||||
Securities sold short, at fair value | $ (92,190) | |||||
Short | Corporate debt securities | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.13% | |||||
Weighted Average Yield | 1.31% | |||||
Weighted average life | 7 years 9 months 21 days | |||||
Short | U.S. Treasury securities | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ (193,100) | |||||
Unamortized Premium (Discount) | 4,956 | |||||
Investment Sold, Not yet Purchased, Sale Proceeds | (188,144) | |||||
Gross Unrealized Gains | 10,723 | |||||
Gross Unrealized Losses | (183) | |||||
Securities sold short, at fair value | $ (177,604) | |||||
Short | U.S. Treasury securities | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 2.16% | |||||
Weighted Average Yield | 2.51% | |||||
Weighted average life | 5 years 2 months 26 days | |||||
Short | European sovereign bonds | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Current Principal | $ (23,228) | $ (28,086) | ||||
Unamortized Premium (Discount) | (3,600) | 170 | ||||
Investment Sold, Not yet Purchased, Sale Proceeds | (26,828) | (27,916) | ||||
Gross Unrealized Gains | 4,890 | 156 | ||||
Gross Unrealized Losses | 0 | (575) | ||||
Securities sold short, at fair value | $ (21,938) | $ (28,335) | ||||
Short | European sovereign bonds | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 0.01% | 0.01% | ||||
Weighted Average Yield | 0.04% | 0.05% | ||||
Weighted average life | 2 years 5 months 4 days | 3 years 2 months 4 days | ||||
|
Investment in Securities (Maturities of Securities) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
||||
---|---|---|---|---|---|---|
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | [1],[2] | $ 1,522,772 | $ 2,087,360 | |||
Amortized Cost | $ 1,510,819 | $ 1,975,520 | ||||
Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.66% | 3.52% | ||||
Long | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 1,522,772 | $ 2,087,360 | ||||
Amortized Cost | $ 1,725,791 | $ 2,095,765 | ||||
Long | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.67% | 3.37% | ||||
Long | Agency RMBS | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 1,115,790 | $ 1,663,328 | ||||
Amortized Cost | $ 1,270,007 | $ 1,671,020 | ||||
Long | Agency RMBS | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.22% | 2.95% | ||||
Long | Agency RMBS | Less than three years [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 21,155 | $ 45,956 | ||||
Amortized Cost | $ 22,926 | $ 45,678 | ||||
Long | Agency RMBS | Less than three years [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.60% | 3.99% | ||||
Long | Agency RMBS | Greater than three years less than seven years [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 220,121 | $ 950,723 | ||||
Amortized Cost | $ 246,931 | $ 955,157 | ||||
Long | Agency RMBS | Greater than three years less than seven years [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.13% | 3.24% | ||||
Long | Agency RMBS | Greater than seven years less than eleven [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 869,360 | $ 665,617 | ||||
Amortized Cost | $ 993,984 | $ 669,147 | ||||
Long | Agency RMBS | Greater than seven years less than eleven [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.23% | 2.46% | ||||
Long | Agency RMBS | Greater than eleven year [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 5,154 | $ 1,032 | ||||
Amortized Cost | $ 6,166 | $ 1,038 | ||||
Long | Agency RMBS | Greater than eleven year [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 2.69% | 1.99% | ||||
Long | Agency RMBS | Interest only securities | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 19,525 | $ 33,288 | ||||
Amortized Cost | $ 20,101 | $ 32,607 | ||||
Long | Agency RMBS | Interest only securities | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.53% | 3.46% | ||||
Long | Agency RMBS | Interest only securities | Less than three years [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 2,456 | $ 8,981 | ||||
Amortized Cost | $ 2,906 | $ 8,466 | ||||
Long | Agency RMBS | Interest only securities | Less than three years [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 0.98% | 3.10% | ||||
Long | Agency RMBS | Interest only securities | Greater than three years less than seven years [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 11,713 | $ 22,497 | ||||
Amortized Cost | $ 12,321 | $ 22,379 | ||||
Long | Agency RMBS | Interest only securities | Greater than three years less than seven years [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.72% | 3.76% | ||||
Long | Agency RMBS | Interest only securities | Greater than seven years less than eleven [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 5,073 | $ 1,810 | ||||
Amortized Cost | $ 4,555 | $ 1,762 | ||||
Long | Agency RMBS | Interest only securities | Greater than seven years less than eleven [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 2.51% | 1.46% | ||||
Long | Agency RMBS | Interest only securities | Greater than eleven year [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 283 | $ 0 | ||||
Amortized Cost | $ 319 | $ 0 | ||||
Long | Agency RMBS | Interest only securities | Greater than eleven year [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 0.68% | 0.00% | ||||
Long | Non-Agency RMBS and CMBS | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 208,976 | $ 224,485 | ||||
Amortized Cost | $ 234,673 | $ 220,050 | ||||
Long | Non-Agency RMBS and CMBS | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.72% | 4.03% | ||||
Long | Non-Agency RMBS and CMBS | Less than three years [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 67,934 | $ 96,277 | ||||
Amortized Cost | $ 72,559 | $ 92,396 | ||||
Long | Non-Agency RMBS and CMBS | Less than three years [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.57% | 4.31% | ||||
Long | Non-Agency RMBS and CMBS | Greater than three years less than seven years [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 55,935 | $ 93,787 | ||||
Amortized Cost | $ 58,953 | $ 90,822 | ||||
Long | Non-Agency RMBS and CMBS | Greater than three years less than seven years [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 4.17% | 4.79% | ||||
Long | Non-Agency RMBS and CMBS | Greater than seven years less than eleven [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 57,705 | $ 26,639 | ||||
Amortized Cost | $ 69,132 | $ 28,293 | ||||
Long | Non-Agency RMBS and CMBS | Greater than seven years less than eleven [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.98% | 1.80% | ||||
Long | Non-Agency RMBS and CMBS | Greater than eleven year [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 27,402 | $ 7,782 | ||||
Amortized Cost | $ 34,029 | $ 8,539 | ||||
Long | Non-Agency RMBS and CMBS | Greater than eleven year [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.02% | 0.34% | ||||
Long | Non-Agency RMBS | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 193,299 | $ 201,605 | ||||
Amortized Cost | $ 213,597 | $ 196,747 | ||||
Long | Non-Agency RMBS | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 3.85% | 4.17% | ||||
Long | Non-Agency RMBS | Interest only securities | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 27,124 | $ 17,712 | ||||
Amortized Cost | $ 23,450 | $ 16,701 | ||||
Long | Non-Agency RMBS | Interest only securities | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 0.20% | 0.64% | ||||
Long | Non-Agency RMBS | Interest only securities | Less than three years [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 1,615 | $ 6,360 | ||||
Amortized Cost | $ 1,107 | $ 5,504 | ||||
Long | Non-Agency RMBS | Interest only securities | Less than three years [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.64% | 0.85% | ||||
Long | Non-Agency RMBS | Interest only securities | Greater than three years less than seven years [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 3,913 | $ 2,187 | ||||
Amortized Cost | $ 4,366 | $ 2,141 | ||||
Long | Non-Agency RMBS | Interest only securities | Greater than three years less than seven years [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 1.47% | 0.12% | ||||
Long | Non-Agency RMBS | Interest only securities | Greater than seven years less than eleven [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 21,596 | $ 9,165 | ||||
Amortized Cost | $ 17,977 | $ 9,056 | ||||
Long | Non-Agency RMBS | Interest only securities | Greater than seven years less than eleven [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 0.17% | 0.63% | ||||
Long | Non-Agency RMBS | Interest only securities | Greater than eleven year [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 0 | $ 0 | ||||
Amortized Cost | $ 0 | $ 0 | ||||
Long | Non-Agency RMBS | Interest only securities | Greater than eleven year [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 0.00% | 0.00% | ||||
Long | CLOs And Other Securities [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 140,188 | $ 140,991 | ||||
Amortized Cost | $ 166,982 | $ 149,599 | ||||
Long | CLOs And Other Securities [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 4.95% | 7.55% | ||||
Long | CLOs And Other Securities [Member] | Less than three years [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 94,901 | $ 110,953 | ||||
Amortized Cost | $ 109,256 | $ 114,392 | ||||
Long | CLOs And Other Securities [Member] | Less than three years [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 6.24% | 8.82% | ||||
Long | CLOs And Other Securities [Member] | Greater than three years less than seven years [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 45,287 | $ 30,038 | ||||
Amortized Cost | $ 57,726 | $ 35,207 | ||||
Long | CLOs And Other Securities [Member] | Greater than three years less than seven years [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 2.20% | 3.42% | ||||
Long | CLOs And Other Securities [Member] | Greater than seven years less than eleven [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 0 | $ 0 | ||||
Amortized Cost | $ 0 | $ 0 | ||||
Long | CLOs And Other Securities [Member] | Greater than seven years less than eleven [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 0.00% | 0.00% | ||||
Long | CLOs And Other Securities [Member] | Greater than eleven year [Member] | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 0 | $ 0 | ||||
Amortized Cost | $ 0 | $ 0 | ||||
Long | CLOs And Other Securities [Member] | Greater than eleven year [Member] | Weighted Average | ||||||
Securities, Available-for-sale [Line Items] | ||||||
Weighted Average Coupon | 0.00% | 0.00% | ||||
|
Investment in Securities (Summary of Investment Income) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
|
Securities, Available-for-sale [Line Items] | ||||
Interest Income | $ 78,592 | $ 40,146 | $ 192,388 | $ 126,115 |
Level 3 | ||||
Securities, Available-for-sale [Line Items] | ||||
Assets, Transfers into Level 3 | 8,207 | 11,040 | 35,984 | 12,922 |
Agency RMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 11,950 | 14,797 | 39,227 | 43,449 |
Net Amortization | (1,169) | (9,551) | (9,199) | (20,123) |
Interest Income | 10,781 | 5,246 | 30,028 | 23,326 |
Non-Agency RMBS and CMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 5,020 | 3,307 | 13,878 | 10,321 |
Net Amortization | (52) | 748 | 79 | 3,179 |
Interest Income | 4,968 | 4,055 | 13,957 | 13,500 |
CLOs | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 1,523 | 3,532 | 5,139 | 7,978 |
Net Amortization | (595) | (1,456) | (1,800) | 59 |
Interest Income | 928 | 2,076 | 3,339 | 8,037 |
Other Securities | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 5,473 | 4,590 | 15,616 | 12,296 |
Net Amortization | (2,377) | (1,813) | (4,525) | (3,796) |
Interest Income | 3,096 | 2,777 | 11,091 | 8,500 |
Securities Investment [Member] | ||||
Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 23,966 | 26,226 | 73,860 | 74,044 |
Net Amortization | (4,193) | (12,072) | (15,445) | (20,681) |
Interest Income | $ 19,773 | $ 14,154 | $ 58,415 | $ 53,363 |
Investment in Securities (Proceeds, Realized Gains (Losses) on Sales) (Details) - USD ($) |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
|
Securities, Available-for-sale [Line Items] | ||||
Proceeds | $ 405,531,000 | $ 328,763,000 | $ 1,091,040,000 | $ 1,116,415,000 |
Available-for-sale Securities, Gross Realized Gains | 6,898,000 | 10,024,000 | 20,354,000 | 24,154,000 |
Available-for-sale Securities, Gross Realized Losses | 35,716,000 | 3,254,000 | 70,904,000 | 12,870,000 |
Available-for-sale Securities, Gross Realized Gain (Loss) | (28,818,000) | 6,770,000 | (50,550,000) | 11,284,000 |
Available-for-sale securities Realizes Losses - adjustments to cost basis of certain securities | (2,000,000.0) | (300,000) | (4,500,000) | (1,500,000) |
Agency RMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds | 311,908,000 | 128,510,000 | 878,629,000 | 620,728,000 |
Available-for-sale Securities, Gross Realized Gains | 728,000 | 831,000 | 1,923,000 | 4,171,000 |
Available-for-sale Securities, Gross Realized Losses | 34,921,000 | 1,860,000 | 68,939,000 | 9,114,000 |
Available-for-sale Securities, Gross Realized Gain (Loss) | (34,193,000) | (1,029,000) | (67,016,000) | (4,943,000) |
Non-Agency RMBS and CMBS | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds | 13,121,000 | 55,122,000 | 20,715,000 | 196,874,000 |
Available-for-sale Securities, Gross Realized Gains | 2,210,000 | 3,887,000 | 6,546,000 | 13,396,000 |
Available-for-sale Securities, Gross Realized Losses | 372,000 | 1,081,000 | 398,000 | 2,598,000 |
Available-for-sale Securities, Gross Realized Gain (Loss) | 1,838,000 | 2,806,000 | 6,148,000 | 10,798,000 |
CLOs | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds | 992,000 | 0 | 18,259,000 | 129,001,000 |
Available-for-sale Securities, Gross Realized Gains | 3,324,000 | 2,846,000 | 7,584,000 | 3,882,000 |
Available-for-sale Securities, Gross Realized Losses | 57,000 | 0 | 747,000 | 973,000 |
Available-for-sale Securities, Gross Realized Gain (Loss) | 3,267,000 | 2,846,000 | 6,837,000 | 2,909,000 |
Other Securities | ||||
Securities, Available-for-sale [Line Items] | ||||
Proceeds | 79,510,000 | 145,131,000 | 173,437,000 | 169,812,000 |
Available-for-sale Securities, Gross Realized Gains | 636,000 | 2,460,000 | 4,301,000 | 2,705,000 |
Available-for-sale Securities, Gross Realized Losses | 366,000 | 313,000 | 820,000 | 185,000 |
Available-for-sale Securities, Gross Realized Gain (Loss) | $ 270,000 | $ 2,147,000 | $ 3,481,000 | $ 2,520,000 |
Investment in Securities (Unrealized Loss Positions Securities) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
---|---|---|
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | $ 977,598 | $ 1,094,937 |
Unrealized Losses, Less than 12 Months | (117,719) | (16,006) |
Fair Value, Greater than 12 Months | 291,949 | 44,888 |
Unrealized Losses, Greater than 12 Months | (59,923) | (6,414) |
Fair Value, Total | 1,269,547 | 1,139,825 |
Unrealized Loss, Total | (177,642) | (22,420) |
Agency RMBS | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 873,628 | 1,083,017 |
Unrealized Losses, Less than 12 Months | (108,405) | (15,190) |
Fair Value, Greater than 12 Months | 245,402 | 39,124 |
Unrealized Losses, Greater than 12 Months | (46,133) | (1,815) |
Fair Value, Total | 1,119,030 | 1,122,141 |
Unrealized Loss, Total | (154,538) | (17,005) |
Non-Agency RMBS | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 64,863 | 11,296 |
Unrealized Losses, Less than 12 Months | (5,565) | (802) |
Fair Value, Greater than 12 Months | 30,650 | 4,462 |
Unrealized Losses, Greater than 12 Months | (7,862) | (1,850) |
Fair Value, Total | 95,513 | 15,758 |
Unrealized Loss, Total | (13,427) | (2,652) |
CLOs | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 5,985 | 624 |
Unrealized Losses, Less than 12 Months | (504) | (14) |
Fair Value, Greater than 12 Months | 15,332 | 1,302 |
Unrealized Losses, Greater than 12 Months | (5,081) | (2,749) |
Fair Value, Total | 21,317 | 1,926 |
Unrealized Loss, Total | (5,585) | $ (2,763) |
Other Securities | ||
Securities, Available-for-sale [Line Items] | ||
Fair Value, Less than 12 Months | 33,122 | |
Unrealized Losses, Less than 12 Months | (3,245) | |
Fair Value, Greater than 12 Months | 565 | |
Unrealized Losses, Greater than 12 Months | (847) | |
Fair Value, Total | 33,687 | |
Unrealized Loss, Total | $ (4,092) |
Investment in Securities (Narrative) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | 12 Months Ended | ||
---|---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
Dec. 31, 2021 |
|
Securities, Available-for-sale [Line Items] | |||||
Debt Securities, Available-for-sale, Allowance for Credit Loss | $ 28,000 | $ 28,000 | $ 17,500 | ||
Debt Securities, Available-for-sale, Purchased with Credit Deterioration, Allowance for Credit Loss at Acquisition Date | 300 | ||||
Available-for-sale securities Realizes Losses - Write offs | (2,000) | $ (300) | (4,500) | $ (1,500) | |
Catch-up premium amortization adjustment | 1,600 | $ (2,900) | 3,100 | 10 | |
Residential mortgage loans | Loans held-for-investment [Member] | |||||
Securities, Available-for-sale [Line Items] | |||||
Financing Receivable, Allowance for Credit Loss | $ 24,200 | $ 24,200 | $ 3,000 | ||
Realized Losses, Write offs on loans | $ (33) |
Investment in Loans (Schedule of Investments in Loans) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
||||
---|---|---|---|---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Current Principal/Notional Amount | $ 4,073,065 | $ 2,366,724 | ||||
Fair Value | [1],[2] | 3,822,895 | 2,415,321 | |||
Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Current Principal/Notional Amount | 3,597,404 | 1,969,874 | ||||
Fair Value | 3,348,810 | 2,016,228 | ||||
Commercial mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Current Principal/Notional Amount | 465,924 | 326,438 | ||||
Fair Value | 464,513 | 326,197 | ||||
Consumer loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Current Principal/Notional Amount | 6,203 | 59,881 | ||||
Fair Value | 6,038 | 62,365 | ||||
Corporate loan [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Current Principal/Notional Amount | 3,534 | 10,531 | ||||
Fair Value | $ 3,534 | $ 10,531 | ||||
|
Investment in Loans (Schedule of 90 Days or More Past Due) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
||||
---|---|---|---|---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 4,073,065 | $ 2,366,724 | ||||
Loans, at fair value | [1],[2] | 3,822,895 | 2,415,321 | |||
Commercial mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 465,924 | 326,438 | ||||
Loans, at fair value | 464,513 | 326,197 | ||||
Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 3,597,404 | 1,969,874 | ||||
Loans, at fair value | 3,348,810 | 2,016,228 | ||||
Consumer loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 6,203 | 59,881 | ||||
Loans, at fair value | 6,038 | 62,365 | ||||
Non-accrual status [Member] | Commercial mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Loans, at fair value | 15,500 | |||||
Non-accrual status [Member] | Commercial mortgage loans | 90 Days or More Past Due [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 31,800 | 15,500 | ||||
Loans, at fair value | 31,773 | 15,462 | ||||
Non-accrual status [Member] | Residential mortgage loans | 90 Days or More Past Due [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 38,382 | 36,528 | ||||
Loans, at fair value | 35,505 | 33,288 | ||||
Non-accrual status [Member] | Consumer loans | 90 Days or More Past Due [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 169 | 600 | ||||
Loans, at fair value | $ 157 | $ 589 | ||||
|
Investment in Loans (Schedule of Residential Mortgage Loans) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 4,073,065 | $ 2,366,724 | ||||
Unamortized Premium (Discount) | (150,657) | (143,262) | ||||
Fair Value | [1],[2] | $ 3,822,895 | $ 2,415,321 | |||
Weighted Average | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Weighted Average Coupon | 1.66% | 3.52% | ||||
Weighted Average Yield | 4.05% | 3.24% | ||||
Weighted average life | 7 years 1 month 2 days | 5 years 11 months 8 days | ||||
Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 3,597,404 | $ 1,969,874 | ||||
Unamortized Premium (Discount) | 46,583 | 44,039 | ||||
Amortized Cost | 3,643,987 | 2,013,913 | ||||
Gains | 2,590 | 15,499 | ||||
Losses | (297,767) | (13,184) | ||||
Fair Value | 3,348,810 | 2,016,228 | ||||
Residential mortgage loans | Non-performing | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 36,738 | 33,949 | ||||
Fair Value | $ 33,969 | $ 30,806 | ||||
Residential mortgage loans | Weighted Average | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Weighted Average Coupon | 6.22% | 5.63% | ||||
Weighted Average Yield | 5.56% | 4.68% | ||||
Weighted average life | 4 years 1 month 9 days | 2 years 18 days | ||||
Consolidated securitization trusts [Member] | Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Gains | $ 70 | $ 11,500 | ||||
Losses | 233,400 | 3,700 | ||||
Loans held-for-investment [Member] | Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 3,281,521 | 1,958,807 | ||||
Unamortized Premium (Discount) | 42,821 | 45,462 | ||||
Amortized Cost | 3,324,342 | 2,004,269 | ||||
Gains | 2,494 | 13,792 | ||||
Losses | (274,648) | (13,173) | ||||
Fair Value | $ 3,052,188 | $ 2,004,888 | ||||
Loans held-for-investment [Member] | Residential mortgage loans | Weighted Average | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Weighted Average Coupon | 6.22% | 5.63% | ||||
Weighted Average Yield | 5.53% | 4.67% | ||||
Weighted average life | 3 years 11 months 26 days | 2 years 21 days | ||||
Loans held-for-sale | Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 315,883 | $ 11,067 | ||||
Unamortized Premium (Discount) | 3,762 | (1,423) | ||||
Amortized Cost | 319,645 | 9,644 | ||||
Gains | 96 | 1,707 | ||||
Losses | (23,119) | (11) | ||||
Fair Value | $ 296,622 | $ 11,340 | ||||
Loans held-for-sale | Residential mortgage loans | Weighted Average | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Weighted Average Coupon | 6.16% | 4.58% | ||||
Weighted Average Yield | 5.91% | 5.94% | ||||
Weighted average life | 5 years 4 months 28 days | 29 days | ||||
Non-QM loan securitization | Residential mortgage loans | Consolidated Entities [Member] | Securitized loans [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Fair Value | $ 1,762,845 | $ 1,041,545 | ||||
|
Investment in Loans (Schedule of Residential Mortgage Loans: Geographic Distribution) (Details) - Financing Receivables, Unpaid Principal Balance [Member] - Residential mortgage loans - Geographic Concentration Risk [Member] |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 100.00% | 100.00% |
CALIFORNIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 34.20% | 40.20% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 16.60% | 14.90% |
Texas [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 10.50% | 11.90% |
Colorado [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.60% | 2.00% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.90% | 2.20% |
WASHINGTON | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.70% | 1.50% |
NEVADA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.90% | 1.90% |
OREGON | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.30% | 1.80% |
ARIZONA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 3.00% | 2.10% |
UTAH | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 3.50% | 2.90% |
NEW YORK | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.30% | 1.70% |
CONNECTICUT | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 0.90% | 1.20% |
MARYLAND | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.00% | 0.70% |
NORTH CAROLINA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.60% | 1.80% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.80% | 1.10% |
ILLINOIS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.70% | 2.00% |
Other [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 7.70% | 6.10% |
GEORGIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.40% | 1.50% |
Tennessee [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.30% | 1.60% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.10% | 0.90% |
Investment in Loans Investment in Loans (Schedule of Residential Mortgage Loans: Performance) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
||||
---|---|---|---|---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 4,073,065 | $ 2,366,724 | ||||
Loans, at fair value | [1],[2] | 3,822,895 | 2,415,321 | |||
Residential mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 3,597,404 | 1,969,874 | ||||
Loans, at fair value | 3,348,810 | 2,016,228 | ||||
Residential mortgage loans | Performing Financial Instruments [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 9,751 | 20,712 | ||||
Loans, at fair value | 8,597 | 20,611 | ||||
Residential mortgage loans | Non-performing | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 36,738 | 33,949 | ||||
Loans, at fair value | 33,969 | 30,806 | ||||
Residential mortgage loans | Securitized loans [Member] | Consolidated Entities [Member] | Non-QM loan securitization | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Loans, at fair value | $ 1,762,845 | $ 1,041,545 | ||||
|
Investment in Loans (Narrative) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | 9 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
Jun. 30, 2022 |
Sep. 30, 2022 |
Sep. 30, 2021 |
Dec. 31, 2021 |
|||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||||||
Loans, at fair value | [1],[2] | $ 3,822,895 | $ 3,822,895 | $ 2,415,321 | ||||||
Unpaid Principal Balance | 4,073,065 | 4,073,065 | 2,366,724 | |||||||
Residential mortgage loans | ||||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||||||
Loans, at fair value | 3,348,810 | 3,348,810 | 2,016,228 | |||||||
Losses | (297,767) | (297,767) | (13,184) | |||||||
Mortgage Loans in Process of Foreclosure, Amount | 22,100 | 22,100 | 8,100 | |||||||
Unpaid Principal Balance | 3,597,404 | 3,597,404 | 1,969,874 | |||||||
Consumer loans | ||||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||||||
Loans, at fair value | 6,038 | 6,038 | 62,365 | |||||||
Losses | (556) | (556) | (1,537) | |||||||
Unpaid Principal Balance | 6,203 | 6,203 | 59,881 | |||||||
Delinquent loans, charged off | 300 | $ 500 | 2,900 | $ 2,900 | ||||||
Financing Receivable, Allowance for Credit Loss | $ 1,300 | 500 | ||||||||
Fair value of charged-off loans | 200 | 200 | 300 | |||||||
Non-performing | Residential mortgage loans | ||||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||||||
Loans, at fair value | 33,969 | 33,969 | 30,806 | |||||||
Unpaid Principal Balance | 36,738 | 36,738 | 33,949 | |||||||
Performing Financial Instruments [Member] | Residential mortgage loans | ||||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||||||
Loans, at fair value | 8,597 | 8,597 | 20,611 | |||||||
Unpaid Principal Balance | 9,751 | 9,751 | 20,712 | |||||||
Performing Financial Instruments [Member] | Participation in Multi-Seller Consumer Loan Securitization [Member] | Consumer loans | ||||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||||||
Aggregate unpaid principal balance of loans sold | 47,700 | |||||||||
Loans held-for-investment [Member] | Residential mortgage loans | ||||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||||||
Loans, at fair value | 3,052,188 | 3,052,188 | 2,004,888 | |||||||
Losses | (274,648) | (274,648) | (13,173) | |||||||
Unpaid Principal Balance | 3,281,521 | 3,281,521 | 1,958,807 | |||||||
Realized Losses, Write offs on loans | (33) | |||||||||
Financing Receivable, Purchased with Credit Deterioration, Allowance for Credit Loss at Acquisition Date | 36 | 100 | ||||||||
Financing Receivable, Allowance for Credit Loss | 24,200 | 24,200 | $ 3,000 | |||||||
Loans held-for-investment [Member] | Consumer loans | ||||||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||||||
Realized Losses, Write offs on loans | $ (1,300) | $ (100) | $ (1,800) | $ (1,400) | ||||||
|
Investment in Loans (Schedule of Commercial Mortgage Loans) (Details) (Details) $ in Thousands |
9 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2022
USD ($)
loan
|
Dec. 31, 2021
USD ($)
loan
|
|||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 4,073,065 | $ 2,366,724 | ||||
Unamortized Premium (Discount) | (150,657) | (143,262) | ||||
Loans, at fair value | [1],[2] | $ 3,822,895 | $ 2,415,321 | |||
Weighted Average | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Weighted Average Coupon | 1.66% | 3.52% | ||||
Weighted Average Yield | 4.05% | 3.24% | ||||
Weighted average life | 7 years 1 month 2 days | 5 years 11 months 8 days | ||||
Commercial mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 465,924 | $ 326,438 | ||||
Unamortized Premium (Discount) | 0 | 0 | ||||
Investments, at fair value, Cost | 465,924 | 326,438 | ||||
Gains | 42 | 76 | ||||
Losses | (1,453) | (317) | ||||
Loans, at fair value | 464,513 | 326,197 | ||||
Financing Receivable, Allowance for Credit Loss | 1,500 | 300 | ||||
Commercial mortgage loans | Non-performing | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 31,800 | 15,500 | ||||
Loans, at fair value | $ 31,800 | $ 15,500 | ||||
Number of loans | loan | 2 | 1 | ||||
Commercial mortgage loans | Weighted Average | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Weighted Average Coupon | 8.39% | 7.05% | ||||
Weighted Average Yield | 9.01% | 6.99% | ||||
Weighted average life | 1 year 21 days | 1 year 3 months 29 days | ||||
Non-accrual status [Member] | Commercial mortgage loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Loans, at fair value | $ 15,500 | |||||
Non-accrual status [Member] | Commercial mortgage loans | Non-performing | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Loans, at fair value | $ 31,800 | |||||
|
Investment in Loans (Schedule of Commercial Loans: Geographic Distribution) (Details) - Geographic Concentration Risk [Member] - Commercial mortgage loans - Financing Receivables, Unpaid Principal Balance [Member] |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 100.00% | 100.00% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 20.80% | 32.30% |
NEW YORK | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 10.60% | 13.50% |
NEW JERSEY | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.30% | 0.00% |
CONNECTICUT | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.90% | 3.50% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 5.40% | 5.10% |
NORTH CAROLINA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 0.00% | 7.00% |
MASSACHUSETTS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.80% | 0.00% |
ARIZONA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 9.30% | 9.30% |
PENNSYLVANIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 3.30% | 5.90% |
Tennessee [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 2.30% | 7.70% |
ILLINOIS | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.10% | 0.00% |
Other [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.10% | 0.00% |
OHIO | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.00% | 7.30% |
MICHIGAN | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 4.80% | 4.90% |
NEW HAMPSHIRE | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.90% | 3.50% |
Texas [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 11.70% | 0.00% |
GEORGIA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 6.70% | 0.00% |
OKLAHOMA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 3.60% | 0.00% |
RHODE ISLAND | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.10% | 0.00% |
LOUISIANA | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Percentage of Total Outstanding Unpaid Principal Balance | 1.30% | 0.00% |
Investment in Loans (Schedule of Consumer Loans) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 4,073,065 | $ 2,366,724 | ||||
Unamortized Premium (Discount) | (150,657) | (143,262) | ||||
Loans, at fair value | [1],[2] | $ 3,822,895 | $ 2,415,321 | |||
Weighted Average | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Weighted average life | 7 years 1 month 2 days | 5 years 11 months 8 days | ||||
Consumer loans | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Fair value of charged-off loans | $ 200 | $ 300 | ||||
Unpaid Principal Balance | 6,203 | 59,881 | ||||
Unamortized Premium (Discount) | (49) | 3,212 | ||||
Investments, at fair value, Cost | 6,154 | 63,093 | ||||
Gains | 440 | 809 | ||||
Losses | (556) | (1,537) | ||||
Loans, at fair value | $ 6,038 | $ 62,365 | ||||
Consumer loans | Weighted Average | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Weighted average life | 10 months 9 days | 11 months 8 days | ||||
Delinquency (Days) | 9 days | 4 days | ||||
|
Investment in Loans (Schedule of Consumer Loans: Delinquency Status) (Details) - Consumer loans |
Sep. 30, 2022 |
Dec. 31, 2021 |
---|---|---|
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 100.00% | 100.00% |
Financial Asset, 1 to 29 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 91.90% | 96.00% |
30 to 59 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 3.50% | 1.70% |
60 to 89 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 1.90% | 1.30% |
90-119 Days or More Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 2.60% | 1.00% |
Financing Receivables, Equal to Greater than 120 Days Past Due [Member] | ||
Financing Receivable, Past Due [Line Items] | ||
Percent past due | 0.10% | 0.00% |
Investment in Loans Investment in Loans (Schedule of Corporate Loans) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | $ 4,073,065 | $ 2,366,724 | ||||
Loans, at fair value | [1],[2] | 3,822,895 | 2,415,321 | |||
Corporate loan [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid Principal Balance | 3,534 | 10,531 | ||||
Loans, at fair value | $ 3,534 | $ 10,531 | ||||
Weighted Average | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Weighted Average Coupon | 1.66% | 3.52% | ||||
Weighted average life | 7 years 1 month 2 days | 5 years 11 months 8 days | ||||
Weighted Average | Corporate loan [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Weighted Average Coupon | 6.27% | 16.14% | ||||
Weighted average life | 3 years 1 month 2 days | 4 years 3 days | ||||
|
Investments in Unconsolidated Entities (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||
---|---|---|---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
Dec. 31, 2021 |
|||
Schedule of Equity Method Investments [Line Items] | |||||||
Investment in unconsolidated entities, at fair value | [1] | $ 171,379 | $ 171,379 | $ 195,643 | |||
Earnings (losses) from investments in unconsolidated entities | (25,513) | $ 2,549 | (54,284) | $ 27,786 | |||
LendSure Mortgage Corp [Member] | |||||||
Schedule of Equity Method Investments [Line Items] | |||||||
Earnings (losses) from investments in unconsolidated entities | (6,900) | 6,000 | (18,900) | 11,600 | |||
Longbridge Financial LLC [Member] | |||||||
Schedule of Equity Method Investments [Line Items] | |||||||
Earnings (losses) from investments in unconsolidated entities | (20,200) | $ (6,200) | (37,100) | $ 5,100 | |||
Investment in Loan Originator | |||||||
Schedule of Equity Method Investments [Line Items] | |||||||
Investment in unconsolidated entities, at fair value | 83,200 | 83,200 | 137,800 | ||||
Investment in Loan Originator | LendSure Mortgage Corp [Member] | |||||||
Schedule of Equity Method Investments [Line Items] | |||||||
Investment in unconsolidated entities, at fair value | 26,600 | 26,600 | 45,500 | ||||
Investment in Loan Originator | Longbridge Financial LLC [Member] | |||||||
Schedule of Equity Method Investments [Line Items] | |||||||
Investment in unconsolidated entities, at fair value | 38,900 | 38,900 | 74,500 | ||||
Variable Interest Entity, Not Primary Beneficiary | |||||||
Schedule of Equity Method Investments [Line Items] | |||||||
Investment in unconsolidated entities, at fair value | $ 81,100 | $ 81,100 | $ 63,900 | ||||
|
Investments in Unconsolidated Entities Schedule of Ownership of Investments in Unconsolidated Entities (Details) |
Sep. 30, 2022 |
Dec. 31, 2021 |
---|---|---|
Longbridge Financial LLC [Member] | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 49.60% | 49.60% |
LendSure Mortgage Corp [Member] | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 49.90% | 49.90% |
LendSure Mortgage Corp [Member] | Nonvoting Common Stock [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 13.80% | |
LendSure Mortgage Corp [Member] | Nonvoting Common Stock [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 13.80% | |
Jepson Holdings Limited | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 5.40% | 19.60% |
Elizon DB 2015-1 LLC [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Effective Ownership Percentage | 66.00% | 47.50% |
Elizon DB 2015-1 LLC [Member] | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 13.00% | 3.40% |
Other Equity Method Investments [Member] | Nonvoting Common Stock [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 16.40% | |
Elizon NM CRE 2020-1 LLC | ||
Schedule of Equity Method Investments [Line Items] | ||
Effective Ownership Percentage | 54.20% | 31.00% |
Elizon NM CRE 2020-1 LLC | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 20.10% | 20.50% |
Elizon CH CRE 2020-1 LLC | ||
Schedule of Equity Method Investments [Line Items] | ||
Effective Ownership Percentage | 59.10% | 44.80% |
Elizon CH CRE 2020-1 LLC | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 32.60% | 30.50% |
Loan Originator - Other | Total voting and non-voting interests | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 61.40% | |
Loan Originator - Other | Nonvoting Common Stock [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 16.40% | |
Co-investments with Ellington affiliate(s) - Other | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 0.00% | 16.80% |
Equity investments in securitization-related risk retention vehicles | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 56.30% | |
Elizon NAT CRE 2020-1 LLC | ||
Schedule of Equity Method Investments [Line Items] | ||
Effective Ownership Percentage | 66.40% | |
Elizon NAT CRE 2020-1 LLC | Voting ownership | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 15.60% | 0.00% |
Minimum | Other Equity Method Investments [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 8.20% | 8.00% |
Minimum | Loan Originator - Other | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 24.70% | 31.50% |
Minimum | Equity investments in securitization-related risk retention vehicles | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 24.60% | |
Maximum | Other Equity Method Investments [Member] | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 79.00% | 79.00% |
Maximum | Loan Originator - Other | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 80.00% | 80.00% |
Maximum | Equity investments in securitization-related risk retention vehicles | ||
Schedule of Equity Method Investments [Line Items] | ||
Equity Method Investment, Ownership Percentage | 56.30% |
Investments in Unconsolidated Entities (Summarized Financial Information) (Details) - USD ($) |
3 Months Ended | 9 Months Ended | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2022 |
Jun. 30, 2022 |
Mar. 31, 2022 |
Sep. 30, 2021 |
Jun. 30, 2021 |
Mar. 31, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
Dec. 31, 2021 |
|||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||||||
Net income (loss) attributable to common stockholders | $ (33,290,000) | $ 20,564,000 | $ (108,073,000) | $ 91,075,000 | |||||||||||
Other assets | [1] | 5,215,000 | 5,215,000 | $ 3,710,000 | |||||||||||
Liabilities | 5,162,080,000 | 5,162,080,000 | 3,853,863,000 | ||||||||||||
Stockholders' Equity Attributable to Parent | 1,155,306,000 | 1,155,306,000 | 1,291,321,000 | ||||||||||||
Total Liabilities and Equity | 6,342,709,000 | 6,342,709,000 | 5,177,419,000 | ||||||||||||
Equity Method Investment, Summarized Financial Information [Abstract] | |||||||||||||||
Total Assets | 6,342,709,000 | 6,342,709,000 | 5,177,419,000 | ||||||||||||
Interest income | 78,592,000 | 40,146,000 | 192,388,000 | 126,115,000 | |||||||||||
Interest expense | (42,080,000) | (10,604,000) | (82,121,000) | (33,111,000) | |||||||||||
Interest Income (Expense), Net | 36,512,000 | 29,542,000 | 110,267,000 | 93,004,000 | |||||||||||
Noninterest Income | (26,348,000) | 6,128,000 | [2] | (121,398,000) | 32,066,000 | [2] | |||||||||
Operating Expenses | 14,463,000 | 16,247,000 | 47,132,000 | 48,001,000 | |||||||||||
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | (29,731,000) | $ (61,451,000) | $ (6,498,000) | 23,981,000 | $ 36,469,000 | $ 41,256,000 | (97,680,000) | 101,706,000 | |||||||
Income Tax Expense (Benefit) | (81,000) | (2,009,000) | (14,867,000) | 3,149,000 | |||||||||||
Other, net | (31,000) | 1,418,000 | [2] | 1,022,000 | 4,365,000 | [2] | |||||||||
Income (Loss) from Continuing Operations before Equity Method Investments, Income Taxes, Noncontrolling Interest | (4,299,000) | 19,423,000 | (58,263,000) | 77,069,000 | |||||||||||
Earnings (losses) from investments in unconsolidated entities | (25,513,000) | 2,549,000 | (54,284,000) | 27,786,000 | |||||||||||
Investment in unconsolidated entities, at fair value | [1] | 171,379,000 | 171,379,000 | 195,643,000 | |||||||||||
Investment in Loan Originator | |||||||||||||||
Equity Method Investment, Summarized Financial Information [Abstract] | |||||||||||||||
Investment in unconsolidated entities, at fair value | 83,200,000 | 83,200,000 | 137,800,000 | ||||||||||||
LendSure Mortgage Corp [Member] | |||||||||||||||
Equity Method Investment, Summarized Financial Information [Abstract] | |||||||||||||||
Earnings (losses) from investments in unconsolidated entities | (6,900,000) | 6,000,000 | (18,900,000) | 11,600,000 | |||||||||||
LendSure Mortgage Corp [Member] | Investment in Loan Originator | |||||||||||||||
Equity Method Investment, Summarized Financial Information [Abstract] | |||||||||||||||
Investment in unconsolidated entities, at fair value | 26,600,000 | 26,600,000 | 45,500,000 | ||||||||||||
LendSure Mortgage Corp [Member] | Significant non-consolidated entity | |||||||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||||||
Revenues | 15,715,000 | 24,850,000 | 45,734,000 | 56,262,000 | |||||||||||
Net income (loss) attributable to common stockholders | 1,299,000 | 8,598,000 | 2,453,000 | 18,976,000 | |||||||||||
Longbridge Financial LLC [Member] | |||||||||||||||
Equity Method Investment, Summarized Financial Information [Abstract] | |||||||||||||||
Earnings (losses) from investments in unconsolidated entities | (20,200,000) | (6,200,000) | (37,100,000) | 5,100,000 | |||||||||||
Longbridge Financial LLC [Member] | Investment in Loan Originator | |||||||||||||||
Equity Method Investment, Summarized Financial Information [Abstract] | |||||||||||||||
Investment in unconsolidated entities, at fair value | 38,900,000 | 38,900,000 | $ 74,500,000 | ||||||||||||
Longbridge Financial LLC [Member] | Significant non-consolidated entity | |||||||||||||||
Schedule of Equity Method Investments [Line Items] | |||||||||||||||
Revenues | 52,884,000 | (67,699,000) | (78,468,000) | 30,861,000 | |||||||||||
Net income (loss) attributable to common stockholders | $ 4,436,000 | $ (8,246,000) | $ (30,262,000) | $ 23,491,000 | |||||||||||
|
Real Estate Owned Schedule of Real Estate Owned Activity (Details) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2022
USD ($)
property
|
Sep. 30, 2021
USD ($)
property
|
Sep. 30, 2022
USD ($)
property
|
Sep. 30, 2021
USD ($)
property
|
|
Number of Properties | ||||
Beginning Balance | property | 6 | 14 | 7 | 13 |
Transfers from mortgage loans | property | 0 | 4 | 3 | 7 |
Disposals | property | (1) | (3) | (5) | (5) |
Ending Balance | property | 5 | 15 | 5 | 15 |
Carrying Value | ||||
Beginning Balance | $ 20,866 | $ 35,295 | $ 24,681 | $ 23,598 |
Transfers from mortgage loans | 0 | 1,479 | 1,018 | 14,033 |
Capital expenditures and other adjustments to cost | 62 | 312 | 137 | 2,205 |
Adjustments to record at the lower of cost or fair value | (121) | 699 | (539) | (1,406) |
Disposals | (69) | (783) | (4,559) | (1,428) |
Ending Balance | $ 20,738 | $ 37,002 | $ 20,738 | $ 37,002 |
Real Estate Owned (Details) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2022
USD ($)
property
|
Sep. 30, 2021
USD ($)
property
|
Sep. 30, 2022
USD ($)
property
|
Sep. 30, 2021
USD ($)
property
|
Dec. 31, 2021
USD ($)
|
|||||
Real Estate Owned, Disclosure of Detailed Components [Abstract] | |||||||||
Real Estate Acquired Through Foreclosure, Disposals, Number Of Properties | property | 1 | 3 | 5 | 5 | |||||
Realized Gain (Loss) on Sale of Properties | $ 500 | $ (63) | |||||||
REO, fair value | $ 20,300 | 20,300 | $ 23,900 | ||||||
Realized gains (losses) on real estate owned, net | $ (18) | $ (50) | [1] | $ 474 | $ (63) | [1] | |||
|
Financial Derivatives (Schedule of Financial Derivatives) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
---|---|---|
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 160,043 | $ 18,894 |
Financial derivatives–liabilities, at fair value- | (50,418) | (12,298) |
Total | 109,625 | 6,596 |
TBA Securities, Purchase Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 60 | 522 |
Financial derivatives–liabilities, at fair value- | (789) | (135) |
TBA Securities, Sale Contracts [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 29,056 | 707 |
Financial derivatives–liabilities, at fair value- | (9) | (774) |
Interest rate swaps | Short | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 125,823 | 11,871 |
Financial derivatives–liabilities, at fair value- | 0 | (6,567) |
Interest rate swaps | Long | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 0 | 2,122 |
Financial derivatives–liabilities, at fair value- | (49,041) | (2,531) |
Credit default swaps on asset-backed securities | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 77 | 303 |
Credit default swaps on asset-backed indices | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 2,250 | 1,751 |
Financial derivatives–liabilities, at fair value- | (32) | (39) |
Credit default swaps on corporate bonds | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 95 | 0 |
Financial derivatives–liabilities, at fair value- | (251) | (99) |
Credit default swaps on corporate bond indices | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 930 | 156 |
Financial derivatives–liabilities, at fair value- | (17) | (1,870) |
Total return swaps | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–liabilities, at fair value- | (37) | 0 |
Futures | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 828 | 478 |
Financial derivatives–liabilities, at fair value- | (242) | (75) |
Futures | Short | ||
Derivatives, Fair Value [Line Items] | ||
Total | 586 | 403 |
Forwards | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 261 | 0 |
Financial derivatives–liabilities, at fair value- | 0 | (208) |
Warrants | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | 663 | 706 |
Put Option [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 0 | $ 278 |
Financial Derivatives (Interest Rate Swaps) (Details) - Interest rate swaps - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|
Long | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,370,121 | $ 474,741 |
Fair Value | (49,041) | (409) |
Long | 2022 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 53,974 | |
Fair Value | 475 | |
Long | 2023 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 41,407 | 241,407 |
Fair Value | (439) | (265) |
Long | 2024 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 820,157 | 37,142 |
Fair Value | (23,353) | 556 |
Long | 2025 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 112,000 | |
Fair Value | (3,940) | |
Long | 2026 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 215,852 | 105,040 |
Fair Value | (11,072) | (907) |
Long | 2027 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 120,050 | |
Fair Value | (4,968) | |
Long | 2031 | ||
Derivative [Line Items] | ||
Notional Amount | 35,678 | |
Fair Value | (114) | |
Long | 2032 | ||
Derivative [Line Items] | ||
Notional Amount | 59,155 | |
Fair Value | (4,752) | |
Long | 2035 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | (145) | (41) |
Long | 2040 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | (172) | (50) |
Long | 2050 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | $ (200) | $ (63) |
Long | Weighted Average | ||
Derivative [Line Items] | ||
Pay Rate | 2.41% | 1.06% |
Receive Rate | 2.95% | 0.15% |
Remaining Years to Maturity | 2 years 7 months 24 days | 2 years 11 months 8 days |
Long | Weighted Average | 2022 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.85% | |
Receive Rate | 0.17% | |
Remaining Years to Maturity | 1 month 28 days | |
Long | Weighted Average | 2023 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.00% | 0.73% |
Receive Rate | 3.57% | 0.15% |
Remaining Years to Maturity | 5 months 19 days | 1 year 8 months 8 days |
Long | Weighted Average | 2024 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.36% | 1.59% |
Receive Rate | 2.91% | 0.13% |
Remaining Years to Maturity | 1 year 7 months 24 days | 2 years 9 months 10 days |
Long | Weighted Average | 2025 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.70% | |
Receive Rate | 2.98% | |
Remaining Years to Maturity | 2 years 9 months 25 days | |
Long | Weighted Average | 2026 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.26% | 1.10% |
Receive Rate | 2.97% | 0.18% |
Remaining Years to Maturity | 3 years 6 months 3 days | 4 years 8 months 19 days |
Long | Weighted Average | 2027 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.83% | |
Receive Rate | 2.98% | |
Remaining Years to Maturity | 4 years 9 months 18 days | |
Long | Weighted Average | 2031 | ||
Derivative [Line Items] | ||
Pay Rate | 1.48% | |
Receive Rate | 0.15% | |
Remaining Years to Maturity | 9 years 9 months 3 days | |
Long | Weighted Average | 2032 | ||
Derivative [Line Items] | ||
Pay Rate | 2.58% | |
Receive Rate | 2.98% | |
Remaining Years to Maturity | 9 years 10 months 2 days | |
Long | Weighted Average | 2035 | ||
Derivative [Line Items] | ||
Pay Rate | 0.74% | 0.74% |
Receive Rate | 2.98% | 0.05% |
Remaining Years to Maturity | 13 years 21 days | 13 years 9 months 21 days |
Long | Weighted Average | 2040 | ||
Derivative [Line Items] | ||
Pay Rate | 0.84% | 0.84% |
Receive Rate | 2.98% | 0.08% |
Remaining Years to Maturity | 18 years 25 days | 18 years 9 months 25 days |
Long | Weighted Average | 2050 | ||
Derivative [Line Items] | ||
Pay Rate | 0.90% | 0.90% |
Receive Rate | 2.98% | 0.08% |
Remaining Years to Maturity | 28 years 25 days | 28 years 9 months 25 days |
Short | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,470,170 | $ 1,519,488 |
Fair Value | 125,823 | 5,304 |
Short | 2022 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 64,100 | |
Fair Value | (282) | |
Short | 2023 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 664,398 | 771,110 |
Fair Value | 16,329 | 1,488 |
Short | 2024 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 591,150 | 314,762 |
Fair Value | 14,447 | 3,685 |
Short | 2025 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 265,793 | 14,993 |
Fair Value | 10,762 | 426 |
Short | 2026 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 100 | 30,625 |
Fair Value | 12 | 481 |
Short | 2027 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 363,450 | 14,732 |
Fair Value | 16,834 | 448 |
Short | 2028 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 114,119 | 149,524 |
Fair Value | 15,076 | 470 |
Short | 2029 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 54,428 | 19,152 |
Fair Value | 4,815 | (801) |
Short | 2030 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 68,300 | 9,585 |
Fair Value | 6,063 | 291 |
Short | 2031 | ||
Derivative [Line Items] | ||
Notional Amount | 161,009 | 122,509 |
Fair Value | 24,901 | 535 |
Short | 2032 | ||
Derivative [Line Items] | ||
Notional Amount | 139,027 | |
Fair Value | 10,745 | |
Short | 2035 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | 143 | 38 |
Short | 2036 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 1,100 | 1,100 |
Fair Value | 274 | 25 |
Short | 2037 | ||
Derivative [Line Items] | ||
Notional Amount | 35,000 | |
Fair Value | 3,564 | |
Short | 2040 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | 168 | 45 |
Short | 2049 [Member] | ||
Derivative [Line Items] | ||
Notional Amount | 5,796 | 5,796 |
Fair Value | 562 | (1,599) |
Short | 2050 | ||
Derivative [Line Items] | ||
Notional Amount | 500 | 500 |
Fair Value | 194 | $ 54 |
Short | 2052 | ||
Derivative [Line Items] | ||
Notional Amount | 5,000 | |
Fair Value | $ 934 | |
Short | Weighted Average | ||
Derivative [Line Items] | ||
Pay Rate | 1.91% | 0.75% |
Receive Rate | 3.04% | 0.18% |
Remaining Years to Maturity | 3 years 7 months 13 days | 3 years 1 month 9 days |
Short | Weighted Average | 2022 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 0.99% | |
Receive Rate | 0.18% | |
Remaining Years to Maturity | 2 months 4 days | |
Short | Weighted Average | 2023 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 0.64% | 0.58% |
Receive Rate | 3.17% | 0.19% |
Remaining Years to Maturity | 7 months 17 days | 1 year 6 months 7 days |
Short | Weighted Average | 2024 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.51% | 0.43% |
Receive Rate | 3.01% | 0.16% |
Remaining Years to Maturity | 1 year 8 months 1 day | 2 years 2 months 23 days |
Short | Weighted Average | 2025 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.36% | 0.49% |
Receive Rate | 2.98% | 0.16% |
Remaining Years to Maturity | 2 years 7 months 2 days | 3 years 9 months 21 days |
Short | Weighted Average | 2026 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 0.79% | 0.89% |
Receive Rate | 2.81% | 0.15% |
Remaining Years to Maturity | 3 years 9 months 29 days | 4 years 5 months 23 days |
Short | Weighted Average | 2027 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.69% | 0.80% |
Receive Rate | 2.98% | 0.19% |
Remaining Years to Maturity | 4 years 8 months 4 days | 5 years 7 months 6 days |
Short | Weighted Average | 2028 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.44% | 1.33% |
Receive Rate | 2.83% | 0.17% |
Remaining Years to Maturity | 5 years 8 months 26 days | 6 years 6 months 18 days |
Short | Weighted Average | 2029 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.45% | 1.98% |
Receive Rate | 3.11% | 0.16% |
Remaining Years to Maturity | 6 years 6 months 25 days | 7 years 6 months 18 days |
Short | Weighted Average | 2030 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.30% | 1.09% |
Receive Rate | 3.00% | 0.18% |
Remaining Years to Maturity | 7 years 7 months 20 days | 8 years 2 months 23 days |
Short | Weighted Average | 2031 | ||
Derivative [Line Items] | ||
Pay Rate | 1.71% | 1.45% |
Receive Rate | 3.07% | 0.17% |
Remaining Years to Maturity | 8 years 8 months 15 days | 9 years 5 months 19 days |
Short | Weighted Average | 2032 | ||
Derivative [Line Items] | ||
Pay Rate | 2.58% | |
Receive Rate | 2.98% | |
Remaining Years to Maturity | 9 years 8 months 15 days | |
Short | Weighted Average | 2035 | ||
Derivative [Line Items] | ||
Pay Rate | 0.78% | 0.78% |
Receive Rate | 3.08% | 0.08% |
Remaining Years to Maturity | 13 years 21 days | 13 years 9 months 21 days |
Short | Weighted Average | 2036 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 1.45% | 1.45% |
Receive Rate | 2.96% | 0.16% |
Remaining Years to Maturity | 13 years 4 months 20 days | 14 years 1 month 17 days |
Short | Weighted Average | 2037 | ||
Derivative [Line Items] | ||
Pay Rate | 2.61% | |
Receive Rate | 2.98% | |
Remaining Years to Maturity | 14 years 10 months 13 days | |
Short | Weighted Average | 2040 | ||
Derivative [Line Items] | ||
Pay Rate | 0.90% | 0.90% |
Receive Rate | 3.08% | 0.08% |
Remaining Years to Maturity | 18 years 25 days | 18 years 9 months 25 days |
Short | Weighted Average | 2049 [Member] | ||
Derivative [Line Items] | ||
Pay Rate | 2.89% | 2.89% |
Receive Rate | 2.29% | 0.13% |
Remaining Years to Maturity | 26 years 3 months 10 days | 27 years 7 days |
Short | Weighted Average | 2050 | ||
Derivative [Line Items] | ||
Pay Rate | 0.98% | 0.98% |
Receive Rate | 3.08% | 0.08% |
Remaining Years to Maturity | 28 years 25 days | 28 years 9 months 25 days |
Short | Weighted Average | 2052 | ||
Derivative [Line Items] | ||
Pay Rate | 2.07% | |
Receive Rate | 2.98% | |
Remaining Years to Maturity | 29 years 6 months 7 days |
Financial Derivatives (Credit Default Swaps) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 160,043 | $ 18,894 |
Financial derivatives–liabilities, at fair value- | (50,418) | (12,298) |
Fair Value | (109,625) | (6,596) |
Credit default swaps on asset-backed indices | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | 2,250 | 1,751 |
Financial derivatives–liabilities, at fair value- | (32) | (39) |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | ||
Derivative [Line Items] | ||
Notional Amount | (56,345) | (13,947) |
Financial derivatives–assets, at fair value- | 2,247 | 1,744 |
Credit default swaps on asset-backed securities | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | 77 | 303 |
Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | ||
Derivative [Line Items] | ||
Notional Amount | (220) | (910) |
Financial derivatives–assets, at fair value- | 77 | 303 |
Credit default swaps | ||
Derivative [Line Items] | ||
Notional Amount | (248,656) | (37,190) |
Fair Value | (3,052) | (202) |
Credit default swaps on corporate bond indices | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | 930 | 156 |
Financial derivatives–liabilities, at fair value- | (17) | (1,870) |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Short | ||
Derivative [Line Items] | ||
Notional Amount | (134,382) | 0 |
Financial derivatives–assets, at fair value- | $ 920 | $ 0 |
Remaining Years to Maturity | 5 years 3 days | 0 days |
Credit default swaps on corporate bonds | ||
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 95 | $ 0 |
Financial derivatives–liabilities, at fair value- | (251) | (99) |
Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | ||
Derivative [Line Items] | ||
Notional Amount | (6,000) | 0 |
Financial derivatives–assets, at fair value- | $ 95 | $ 0 |
Remaining Years to Maturity | 4 years 8 months 19 days | 0 days |
Financial Derivatives (Futures) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|
Derivative [Line Items] | ||
Fair Value | $ 109,625 | $ 6,596 |
Financial derivatives–assets, at fair value- | 160,043 | 18,894 |
Derivative Liability | $ 50,418 | 12,298 |
Futures | ||
Derivative [Line Items] | ||
Remaining Years to Maturity | 3 months | |
Financial derivatives–assets, at fair value- | $ 828 | 478 |
Derivative Liability | 242 | 75 |
Short | Futures | ||
Derivative [Line Items] | ||
Notional Amount | 48,200 | 219,500 |
Fair Value | 586 | $ 403 |
Remaining Years to Maturity | 2 months 26 days | |
Financial Derivatives - Liabilities | Short | U.S. Treasury futures | ||
Derivative [Line Items] | ||
Notional Amount | $ 0 | $ 51,400 |
Remaining Years to Maturity | 0 years | 2 months 19 days |
Derivative Liability | $ 0 | $ (39) |
Financial Derivatives - Liabilities | Long | U.S. Treasury futures | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,900 | $ 1,900 |
Remaining Years to Maturity | 2 months 19 days | 2 months 19 days |
Derivative Liability | $ (242) | $ (36) |
Financial Derivatives - Assets | Short | U.S. Treasury futures | ||
Derivative [Line Items] | ||
Notional Amount | $ 50,100 | $ 170,000 |
Remaining Years to Maturity | 3 months | 3 months |
Financial derivatives–assets, at fair value- | $ 828 | $ 478 |
Financial Derivatives (TBAs) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
---|---|---|
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 160,043 | $ 18,894 |
Derivative Liability | 50,418 | 12,298 |
Derivative Assets (Liabilities), at Fair Value, Net | 109,625 | 6,596 |
TBA securities | ||
Derivative [Line Items] | ||
Notional Amount | 684,091 | 640,159 |
Derivative, Cost Basis | (648,584) | (679,526) |
Market Value Underlying | (620,266) | (679,206) |
Derivative Assets (Liabilities), at Fair Value, Net | 28,318 | 320 |
TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | 57,507 | 273,223 |
Derivative, Cost Basis | 54,452 | 272,587 |
Market Value Underlying | 53,723 | 272,974 |
Derivative Assets (Liabilities), at Fair Value, Net | (729) | 387 |
TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | 741,598 | 913,382 |
Derivative, Cost Basis | (703,036) | (952,113) |
Market Value Underlying | (673,989) | (952,180) |
Derivative Assets (Liabilities), at Fair Value, Net | 29,047 | (67) |
Financial Derivatives - Assets | TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | 15,000 | 196,723 |
Derivative, Cost Basis | 15,089 | 196,119 |
Market Value Underlying | 15,149 | 196,641 |
Financial derivatives–assets, at fair value- | 60 | 522 |
Financial Derivatives - Assets | TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | 737,295 | 416,168 |
Derivative, Cost Basis | (698,855) | (439,438) |
Market Value Underlying | (669,799) | (438,731) |
Financial derivatives–assets, at fair value- | 29,056 | 707 |
Financial Derivatives - Liabilities | TBA securities | Long | ||
Derivative [Line Items] | ||
Notional Amount | 42,507 | 76,500 |
Derivative, Cost Basis | 39,363 | 76,468 |
Market Value Underlying | 38,574 | 76,333 |
Derivative Liability | (789) | (135) |
Financial Derivatives - Liabilities | TBA securities | Short | ||
Derivative [Line Items] | ||
Notional Amount | 4,303 | 497,214 |
Derivative, Cost Basis | (4,181) | (512,675) |
Market Value Underlying | (4,190) | (513,449) |
Derivative Liability | $ (9) | $ (774) |
Financial Derivatives (Schedule of Gains and Losses on Derivative Contracts) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
|
Derivative [Line Items] | ||||
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | $ 2,841 | $ (1,069) | $ 640 | $ (1,808) |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 16,154 | (713) | 88,468 | 6,264 |
Realized gains (losses) on financial derivatives, net | 18,995 | (1,782) | 89,108 | 4,456 |
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | 361 | 252 | 1,759 | (47) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 49,880 | 896 | 96,280 | 6,192 |
Unrealized gains (losses) on financial derivatives, net | 50,241 | 1,148 | 98,039 | 6,145 |
Derivative [Member] | ||||
Derivative [Line Items] | ||||
Foreign currency transactions | 18 | |||
Foreign currency translation | (18) | (7) | (43) | (38) |
Interest rate swaps | Interest Rate Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) on Periodic Settlements of Interest Rate Swaps | 2,841 | (1,069) | 640 | (1,808) |
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 5,442 | (243) | 15,514 | (96) |
Realized gains (losses) on financial derivatives, net | 8,283 | (1,312) | 16,154 | (1,904) |
Change in Net Unrealized Gains (Losses) on Accrued Periodic Settlements of Interest Rate Swaps | 361 | 252 | 1,759 | (47) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 22,845 | 2,790 | 62,879 | 6,244 |
Unrealized gains (losses) on financial derivatives, net | 23,206 | 3,042 | 64,638 | 6,197 |
Credit default swaps on asset-backed securities | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (844) | (4) | (854) | 39 |
Realized gains (losses) on financial derivatives, net | (844) | (4) | (854) | 39 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 717 | 0 | 615 | (44) |
Unrealized gains (losses) on financial derivatives, net | 717 | 0 | 615 | (44) |
Credit default swaps on corporate bond indices | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 375 | (136) | 40 | 1,062 |
Realized gains (losses) on financial derivatives, net | 375 | (136) | 40 | 1,062 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (514) | 69 | 1,190 | (1,109) |
Unrealized gains (losses) on financial derivatives, net | (514) | 69 | 1,190 | (1,109) |
Credit default swaps on corporate bond indices | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 811 | (264) | 1,048 | (351) |
Realized gains (losses) on financial derivatives, net | 811 | (264) | 1,048 | (351) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (1,281) | 244 | 2,376 | (647) |
Unrealized gains (losses) on financial derivatives, net | (1,281) | 244 | 2,376 | (647) |
Credit default swaps on corporate bonds | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | (57) | 184 | (76) | 265 |
Realized gains (losses) on financial derivatives, net | (57) | 184 | (76) | 265 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (18) | (192) | 89 | (346) |
Unrealized gains (losses) on financial derivatives, net | (18) | (192) | 89 | (346) |
Total return swaps | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 0 | (41) | 0 | (1,243) |
Realized gains (losses) on financial derivatives, net | 0 | (41) | 0 | (1,243) |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (37) | (465) | (37) | 476 |
Unrealized gains (losses) on financial derivatives, net | (37) | (465) | (37) | 476 |
TBA securities | Interest Rate Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 9,085 | (425) | 55,876 | 0 |
Realized gains (losses) on financial derivatives, net | 9,085 | (425) | 55,876 | 0 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 27,926 | (2,381) | 27,997 | (210) |
Unrealized gains (losses) on financial derivatives, net | 27,926 | (2,381) | 27,997 | (210) |
Futures | Interest Rate Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 445 | (271) | 15,493 | 1,641 |
Realized gains (losses) on financial derivatives, net | 445 | (271) | 15,493 | 1,641 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 365 | 843 | 183 | 1,721 |
Unrealized gains (losses) on financial derivatives, net | 365 | 843 | 183 | 1,721 |
Forwards | Currency risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 897 | 487 | 1,693 | 411 |
Realized gains (losses) on financial derivatives, net | 897 | 487 | 1,693 | 411 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 17 | (85) | 468 | 640 |
Unrealized gains (losses) on financial derivatives, net | 17 | (85) | 468 | 640 |
Warrants | Equity Market/Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 0 | 0 | (413) | 0 |
Realized gains (losses) on financial derivatives, net | 0 | 0 | (413) | 0 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | (140) | 221 | 372 | 187 |
Unrealized gains (losses) on financial derivatives, net | (140) | 221 | 372 | 187 |
Options | Credit Risk [Member] | ||||
Derivative [Line Items] | ||||
Net Realized Gains (Losses) Other Than Periodic Settlements of Interest Rate Swaps | 0 | 0 | 147 | 4,536 |
Realized gains (losses) on financial derivatives, net | 0 | 0 | 147 | 4,536 |
Change in Net Unrealized Gains (Losses) Other Than on Accrued Periodic Settlements of Interest Rate Swaps | 0 | (148) | 148 | (720) |
Unrealized gains (losses) on financial derivatives, net | $ 0 | $ (148) | $ 148 | $ (720) |
Financial Derivatives (Schedule of Derivative Activity) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|
Interest rate swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | $ 2,994,551 | $ 1,343,094 |
TBA securities | ||
Derivative [Line Items] | ||
Average Monthly Notional | 788,951 | 1,105,311 |
Credit default swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | 94,392 | 110,084 |
Total return swaps | ||
Derivative [Line Items] | ||
Average Monthly Notional | 299 | 2,593 |
Futures | ||
Derivative [Line Items] | ||
Average Monthly Notional | 148,880 | 193,600 |
Options | ||
Derivative [Line Items] | ||
Average Monthly Notional | 18,000 | 13,846 |
Forwards | ||
Derivative [Line Items] | ||
Average Monthly Notional | 14,289 | 21,188 |
Warrants | ||
Derivative [Line Items] | ||
Average Monthly Notional | $ 3,365 | $ 1,948 |
Financial Derivatives (Schedule of Credit Derivatives) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 160,043 | $ 18,894 |
Derivative Liability | (50,418) | (12,298) |
Derivative Assets (Liabilities), at Fair Value, Net | 109,625 | 6,596 |
Credit default swaps on asset-backed indices | ||
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value- | 2,250 | 1,751 |
Derivative Liability | (32) | (39) |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long | ||
Credit Derivatives [Line Items] | ||
Notional value | 259 | 484 |
Financial derivatives–assets, at fair value- | $ 3 | $ 7 |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Long | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 15 years 3 months | 24 years 3 months 25 days |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 56,345 | $ 13,947 |
Financial derivatives–assets, at fair value- | $ 2,247 | $ 1,744 |
Credit default swaps on asset-backed indices | Financial Derivatives - Assets | Short | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 36 years 2 months 4 days | 42 years 5 months 4 days |
Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Long | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 65 | $ 89 |
Derivative Liability | $ (32) | $ (39) |
Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Long | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 26 years 8 months 23 days | 27 years 4 months 28 days |
Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 0 | $ 491 |
Derivative Liability | $ 0 | $ 0 |
Credit default swaps on asset-backed indices | Financial Derivatives - Liabilities | Short | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 30 years 1 month 2 days | 24 years 5 months 1 day |
Credit default swaps on corporate bond indices | ||
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 930 | $ 156 |
Derivative Liability | (17) | (1,870) |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | ||
Credit Derivatives [Line Items] | ||
Notional value | 1,867 | 2,168 |
Financial derivatives–assets, at fair value- | $ 10 | $ 156 |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Long | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 1 year 2 months 19 days | 1 year 11 months 19 days |
Credit default swaps on corporate bond indices | Financial Derivatives - Assets | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 134,382 | $ 0 |
Financial derivatives–assets, at fair value- | $ 920 | $ 0 |
Remaining Years to Maturity | 5 years 3 days | 0 days |
Credit default swaps on corporate bond indices | Financial Derivatives - Liabilities | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 37,500 | $ 21,183 |
Remaining Years to Maturity | 4 years 8 months 19 days | |
Derivative Liability | $ (17) | $ (1,870) |
Credit default swaps on corporate bond indices | Financial Derivatives - Liabilities | Short | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 4 years 9 months | |
Credit default swaps on asset-backed securities | ||
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value- | 77 | $ 303 |
Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | 220 | 910 |
Financial derivatives–assets, at fair value- | $ 77 | $ 303 |
Credit default swaps on asset-backed securities | Financial Derivatives - Assets | Short | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 12 years 10 months 9 days | 13 years 8 months 15 days |
Credit default swaps on corporate bonds | ||
Credit Derivatives [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 95 | $ 0 |
Derivative Liability | (251) | (99) |
Credit default swaps on corporate bonds | Financial Derivatives - Assets | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | 6,000 | 0 |
Financial derivatives–assets, at fair value- | $ 95 | $ 0 |
Remaining Years to Maturity | 4 years 8 months 19 days | 0 days |
Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 16,400 | $ 3,400 |
Derivative Liability | $ (251) | $ (99) |
Credit default swaps on corporate bonds | Financial Derivatives - Liabilities | Short | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 4 years 3 months 21 days | 3 years 5 months 19 days |
Credit default swaps | ||
Credit Derivatives [Line Items] | ||
Notional value | $ 248,656 | $ 37,190 |
Derivative Assets (Liabilities), at Fair Value, Net | $ 3,052 | $ 202 |
Credit default swaps | Weighted Average | ||
Credit Derivatives [Line Items] | ||
Remaining Years to Maturity | 11 years 11 months 26 days | 19 years 1 month 6 days |
Credit Default Swap, Selling Protection [Member] | ||
Credit Derivatives [Line Items] | ||
Fair Value | $ (19) | $ 124 |
Notional value | $ 2,191 | $ 2,741 |
Financial Derivatives (Narrative) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|
Derivative [Line Items] | ||
Spread on written credit derivatives | 46.60% | |
Written credit derivative spread threshold | 20.00% | 20.00% |
Credit Default Swap, Selling Protection [Member] | ||
Derivative [Line Items] | ||
Credit risk derivative in excess of threshold, at fair value, net | $ (33) | $ (38) |
Total net up-front payments received | $ 800 | $ 800 |
Minimum | ||
Derivative [Line Items] | ||
Spread on written credit derivatives | 11.30% | |
Upfront points on written credit derivative in excess of threshold | 46.3 | 55.4 |
Maximum | ||
Derivative [Line Items] | ||
Spread on written credit derivatives | 14.10% | |
Upfront points on written credit derivative in excess of threshold | 88.8 | 85.2 |
Financial Derivatives Schedule of Warrant Contracts (Details) - USD ($) shares in Thousands, $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | $ 160,043 | $ 18,894 |
Warrants | ||
Derivative [Line Items] | ||
Number of Shares Underlying Warrant Contracts | 3,524 | 1,521 |
Financial derivatives–assets, at fair value- | $ 663 | $ 706 |
Remaining Years to Maturity | 10 months 20 days | 2 years 2 months 1 day |
Financial Derivatives (Options) (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2021 |
Sep. 30, 2022 |
|
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Financial derivatives–assets, at fair value- | $ 18,894 | $ 160,043 |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | 18,894 | 160,043 |
Put Option [Member] | ||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Financial derivatives–assets, at fair value- | 278 | 0 |
Derivative [Line Items] | ||
Financial derivatives–assets, at fair value- | 278 | $ 0 |
Notional Amount | $ 30,000 | |
Maturity term of derivative contract underlying options contracts | 5 years | |
Fixed rate on derivative underlying options contract | 5.00% | |
Remaining Years to Maturity | 5 months 15 days | |
Notional Amount | $ 30,000 | |
Maturity term of derivative contract underlying options contracts | 5 years | |
Fixed rate on derivative underlying options contract | 5.00% |
Consolidated VIEs (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Jun. 30, 2022 |
Mar. 31, 2022 |
Dec. 31, 2021 |
Sep. 30, 2021 |
Jun. 30, 2021 |
Mar. 31, 2021 |
Dec. 31, 2020 |
||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets | ||||||||||||
Cash and cash equivalents | [1] | $ 175,230 | $ 92,661 | |||||||||
Restricted cash | [1] | 0 | 175 | |||||||||
Securities, at fair value(1)(2) | [1],[2] | 1,522,772 | 2,087,360 | |||||||||
Loans, at fair value | [1],[2] | 3,822,895 | 2,415,321 | |||||||||
Investment in unconsolidated entities, at fair value | [1] | 171,379 | 195,643 | |||||||||
Real estate owned | [1],[2] | 20,738 | 24,681 | |||||||||
Investment related receivables | [1] | 172,826 | 122,175 | |||||||||
Other assets | [1] | 5,215 | 3,710 | |||||||||
Total Assets | 6,342,709 | 5,177,419 | ||||||||||
Liabilities | ||||||||||||
Repurchase agreements | [1] | 2,895,019 | 2,469,763 | |||||||||
Investment related payables | 48,860 | 39,048 | ||||||||||
Other secured borrowings | [1] | 40,900 | 96,622 | |||||||||
Other secured borrowings, at fair value | [1] | 1,635,829 | 984,168 | |||||||||
Interest payable | [1] | 11,687 | 4,570 | |||||||||
Accrued expenses and other liabilities | [1] | 8,650 | 22,098 | |||||||||
Total Liabilities | 5,162,080 | 3,853,863 | ||||||||||
Total Stockholders' Equity | 1,155,306 | 1,291,321 | ||||||||||
Non-controlling interests | [1] | 25,323 | 32,235 | |||||||||
Total Equity | 1,180,629 | $ 1,234,455 | $ 1,322,938 | 1,323,556 | $ 1,095,270 | $ 955,104 | $ 943,376 | $ 921,572 | ||||
Total Liabilities and Equity | 6,342,709 | 5,177,419 | ||||||||||
Due from brokers | 86,957 | 93,549 | ||||||||||
Primary Beneficiary | ||||||||||||
Assets | ||||||||||||
Cash and cash equivalents | 257 | 9,214 | ||||||||||
Restricted cash | 0 | 175 | ||||||||||
Securities, at fair value(1)(2) | 75,563 | 72,840 | ||||||||||
Loans, at fair value | 3,812,711 | 2,384,078 | ||||||||||
Investment in unconsolidated entities, at fair value | 69,465 | 36,874 | ||||||||||
Real estate owned | 20,738 | 24,681 | ||||||||||
Investment related receivables | 29,186 | 46,621 | ||||||||||
Other assets | 1,533 | 2,434 | ||||||||||
Total Assets | 4,009,453 | 2,576,917 | ||||||||||
Liabilities | ||||||||||||
Repurchase agreements | 1,471,043 | 613,314 | ||||||||||
Other secured borrowings | 40,900 | 95,621 | ||||||||||
Other secured borrowings, at fair value | 1,635,829 | 984,168 | ||||||||||
Interest payable | 1,721 | 1,087 | ||||||||||
Accrued expenses and other liabilities | 691 | 1,579 | ||||||||||
Total Liabilities | 3,150,184 | 1,695,769 | ||||||||||
Total Stockholders' Equity | 846,112 | 862,632 | ||||||||||
Non-controlling interests | 13,157 | 18,516 | ||||||||||
Total Equity | 859,269 | 881,148 | ||||||||||
Total Liabilities and Equity | $ 4,009,453 | $ 2,576,917 | ||||||||||
|
Securitization Transactions Narrative (Details) - USD ($) $ in Thousands |
9 Months Ended | |||||
---|---|---|---|---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|||||
Securitization Transactions [Line Items] | ||||||
Securities, at fair value(1)(2) | [1],[2] | $ 1,522,772 | $ 2,087,360 | |||
Investment in unconsolidated entities, at fair value | [1] | 171,379 | 195,643 | |||
Participation in Multi-Seller Consumer Loan Securitization [Member] | ||||||
Securitization Transactions [Line Items] | ||||||
Investment in unconsolidated entities, at fair value | $ 10,000 | $ 11,500 | ||||
Non-QM loan securitization | ||||||
Securitization Transactions [Line Items] | ||||||
Threshold for exercising Optional Redemption | 30.00% | |||||
Percentage used to calculate servicing administrator fee | 0.03% | |||||
|
Securitization Transactions (Schedule of CLO Securitization Transactions) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
||||
---|---|---|---|---|---|---|
Securitization Transactions [Line Items] | ||||||
Securities, at fair value(1)(2) | [1],[2] | $ 1,522,772 | $ 2,087,360 | |||
CLOs | Related Party CLO securitization [Member] | ||||||
Securitization Transactions [Line Items] | ||||||
Securities, at fair value(1)(2) | $ 11,400 | $ 27,600 | ||||
|
Securitization Transactions (Schedule of Residential Loan Securitizations) (Details) - Non-QM loan securitization $ in Thousands |
9 Months Ended |
---|---|
Sep. 30, 2022
USD ($)
| |
February 2021 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | $ 251,771 |
Purchase of certificates | 1,600 |
November 2019 [Member] | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | $ 267,255 |
Economic interest retained | 6.40% |
Purchase of certificates | $ 1,700 |
June 2020 [Member] | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 259,273 |
Purchase of certificates | 1,900 |
November 2020 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 219,732 |
Purchase of certificates | 1,400 |
June 2021 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 331,777 |
Purchase of certificates | 2,100 |
October 2021 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 257,645 |
Purchase of certificates | 1,800 |
February 2022 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 417,188 |
Purchase of certificates | 3,600 |
April 2022 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 425,651 |
Purchase of certificates | 1,300 |
July 2022 | |
Securitization Transactions [Line Items] | |
Total Face Amount of Certificates Issued | 345,652 |
Purchase of certificates | 1,300 |
The Company [Member] | February 2021 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 251,771 |
The Company [Member] | November 2019 [Member] | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 267,255 |
The Company [Member] | June 2020 [Member] | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 259,273 |
The Company [Member] | November 2020 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 219,732 |
The Company [Member] | June 2021 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 331,777 |
The Company [Member] | October 2021 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 257,645 |
The Company [Member] | February 2022 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 417,188 |
The Company [Member] | April 2022 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | 425,651 |
The Company [Member] | July 2022 | |
Securitization Transactions [Line Items] | |
Principal Balance of Loans Transferred to the Depositor | $ 345,652 |
Retained, non-risk retention [Member] | February 2021 | |
Securitization Transactions [Line Items] | |
Economic interest retained | 0.40% |
Retained, non-risk retention [Member] | June 2020 [Member] | |
Securitization Transactions [Line Items] | |
Economic interest retained | 6.40% |
Retained, non-risk retention [Member] | November 2020 | |
Securitization Transactions [Line Items] | |
Economic interest retained | 2.40% |
Retained, non-risk retention [Member] | October 2021 | |
Securitization Transactions [Line Items] | |
Economic interest retained | 2.00% |
Retained, non-risk retention [Member] | July 2022 | |
Securitization Transactions [Line Items] | |
Economic interest retained | 3.10% |
Retained, risk retention rules [Member] | February 2021 | |
Securitization Transactions [Line Items] | |
Economic interest retained | 5.40% |
Retained, risk retention rules [Member] | June 2020 [Member] | |
Securitization Transactions [Line Items] | |
Economic interest retained | 5.10% |
Retained, risk retention rules [Member] | November 2020 | |
Securitization Transactions [Line Items] | |
Economic interest retained | 5.20% |
Retained, risk retention rules [Member] | June 2021 | |
Securitization Transactions [Line Items] | |
Economic interest retained | 6.50% |
Retained, risk retention rules [Member] | October 2021 | |
Securitization Transactions [Line Items] | |
Economic interest retained | 6.30% |
Retained, risk retention rules [Member] | February 2022 | |
Securitization Transactions [Line Items] | |
Economic interest retained | 5.30% |
Retained, risk retention rules [Member] | April 2022 | |
Securitization Transactions [Line Items] | |
Economic interest retained | 5.60% |
Retained, risk retention rules [Member] | July 2022 | |
Securitization Transactions [Line Items] | |
Economic interest retained | 6.00% |
Securitization Transactions (Schedule of Assets and Liabilities Attributable to Consolidated VIEs) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
||||
---|---|---|---|---|---|---|
Variable Interest Entity [Line Items] | ||||||
Other secured borrowings, at fair value | [1] | $ 1,635,829 | $ 984,168 | |||
Loans, at fair value | [1],[2] | 3,822,895 | 2,415,321 | |||
Real estate owned | [1],[2] | 20,738 | 24,681 | |||
Investment related receivables | [1] | 172,826 | 122,175 | |||
Residential mortgage loans | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | 3,348,810 | 2,016,228 | ||||
Consolidated Entities [Member] | Non-QM loan securitization | ||||||
Variable Interest Entity [Line Items] | ||||||
Other secured borrowings, at fair value | 1,635,829 | 984,168 | ||||
Investment related receivables | 7,706 | 23,069 | ||||
Consolidated Entities [Member] | Residential mortgage loans | Securitized loans [Member] | Non-QM loan securitization | ||||||
Variable Interest Entity [Line Items] | ||||||
Loans, at fair value | $ 1,762,845 | $ 1,041,545 | ||||
|
Securitization Transactions - Participation in Consumer Loan Securitization (Details) - Participation in Multi-Seller Consumer Loan Securitization [Member] $ in Thousands |
9 Months Ended |
---|---|
Sep. 30, 2022
USD ($)
| |
Consumer Loan Securitization - November 2020 | |
Securitization Transactions [Line Items] | |
Aggregate unpaid principal balance of loans sold | $ 205,088 |
Company's share of loans sold | 56.30% |
Principal amount of notes issued | $ 193,650 |
Company's current percentage ownership of jointly owned entity | 56.30% |
Consumer Loan Securitization - March 2022 | |
Securitization Transactions [Line Items] | |
Aggregate unpaid principal balance of loans sold | $ 193,450 |
Company's share of loans sold | 24.70% |
Principal amount of notes issued | $ 400,000 |
Company's current percentage ownership of jointly owned entity | 24.60% |
Consumer Loan Securitization - March 2022 | Transferred by third party | |
Securitization Transactions [Line Items] | |
Aggregate unpaid principal balance of loans sold | $ 227,600 |
(Schedule of Reverse Repurchase Agreements by Maturity) (Details) $ in Thousands |
9 Months Ended | 12 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2022
USD ($)
counterparty
|
Dec. 31, 2021
USD ($)
|
|||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | [1] | $ 2,895,019 | $ 2,469,763 | |
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparty | 23 | |||
Total secured borrowings | $ 4,600,000 | 3,600,000 | ||
Agency RMBS | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 1,143,644 | 1,639,887 | ||
Agency RMBS | 30 Days or Less | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 450,636 | 180,059 | ||
Agency RMBS | 31-60 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 392,372 | 254,027 | ||
Agency RMBS | 61-90 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 67,883 | 154,520 | ||
Agency RMBS | 91-120 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 99,578 | 129,057 | ||
Agency RMBS | 151 to 180 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 55,223 | 71,824 | ||
Agency RMBS | Total Credit Assets | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 0 | 3,791 | ||
Agency RMBS | 121-150 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 77,952 | 275,915 | ||
Agency RMBS | More Than 360 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 0 | 570,694 | ||
U.S. Treasury securities | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 30,781 | 0 | ||
U.S. Treasury securities | 30 Days or Less | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 30,781 | 0 | ||
Credit | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 1,720,594 | 829,876 | ||
Credit | 30 Days or Less | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 16,157 | 377,440 | ||
Credit | 31-60 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 79,287 | 102,567 | ||
Credit | 61-90 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 121,862 | 96,823 | ||
Credit | 91-120 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 1,117,144 | 35,346 | ||
Credit | 151 to 180 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 29,596 | 87,863 | ||
Credit | Total Credit Assets | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 0 | 126,484 | ||
Credit | 121-150 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | 15,627 | 3,353 | ||
Credit | More Than 360 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements | $ 340,921 | $ 0 | ||
Minimum | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 0.20% | 0.10% | ||
Repurchase agreements, remaining days to maturity | 3 days | 3 days | ||
Maximum | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 6.89% | 3.75% | ||
Repurchase agreements, remaining days to maturity | 355 days | 638 days | ||
Weighted Average | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 4.00% | 0.82% | ||
Repurchase agreements, remaining days to maturity | 106 days | 134 days | ||
Weighted Average | Agency RMBS | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 2.40% | 0.19% | ||
Repurchase agreements, remaining days to maturity | 52 days | 144 days | ||
Weighted Average | Agency RMBS | 30 Days or Less | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 2.23% | 0.17% | ||
Repurchase agreements, remaining days to maturity | 15 days | 9 days | ||
Weighted Average | Agency RMBS | 31-60 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 2.42% | 0.23% | ||
Repurchase agreements, remaining days to maturity | 45 days | 44 days | ||
Weighted Average | Agency RMBS | 61-90 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 2.38% | 0.20% | ||
Repurchase agreements, remaining days to maturity | 75 days | 70 days | ||
Weighted Average | Agency RMBS | 91-120 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 2.63% | 0.16% | ||
Repurchase agreements, remaining days to maturity | 105 days | 105 days | ||
Weighted Average | Agency RMBS | 151 to 180 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 3.74% | 0.16% | ||
Repurchase agreements, remaining days to maturity | 165 days | 164 days | ||
Weighted Average | Agency RMBS | Total Credit Assets | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 0.00% | 0.13% | ||
Repurchase agreements, remaining days to maturity | 0 days | 366 days | ||
Weighted Average | Agency RMBS | 121-150 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 2.05% | 0.17% | ||
Repurchase agreements, remaining days to maturity | 137 days | 136 days | ||
Weighted Average | Agency RMBS | More Than 360 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 0.00% | 0.20% | ||
Repurchase agreements, remaining days to maturity | 0 days | 260 days | ||
Weighted Average | U.S. Treasury securities | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 3.01% | 0.00% | ||
Repurchase agreements, remaining days to maturity | 3 days | 0 days | ||
Weighted Average | U.S. Treasury securities | 30 Days or Less | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 3.01% | 0.00% | ||
Repurchase agreements, remaining days to maturity | 3 days | 0 days | ||
Weighted Average | Non-Agency RMBS | Total Credit Assets | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements, remaining days to maturity | 0 days | |||
Weighted Average | Non-Agency RMBS | More Than 360 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase agreements, remaining days to maturity | 0 days | |||
Weighted Average | Credit | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 5.08% | 2.08% | ||
Repurchase agreements, remaining days to maturity | 144 days | 114 days | ||
Weighted Average | Credit | 30 Days or Less | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 3.83% | 2.09% | ||
Repurchase agreements, remaining days to maturity | 10 days | 16 days | ||
Weighted Average | Credit | 31-60 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 4.10% | 1.38% | ||
Repurchase agreements, remaining days to maturity | 49 days | 44 days | ||
Weighted Average | Credit | 61-90 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 4.06% | 1.50% | ||
Repurchase agreements, remaining days to maturity | 74 days | 78 days | ||
Weighted Average | Credit | 91-120 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 5.15% | 2.00% | ||
Repurchase agreements, remaining days to maturity | 106 days | 109 days | ||
Weighted Average | Credit | 151 to 180 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 5.70% | 2.82% | ||
Repurchase agreements, remaining days to maturity | 167 days | 151 days | ||
Weighted Average | Credit | Total Credit Assets | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 0.00% | 2.58% | ||
Repurchase agreements, remaining days to maturity | 462 days | |||
Weighted Average | Credit | 121-150 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 5.11% | 1.56% | ||
Repurchase agreements, remaining days to maturity | 124 days | 139 days | ||
Weighted Average | Credit | More Than 360 Days | ||||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||||
Repurchase Agreements Interest Rate | 5.46% | 0.00% | ||
Repurchase agreements, remaining days to maturity | 321 days | |||
|
Borrowings (Schedule of Debt Repayments) (Details) $ in Thousands |
Sep. 30, 2022
USD ($)
|
---|---|
Debt Instrument [Line Items] | |
Expected principal repayments related to consolidated residential mortgage loan securitizations | $ 1,221,000 |
Repurchase Agreements | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 2,895,019 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 0 |
2020 Scheduled Repayment of Principal | 0 |
2021 Scheduled Repayment of Principal | 0 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 0 |
Total Scheduled Repayment of Principal | 2,895,019 |
Other Secured Borrowings | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 258,646 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 292,831 |
2020 Scheduled Repayment of Principal | 259,469 |
2021 Scheduled Repayment of Principal | 277,524 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 173,164 |
Total Scheduled Repayment of Principal | 1,261,634 |
Senior Notes | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 0 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 0 |
2020 Scheduled Repayment of Principal | 0 |
2021 Scheduled Repayment of Principal | 0 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 210,000 |
Total Scheduled Repayment of Principal | 210,000 |
Total | |
Debt Instrument [Line Items] | |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 3,153,665 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 292,831 |
2020 Scheduled Repayment of Principal | 259,469 |
2021 Scheduled Repayment of Principal | 277,524 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 383,164 |
Total Scheduled Repayment of Principal | $ 4,366,653 |
Borrowings (Amounts at Risk) (Details) - Nomura Holdings Inc. $ in Thousands |
9 Months Ended |
---|---|
Sep. 30, 2022
USD ($)
| |
Borrowings [Line Items] | |
Repurchase Agreement Counterparty, Amount at Risk | $ 209,545 |
Repurchase Agreement Counterparty, Weighted Average Maturity of Agreements | 95 days |
Fair Value, Concentration of Risk, Maximum Amount of Loss | |
Borrowings [Line Items] | |
Percentage of Total Outstanding Unpaid Principal Balance | 17.70% |
Borrowings (Details) $ in Thousands |
9 Months Ended | 12 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2022
USD ($)
counterparty
|
Dec. 31, 2021
USD ($)
|
|||
Borrowings [Line Items] | ||||
Total secured borrowings | $ 4,600,000 | $ 3,600,000 | ||
Financial Instruments transferred as collateral for repurchase agreements | 3,400,000 | 2,800,000 | ||
Collateral on repurchase agreements, unsettled sales | $ 25,500 | 4,100 | ||
Repurchase Agreements amount at risk threshold | 10.00% | |||
Other secured borrowings | [1] | $ 40,900 | 96,622 | |
Other secured borrowings, at fair value | [1] | 1,635,829 | 984,168 | |
Senior notes, at fair value | $ 193,515 | 0 | ||
Number of Counterparties with Outstanding Reverse Repurchase Agreements | counterparty | 23 | |||
Secured borrowing recourse facility collateralized by unsecured loan portfolio | ||||
Borrowings [Line Items] | ||||
Other secured borrowings | $ 2,700 | |||
Debt Instrument, Interest Rate, Effective Rate | 2.10% | |||
Secured borrowing facility collateralized by ABS backed by consumer loans [Member] | ||||
Borrowings [Line Items] | ||||
Other secured borrowings | $ 40,900 | $ 46,900 | ||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 71,400 | $ 67,500 | ||
Debt Instrument, Interest Rate, Effective Rate | 7.34% | 4.70% | ||
Non-QM loan securitization | ||||
Borrowings [Line Items] | ||||
Other secured borrowings | $ 984,200 | |||
Debt Instrument, Interest Rate, Effective Rate | 2.98% | 1.68% | ||
Commercial mortgage loans | ||||
Borrowings [Line Items] | ||||
Other secured borrowings | $ 7,500 | |||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 18,000 | |||
Loan Participations and Assignments | ||||
Borrowings [Line Items] | ||||
Other secured borrowings | 1,000 | |||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | $ 1,100 | |||
Debt Instrument, Interest Rate, Effective Rate | 3.17% | |||
Secured borrowing facility collateralized by unsecured loan portfolio | ||||
Borrowings [Line Items] | ||||
Other secured borrowings | $ 38,500 | |||
Debt Instrument, Interest Rate, Effective Rate | 2.25% | |||
Minimum | ||||
Borrowings [Line Items] | ||||
Reverse Repurchase Agreements Maturity | 30 days | |||
Repurchase agreements, remaining days to maturity | 3 days | 3 days | ||
Repurchase Agreements Interest Rate | 0.20% | 0.10% | ||
Maximum | ||||
Borrowings [Line Items] | ||||
Reverse Repurchase Agreements Maturity | 364 days | |||
Repurchase agreements, remaining days to maturity | 355 days | 638 days | ||
Repurchase Agreements Interest Rate | 6.89% | 3.75% | ||
Reverse repurchase agreements | ||||
Borrowings [Line Items] | ||||
Cash collateral posted for securities sold under agreements to repurchase | $ 73,300 | $ 70,300 | ||
Unsecured loans | Secured borrowing recourse facility collateralized by unsecured loan portfolio | ||||
Borrowings [Line Items] | ||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 4,300 | |||
Unsecured loans | Secured borrowing facility collateralized by unsecured loan portfolio | ||||
Borrowings [Line Items] | ||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 57,100 | |||
Securitized residential mortgage loans | ||||
Borrowings [Line Items] | ||||
Fair Value of Assets Transfered and Accounted for as Secured Borrowings | 1,800,000 | 1,000,000 | ||
Corporate equity securities | Mortgage-related Commercial | ||||
Borrowings [Line Items] | ||||
Fair Value | 69,500 | $ 36,900 | ||
5.50% Senior Notes | Senior Notes | ||||
Borrowings [Line Items] | ||||
Debt Instrument, Face Amount | $ 86,000 | |||
Debt Instrument, Interest Rate, Stated Percentage | 5.50% | |||
Debt Instrument, Maturity Date | Sep. 01, 2022 | |||
Debt Instrument, Interest Rate, Effective Rate | 5.80% | |||
5.875% Senior Notes | Senior Notes | ||||
Borrowings [Line Items] | ||||
Debt Instrument, Face Amount | $ 210,000 | |||
Debt Instrument, Interest Rate, Stated Percentage | 5.875% | |||
Redemption percentage | 100.00% | |||
Debt Instrument, Maturity Date | Apr. 01, 2027 | |||
|
Income Taxes Income Taxes (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
|
Income Tax Disclosure [Abstract] | ||||
Income Tax Expense (Benefit) | $ (81) | $ (2,009) | $ (14,867) | $ 3,149 |
Deferred Tax Assets, Gross | $ 18,700 | $ 18,700 |
Related Party Transactions (Promissory Note to Related Party) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
||||
---|---|---|---|---|---|---|
Related Party Transaction [Line Items] | ||||||
Unpaid Principal Balance | $ 4,073,065 | $ 2,366,724 | ||||
Loans, at fair value | [1],[2] | 3,822,895 | 2,415,321 | |||
Corporate loan [Member] | ||||||
Related Party Transaction [Line Items] | ||||||
Unpaid Principal Balance | 3,534 | 10,531 | ||||
Loans, at fair value | 3,534 | 10,531 | ||||
Corporate loan [Member] | Equity Method Investee | Promissory note to equity method investee, effective date May 2021 | ||||||
Related Party Transaction [Line Items] | ||||||
Unpaid Principal Balance | 3,000 | 3,000 | ||||
Loans, at fair value | $ 3,000 | $ 3,000 | ||||
Investment Interest Rate | 6.00% | 3.00% | ||||
Investment Maturity Date | Dec. 31, 2025 | |||||
Line of Credit Facility, Maximum Borrowing Capacity | $ 6,000 | |||||
Corporate loan [Member] | Equity Method Investee | Promissory note to equity method investee, effective date March 2022 | ||||||
Related Party Transaction [Line Items] | ||||||
Unpaid Principal Balance | 425 | $ 0 | ||||
Loans, at fair value | $ 425 | $ 0 | ||||
Investment Interest Rate | 7.00% | 0.00% | ||||
Investment Maturity Date | Jan. 31, 2025 | |||||
Line of Credit Facility, Maximum Borrowing Capacity | $ 500 | |||||
|
Related Party Transactions (Details) |
3 Months Ended | 9 Months Ended | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2022
USD ($)
|
Sep. 30, 2021
USD ($)
|
Sep. 30, 2022
USD ($)
numberOfWarrants
period
|
Sep. 30, 2021
USD ($)
|
Dec. 31, 2021
USD ($)
numberOfWarrants
|
||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Annual base management fee percentage | 1.50% | |||||||||||||
Base management fee to affiliate | $ 3,950,000 | $ 3,675,000 | [1] | $ 12,206,000 | [1] | $ 10,308,000 | [1] | |||||||
Base management fee, gross | 4,400,000 | 4,100,000 | 13,900,000 | 11,100,000 | ||||||||||
Management Fee Expense, Rebates | 444,000 | 395,000 | $ 1,705,000 | 784,000 | [1] | |||||||||
Incentive fee rate | 25.00% | |||||||||||||
Incentive Fee, Loss Carryforward | 108,400,000 | $ 108,400,000 | $ 0 | |||||||||||
Incentive fee hurdle rate fixed | 9.00% | |||||||||||||
Incentive fee hurdle rate floating | 3.00% | |||||||||||||
Minimum percentage of incentive fee to be paid in share | 10.00% | |||||||||||||
Termination Fee, Number Of Periods | period | 2 | |||||||||||||
Termination Fee, Period | 12 months | |||||||||||||
Expense Reimbursement Period | 60 days | |||||||||||||
Expense Reimbursement - Manager | $ 12,300,000 | 8,700,000 | ||||||||||||
Real estate owned | [2],[3] | 20,738,000 | 20,738,000 | 24,681,000 | ||||||||||
Securities, at fair value(1)(2) | [2],[3] | 1,522,772,000 | 1,522,772,000 | 2,087,360,000 | ||||||||||
Non-controlling interests | [2] | 25,323,000 | 25,323,000 | 32,235,000 | ||||||||||
Accrued expenses and other liabilities | [2] | 8,650,000 | 8,650,000 | 22,098,000 | ||||||||||
Reverse repurchase agreements | 2,895,019,000 | 2,895,019,000 | 2,469,763,000 | |||||||||||
Other assets | [2] | 5,215,000 | 5,215,000 | 3,710,000 | ||||||||||
Unpaid Principal Balance | 4,073,065,000 | 4,073,065,000 | 2,366,724,000 | |||||||||||
Related Party Transaction, Purchases from Related Party | 2,300,000 | 7,300,000 | 5,500,000 | |||||||||||
Securities Collateral relating to Reverse Repurchase Agreements | 3,400,000,000 | 3,400,000,000 | 2,800,000,000 | |||||||||||
Income Tax Expense (Benefit) | (81,000) | (2,009,000) | (14,867,000) | 3,149,000 | ||||||||||
Loans, at fair value | [2],[3] | 3,822,895,000 | 3,822,895,000 | 2,415,321,000 | ||||||||||
Incentive Fee Expense | 0 | 5,255,000 | 0 | 12,412,000 | ||||||||||
Earnings (losses) from investments in unconsolidated entities | (25,513,000) | 2,549,000 | (54,284,000) | 27,786,000 | ||||||||||
Payments to Acquire Equity Method Investments | 15,254,000 | 9,171,000 | ||||||||||||
Investment in unconsolidated entities, at fair value | [2] | 171,379,000 | 171,379,000 | 195,643,000 | ||||||||||
Jepson Holdings Limited | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Investment in unconsolidated entities, at fair value | 600,000 | 600,000 | 1,000,000 | |||||||||||
Commercial mortgage loans and REO | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Reverse repurchase agreements | 322,900,000 | 322,900,000 | 150,500,000 | |||||||||||
Fair Value | 16,300,000 | 16,300,000 | 34,000,000 | |||||||||||
Long | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Securities, at fair value(1)(2) | 1,522,772,000 | 1,522,772,000 | 2,087,360,000 | |||||||||||
Corporate loan [Member] | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Unpaid Principal Balance | 3,534,000 | 3,534,000 | 10,531,000 | |||||||||||
Loans, at fair value | 3,534,000 | 3,534,000 | 10,531,000 | |||||||||||
Non-Agency RMBS | Long | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Securities, at fair value(1)(2) | 193,299,000 | 193,299,000 | 201,605,000 | |||||||||||
Affiliated Entity [Member] | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Accounts payable and accrued expenses | [2] | 3,800,000 | 3,800,000 | 3,700,000 | ||||||||||
Mortgage Originator | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Warehouse facility, monetary amount | $ 5,000,000 | $ 5,000,000 | ||||||||||||
Interest rate | 15.00% | 15.00% | ||||||||||||
Advances made under warehouse facility | $ 0 | $ 0 | $ 0 | |||||||||||
Mortgage Originator | Warrants | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Derivative, Number of Instruments Held | numberOfWarrants | 8,280,000 | |||||||||||||
Mortgage Originator | Warrants | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Investment in unconsolidated entities, at fair value | 5,900,000 | 5,900,000 | $ 10,000,000 | |||||||||||
Related Party-Consumer Loans Titled in Name of Related Party | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Fair value of loans held in related party trust | 75,600,000 | 75,600,000 | 72,800,000 | |||||||||||
Purchasing Entity | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Fair value of loans held in related party trust | 5,600,000 | 5,600,000 | 61,700,000 | |||||||||||
Consumer loans purchased through affiliate | 10,000,000 | $ 25,000,000 | ||||||||||||
Estimated remaining contingent purchase obligations | 13,400,000 | |||||||||||||
Related party trust - Residential Mortgage Loans and REO | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Fair value of loans held in related party trust | 1,587,000,000 | $ 1,587,000,000 | $ 975,700,000 | |||||||||||
Mortgage loan originator | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Termination of warrants | numberOfWarrants | 1,049,000 | |||||||||||||
Mortgage loan originator | Equity Method Investee | Secured promissory note converted to equity | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Earnings (losses) from investments in unconsolidated entities | $ (1,300,000) | $ (4,800,000) | ||||||||||||
Outstanding debt converted to equity | 2,000,000 | |||||||||||||
Payments to Acquire Equity Method Investments | $ 150,000 | |||||||||||||
Equity Method Investee | Corporate loan [Member] | Promissory note to equity method investee, effective date March 2022 | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Management Fee Expense, Rebates | $ 400,000 | |||||||||||||
Investment Interest Rate | 7.00% | 7.00% | 0.00% | |||||||||||
Unpaid Principal Balance | $ 425,000 | $ 425,000 | $ 0 | |||||||||||
Loans, at fair value | 425,000 | 425,000 | 0 | |||||||||||
Non-controlling interest of joint venture partner | Unrelated third party joint venture interest | Commercial mortgage loans and REO | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Non-controlling interests | 1,300,000 | 1,300,000 | 2,000,000 | |||||||||||
Non-controlling interest of joint venture partner | Related party joint venture interest | Commercial mortgage loans and REO | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Non-controlling interests | 2,000,000 | 2,000,000 | 3,600,000 | |||||||||||
Participation in multi-borrower financing facility | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Outstanding debt of related party | 935,300,000 | 935,300,000 | 566,000,000 | |||||||||||
Warehouse facilities - CLO securitizations | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Investment in unconsolidated entities, at fair value | $ 500,000 | 500,000 | $ 1,700,000 | |||||||||||
Maximum | Mortgage Originator | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Commitment to purchase loans | $ 150,000,000 | |||||||||||||
Maximum | Mortgage loan originator | ||||||||||||||
Related Party Transaction [Line Items] | ||||||||||||||
Number of warrants available for purchase under commitment agreement | numberOfWarrants | 9,329,000 | |||||||||||||
|
Long-Term Incentive Plan Units (Narrative) (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | |||||
---|---|---|---|---|---|---|---|
Sep. 14, 2021 |
Mar. 07, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
Dec. 31, 2021 |
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Capital shares reserved for future issuance (in shares) | 1,542,257 | 1,542,257 | 1,626,401 | ||||
Share-based long term incentive plan unit expense | $ 0.4 | $ 0.2 | $ 1.0 | $ 0.7 | |||
Long-Term Incentive Plan Units [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | (4,066) | (5,710) | (4,066) | (5,710) | |||
Grants in Period (in shares) | 128,672 | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Gross | 24,796 | 16,264 | 65,050 | 33,495 | |||
Director [Member] | Long-Term Incentive Plan Units [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Grants in Period (in shares) | 24,796 | ||||||
Manager [Member] | Long-Term Incentive Plan Units [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | 0 | 0 | 0 | 0 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Gross | 0 | 0 | 0 | 0 | |||
Non Manager [Member] | Long-Term Incentive Plan Units [Member] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | (4,066) | (5,710) | (4,066) | (5,710) | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Gross | 24,796 | 40,254 | 24,796 | 16,264 | 65,050 | 33,495 |
Long-Term Incentive Plan Units Long-Term Incentive Plan Units (Unvested LTIP Units) (Details) - Long-Term Incentive Plan Units [Member] |
9 Months Ended |
---|---|
Sep. 30, 2022
shares
| |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 128,672 |
Director [Member] | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 24,796 |
Grant Date | Sep. 13, 2022 |
Vesting Date(1) | Sep. 12, 2023 |
Vest December 17, 2022 | Dedicated or partially dedicated personnel [Member] | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 14,598 |
Vest December 17, 2022 | Dedicated or partially dedicated personnel [Member] | December 17, 2020 | |
Schedule of Unvested LTIP Units [Line Items] | |
Grant Date | Dec. 17, 2020 |
Vesting Date(1) | Dec. 17, 2022 |
Vest December 31, 2022 | Dedicated or partially dedicated personnel [Member] | Grant Date March 3, 2021 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 13,534 |
Grant Date | Mar. 03, 2021 |
Vesting Date(1) | Dec. 31, 2022 |
Vest December 16, 2022 | Dedicated or partially dedicated personnel [Member] | Grant Date December 16, 2021 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 19,701 |
Grant Date | Dec. 16, 2021 |
Vesting Date(1) | Dec. 16, 2022 |
Vest December 16, 2023 | Dedicated or partially dedicated personnel [Member] | Grant Date December 16, 2021 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 15,789 |
Grant Date | Dec. 16, 2021 |
Vesting Date(1) | Dec. 16, 2023 |
Vest December 31, 2023 | Dedicated or partially dedicated personnel [Member] | Grant Date March 7, 2022 | |
Schedule of Unvested LTIP Units [Line Items] | |
Number of OP LTIP Units (in units) | 40,254 |
Grant Date | Mar. 07, 2022 |
Vesting Date(1) | Dec. 31, 2023 |
Long-Term Incentive Plan Units (Roll-Forward of Company's LTIP Units Outstanding) (Details) - Long-Term Incentive Plan Units [Member] - shares |
3 Months Ended | 9 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 14, 2021 |
Mar. 07, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
|
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||||||
LTIP Units Outstanding, beginning of period | 716,067 | 629,769 | 675,813 | 612,538 | ||
Granted | 24,796 | 16,264 | 65,050 | 33,495 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | (4,066) | (5,710) | (4,066) | (5,710) | ||
LTIP Units Outstanding, end of period | 736,797 | 640,323 | 736,797 | 640,323 | ||
OP LTIP Units Unvested and Outstanding end of period | 128,672 | 86,205 | 128,672 | 86,205 | ||
OP LTIP Units Vested and Outstanding end of period | 608,125 | 554,118 | 608,125 | 554,118 | ||
Manager [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||||||
LTIP Units Outstanding, beginning of period | 365,518 | 365,518 | 365,518 | 365,518 | ||
Granted | 0 | 0 | 0 | 0 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | 0 | 0 | 0 | 0 | ||
LTIP Units Outstanding, end of period | 365,518 | 365,518 | 365,518 | 365,518 | ||
OP LTIP Units Unvested and Outstanding end of period | 0 | 0 | 0 | 0 | ||
OP LTIP Units Vested and Outstanding end of period | 365,518 | 365,518 | 365,518 | 365,518 | ||
Non-Manager [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | ||||||
LTIP Units Outstanding, beginning of period | 350,549 | 264,251 | 310,295 | 247,020 | ||
Granted | 24,796 | 40,254 | 24,796 | 16,264 | 65,050 | 33,495 |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Exercises in Period | (4,066) | (5,710) | (4,066) | (5,710) | ||
LTIP Units Outstanding, end of period | 371,279 | 274,805 | 371,279 | 274,805 | ||
OP LTIP Units Unvested and Outstanding end of period | 128,672 | 86,205 | 128,672 | 86,205 | ||
OP LTIP Units Vested and Outstanding end of period | 242,607 | 188,600 | 242,607 | 188,600 |
Non-controlling Interests (Details) - USD ($) $ in Thousands |
9 Months Ended | ||||
---|---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
Dec. 31, 2021 |
|||
Noncontrolling Interest [Line Items] | |||||
Non-controlling interests | [1] | $ 25,323 | $ 32,235 | ||
Non-controlling interest of joint venture partner | Non-controlling Interest | |||||
Noncontrolling Interest [Line Items] | |||||
Non-controlling interests | $ 13,300 | $ 18,700 | |||
Operating Partnership | Non-controlling Interest | |||||
Noncontrolling Interest [Line Items] | |||||
Operating Partnership LTIP Units (in units) | 736,797 | 675,813 | |||
Operating Partnership Units (in units) | 46,360 | 46,360 | |||
Ownership Percentage | 1.00% | 1.00% | |||
Noncontrolling Interest in Operating Partnerships | $ 12,000 | $ 13,400 | |||
|
Equity (Narrative) (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 9 Months Ended | 52 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Feb. 22, 2022 |
Jul. 31, 2021 |
Sep. 30, 2022 |
Jun. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Dec. 31, 2021 |
Jun. 13, 2018 |
|||
Subsidiary, Sale of Stock [Line Items] | ||||||||||||
Preferred Stock, Shares Issued | 9,420,421 | 9,420,421 | 9,420,421 | 9,400,000 | ||||||||
Proceeds from Issuance of Preferred Stock and Preference Stock | [1] | $ 511 | $ 0 | |||||||||
Preferred Stock, Shares Authorized | 100,000,000 | 100,000,000 | 100,000,000 | 100,000,000 | ||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | $ 0.001 | $ 0.001 | ||||||||
Common stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | 100,000,000 | 100,000,000 | ||||||||
Common Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | $ 0.001 | $ 0.001 | ||||||||
Dividends declared (in usd per share) | $ 0.45 | $ 0.45 | $ 1.35 | $ 1.19 | ||||||||
Dividends paid | $ (91,459) | $ (58,469) | ||||||||||
Common shares issued and outstanding upon conversion of all convertible securities (in shares) | 61,221,944 | 61,221,944 | 61,221,944 | 58,180,342 | ||||||||
Number of shares authorized to be repurchased (in shares) | 1,550,000 | |||||||||||
Shares repurchased (in shares) | (40,000) | 0 | (128,184) | 0 | (830,149) | |||||||
Average price per share (USD per share) | $ 12.38 | $ 12.94 | $ 13.29 | |||||||||
Total cost | $ (495) | $ (1,164) | $ (1,700) | $ (11,000) | ||||||||
Shares Issued As Payment of Incentive Fee, Shares | 19,094 | 37,373 | 0 | 37,373 | 19,094 | 37,373 | ||||||
Preferred Stock, Shares Outstanding | 9,420,421 | 9,420,421 | 9,420,421 | 9,400,000 | ||||||||
Stock Issued During Period, Shares, New Issues | 516,942 | 7,852,900 | 3,085,642 | 7,852,900 | ||||||||
Common ATM Program | ||||||||||||
Subsidiary, Sale of Stock [Line Items] | ||||||||||||
Maximum shares available to be issued under at the market program | 10,000,000 | |||||||||||
Commissions and offering costs | $ 100 | $ 400 | $ 800 | $ 400 | ||||||||
Stock Issued During Period, Shares, New Issues | 516,942 | 1,549,900 | 3,085,642 | 1,549,900 | ||||||||
Proceeds from issuance of shares, net | $ 8,000 | $ 28,200 | $ 53,200 | $ 28,200 | ||||||||
Series A Preferred Stock | ||||||||||||
Subsidiary, Sale of Stock [Line Items] | ||||||||||||
Preferred Stock, Dividend Rate, Percentage | 6.75% | |||||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | $ 0.001 | |||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25.00 | $ 25.00 | $ 25.00 | |||||||||
Preferred Stock Dividend Rate Variable Rate Spread | 5.196% | |||||||||||
Preferred Stock, Amount of Preferred Dividends in Arrears | $ 2,500 | $ 1,600 | ||||||||||
Preferred Stock, Shares Outstanding | 4,600,000 | 4,600,000 | 4,600,000 | 4,600,000 | ||||||||
Series B Preferred Stock | ||||||||||||
Subsidiary, Sale of Stock [Line Items] | ||||||||||||
Preferred Stock, Dividend Rate, Percentage | 6.25% | |||||||||||
Preferred Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | $ 0.001 | |||||||||
Preferred Stock, Liquidation Preference Per Share | $ 25.00 | $ 25.00 | $ 25.00 | |||||||||
Preferred Stock Dividend Rate Variable Rate Spread | 4.99% | |||||||||||
Preferred Stock, Shares Outstanding | 4,820,421 | 4,820,421 | 4,820,421 | 4,800,000 | ||||||||
Operating Partnership Units [Member] | ||||||||||||
Subsidiary, Sale of Stock [Line Items] | ||||||||||||
Stock issued during period, shares, conversion of units | 4,066 | 5,710 | 4,066 | 5,710 | ||||||||
|
Equity (Summary of Common Stock Outstanding) (Details) - shares |
3 Months Ended | 9 Months Ended | 52 Months Ended | ||||
---|---|---|---|---|---|---|---|
Feb. 22, 2022 |
Jul. 31, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
|
Noncontrolling Interest [Line Items] | |||||||
Common stock, shares outstanding | 60,438,787 | 51,677,667 | 60,438,787 | 51,677,667 | 60,438,787 | ||
Shares repurchased (in shares) | (40,000) | 0 | (128,184) | 0 | (830,149) | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Beginning balance (in shares) | 59,957,779 | 43,781,684 | 57,458,169 | 43,781,684 | |||
Stock Issued During Period, Shares, New Issues | 516,942 | 7,852,900 | 3,085,642 | 7,852,900 | |||
Shares Issued As Payment of Incentive Fee, Shares | 19,094 | 37,373 | 0 | 37,373 | 19,094 | 37,373 | |
Shares repurchased | 40,000 | 0 | 128,184 | 0 | 830,149 | ||
Ending balance (in shares) | 60,438,787 | 51,677,667 | 60,438,787 | 51,677,667 | 60,438,787 | ||
Operating Partnership Units [Member] | |||||||
Noncontrolling Interest [Line Items] | |||||||
Stock issued during period, shares, conversion of units | 4,066 | 5,710 | 4,066 | 5,710 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||
Stock issued during period, shares, conversion of units | 4,066 | 5,710 | 4,066 | 5,710 |
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
|
Net increase (decrease) in shareholders' equity resulting from operations | ||||
Net income (loss) attributable to common stockholders | $ (33,290) | $ 20,564 | $ (108,073) | $ 91,075 |
Add: Net income (loss) attributable to Convertible Non-controlling Interests | (424) | 281 | (1,374) | 1,363 |
Net income (loss) related to common stockholders and Convertible Non-controlling Interests | (33,714) | 20,845 | (109,447) | 92,438 |
Dividends Paid: | ||||
Dividends | (27,477) | (23,161) | (81,348) | (56,058) |
Undistributed (Distributed in excess of) earnings: | ||||
Total undistributed (distributed in excess of) earnings | $ (61,191) | $ (2,316) | $ (190,795) | $ 36,380 |
Weighted average shares outstanding (basic and diluted): | ||||
Weighted average shares outstanding (basic and diluted) (in shares) | 60,982,475 | 50,533,333 | 60,049,790 | 46,502,749 |
Basic earnings per share of common stock: | ||||
Distributed (in usd per share) | $ 0.45 | $ 0.45 | $ 1.35 | $ 1.19 |
Undistributed (Distributed in excess of) (in usd per share) | (1.00) | (0.04) | (3.17) | 0.80 |
Basic earnings per common share (in usd per share) | (0.55) | 0.41 | (1.82) | 1.99 |
Diluted earnings per share of common stock: | ||||
Distributed (in usd per share) | 0.45 | 0.45 | 1.35 | 1.19 |
Undistributed (Distributed in excess of) (usd per share) | (1.00) | (0.04) | (3.17) | 0.80 |
Diluted earnings per common share (in usd per share) | $ (0.55) | $ 0.41 | $ (1.82) | $ 1.99 |
Net increase (decrease) in equity resulting from operations | $ 200 | $ 1,200 | $ 300 | $ 3,400 |
Net increase (decrease) in equity resulting from operations | 200 | 1,200 | 300 | 3,400 |
Common Stock | ||||
Dividends Paid: | ||||
Dividends | (27,131) | (22,854) | (80,328) | (55,253) |
Undistributed (Distributed in excess of) earnings: | ||||
Total undistributed (distributed in excess of) earnings | $ (60,421) | $ (2,290) | $ (188,401) | $ 35,822 |
Weighted average shares outstanding (basic and diluted): | ||||
Weighted average shares outstanding (basic and diluted) (in shares) | 60,215,948 | 49,853,267 | 59,295,566 | 45,827,785 |
Non-controlling Interest | ||||
Dividends Paid: | ||||
Dividends | $ (346) | $ (307) | $ (1,020) | $ (805) |
Undistributed (Distributed in excess of) earnings: | ||||
Total undistributed (distributed in excess of) earnings | $ (770) | $ (26) | $ (2,394) | $ 558 |
Weighted average shares outstanding (basic and diluted): | ||||
Weighted average shares outstanding (basic and diluted) (in shares) | 766,527 | 680,066 | 754,224 | 674,964 |
(Schedule of Restricted Cash) (Details) - USD ($) $ in Millions |
Sep. 30, 2022 |
Dec. 31, 2021 |
---|---|---|
Flow consumer loan purchase and sale agreement | ||
Restricted Cash [Line Items] | ||
Restricted cash | $ 0.0 | $ 0.2 |
Offsetting of Assets and Liabilities (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
---|---|---|
Financial derivatives–assets | ||
Financial derivatives–assets, at fair value- | $ 160,043 | $ 18,894 |
Financial Instruments Available for Offset | (50,342) | (9,909) |
Cash Collateral (Received) Pledged | (61,904) | (1,720) |
Net Amount | 47,797 | 7,265 |
Reverse repurchase agreements | ||
Reverse repurchase agreements | 204,654 | 123,250 |
Financial Instruments Available for Offset | (101,437) | (123,250) |
Cash Collateral (Received) Pledged | 0 | 0 |
Net Amount | 0 | 0 |
Repurchase agreements | ||
Reverse repurchase agreements | (2,895,019) | (2,469,763) |
Financial Instruments Available for Offset | 101,437 | 2,469,763 |
Cash Collateral (Received) Pledged | 73,277 | 70,314 |
Net Amount | 0 | 0 |
Financial derivatives–liabilities | ||
Financial derivatives–liabilities, at fair value- | (50,418) | (12,298) |
Financial Instruments Available for Offset | 50,342 | 9,909 |
Cash Collateral (Received) Pledged | 39 | 2,169 |
Net Amount | (37) | (220) |
Securities Collateral relating to Reverse Repurchase Agreements | 3,400,000 | 2,800,000 |
Financial Derivatives - Assets | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | 0 | 0 |
Financial derivatives–liabilities | ||
Excess cash collateral | 1,100 | 10,700 |
Securities Purchased under Agreements to Resell [Member] | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | (103,217) | 0 |
Financial Derivatives - Liabilities | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | 0 | 0 |
Financial derivatives–liabilities | ||
Excess cash collateral | 1,200 | 2,000 |
Reverse repurchase agreements | ||
Financial derivatives–assets | ||
Financial Instruments Transferred or Pledged as Collateral | $ 2,720,305 | $ (70,314) |
Counterparty Risk (Exposure to Counterparty Risk) (Details) - Counterparty Risk [Member] $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2022
USD ($)
counterparty
|
Dec. 31, 2021
USD ($)
counterparty
|
|
Cash and Cash Equivalents [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 175,230 | $ 92,661 |
Number of Counterparties with Exposure | counterparty | 7 | 9 |
Percentage of Total Outstanding Unpaid Principal Balance | 56.80% | 46.90% |
Collateral On Repurchase Agreements Held By Dealers [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 3,488,212 | $ 2,822,847 |
Number of Counterparties with Exposure | counterparty | 24 | 23 |
Percentage of Total Outstanding Unpaid Principal Balance | 24.50% | 33.50% |
Due From Broker [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 86,957 | $ 93,549 |
Number of Counterparties with Exposure | counterparty | 20 | 19 |
Percentage of Total Outstanding Unpaid Principal Balance | 29.70% | 29.10% |
Receivable For Securities Sold [Member] | ||
Concentration Risk [Line Items] | ||
Amount of Exposure | $ | $ 32,094 | $ 11,014 |
Number of Counterparties with Exposure | counterparty | 7 | 3 |
Percentage of Total Outstanding Unpaid Principal Balance | 44.60% | 50.70% |
Counterparty Risk (Narrative) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
||
---|---|---|---|---|
Risks and Uncertainties [Abstract] | ||||
Financial Instruments transferred as collateral for repurchase agreements | $ 3,400,000 | $ 2,800,000 | ||
Cash and cash equivalents | [1] | $ 175,230 | $ 92,661 | |
|
Counterparty Risk (Cash and Cash Equivalents) (Details) - USD ($) $ in Thousands |
Sep. 30, 2022 |
Dec. 31, 2021 |
||
---|---|---|---|---|
Concentration Risk [Line Items] | ||||
Cash and Cash Equivalents, at Carrying Value | [1] | $ 175,230 | $ 92,661 | |
|
Commitments and Contingencies (Details) - USD ($) $ in Millions |
9 Months Ended | |
---|---|---|
Sep. 30, 2022 |
Dec. 31, 2021 |
|
Equity investments in securitization-related risk retention vehicle | ||
Other Commitments [Line Items] | ||
Maximum guarantees | $ 15.5 | |
Drawn down amount being guaranteed | 7.3 | $ 15.5 |
Related party mortgage originator (with flow mortgage loan purchase and sale agreement) [Member] | Non-Exchange Traded Equity Investment in Mortgage Originators [Member] | ||
Other Commitments [Line Items] | ||
Maximum guarantees | 15.0 | |
Drawn down amount being guaranteed | 8.4 | |
Investment in Other Loan Originator | ||
Other Commitments [Line Items] | ||
Unfunded commitment | 3.0 | 3.0 |
Residential mortgage loans | ||
Other Commitments [Line Items] | ||
Unfunded commitment | 175.4 | 43.7 |
Residential mortgage loans | Investment in unconsolidated entities | ||
Other Commitments [Line Items] | ||
Unfunded commitment | 331.9 | 603.6 |
Total Purchase Commitment | 650.0 | |
Corporate loan [Member] | ||
Other Commitments [Line Items] | ||
Unfunded commitment | 4.2 | $ 5.4 |
Corporate loan [Member] | Line of Credit | ||
Other Commitments [Line Items] | ||
Unfunded commitment | 0.9 | |
Lending Commitment | $ 1.0 |
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Nov. 07, 2022 |
Oct. 06, 2022 |
Oct. 03, 2022 |
Sep. 30, 2022 |
Jun. 30, 2022 |
[2] | Mar. 31, 2022 |
Sep. 30, 2021 |
Sep. 30, 2022 |
Sep. 30, 2021 |
Dec. 31, 2021 |
||||||
Subsequent Event [Line Items] | ||||||||||||||||
Common Stock, Par or Stated Value Per Share | $ 0.001 | $ 0.001 | $ 0.001 | |||||||||||||
Stock Issued During Period, Shares, New Issues | 516,942 | 7,852,900 | 3,085,642 | 7,852,900 | ||||||||||||
Investment in unconsolidated entities, at fair value | [1] | $ 171,379 | $ 171,379 | $ 195,643 | ||||||||||||
Investment in Loan Originator | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Investment in unconsolidated entities, at fair value | 83,200 | 83,200 | 137,800 | |||||||||||||
Longbridge Financial LLC [Member] | Investment in Loan Originator | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Investment in unconsolidated entities, at fair value | $ 38,900 | $ 38,900 | $ 74,500 | |||||||||||||
Longbridge Financial LLC [Member] | Voting ownership | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Equity Method Investment, Ownership Percentage | 49.60% | 49.60% | 49.60% | |||||||||||||
Common ATM Program | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Stock Issued During Period, Shares, New Issues | 516,942 | 1,549,900 | 3,085,642 | 1,549,900 | ||||||||||||
Maximum shares available to be issued under at the market program | 10,000,000 | |||||||||||||||
Proceeds from issuance of shares, net | $ 8,000 | $ 28,200 | $ 53,200 | $ 28,200 | ||||||||||||
Commissions and offering costs | $ 100 | $ 400 | $ 800 | $ 400 | ||||||||||||
Preferred ATM Program | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Stock Issued During Period, Shares, New Issues | 20,421 | |||||||||||||||
Maximum shares available to be issued under at the market program | 100,000,000 | |||||||||||||||
Proceeds from issuance of shares, net | $ 500 | |||||||||||||||
Commissions and offering costs | $ 23 | |||||||||||||||
Common Stock | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Stock Issued During Period, Shares, New Issues | 516,942 | 383,700 | 2,185,000 | [2] | 7,852,900 | |||||||||||
Stock Issued During Period, Value, New Issues | $ 8,026 | $ 6,767 | $ 38,454 | [2] | $ 141,303 | |||||||||||
Preferred Stock [Member] | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Stock Issued During Period, Value, New Issues | [2] | $ 493 | ||||||||||||||
Subsequent Event [Member] | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Dividend Per Share (USD per share) | $ 0.15 | |||||||||||||||
Declared date | Nov. 07, 2022 | Oct. 06, 2022 | ||||||||||||||
Payment Date | Dec. 27, 2022 | |||||||||||||||
Record Date | Nov. 30, 2022 | |||||||||||||||
Business Acquisition, Percentage of Voting Interests Acquired | 49.60% | |||||||||||||||
Payments to Acquire Businesses, Gross | $ 38,900 | |||||||||||||||
Subsequent Event [Member] | Common Stock | ||||||||||||||||
Subsequent Event [Line Items] | ||||||||||||||||
Dividend Per Share (USD per share) | $ 0.15 | |||||||||||||||
Payment Date | Nov. 25, 2022 | |||||||||||||||
Record Date | Oct. 31, 2022 | |||||||||||||||
|
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