ý | 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 |
Maryland | 27-5254382 |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) |
245 Park Avenue, 26th Floor New York, New York | 10167 |
(Address of Principal Executive Offices) | (Zip Code) |
Securities registered pursuant to Section 12(b) of the Act: | ||||
Title of each class: | Trading Symbols: | Name of each exchange on which registered: | ||
Common Stock, $0.01 par value per share | MITT | New York Stock Exchange (NYSE) | ||
8.25% Series A Cumulative Redeemable Preferred Stock | MITT PrA | New York Stock Exchange (NYSE) | ||
8.00% Series B Cumulative Redeemable Preferred Stock | MITT PrB | New York Stock Exchange (NYSE) |
Page | ||
June 30, 2019 | December 31, 2018 | ||||||
Assets | |||||||
Real estate securities, at fair value: | |||||||
Agency - $2,062,928 and $1,934,562 pledged as collateral, respectively | $ | 2,123,088 | $ | 1,988,280 | |||
Non-Agency - $652,582 and $605,243 pledged as collateral, respectively (1) | 680,492 | 625,350 | |||||
ABS - $12,781 and $13,346 pledged as collateral, respectively | 20,571 | 21,160 | |||||
CMBS - $258,424 and $248,355 pledged as collateral, respectively | 281,040 | 261,385 | |||||
Residential mortgage loans, at fair value - $127,854 and $99,283 pledged as collateral, respectively | 199,970 | 186,096 | |||||
Commercial loans, at fair value - $3,233 and $- pledged as collateral, respectively | 118,005 | 98,574 | |||||
Single-family rental properties, net | 136,374 | 138,678 | |||||
Investments in debt and equity of affiliates | 99,955 | 84,892 | |||||
Excess mortgage servicing rights, at fair value | 20,893 | 26,650 | |||||
Cash and cash equivalents | 60,097 | 31,579 | |||||
Restricted cash | 32,853 | 52,779 | |||||
Other assets | 24,577 | 33,503 | |||||
Total Assets | $ | 3,797,915 | $ | 3,548,926 | |||
Liabilities | |||||||
Financing arrangements, net | $ | 2,993,233 | $ | 2,822,505 | |||
Securitized debt, at fair value | 8,630 | 10,858 | |||||
Dividend payable | 16,355 | 14,372 | |||||
Other liabilities | 48,833 | 45,180 | |||||
Total Liabilities | 3,067,051 | 2,892,915 | |||||
Commitments and Contingencies (Note 14) | |||||||
Stockholders’ Equity | |||||||
Preferred stock - $0.01 par value; 50,000 shares authorized: | |||||||
8.25% Series A Cumulative Redeemable Preferred Stock, 2,070 shares issued and outstanding ($51,750 aggregate liquidation preference) | 49,921 | 49,921 | |||||
8.00% Series B Cumulative Redeemable Preferred Stock, 4,600 shares issued and outstanding ($115,000 aggregate liquidation preference) | 111,293 | 111,293 | |||||
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 32,709 and 28,744 shares issued and outstanding at June 30, 2019 and December 31, 2018, respectively | 327 | 287 | |||||
Additional paid-in capital | 661,833 | 595,412 | |||||
Retained earnings/(deficit) | (92,510 | ) | (100,902 | ) | |||
Total Stockholders’ Equity | 730,864 | 656,011 | |||||
Total Liabilities & Stockholders’ Equity | $ | 3,797,915 | $ | 3,548,926 |
(1) | See Note 3 for details related to variable interest entities. |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2019 | June 30, 2018 | June 30, 2019 | June 30, 2018 | ||||||||||||
Net Interest Income | |||||||||||||||
Interest income | $ | 40,901 | $ | 36,012 | $ | 82,391 | $ | 75,369 | |||||||
Interest expense | 24,277 | 16,271 | 47,618 | 31,597 | |||||||||||
Total Net Interest Income | 16,624 | 19,741 | 34,773 | 43,772 | |||||||||||
Other Income/(Loss) | |||||||||||||||
Rental income | 3,162 | — | 6,559 | — | |||||||||||
Net realized gain/(loss) | (27,579 | ) | (11,060 | ) | (48,189 | ) | (22,899 | ) | |||||||
Net interest component of interest rate swaps | 1,800 | 1,262 | 3,581 | (208 | ) | ||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 43,165 | (578 | ) | 89,918 | (36,733 | ) | |||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (10,839 | ) | 4,781 | (20,925 | ) | 41,871 | |||||||||
Other income | 346 | 20 | 942 | 20 | |||||||||||
Total Other Income/(Loss) | 10,055 | (5,575 | ) | 31,886 | (17,949 | ) | |||||||||
Expenses | |||||||||||||||
Management fee to affiliate | 2,400 | 2,387 | 4,745 | 4,826 | |||||||||||
Other operating expenses | 3,850 | 3,443 | 7,680 | 6,666 | |||||||||||
Equity based compensation to affiliate | 73 | 94 | 199 | 145 | |||||||||||
Excise tax | 186 | 375 | 278 | 750 | |||||||||||
Servicing fees | 416 | 22 | 787 | 84 | |||||||||||
Property depreciation and amortization | 1,180 | — | 2,627 | — | |||||||||||
Property operating expenses | 1,946 | — | 3,789 | — | |||||||||||
Total Expenses | 10,051 | 6,321 | 20,105 | 12,471 | |||||||||||
Income/(loss) before equity in earnings/(loss) from affiliates | 16,628 | 7,845 | 46,554 | 13,352 | |||||||||||
Equity in earnings/(loss) from affiliates | 2,050 | 323 | 1,279 | 3,063 | |||||||||||
Net Income/(Loss) | 18,678 | 8,168 | 47,833 | 16,415 | |||||||||||
Dividends on preferred stock | 3,367 | 3,367 | 6,734 | 6,734 | |||||||||||
Net Income/(Loss) Available to Common Stockholders | $ | 15,311 | $ | 4,801 | $ | 41,099 | $ | 9,681 | |||||||
Earnings/(Loss) Per Share of Common Stock | |||||||||||||||
Basic | $ | 0.47 | $ | 0.17 | $ | 1.30 | $ | 0.34 | |||||||
Diluted | $ | 0.47 | $ | 0.17 | $ | 1.30 | $ | 0.34 | |||||||
Weighted Average Number of Shares of Common Stock Outstanding | |||||||||||||||
Basic | 32,709 | 28,201 | 31,636 | 28,198 | |||||||||||
Diluted | 32,737 | 28,228 | 31,664 | 28,222 |
For the Three Months Ended June 30,2019 and June 30, 2018 | ||||||||||||||||||||||||||
Common Stock | 8.25 % Series A Cumulative Redeemable Preferred Stock | 8.00 % Series B Cumulative Redeemable Preferred Stock | Additional Paid-in Capital | Retained Earnings/(Deficit) | ||||||||||||||||||||||
Shares | Amount | Total | ||||||||||||||||||||||||
Balance at April 1, 2019 | 32,703 | $ | 327 | $ | 49,921 | $ | 111,293 | $ | 661,561 | $ | (91,466 | ) | $ | 731,636 | ||||||||||||
Net proceeds from issuance of common stock | — | — | — | — | 99 | — | 99 | |||||||||||||||||||
Grant of restricted stock and amortization of equity based compensation | 6 | — | — | — | 173 | — | 173 | |||||||||||||||||||
Common dividends declared | — | — | — | — | — | (16,355 | ) | (16,355 | ) | |||||||||||||||||
Preferred Series A dividends declared | — | — | — | — | — | (1,067 | ) | (1,067 | ) | |||||||||||||||||
Preferred Series B dividends declared | — | — | — | — | — | (2,300 | ) | (2,300 | ) | |||||||||||||||||
Net Income/(Loss) | — | — | — | — | — | 18,678 | 18,678 | |||||||||||||||||||
Balance at June 30, 2019 | 32,709 | $ | 327 | $ | 49,921 | $ | 111,293 | $ | 661,833 | $ | (92,510 | ) | $ | 730,864 |
Common Stock | 8.25 % Series A Cumulative Redeemable Preferred Stock | 8.00 % Series B Cumulative Redeemable Preferred Stock | Additional Paid-in Capital | Retained Earnings/(Deficit) | ||||||||||||||||||||||
Shares | Amount | Total | ||||||||||||||||||||||||
Balance at April 1, 2018 | 28,196 | $ | 282 | $ | 49,921 | $ | 111,293 | $ | 585,610 | $ | (41,280 | ) | $ | 705,826 | ||||||||||||
Net proceeds from issuance of common stock | — | — | — | — | (162 | ) | — | (162 | ) | |||||||||||||||||
Grant of restricted stock and amortization of equity based compensation | 5 | — | — | — | 194 | — | 194 | |||||||||||||||||||
Common dividends declared | — | — | — | — | — | (14,100 | ) | (14,100 | ) | |||||||||||||||||
Preferred Series A dividends declared | — | — | — | — | — | (1,067 | ) | (1,067 | ) | |||||||||||||||||
Preferred Series B dividends declared | — | — | — | — | — | (2,300 | ) | (2,300 | ) | |||||||||||||||||
Net Income/(Loss) | — | — | — | — | — | 8,168 | 8,168 | |||||||||||||||||||
Balance at June 30, 2018 | 28,201 | $ | 282 | $ | 49,921 | $ | 111,293 | $ | 585,642 | $ | (50,579 | ) | $ | 696,559 |
For the Six Months Ended June 30,2019 and June 30, 2018 | ||||||||||||||||||||||||||
Common Stock | 8.25 % Series A Cumulative Redeemable Preferred Stock | 8.00 % Series B Cumulative Redeemable Preferred Stock | Additional Paid-in Capital | Retained Earnings/(Deficit) | ||||||||||||||||||||||
Shares | Amount | Total | ||||||||||||||||||||||||
Balance at January 1, 2019 | 28,744 | $ | 287 | $ | 49,921 | $ | 111,293 | $ | 595,412 | $ | (100,902 | ) | $ | 656,011 | ||||||||||||
Net proceeds from issuance of common stock | 3,953 | 40 | — | — | 66,023 | — | 66,063 | |||||||||||||||||||
Grant of restricted stock and amortization of equity based compensation | 12 | — | — | — | 398 | — | 398 | |||||||||||||||||||
Common dividends declared | — | — | — | — | — | (32,707 | ) | (32,707 | ) | |||||||||||||||||
Preferred Series A dividends declared | — | — | — | — | — | (2,134 | ) | (2,134 | ) | |||||||||||||||||
Preferred Series B dividends declared | — | — | — | — | — | (4,600 | ) | (4,600 | ) | |||||||||||||||||
Net Income/(Loss) | — | — | — | — | — | 47,833 | 47,833 | |||||||||||||||||||
Balance at June 30, 2019 | 32,709 | $ | 327 | $ | 49,921 | $ | 111,293 | $ | 661,833 | $ | (92,510 | ) | $ | 730,864 |
Common Stock | 8.25 % Series A Cumulative Redeemable Preferred Stock | 8.00 % Series B Cumulative Redeemable Preferred Stock | Additional Paid-in Capital | Retained Earnings/(Deficit) | |||||||||||||||||||||||
Shares | Amount | Total | |||||||||||||||||||||||||
Balance at January 1, 2018 | 28,193 | $ | 282 | $ | 49,921 | $ | 111,293 | $ | 585,530 | $ | (32,767 | ) | $ | 714,259 | |||||||||||||
Net proceeds from issuance of common stock | — | — | — | — | (225 | ) | — | (225 | ) | ||||||||||||||||||
Grant of restricted stock and amortization of equity based compensation | 8 | — | — | — | 337 | — | 337 | ||||||||||||||||||||
Common dividends declared | — | — | — | — | — | (27,493 | ) | (27,493 | ) | ||||||||||||||||||
Preferred Series A dividends declared | — | — | — | — | — | (2,134 | ) | (2,134 | ) | ||||||||||||||||||
Preferred Series B dividends declared | — | — | — | — | — | (4,600 | ) | (4,600 | ) | ||||||||||||||||||
Net Income/(Loss) | — | — | — | — | — | 16,415 | 16,415 | ||||||||||||||||||||
Balance at June 30, 2018 | $ | 28,201 | $ | 282 | $ | 49,921 | $ | 111,293 | $ | 585,642 | $ | (50,579 | ) | $ | 696,559 |
Six Months Ended | |||||||
June 30, 2019 | June 30, 2018 | ||||||
Cash Flows from Operating Activities | |||||||
Net income/(loss) | $ | 47,833 | $ | 16,415 | |||
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | |||||||
Net amortization of premium/(discount) | (1,393 | ) | 37 | ||||
Net realized (gain)/loss | 48,189 | 22,899 | |||||
Unrealized (gain)/loss on real estate securities and loans, net | (89,918 | ) | 36,733 | ||||
Unrealized (gain)/loss on derivative and other instruments, net | 20,925 | (41,871 | ) | ||||
Property depreciation and amortization | 2,627 | — | |||||
Equity based compensation to affiliate | 199 | 145 | |||||
Equity based compensation expense | 199 | 192 | |||||
(Income)/loss from investments in debt and equity of affiliates in excess of distributions received | 5,640 | 2,586 | |||||
Change in operating assets/liabilities: | |||||||
Other assets | (5,229 | ) | (1,120 | ) | |||
Other liabilities | (7,297 | ) | 1,199 | ||||
Net cash provided by (used in) operating activities | 21,775 | 37,215 | |||||
Cash Flows from Investing Activities | |||||||
Purchase of real estate securities | (707,330 | ) | (1,147,269 | ) | |||
Purchase of residential mortgage loans | (25,996 | ) | (105,450 | ) | |||
Origination of commercial loans | (13,473 | ) | — | ||||
Purchase of commercial loans | (16,175 | ) | — | ||||
Purchase of U.S. Treasury securities | (60,615 | ) | (249,659 | ) | |||
Purchase of excess mortgage servicing rights | — | (25,162 | ) | ||||
Investments in debt and equity of affiliates | (32,880 | ) | (40,781 | ) | |||
Proceeds from sales of real estate securities | 446,089 | 1,314,739 | |||||
Proceeds from sales of residential mortgage loans | 12,780 | 30,981 | |||||
Proceeds from sales of U.S. treasury securities | 60,498 | 249,227 | |||||
Principal repayments/return of basis on real estate securities | 151,918 | 246,313 | |||||
Principal repayments/return of basis on excess mortgage servicing rights | 1,983 | 607 | |||||
Principal repayments on commercial loans | 10,471 | 14,522 | |||||
Principal repayments on residential mortgage loans | 7,743 | 1,255 | |||||
Distributions received in excess of income from investments in debt and equity of affiliates | 12,179 | 20,862 | |||||
Net proceeds from/(payments made) on reverse repurchase agreements | 11,499 | 24,695 | |||||
Net proceeds from/(payments made) on sales of securities borrowed under reverse repurchase agreements | (11,478 | ) | (24,033 | ) | |||
Net settlement of interest rate swaps and other instruments | (58,594 | ) | 19,331 | ||||
Net settlement of TBAs | 1,600 | 165 | |||||
Cash flows provided by/(used in) other investing activities | (1,157 | ) | 785 | ||||
Net cash provided by/(used in) investing activities | (210,938 | ) | 331,128 | ||||
Cash Flows from Financing Activities | |||||||
Net proceeds from issuance of common stock | 66,063 | (225 | ) | ||||
Borrowings under financing arrangements | 20,785,055 | 26,737,708 | |||||
Repayments of financing arrangements | (20,614,328 | ) | (27,074,212 | ) | |||
Net collateral received from/(paid to) derivative counterparty | (1,465 | ) | 31,178 | ||||
Net collateral received from/(paid to) repurchase counterparty | (113 | ) | 38 | ||||
Dividends paid on common stock | (30,723 | ) | (26,785 | ) | |||
Dividends paid on preferred stock | (6,734 | ) | (6,734 | ) | |||
Net cash provided by/(used in) financing activities | 197,755 | (339,032 | ) | ||||
Six Months Ended | |||||||
June 30, 2019 | June 30, 2018 | ||||||
Net change in cash, cash equivalents and restricted cash | 8,592 | 29,311 | |||||
Cash, cash equivalents, and restricted cash, Beginning of Period | 84,358 | 52,815 | |||||
Cash, cash equivalents, and restricted cash, End of Period | $ | 92,950 | $ | 82,126 | |||
Supplemental disclosure of cash flow information: | |||||||
Cash paid for interest on financing arrangements | $ | 49,651 | $ | 29,292 | |||
Cash paid for excise and income taxes | $ | 1,407 | $ | 1,384 | |||
Supplemental disclosure of non-cash financing and investing activities: | |||||||
Payable on unsettled trades | $ | 23,944 | $ | 134,597 | |||
Principal repayments on real estate securities not yet received | $ | — | $ | 801 | |||
Common stock dividends declared but not paid | $ | 16,355 | $ | 14,100 | |||
Decrease in securitized debt | $ | 2,215 | $ | 2,482 | |||
Transfer from residential mortgage loans to other assets | $ | 1,466 | $ | 654 | |||
Transfer from non-agency to investments in debt and equity of affiliates | $ | — | $ | 44,970 | |||
Transfer from other assets to investments in debt and equity of affiliates | $ | — | $ | 242 | |||
Transfer from financing arrangements to investments in debt and equity of affiliates | $ | — | $ | 33,720 |
June 30, 2019 | June 30, 2018 | ||||||
Cash and cash equivalents | $ | 60,097 | $ | 31,145 | |||
Restricted cash | 32,853 | 50,981 | |||||
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ | 92,950 | $ | 82,126 |
• | Level 1 – Quoted prices in active markets for identical assets or liabilities. |
• | Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. |
• | Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. |
June 30, 2019 | December 31, 2018 | |||||||||||||||||||||||
Assets | Liabilities | Equity | Assets | Liabilities | Equity | |||||||||||||||||||
Real Estate Securities, Excess MSRs and Loans, at fair value (1)(2) | $ | 245,295 | $ | (182,725 | ) | $ | 62,570 | $ | 213,419 | $ | (138,893 | ) | $ | 74,526 | ||||||||||
AG Arc, at fair value | 18,717 | — | 18,717 | 20,360 | — | 20,360 | ||||||||||||||||||
Cash and Other assets/(liabilities) | 20,515 | (1,847 | ) | 18,668 | 7,423 | (17,417 | ) | (9,994 | ) | |||||||||||||||
Investments in debt and equity of affiliates | $ | 284,527 | $ | (184,572 | ) | $ | 99,955 | $ | 241,202 | $ | (156,310 | ) | $ | 84,892 |
(1) | Certain loans held in securitized form are recorded net of non-recourse securitized debt. |
(2) | Within Real Estate Securities, Excess MSRs and Loans is $161.4 million and $113.3 million of fair market value of Non-QM loans held in MATT at June 30, 2019 and December 31, 2018, respectively. |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||
Current Face | Premium / (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon (1) | Yield | |||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||||||
30 Year Fixed Rate | $ | 1,880,323 | $ | 52,041 | $ | 1,932,364 | $ | 58,795 | $ | (293 | ) | $ | 1,990,866 | 4.11 | % | 3.47 | % | |||||||||||||
Fixed Rate CMO | 40,022 | 226 | 40,248 | 525 | — | 40,773 | 3.00 | % | 2.78 | % | ||||||||||||||||||||
Interest Only | 602,237 | (511,827 | ) | 90,410 | 1,306 | (267 | ) | 91,449 | 3.64 | % | 3.46 | % | ||||||||||||||||||
Total Agency RMBS: | 2,522,582 | (459,560 | ) | 2,063,022 | 60,626 | (560 | ) | 2,123,088 | 3.98 | % | 3.46 | % | ||||||||||||||||||
Credit Investments: | ||||||||||||||||||||||||||||||
Non-Agency RMBS | 795,373 | (175,158 | ) | 620,215 | 58,743 | (300 | ) | 678,658 | 5.21 | % | 7.08 | % | ||||||||||||||||||
Non-Agency RMBS Interest Only | 271,356 | (268,665 | ) | 2,691 | 236 | (1,093 | ) | 1,834 | 0.67 | % | 15.05 | % | ||||||||||||||||||
Total Non-Agency: | 1,066,729 | (443,823 | ) | 622,906 | 58,979 | (1,393 | ) | 680,492 | 4.48 | % | 7.11 | % | ||||||||||||||||||
ABS | 20,790 | (94 | ) | 20,696 | — | (125 | ) | 20,571 | 9.58 | % | 10.20 | % | ||||||||||||||||||
CMBS | 338,307 | (124,370 | ) | 213,937 | 20,490 | (223 | ) | 234,204 | 5.80 | % | 8.47 | % | ||||||||||||||||||
CMBS Interest Only | 3,361,194 | (3,318,230 | ) | 42,964 | 3,927 | (55 | ) | 46,836 | 0.23 | % | 7.00 | % | ||||||||||||||||||
Total CMBS: | 3,699,501 | (3,442,600 | ) | 256,901 | 24,417 | (278 | ) | 281,040 | 0.49 | % | 8.23 | % | ||||||||||||||||||
Total Credit Investments: | 4,787,020 | (3,886,517 | ) | 900,503 | 83,396 | (1,796 | ) | 982,103 | 1.33 | % | 7.49 | % | ||||||||||||||||||
Total | $ | 7,309,602 | $ | (4,346,077 | ) | $ | 2,963,525 | $ | 144,022 | $ | (2,356 | ) | $ | 3,105,191 | 2.29 | % | 4.73 | % |
(1) | Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||
Current Face | Premium / (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon (1) | Yield | |||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||||||
30 Year Fixed Rate | $ | 1,781,995 | $ | 50,750 | $ | 1,832,745 | $ | 6,544 | $ | (9,174 | ) | $ | 1,830,115 | 4.08 | % | 3.66 | % | |||||||||||||
Fixed Rate CMO | 44,418 | 327 | 44,745 | — | (388 | ) | 44,357 | 3.00 | % | 2.79 | % | |||||||||||||||||||
Interest Only | 680,743 | (565,659 | ) | 115,084 | 1,788 | (3,064 | ) | 113,808 | 3.61 | % | 8.13 | % | ||||||||||||||||||
Total Agency RMBS: | 2,507,156 | (514,582 | ) | 1,992,574 | 8,332 | (12,626 | ) | 1,988,280 | 3.94 | % | 3.89 | % | ||||||||||||||||||
Credit Investments: | ||||||||||||||||||||||||||||||
Non-Agency RMBS | 763,753 | (189,569 | ) | 574,184 | 50,131 | (2,064 | ) | 622,251 | 5.09 | % | 7.18 | % | ||||||||||||||||||
Non-Agency RMBS Interest Only | 296,677 | (293,520 | ) | 3,157 | 879 | (937 | ) | 3,099 | 0.63 | % | 21.88 | % | ||||||||||||||||||
Total Non-Agency: | 1,060,430 | (483,089 | ) | 577,341 | 51,010 | (3,001 | ) | 625,350 | 4.29 | % | 7.25 | % | ||||||||||||||||||
ABS | 22,125 | (179 | ) | 21,946 | — | (786 | ) | 21,160 | 9.49 | % | 10.22 | % | ||||||||||||||||||
CMBS | 361,514 | (163,366 | ) | 198,148 | 14,936 | (2,030 | ) | 211,054 | 6.12 | % | 8.87 | % | ||||||||||||||||||
CMBS Interest Only | 3,401,670 | (3,354,311 | ) | 47,359 | 3,243 | (271 | ) | 50,331 | 0.24 | % | 6.87 | % | ||||||||||||||||||
Total CMBS: | 3,763,184 | (3,517,677 | ) | 245,507 | 18,179 | (2,301 | ) | 261,385 | 0.48 | % | 8.48 | % | ||||||||||||||||||
Total Credit Investments: | 4,845,739 | (4,000,945 | ) | 844,794 | 69,189 | (6,088 | ) | 907,895 | 1.26 | % | 7.67 | % | ||||||||||||||||||
Total | $ | 7,352,895 | $ | (4,515,527 | ) | $ | 2,837,368 | $ | 77,521 | $ | (18,714 | ) | $ | 2,896,175 | 2.23 | % | 5.08 | % |
(1) | Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. |
Less than 12 months | Greater than 12 months | |||||||||||||||
As of | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||
June 30, 2019 | $ | 49,628 | $ | (752 | ) | $ | 30,708 | $ | (1,604 | ) | ||||||
December 31, 2018 | 966,620 | (14,937 | ) | 81,170 | (3,777 | ) |
Agency RMBS | Credit Investments | |||||||||||||||||||||
Weighted Average Life (1) | Fair Value | Amortized Cost | Weighted Average Coupon | Fair Value | Amortized Cost | Weighted Average Coupon (2) | ||||||||||||||||
Less than or equal to 1 year | $ | — | $ | — | — | $ | 110,497 | $ | 108,712 | 0.72 | % | |||||||||||
Greater than one year and less than or equal to five years | 542,883 | 528,844 | 3.91 | % | 268,545 | 253,195 | 0.97 | % | ||||||||||||||
Greater than five years and less than or equal to ten years | 1,580,205 | 1,534,178 | 4.01 | % | 400,325 | 361,430 | 1.42 | % | ||||||||||||||
Greater than ten years | — | — | — | % | 202,736 | 177,166 | 5.86 | % | ||||||||||||||
Total | $ | 2,123,088 | $ | 2,063,022 | 3.98 | % | $ | 982,103 | $ | 900,503 | 1.33 | % |
(1) | This is based on projected life. Typically, actual maturities of mortgage-backed securities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
(2) | Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. |
Agency RMBS | Credit Investments | |||||||||||||||||||||
Weighted Average Life (1) | Fair Value | Amortized Cost | Weighted Average Coupon | Fair Value | Amortized Cost | Weighted Average Coupon (2) | ||||||||||||||||
Less than or equal to 1 year | $ | — | $ | — | — | $ | 73,194 | $ | 73,738 | 0.59 | % | |||||||||||
Greater than one year and less than or equal to five years | 61,644 | 61,305 | 3.01 | % | 240,232 | 226,342 | 0.89 | % | ||||||||||||||
Greater than five years and less than or equal to ten years | 1,908,417 | 1,912,545 | 4.02 | % | 420,050 | 388,500 | 1.47 | % | ||||||||||||||
Greater than ten years | 18,219 | 18,724 | 3.50 | % | 174,419 | 156,214 | 5.77 | % | ||||||||||||||
Total | $ | 1,988,280 | $ | 1,992,574 | 3.94 | % | $ | 907,895 | $ | 844,794 | 1.26 | % |
(1) | This is based on projected life. Typically, actual maturities of mortgage-backed securities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
(2) | Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. |
Weighted Average | |||||||||||||||
Current Face | Fair Value | Coupon | Yield | Life (Years) (1) | |||||||||||
Consolidated tranche (2) | $ | 8,606 | $ | 8,630 | 4.19 | % | 4.38 | % | 2.11 | ||||||
Retained tranche | 8,235 | 6,826 | 4.64 | % | 19.15 | % | 7.96 | ||||||||
Total resecuritized asset | $ | 16,841 | $ | 15,456 | 4.41 | % | 10.90 | % | 4.97 |
(1) | This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
(2) | As of June 30, 2019, the fair market value of the consolidated tranche is included in the Company’s consolidated balance sheets as "Non-Agency RMBS." As of June 30, 2019, the Company has recorded secured financing of $8.6 million on the consolidated balance sheets in the "Securitized debt, at fair value" line item. The Company recorded the proceeds from the issuance of the secured financing in the "Cash Flows from Financing Activities" section of the consolidated statement of cash flows at the time of securitization. |
Weighted Average | |||||||||||||||
Current Face | Fair Value | Coupon | Yield | Life (Years) (1) | |||||||||||
Consolidated tranche (2) | $ | 10,821 | $ | 10,858 | 4.10 | % | 4.47 | % | 2.39 | ||||||
Retained tranche | 8,401 | 6,550 | 4.61 | % | 18.50 | % | 8.37 | ||||||||
Total resecuritized asset | $ | 19,222 | $ | 17,408 | 4.32 | % | 9.75 | % | 5.00 |
(1) | This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
(2) | As of December 31, 2018, the fair market value of the consolidated tranche is included in the Company’s consolidated balance sheets as "Non-Agency RMBS." As of December 31, 2018, the Company has recorded secured financing of $10.9 million on the consolidated balance sheets in the "Securitized debt, at fair value" line item. The Company recorded the proceeds from the issuance of the secured financing in the "Cash Flows from Financing Activities" section of the consolidated statement of cash flows at the time of securitization. |
June 30, 2019 | December 31, 2018 | |||||||
Assets | ||||||||
CMBS | $ | 92,384 | $ | 84,515 | ||||
Cash and cash equivalents | 610 | 595 | ||||||
Restricted cash | — | 258 | ||||||
Other assets | 156 | 151 | ||||||
Total assets | $ | 93,150 | $ | 85,519 | ||||
Liabilities | ||||||||
Financing arrangements, net | $ | 57,648 | $ | 54,278 | ||||
Other liabilities | 3,730 | 2,954 | ||||||
Total liabilities | $ | 61,378 | $ | 57,232 |
Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||
Unpaid Principal Balance | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life (Years) (1) | |||||||||||||||||||||||
Residential mortgage loans | $ | 226,028 | $ | (33,920 | ) | $ | 192,108 | $ | 7,862 | $ | — | $ | 199,970 | 5.17 | % | 6.82 | % | 6.92 |
(1) | This is based on projected life. Typically, actual maturities of residential mortgage loans are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||
Unpaid Principal Balance | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life (Years) (1) | |||||||||||||||||||||||
Residential mortgage loans | $ | 216,853 | $ | (31,773 | ) | $ | 185,080 | $ | 1,190 | $ | (174 | ) | $ | 186,096 | 4.75 | % | 6.53 | % | 7.14 |
(1) | This is based on projected life. Typically, actual maturities of residential mortgage loans are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
June 30, 2019 | December 31, 2018 | ||||||||||||||
Fair Value | Unpaid Principal Balance | Fair Value | Unpaid Principal Balance | ||||||||||||
Re-Performing | $ | 159,787 | $ | 177,362 | $ | 148,508 | $ | 172,470 | |||||||
Non-Performing | 40,183 | 48,666 | 37,588 | 44,383 | |||||||||||
$ | 199,970 | $ | 226,028 | $ | 186,096 | $ | 216,853 |
Geographic Concentration of Credit Risk | June 30, 2019 | December 31, 2018 | |||
Percentage of fair value of mortgage loans secured by properties in the following states representing 5% or more of fair value: | |||||
California | 17 | % | 19 | % | |
Florida | 8 | % | 9 | % | |
Georgia | 6 | % | 5 | % | |
New York | 4 | % | 5 | % |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2019 | June 30, 2018 | June 30, 2019 | June 30, 2018 | ||||||||||||
Beginning Balance | $ | 99,504 | $ | 9,825 | $ | 79,610 | $ | 9,318 | |||||||
Additions | 505 | 36,443 | 20,236 | 36,443 | |||||||||||
Accretion | (3,438 | ) | (543 | ) | (6,701 | ) | (1,033 | ) | |||||||
Reclassifications from/(to) non-accretable difference | (2,245 | ) | 825 | 1,604 | 1,822 | ||||||||||
Disposals | (4,811 | ) | (1,499 | ) | (5,234 | ) | (1,499 | ) | |||||||
Ending Balance | $ | 89,515 | $ | 45,051 | $ | 89,515 | $ | 45,051 |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||
Loan (1) | Current Face | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon (2) | Yield (3) | Life (Years) (4) | Initial Stated Maturity Date | Extended Maturity Date (5) | Location | ||||||||||||||||||||||||||
Loan B (6) | $ | 32,800 | $ | — | $ | 32,800 | $ | — | $ | — | $ | 32,800 | 7.17 | % | 7.60 | % | 0.02 | July 1, 2016 | July 1, 2019 | TX | ||||||||||||||||||
Loan G (7) | 32,299 | — | 32,299 | — | — | 32,299 | 7.21 | % | 7.21 | % | 1.04 | July 9, 2020 | July 9, 2022 | CA | ||||||||||||||||||||||||
Loan H (8) | 36,000 | — | 36,000 | — | — | 36,000 | 6.39 | % | 6.39 | % | 0.70 | March 9, 2019 | March 9, 2020 | AZ | ||||||||||||||||||||||||
Loan I (9) | 7,384 | (214 | ) | 7,170 | 214 | — | 7,384 | 12.91 | % | 15.36 | % | 1.55 | February 9, 2021 | February 9, 2023 | MN | |||||||||||||||||||||||
Loan J (10) | 3,233 | — | 3,233 | — | — | 3,233 | 7.09 | % | 7.09 | % | 2.63 | January 1, 2023 | January 1, 2024 | NY | ||||||||||||||||||||||||
Loan K (11) | 6,289 | — | 6,289 | — | — | 6,289 | 11.44 | % | 12.65 | % | 2.14 | May 22, 2021 | February 22, 2024 | NY | ||||||||||||||||||||||||
$ | 118,005 | $ | (214 | ) | $ | 117,791 | $ | 214 | $ | — | $ | 118,005 | 7.53 | % | 7.87 | % | 0.79 |
(1) | The Company has the contractual right to receive a balloon payment for each loan. |
(2) | Each commercial loan investment has a variable coupon rate. |
(3) | Yield includes any exit fees. |
(4) | Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. |
(5) | Represents the maturity date of the last possible extension option. |
(6) | Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively. As of June 30, 2019, Loan B was extended to the extended maturity date shown above. Subsequent to quarter end, although an event of default occurred with respect to Loan B, the Company has not adjusted the fair value of Loan B. |
(7) | Loan G is a first mortgage of up to $75.0 million, of which $32.3 million has been advanced. Subsequent to quarter end, the Company's commitment increased to $84.5 million. |
(8) | Loan H is a first mortgage of up to $36.0 million, all of which has been advanced. As of Q1 2019, Loan H has been extended to the extended maturity date. |
(9) | Loan I is a mezzanine loan of up to $20.0 million, of which $7.4 million has been advanced. |
(10) | Loan J is a first mortgage of up to $30.0 million, of which $3.2 million had been advanced. |
(11) | Loan K is comprised of a first mortgage and mezzanine loan of up to $15.0 million and $5.0 million, respectively. As of June 30, 2019, $4.7 million and $1.6 million of the first mortgage and mezzanine loan, respectively, have been advanced. |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||
Loan (1) | Current Face | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon (2) | Yield (3) | Life (Years) (4) | Initial Stated Maturity Date | Extended Maturity Date (5) | Location | ||||||||||||||||||||||||||
Loan B (6) | $ | 32,800 | $ | — | $ | 32,800 | $ | — | $ | — | $ | 32,800 | 7.13 | % | 7.51 | % | 0.52 | July 1, 2016 | July 1, 2019 | TX | ||||||||||||||||||
Loan F (7) | 10,417 | (1 | ) | 10,416 | 1 | — | 10,417 | 13.39 | % | 14.02 | % | 0.03 | September 9, 2018 | September 9, 2019 | MN | |||||||||||||||||||||||
Loan G (8) | 19,357 | — | 19,357 | — | — | 19,357 | 7.14 | % | 7.14 | % | 1.54 | July 9, 2020 | July 9, 2022 | CA | ||||||||||||||||||||||||
Loan H (9) | 36,000 | — | 36,000 | — | — | 36,000 | 6.21 | % | 6.21 | % | 1.21 | March 9, 2019 | March 9, 2020 | AZ | ||||||||||||||||||||||||
$ | 98,574 | $ | (1 | ) | $ | 98,573 | $ | 1 | $ | — | $ | 98,574 | 7.45 | % | 7.65 | % | 0.92 |
(1) | The Company has the contractual right to receive a balloon payment for each loan. |
(2) | Each commercial loan investment has a variable coupon rate. |
(3) | Yield includes any exit fees. |
(4) | Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. |
(5) | Represents the maturity date of the last possible extension option. |
(6) | Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million , respectively. As of December 31, 2018, Loan B has been extended to the extended maturity date shown above. |
(7) | Loan F is a mezzanine loan of up to $10.4 million, all of which has been funded. As of December 31, 2018, Loan F has been extended to January 2019. Loan F paid off at par in Q1 2019, with the Company receiving proceeds of $10.4 million. |
(8) | Loan G is a first mortgage loan of up to $75.0 million, of which $19.4 million has been advanced. |
(9) | Loan H is a first mortgage loan of up to $36.0 million, all of which has been funded. As of Q1 2019, Loan H has been extended to the extended maturity date. |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||
Unpaid Principal Balance | Amortized Cost | Gains | Losses | Fair Value | Yield | Life (Years) (1) | ||||||||||||||||||
Agency Excess MSRs | $ | 3,336,937 | $ | 22,006 | $ | 64 | $ | (1,359 | ) | $ | 20,711 | 7.37 | % | 5.75 | ||||||||||
Credit Excess MSRs | 38,169 | 191 | — | (9 | ) | 182 | 24.28 | % | 5.16 | |||||||||||||||
Total Excess MSRs | $ | 3,375,106 | $ | 22,197 | $ | 64 | $ | (1,368 | ) | $ | 20,893 | 7.58 | % | 5.74 |
(1) | This is based on projected life. Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. |
Gross Unrealized | Weighted Average | |||||||||||||||||||||||
Unpaid Principal Balance | Amortized Cost | Gains | Losses | Fair Value | Yield | Life (Years) (1) | ||||||||||||||||||
Agency Excess MSRs | $ | 3,564,527 | $ | 26,182 | $ | 1,081 | $ | (821 | ) | $ | 26,442 | 10.43 | % | 6.77 | ||||||||||
Credit Excess MSRs | 41,231 | 215 | — | (7 | ) | 208 | 24.09 | % | 5.02 | |||||||||||||||
Total Excess MSRs | $ | 3,605,758 | $ | 26,397 | $ | 1,081 | $ | (828 | ) | $ | 26,650 | 10.62 | % | 6.75 |
(1) | This is based on projected life. Actual maturities of Excess MSRs may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal. |
June 30, 2019 | December 31, 2018 | |||||||
Land | $ | 29,104 | $ | 29,104 | ||||
Building and improvements | 110,136 | 109,812 | ||||||
In-place lease intangibles | 2,097 | 2,098 | ||||||
Single-family rental properties | 141,337 | 141,014 | ||||||
Less: Accumulated depreciation and amortization | (4,963 | ) | (2,336 | ) | ||||
Single-family rental properties, net | $ | 136,374 | $ | 138,678 |
Period Ending December 31, | Amount | |||
2019 (last 6 months) | $ | 6,736 | ||
2020 | 2,272 | |||
2021 | 35 | |||
2022 | 6 | |||
Total | $ | 9,049 |
Fair Value at June 30, 2019 | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Agency RMBS: | ||||||||||||||||
30 Year Fixed Rate | $ | — | $ | 1,990,866 | $ | — | $ | 1,990,866 | ||||||||
Fixed Rate CMO | — | 40,773 | — | 40,773 | ||||||||||||
Interest Only | — | 91,449 | — | 91,449 | ||||||||||||
Credit Investments: | ||||||||||||||||
Non-Agency RMBS | — | 117,513 | 561,145 | 678,658 | ||||||||||||
Non-Agency RMBS Interest Only | — | — | 1,834 | 1,834 | ||||||||||||
ABS | — | — | 20,571 | 20,571 | ||||||||||||
CMBS | — | 13,979 | 220,225 | 234,204 | ||||||||||||
CMBS Interest Only | — | — | 46,836 | 46,836 | ||||||||||||
Residential mortgage loans | — | — | 199,970 | 199,970 | ||||||||||||
Commercial loans | — | — | 118,005 | 118,005 | ||||||||||||
Excess mortgage servicing rights | — | — | 20,893 | 20,893 | ||||||||||||
Cash equivalents | 45,757 | — | — | 45,757 | ||||||||||||
Derivative assets | — | 780 | — | 780 | ||||||||||||
AG Arc | — | — | 18,717 | 18,717 | ||||||||||||
Total Assets Measured at Fair Value | $ | 45,757 | $ | 2,255,360 | $ | 1,208,196 | $ | 3,509,313 | ||||||||
Liabilities: | ||||||||||||||||
Securitized debt | $ | — | $ | — | $ | (8,630 | ) | $ | (8,630 | ) | ||||||
Derivative liabilities | — | (538 | ) | — | (538 | ) | ||||||||||
Total Liabilities Measured at Fair Value | $ | — | $ | (538 | ) | $ | (8,630 | ) | $ | (9,168 | ) |
Fair value at December 31, 2018 | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Agency RMBS: | ||||||||||||||||
30 Year Fixed Rate | $ | — | $ | 1,830,115 | $ | — | $ | 1,830,115 | ||||||||
Fixed Rate CMO | — | 44,357 | — | 44,357 | ||||||||||||
Interest Only | — | 113,808 | — | 113,808 | ||||||||||||
Credit Investments: | ||||||||||||||||
Non-Agency RMBS | — | 130,697 | 491,554 | 622,251 | ||||||||||||
Non-Agency RMBS Interest Only | — | — | 3,099 | 3,099 | ||||||||||||
ABS | — | — | 21,160 | 21,160 | ||||||||||||
CMBS | — | — | 211,054 | 211,054 | ||||||||||||
CMBS Interest Only | — | — | 50,331 | 50,331 | ||||||||||||
Residential mortgage loans | — | — | 186,096 | 186,096 | ||||||||||||
Commercial loans | — | — | 98,574 | 98,574 | ||||||||||||
Excess mortgage servicing rights | — | — | 26,650 | 26,650 | ||||||||||||
Cash equivalents | 595 | — | — | 595 | ||||||||||||
Derivative assets | — | 1,729 | — | 1,729 | ||||||||||||
AG Arc | — | — | 20,360 | 20,360 | ||||||||||||
Total Assets Measured at Fair Value | $ | 595 | $ | 2,120,706 | $ | 1,108,878 | $ | 3,230,179 | ||||||||
Liabilities: | ||||||||||||||||
Securitized debt | $ | — | $ | — | $ | (10,858 | ) | $ | (10,858 | ) | ||||||
Securities borrowed under reverse repurchase agreements | — | (11,378 | ) | — | (11,378 | ) | ||||||||||
Derivative liabilities | — | (317 | ) | — | (317 | ) | ||||||||||
Total Liabilities Measured at Fair Value | $ | — | $ | (11,695 | ) | $ | (10,858 | ) | $ | (22,553 | ) |
Three Months Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2019 | |||||||||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | Non-Agency RMBS Interest Only | ABS | CMBS | CMBS Interest Only | Residential Mortgage Loans | Commercial Loans | Excess Mortgage Servicing Rights | AG Arc | Securitized debt | ||||||||||||||||||||||||||||||
Beginning balance | $ | 506,103 | $ | 2,501 | $ | 20,199 | $ | 212,904 | $ | 49,397 | $ | 202,047 | $ | 110,223 | $ | 24,301 | $ | 23,775 | $ | (10,515 | ) | ||||||||||||||||||
Transfers (1): | |||||||||||||||||||||||||||||||||||||||
Transfers into level 3 | 24,194 | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Purchases/Transfers | 61,496 | — | 819 | 23,656 | — | 6,250 | 8,132 | — | — | — | |||||||||||||||||||||||||||||
Proceeds from sales/redemptions | (14,606 | ) | — | — | (14,097 | ) | (1,714 | ) | (12,704 | ) | — | — | — | — | |||||||||||||||||||||||||
Proceeds from settlement | (22,573 | ) | — | (634 | ) | (7,570 | ) | — | (4,152 | ) | — | — | — | 1,898 | |||||||||||||||||||||||||
Total net gains/(losses) (2) | |||||||||||||||||||||||||||||||||||||||
Included in net income | 6,531 | (667 | ) | 187 | 5,332 | (847 | ) | 8,529 | (350 | ) | (3,408 | ) | (5,058 | ) | (13 | ) | |||||||||||||||||||||||
Ending Balance | $ | 561,145 | $ | 1,834 | $ | 20,571 | $ | 220,225 | $ | 46,836 | $ | 199,970 | $ | 118,005 | $ | 20,893 | $ | 18,717 | $ | (8,630 | ) | ||||||||||||||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2019 (3) | $ | 5,108 | $ | (386 | ) | $ | 187 | $ | 5,329 | $ | (772 | ) | $ | 7,847 | $ | (350 | ) | $ | (1,803 | ) | $ | (5,058 | ) | $ | (13 | ) |
Unrealized gain/(loss) on real estate securities and loans, net | $ | 18,332 | |||||||||||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (3,421 | ) | |||||||||||||||||||
Net realized gain/(loss) | 383 | ||||||||||||||||||||
Equity in earnings/(loss) from affiliates | (5,058 | ) | |||||||||||||||||||
Total | $ | 10,236 | |||||||||||||||||||
(3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | $ | 16,963 | |||||||||||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (1,816 | ) | |||||||||||||||||||
Equity in earnings/(loss) from affiliates | (5,058 | ) | |||||||||||||||||||
Total | $ | 10,089 |
Three Months Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2018 | |||||||||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | Non-Agency RMBS Interest Only | ABS | CMBS | CMBS Interest Only | Residential Mortgage Loans | Commercial Loans | Excess Mortgage Servicing Rights | AG Arc | Securitized debt | ||||||||||||||||||||||||||||||
Beginning balance | $ | 730,919 | $ | 2,913 | $ | 35,838 | $ | 182,970 | $ | 48,625 | $ | 19,872 | $ | 57,666 | $ | 30,747 | $ | 18,438 | $ | (15,497 | ) | ||||||||||||||||||
Transfers (1): | |||||||||||||||||||||||||||||||||||||||
Transfers into level 3 | 93,951 | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Purchases/Transfers | 2,291 | — | 2,628 | 26,056 | — | 105,041 | — | (209 | ) | — | — | ||||||||||||||||||||||||||||
Proceeds from sales/redemptions | (6,683 | ) | — | — | — | (4,659 | ) | (30,832 | ) | — | — | — | — | ||||||||||||||||||||||||||
Proceeds from settlement | (31,612 | ) | — | (737 | ) | (48,241 | ) | — | (1,073 | ) | (14,522 | ) | (179 | ) | — | 1,488 | |||||||||||||||||||||||
Total net gains/(losses) (2) | |||||||||||||||||||||||||||||||||||||||
Included in net income | (2,758 | ) | (42 | ) | 26 | (953 | ) | (784 | ) | 121 | 73 | (1,077 | ) | (85 | ) | 25 | |||||||||||||||||||||||
Ending Balance | $ | 786,108 | $ | 2,871 | $ | 37,755 | $ | 159,832 | $ | 43,182 | $ | 93,129 | $ | 43,217 | $ | 29,282 | $ | 18,353 | $ | (13,984 | ) | ||||||||||||||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2018 (3) | $ | (2,722 | ) | $ | (42 | ) | $ | 26 | $ | (1,026 | ) | $ | (551 | ) | $ | (581 | ) | $ | (145 | ) | $ | (1,077 | ) | $ | (85 | ) | $ | 25 |
Unrealized gain/(loss) on real estate securities and loans, net | $ | (5,772 | ) | ||||||||||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (427 | ) | |||||||||||||||||||
Net realized gain/(loss) | 829 | ||||||||||||||||||||
Equity in earnings/(loss) from affiliates | (86 | ) | |||||||||||||||||||
Total | $ | (5,456 | ) | ||||||||||||||||||
(3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | $ | (5,665 | ) | ||||||||||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (427 | ) | |||||||||||||||||||
Equity in earnings/(loss) from affiliates | (86 | ) | |||||||||||||||||||
Total | $ | (6,178 | ) |
Six Months Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2019 | |||||||||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | Non-Agency RMBS Interest Only | ABS | CMBS | CMBS Interest Only | Residential Mortgage Loans | Commercial Loans | Excess Mortgage Servicing Rights | AG Arc | Securitized debt | ||||||||||||||||||||||||||||||
Beginning balance | $ | 491,554 | $ | 3,099 | $ | 21,160 | $ | 211,054 | $ | 50,331 | $ | 186,096 | $ | 98,574 | $ | 26,650 | $ | 20,360 | $ | (10,858 | ) | ||||||||||||||||||
Transfers (1): | |||||||||||||||||||||||||||||||||||||||
Transfers into level 3 | 55,174 | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Transfers out of level 3 | (61,531 | ) | — | — | (5,279 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
Purchases/Transfers | 140,562 | — | 1,158 | 43,445 | — | 25,995 | 29,648 | — | — | — | |||||||||||||||||||||||||||||
Capital contributions | — | — | — | — | — | — | — | — | 6,689 | — | |||||||||||||||||||||||||||||
Proceeds from sales/redemptions | (49,242 | ) | — | (1,283 | ) | (20,165 | ) | (1,714 | ) | (12,780 | ) | — | — | — | — | ||||||||||||||||||||||||
Proceeds from settlement | (27,873 | ) | — | (1,183 | ) | (22,934 | ) | — | (8,189 | ) | (10,417 | ) | — | — | 2,215 | ||||||||||||||||||||||||
Total net gains/(losses) (2) | |||||||||||||||||||||||||||||||||||||||
Included in net income | 12,501 | (1,265 | ) | 719 | 14,104 | (1,781 | ) | 8,848 | 200 | (5,757 | ) | (8,332 | ) | 13 | |||||||||||||||||||||||||
Ending Balance | $ | 561,145 | $ | 1,834 | $ | 20,571 | $ | 220,225 | $ | 46,836 | $ | 199,970 | $ | 118,005 | $ | 20,893 | $ | 18,717 | $ | (8,630 | ) | ||||||||||||||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2019 (3) | $ | 10,087 | $ | (984 | ) | $ | 654 | $ | 10,733 | $ | (1,706 | ) | $ | 7,992 | $ | 200 | $ | (3,539 | ) | $ | (8,332 | ) | $ | 13 |
Unrealized gain/(loss) on real estate securities and loans, net | $ | 29,745 | |||||||||||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (5,744 | ) | |||||||||||||||||||
Net realized gain/(loss) | 3,581 | ||||||||||||||||||||
Equity in earnings/(loss) from affiliates | (8,332 | ) | |||||||||||||||||||
Total | $ | 19,250 | |||||||||||||||||||
(3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | $ | 26,976 | |||||||||||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (3,526 | ) | |||||||||||||||||||
Equity in earnings/(loss) from affiliates | (8,332 | ) | |||||||||||||||||||
Total | $ | 15,118 |
Six Months Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2018 | |||||||||||||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | Non-Agency RMBS Interest Only | ABS | CMBS | CMBS Interest Only | Residential Mortgage Loans | Commercial Loans | Excess Mortgage Servicing Rights | AG Arc | Securitized debt | ||||||||||||||||||||||||||||||
Beginning balance | $ | 845,424 | $ | 2,662 | $ | 40,958 | $ | 161,250 | $ | 50,702 | $ | 18,890 | $ | 57,521 | $ | 5,084 | $ | 17,911 | $ | (16,478 | ) | ||||||||||||||||||
Transfers (1): | |||||||||||||||||||||||||||||||||||||||
Transfers into level 3 | 101,985 | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Transfers out of level 3 | — | — | — | (6,951 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Purchases/Transfers | 93,877 | — | 5,596 | 56,256 | — | 105,041 | — | 25,162 | — | — | |||||||||||||||||||||||||||||
Proceeds from sales/redemptions | (184,804 | ) | — | — | — | (4,659 | ) | (30,832 | ) | — | — | — | — | ||||||||||||||||||||||||||
Proceeds from settlement | (69,563 | ) | — | (8,711 | ) | (49,145 | ) | — | (1,256 | ) | (14,522 | ) | (512 | ) | — | 2,482 | |||||||||||||||||||||||
Total net gains/(losses) (2) | |||||||||||||||||||||||||||||||||||||||
Included in net income | (811 | ) | 209 | (88 | ) | (1,578 | ) | (2,861 | ) | 1,286 | 218 | (452 | ) | 442 | 12 | ||||||||||||||||||||||||
Ending Balance | $ | 786,108 | $ | 2,871 | $ | 37,755 | $ | 159,832 | $ | 43,182 | $ | 93,129 | $ | 43,217 | $ | 29,282 | $ | 18,353 | $ | (13,984 | ) | ||||||||||||||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2018 (3) | $ | (1,697 | ) | $ | 229 | $ | (69 | ) | $ | (1,651 | ) | $ | (2,628 | ) | $ | 584 | $ | — | $ | (452 | ) | $ | 442 | $ | 12 |
Unrealized gain/(loss) on real estate securities and loans, net | $ | (9,095 | ) | ||||||||||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (440 | ) | |||||||||||||||||||
Net realized gain/(loss) | 5,470 | ||||||||||||||||||||
Equity in earnings/(loss) from affiliates | 441 | ||||||||||||||||||||
Total | $ | (3,624 | ) | ||||||||||||||||||
(3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: | |||||||||||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | $ | (5,231 | ) | ||||||||||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (440 | ) | |||||||||||||||||||
Equity in earnings/(loss) from affiliates | 441 | ||||||||||||||||||||
Total | $ | (5,230 | ) |
Asset Class | Fair Value at June 30, 2019 (in thousands) | Valuation Technique | Unobservable Input | Range (Weighted Average) | ||||||
Yield | 2.31% - 20.00% (5.16%) | |||||||||
Non-Agency RMBS | $ | 551,234 | Discounted Cash Flow | Projected Collateral Prepayments | 0.00% - 100.00% (16.87%) | |||||
Projected Collateral Losses | 0.00% - 30.00% (1.47%) | |||||||||
Projected Collateral Severities | -1.90% - 100.00% (21.08%) | |||||||||
$ | 9,911 | Consensus Pricing | Offered Quotes | 89.89 - 97.40 (94.41) | ||||||
Non-Agency RMBS Interest Only | Yield | 7.00% - 35.00% (25.05%) | ||||||||
$ | 1,834 | Discounted Cash Flow | Projected Collateral Prepayments | 9.50% - 18.00% (15.81%) | ||||||
Yield | 8.67% - 8.86% (8.71%) | |||||||||
ABS | $ | 12,781 | Discounted Cash Flow | Projected Collateral Prepayments | 20.00% - 20.00% (20.00%) | |||||
Projected Collateral Losses | 2.00% - 2.00% (2.00%) | |||||||||
Projected Collateral Severities | 50.00% - 50.00% (50.00%) | |||||||||
$ | 7,790 | Consensus Pricing | Offered Quotes | 100.00 - 100.00 (100.00) | ||||||
Yield | 3.80% - 13.40% (6.95%) | |||||||||
CMBS | $ | 220,225 | Discounted Cash Flow | Projected Collateral Prepayments | 0.00% - 0.00% (0.00%) | |||||
Projected Collateral Losses | 0.00% - 0.00% (0.00%) | |||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | |||||||||
Yield | 2.96% - 10.11% (4.26%) | |||||||||
CMBS Interest Only | $ | 46,836 | Discounted Cash Flow | Projected Collateral Prepayments | 99.00% - 100.00% (99.92%) | |||||
Projected Collateral Losses | 0.00% - 0.00% (0.00%) | |||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | |||||||||
Yield | 5.00% - 8.25% (5.28%) | |||||||||
Residential Mortgage Loans | $ | 199,970 | Discounted Cash Flow | Projected Collateral Prepayments | 4.63% - 8.82% (7.41%) | |||||
Projected Collateral Losses | 1.52% - 4.97% (2.17%) | |||||||||
Projected Collateral Severities | 3.25% - 37.89% (26.46%) | |||||||||
Yield | 4.17% - 6.99% (5.25%) | |||||||||
Commercial Loans | $ | 39,089 | Discounted Cash Flow | Credit Spread | 475 bps - 900 bps (543 bps) | |||||
Recovery Percentage (1) | 100.00% - 100.00% (100.00%) | |||||||||
$ | 78,916 | Consensus Pricing | Offered Quotes | 100.00 - 100.00 (100.00) | ||||||
Excess Mortgage Servicing Rights | Discounted Cash Flow | Yield | 8.50% - 11.63% (9.19%) | |||||||
$ | 20,711 | Projected Collateral Prepayments | 9.09% - 16.68% (12.10%) | |||||||
$ | 182 | Consensus Pricing | Offered Quotes | 0.01 - 0.46 (0.45) | ||||||
AG Arc | $ | 18,717 | Comparable Multiple | Book Value Multiple | 1.0x - 1.0x (1.0x) | |||||
Liability Class | Fair Value at June 30, 2019 (in thousands) | Valuation Technique | Unobservable Input | Range (Weighted Average) | ||||||
Yield | 3.15% - 3.15% (3.15%) | |||||||||
Securitized debt | $ | (8,630 | ) | Discounted Cash Flow | Projected Collateral Prepayments | 10.00% - 10.00% (10.00%) | ||||
Projected Collateral Losses | 3.50% - 3.50% (3.50%) | |||||||||
Projected Collateral Severities | 45.00% - 45.00% (45.00%) |
Asset Class | Fair Value at December 31, 2018 (in thousands) | Valuation Technique | Unobservable Input | Range (Weighted Average) | ||||||
Yield | 3.32% - 20.00% (5.34%) | |||||||||
Non-Agency RMBS | $ | 475,927 | Discounted Cash Flow | Projected Collateral Prepayments | 0.00% - 100.00% (13.66%) | |||||
Projected Collateral Losses | 0.00% - 30.00% (2.24%) | |||||||||
Projected Collateral Severities | -0.43% - 100.00% (26.30%) | |||||||||
$ | 15,627 | Consensus Pricing | Offered Quotes | 86.57 - 97.39 (92.43) | ||||||
Yield | 7.00% - 35.00% (27.37%) | |||||||||
Non-Agency RMBS Interest Only | $ | 3,099 | Discounted Cash Flow | Projected Collateral Prepayments | 9.50% - 18.00% (15.70%) | |||||
Projected Collateral Losses | 0.75% - 2.00% (1.53%) | |||||||||
Projected Collateral Severities | 20.00% - 65.00% (34.04%) | |||||||||
Discounted Cash Flow | Projected Collateral Prepayments | 20.00% - 20.00% (20.00%) | ||||||||
ABS | $ | 13,346 | Projected Collateral Losses | 2.00% - 2.00% (2.00%) | ||||||
Projected Collateral Severities | 50.00% - 50.00% (50.00%) | |||||||||
$ | 7,814 | Consensus Pricing | Offered Quotes | 100.00 - 100.00 (100.00) | ||||||
Yield | 4.99% - 14.51% (7.91%) | |||||||||
CMBS | $ | 208,228 | Discounted Cash Flow | Projected Collateral Prepayments | 0.00% - 0.00% (0.00%) | |||||
Projected Collateral Losses | 0.00% - 0.50% (0.02%) | |||||||||
Projected Collateral Severities | 0.00% - 25.00% (1.05%) | |||||||||
$ | 2,826 | Consensus Pricing | Offered Quotes | 4.83 - 8.88 (7.87) | ||||||
Yield | 3.67% - 10.79% (4.93%) | |||||||||
CMBS Interest Only | $ | 50,331 | Discounted Cash Flow | Projected Collateral Prepayments | 99.00% - 100.00% (99.92%) | |||||
Projected Collateral Losses | 0.00% - 0.00% (0.00%) | |||||||||
Projected Collateral Severities | 0.00% - 0.00% (0.00%) | |||||||||
Yield | 5.92% - 9.00% (6.33%) | |||||||||
Residential Mortgage Loans | $ | 86,813 | Discounted Cash Flow | Projected Collateral Prepayments | 4.99% - 8.37% (7.95%) | |||||
Projected Collateral Losses | 1.43% - 5.83% (1.94%) | |||||||||
Projected Collateral Severities | 6.28% - 32.19% (8.13%) | |||||||||
$ | 99,283 | Recent Transaction | Cost | N/A | ||||||
Yield | 7.51% - 7.51% (7.51%) | |||||||||
Commercial Loans | $ | 32,800 | Discounted Cash Flow | Credit Spread | 475 bps - 475 bps (475 bps) | |||||
Recovery Percentage (1) | 100.00% - 100.00% (100.00%) | |||||||||
$ | 65,774 | Consensus Pricing | Offered Quotes | 100.00 - 100.00 (100.00) | ||||||
Excess Mortgage Servicing Rights | Discounted Cash Flow | Yield | 8.50% - 11.62% (9.18%) | |||||||
$ | 26,442 | Projected Collateral Prepayments | 6.31% - 10.12% (8.47%) | |||||||
$ | 208 | Consensus Pricing | Offered Quotes | 0.02 - 0.49 (0.47) | ||||||
AG Arc | $ | 20,360 | Comparable Multiple | Book Value Multiple | 1.0x - 1.0x (1.0x) | |||||
Liability Class | Fair Value at December 31, 2018 (in thousands) | Valuation Technique | Unobservable Input | Range (Weighted Average) | ||||||
Yield | 4.09% - 4.09% (4.09%) | |||||||||
Securitized debt | $ | (10,858 | ) | Discounted Cash Flow | Projected Collateral Prepayments | 10.00% - 10.00% (10.00%) | ||||
Projected Collateral Losses | 3.50% - 3.50% (3.50%) | |||||||||
Projected Collateral Severities | 45.00% - 45.00% (45.00%) |
June 30, 2019 | December 31, 2018 | |||||||
Repurchase agreements | $ | 2,769,007 | $ | 2,595,873 | ||||
Term loan, net | 101,983 | 102,017 | ||||||
Revolving facilities | 122,243 | 124,615 | ||||||
Financing arrangements, net | $ | 2,993,233 | $ | 2,822,505 |
Repurchase Agreements | Real Estate Securities Pledged | |||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average Rate | Weighted Average Haircut | Fair Value Pledged | Amortized Cost | Accrued Interest | ||||||||||||||||
Overnight | $ | 118,272 | 2.69 | % | 3.2 | % | $ | 122,242 | $ | 118,803 | $ | 404 | ||||||||||
30 days or less | 1,528,744 | 2.94 | % | 10.1 | % | 1,726,287 | 1,644,265 | 6,917 | ||||||||||||||
31-60 days | 559,764 | 2.89 | % | 10.4 | % | 634,313 | 597,477 | 1,937 | ||||||||||||||
61-90 days | 202,596 | 2.88 | % | 9.6 | % | 225,928 | 220,055 | 794 | ||||||||||||||
91-180 days | 248,955 | 2.62 | % | 5.7 | % | 263,368 | 257,229 | 815 | ||||||||||||||
Greater than 180 days | 3,920 | 4.40 | % | 23.3 | % | 6,218 | 5,763 | 4 | ||||||||||||||
Total / Weighted Average | $ | 2,662,251 | 2.88 | % | 9.5 | % | $ | 2,978,356 | $ | 2,843,592 | $ | 10,871 |
Repurchase Agreements | Real Estate Securities Pledged | |||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average Rate | Weighted Average Haircut | Fair Value Pledged | Amortized Cost | Accrued Interest | ||||||||||||||||
Overnight | $ | 52,385 | 3.92 | % | 3.0 | % | $ | 54,032 | $ | 53,848 | $ | 177 | ||||||||||
30 days or less | 1,555,709 | 2.80 | % | 9.7 | % | 1,733,753 | 1,698,750 | 7,294 | ||||||||||||||
31-60 days | 852,017 | 2.85 | % | 8.1 | % | 939,222 | 925,418 | 3,123 | ||||||||||||||
61-90 days | 46,594 | 3.89 | % | 21.4 | % | 59,319 | 58,422 | 306 | ||||||||||||||
Greater than 180 days | 5,406 | 4.53 | % | 23.1 | % | 7,977 | 7,387 | 6 | ||||||||||||||
Total / Weighted Average | $ | 2,512,111 | 2.86 | % | 9.3 | % | $ | 2,794,303 | $ | 2,743,825 | $ | 10,906 |
Repurchase Agreements | Residential Mortgage Loans Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average Rate | Weighted Average Funding Cost | Weighted Average Haircut | Fair Value Pledged | Amortized Cost | Accrued Interest | ||||||||||||||||||
30 days or less | $ | 4,535 | 3.63 | % | 3.63 | % | 22.3 | % | $ | 5,833 | $ | 5,833 | $ | 7 | |||||||||||
Greater than 180 days | 100,138 | 4.21 | % | 4.31 | % | 17.9 | % | 122,021 | 116,609 | 108 | |||||||||||||||
Total / Weighted Average | $ | 104,673 | 4.19 | % | 4.28 | % | 18.1 | % | $ | 127,854 | $ | 122,442 | $ | 115 |
Repurchase Agreements | Residential Mortgage Loans Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average Rate | Weighted Average Funding Cost | Weighted Average Haircut | Fair Value Pledged | Amortized Cost | Accrued Interest | ||||||||||||||||||
Greater than 180 days | $ | 83,762 | 4.27 | % | 4.37 | % | 15.6 | % | $ | 99,283 | $ | 99,457 | $ | 91 |
Repurchase Agreements | Commercial Loans Pledged | ||||||||||||||||||||||||
Repurchase Agreements Maturing Within: | Balance | Weighted Average Rate | Weighted Average Funding Cost | Weighted Average Haircut | Fair Value Pledged | Amortized Cost | Accrued Interest | ||||||||||||||||||
Greater than 180 days | $ | 2,083 | 5.17 | % | 7.04 | % | 35.6 | % | $ | 3,233 | $ | 3,233 | $ | 19 |
June 30, 2019 | December 31, 2018 | |||||||
Fair Value of investments pledged as collateral under repurchase agreements | ||||||||
Agency RMBS | $ | 2,054,569 | $ | 1,927,359 | ||||
Non-Agency RMBS | 652,582 | 605,243 | ||||||
ABS | 12,781 | 13,346 | ||||||
CMBS | 258,424 | 248,355 | ||||||
Residential Mortgage Loans | 127,854 | 99,283 | ||||||
Commercial Loans | 3,233 | — | ||||||
Cash pledged (i.e., restricted cash) under repurchase agreements | 10,022 | 20,267 | ||||||
Total collateral pledged under repurchase agreements | $ | 3,119,465 | $ | 2,913,853 |
June 30, 2019 | December 31, 2018 | |||||||
Fair Value of investments posted to us under repurchase agreements: | ||||||||
Agency RMBS | $ | — | $ | 1,534 | ||||
U.S. Treasury Securities | — | 1,123 | ||||||
Total collateral posted to us under repurchase agreements | $ | — | $ | 2,657 |
June 30, 2019 | December 31, 2018 | |||||||
Repurchase agreements secured by investments: | ||||||||
Agency RMBS | $ | 1,941,812 | $ | 1,805,054 | ||||
Non-Agency RMBS | 517,514 | 499,851 | ||||||
ABS | 9,455 | 10,548 | ||||||
CMBS | 193,470 | 196,658 | ||||||
Residential Mortgage Loans | 104,673 | 83,762 | ||||||
Commercial Loans | 2,083 | — | ||||||
Gross Liability for repurchase agreements | $ | 2,769,007 | $ | 2,595,873 |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Liabilities Presented in the Consolidated Balance Sheets | Financial Instruments Posted | Cash Collateral Posted | Net Amount | ||||||||||||||||||
Repurchase agreements | $ | 2,769,007 | $ | — | $ | 2,769,007 | $ | 2,769,007 | $ | — | $ | — |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||||||||||||||||||||||||
Description | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Liabilities Presented in the Consolidated Balance Sheets | Financial Instruments Posted | Cash Collateral Posted | Net Amount | ||||||||||||||||||
Repurchase agreements | $ | 2,595,873 | $ | — | $ | 2,595,873 | $ | 2,595,873 | $ | — | $ | — |
June 30, 2019 | December 31, 2018 | |||||||||||||||||||||||||||||||||||
Facility (1) | Investment | Maturity Date | Rate | Funding Cost | Balance | Net Carrying Value of Assets Pledged as Collateral | Maximum Aggregate Borrowing Capacity | Rate | Funding Cost | Balance | Net Carrying Value of Assets Pledged as Collateral | |||||||||||||||||||||||||
Term loan, net (2) | Single-family rental properties | October 10, 2023 | 4.63 | % | 4.80 | % | $ | 101,983 | $ | 136,374 | $ | 102,866 | 4.63 | % | 4.80 | % | $ | 102,017 | $ | 138,678 | ||||||||||||||||
Revolving facility A (4)(5) | Commercial loans | July 1, 2019 | 4.55 | % | 4.55 | % | $ | 21,796 | $ | 32,800 | $ | 21,796 | 4.66 | % | 4.66 | % | $ | 21,796 | $ | 32,800 | ||||||||||||||||
Revolving facility B (3)(4) | Residential mortgage loans | June 15, 2020 | 4.41 | % | 4.41 | % | 52,603 | 71,517 | 110,000 | 4.53 | % | 4.54 | % | 63,328 | 85,343 | |||||||||||||||||||||
Revolving facility C (3)(4) | Commercial loans | August 10, 2023 | 4.55 | % | 4.78 | % | 47,844 | 68,299 | 100,000 | 4.53 | % | 4.80 | % | 39,491 | 55,357 | |||||||||||||||||||||
Total revolving facilities | $ | 122,243 | $ | 172,616 | $ | 231,796 | $ | 124,615 | $ | 173,500 | ||||||||||||||||||||||||||
Total term loan and revolving facilities | $ | 224,226 | $ | 308,990 | $ | 334,662 | $ | 226,632 | $ | 312,178 |
(1) | The term loan and all revolving facilities listed above are interest only until maturity. |
(2) | As of June 30, 2019 and December 31, 2018, the total borrowings under the term loan was $102.9 million and $103.0 million, respectively, which is shown net of deferred financing costs of $0.9 million and $1.0 million, respectively. |
(3) | Increasing the Company's borrowing capacity under this facility requires consent of the lender. |
(4) | Under the terms of the Company’s financing agreements, the Company's financial counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. |
(5) | This facility was paid off subsequent to quarter end. |
Counterparty | Stockholders’ Equity at Risk | Weighted Average Maturity (days) | Percentage of Stockholders’ Equity | ||||||
Barclays Capital Inc | $ | 70,888 | 222 | 10 | % |
Counterparty | Stockholders’ Equity at Risk | Weighted Average Maturity (days) | Percentage of Stockholders’ Equity | ||||||
Barclays Capital Inc | $ | 40,882 | 356 | 6 | % |
June 30, 2019 | December 31, 2018 | |||||||
Other assets | ||||||||
Interest receivable | $ | 12,945 | $ | 12,762 | ||||
Receivable under reverse repurchase agreements | — | 11,461 | ||||||
Derivative assets, at fair value | 780 | 1,729 | ||||||
Other assets | 5,128 | 6,948 | ||||||
Due from broker | 5,724 | 603 | ||||||
Total Other assets | $ | 24,577 | $ | 33,503 | ||||
Other liabilities | ||||||||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | $ | — | $ | 11,378 | ||||
Payable on unsettled trades | 23,944 | — | ||||||
Interest payable | 9,619 | 12,196 | ||||||
Derivative liabilities, at fair value | 538 | 317 | ||||||
Due to affiliates | 4,323 | 4,023 | ||||||
Accrued expenses | 6,952 | 7,859 | ||||||
Taxes payable | 561 | 1,673 | ||||||
Due to broker | 2,896 | 7,734 | ||||||
Total Other liabilities | $ | 48,833 | $ | 45,180 |
Derivatives and Other Instruments (1) | Designation | Balance Sheet Location | June 30, 2019 | December 31, 2018 | ||||||||
Pay Fix/Receive Float Interest Rate Swap Agreements (2) | Non-Hedge | Other assets | $ | 81 | $ | 1,406 | ||||||
Pay Fix/Receive Float Interest Rate Swap Agreements (2) | Non-Hedge | Other liabilities | (353 | ) | (317 | ) | ||||||
Payer Swaptions | Non-Hedge | Other assets | 74 | 323 | ||||||||
TBAs | Non-Hedge | Other assets | 625 | — | ||||||||
TBAs | Non-Hedge | Other liabilities | (185 | ) | — | |||||||
Short positions on U.S. Treasuries | Non-Hedge | Other liabilities (3) | — | (11,378 | ) |
(1) | As of June 30, 2019, the Company applied a reduction in fair value of $1,203 and $0.2 million to its U.S. Treasury Futures assets and Eurodollar Futures liabilities, respectively, related to variation margin. As of December 31, 2018, the Company applied a fair value reduction of $0.1 million and $1.0 million to its U.S. Treasury Futures assets and Eurodollar Future liabilities, respectively, related to variation margin. |
(2) | As of June 30, 2019, the Company applied a reduction in fair value of $0.4 million and $8.3 million to its interest rate swap assets and liabilities, respectively, related to variation margin. As of December 31, 2018, the Company applied a reduction in fair value of $26.0 million and $18.1 million to its interest rate swap assets and liabilities, respectively, related to variation margin. |
(3) | Short positions on U.S. Treasuries relate to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the "Unrealized gain/(loss) on derivatives and other instruments, net" line item in the Company’s consolidated statement of operations. |
Notional amount of non-hedge derivatives and other instruments: | June 30, 2019 | December 31, 2018 | ||||
Pay Fix/Receive Float Interest Rate Swap Agreements | 1,302,500 | 1,963,500 | ||||
Payer Swaptions | 445,000 | 260,000 | ||||
Long TBAs | 125,000 | — | ||||
Short TBAs | 100,000 | — | ||||
Long positions on U.S. Treasury Futures (1) | — | 30,000 | ||||
Short positions on U.S. Treasury Futures (1) | 700 | — | ||||
Short positions on Eurodollar Futures (2) | 1,000,000 | 500,000 | ||||
Short positions on U.S. Treasuries | — | 11,250 |
(1) | Each U.S. Treasury Future contract embodies $100,000 of notional value. |
(2) | Each Eurodollar Future contract embodies $1,000,000 of notional value. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2019 | June 30, 2018 | June 30, 2019 | June 30, 2018 | |||||||||||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | ||||||||||||||||
Interest rate swaps | $ | (9,102 | ) | $ | 5,610 | $ | (19,764 | ) | $ | 41,862 | ||||||
Eurodollar Futures | (266 | ) | — | 768 | — | |||||||||||
Swaptions | (256 | ) | (384 | ) | (774 | ) | (32 | ) | ||||||||
U.S. Treasury Futures | 1 | 385 | (144 | ) | (109 | ) | ||||||||||
TBAs (1) | (452 | ) | (409 | ) | 441 | 19 | ||||||||||
U.S. Treasuries | — | — | 82 | (94 | ) | |||||||||||
(10,075 | ) | 5,202 | (19,391 | ) | 41,646 | |||||||||||
Included within Net realized gain/(loss) | ||||||||||||||||
Interest rate swaps | (23,538 | ) | 5,862 | (41,080 | ) | 5,862 | ||||||||||
Eurodollar Futures | 11 | — | (1,229 | ) | — | |||||||||||
Swaptions | (227 | ) | — | (861 | ) | 51 | ||||||||||
U.S. Treasury Futures | 302 | 67 | 371 | 740 | ||||||||||||
TBAs (1) | 1,957 | (208 | ) | 1,601 | 165 | |||||||||||
U.S. Treasuries | (176 | ) | — | (249 | ) | 131 | ||||||||||
(21,671 | ) | 5,721 | (41,447 | ) | 6,949 | |||||||||||
Total income/(loss) | $ | (31,746 | ) | $ | 10,923 | $ | (60,838 | ) | $ | 48,595 |
(1) | For the three months ended June 30, 2019, gains and losses from purchases and sales of TBAs consisted of $0.3 million of net TBA dollar roll net interest income and net gains of $1.2 million due to price changes. For the six months ended June 30, 2019, gains and losses from purchases and sales of TBAs consisted of $0.7 million of net TBA dollar roll net interest income and net gains of $1.3 million due to price changes. For the three months ended June 30, 2018, gains and losses from purchases and sales of TBAs consisted of $0.6 million of net TBA dollar roll net interest income and net losses of $1.3 million due to price changes. For the six months ended June 30, 2018, gains and losses from purchases and sales of TBAs consisted of $1.1 million of net TBA dollar roll net interest income and net losses of $1.0 million due to price changes. |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||||||||||||||||||||||||
Description (1) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | Financial Instruments (Posted)/Received | Cash Collateral (Posted)/Received | Net Amount | ||||||||||||||||||
Derivative Assets (2) | ||||||||||||||||||||||||
Interest Rate Swaps | $ | 232 | $ | — | $ | 232 | $ | — | $ | — | $ | 232 | ||||||||||||
Interest Rate Swaptions | 74 | — | 74 | — | (301 | ) | 375 | |||||||||||||||||
TBAs | 625 | — | 625 | 625 | — | — | ||||||||||||||||||
Total Derivative Assets | $ | 931 | $ | — | $ | 931 | $ | 625 | $ | (301 | ) | $ | 607 | |||||||||||
Derivative Liabilities (3) | ||||||||||||||||||||||||
Interest Rate Swaps | $ | 141 | $ | — | $ | 141 | $ | — | $ | — | $ | 141 | ||||||||||||
TBAs | (185 | ) | — | (185 | ) | — | (185 | ) | — | |||||||||||||||
Total Derivative Liabilities | $ | (44 | ) | $ | — | $ | (44 | ) | $ | — | $ | (185 | ) | $ | 141 |
(1) | The Company applied a reduction in fair value of $0.4 million and $8.3 million to its interest rate swap assets and liabilities, respectively, related to variation margin. The Company applied a reduction in fair value of $1,203 and $0.2 million to its U.S. Treasury Futures assets and Eurodollar Futures liabilities, respectively, related to variation margin. |
(2) | Included in Other assets on the consolidated balance sheet is $0.9 million less accrued interest of $(0.1) million for a total of $0.8 million. |
(3) | Included in Other liabilities on the consolidated balance sheet is $(43,912) plus accrued interest of $(0.5) million for a total of $(0.5) million. |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||||||||||||||||||||||||
Description (1) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | Financial Instruments (Posted)/Received | Cash Collateral (Posted)/Received | Net Amount | ||||||||||||||||||
Receivable Under Reverse Repurchase Agreements | $ | 11,461 | $ | — | $ | 11,461 | $ | 11,378 | $ | — | $ | 83 | ||||||||||||
Derivative Assets (2) | ||||||||||||||||||||||||
Interest Rate Swaps | $ | 2,608 | $ | — | $ | 2,608 | $ | — | $ | 1,465 | $ | 1,143 | ||||||||||||
Interest Rate Swaptions | 322 | — | 322 | — | (600 | ) | 922 | |||||||||||||||||
Total Derivative Assets | $ | 2,930 | $ | — | $ | 2,930 | $ | — | $ | 865 | $ | 2,065 | ||||||||||||
Derivative Liabilities (3) | ||||||||||||||||||||||||
Interest Rate Swaps | $ | 1,635 | $ | — | $ | 1,635 | $ | — | $ | 1,465 | $ | 170 | ||||||||||||
Total Derivative Liabilities | $ | 1,635 | $ | — | $ | 1,635 | $ | — | $ | 1,465 | $ | 170 |
(1) | The Company applied a reduction in fair value of $26.0 million and $18.1 million to its interest rate swap assets and liabilities, respectively, related to variation margin. The Company applied a reduction in fair value of $0.1 million and $1.0 million to its U.S. Treasury Futures assets and Eurodollar Futures liabilities, respectively, related to variation margin. |
(2) | Included in Other assets on the consolidated balance sheet is $2.9 million less accrued interest of $(1.2) million for a total of $1.7 million. |
(3) | Included in Other liabilities on the consolidated balance sheet is $1.6 million plus accrued interest of $(1.9) million for a total of $(0.3) million. |
Maturity | Notional Amount | Weighted Average Pay-Fixed Rate | Weighted Average Receive-Variable Rate | Weighted Average Years to Maturity | ||||||||
2020 | $ | 105,000 | 1.54 | % | 2.57 | % | 0.70 | |||||
2022 | 778,750 | 1.92 | % | 2.45 | % | 2.98 | ||||||
2023 | 5,750 | 3.19 | % | 2.57 | % | 4.35 | ||||||
2024 | 345,000 | 1.96 | % | 2.05 | % | 4.97 | ||||||
2026 | 20,000 | 1.90 | % | 2.53 | % | 7.37 | ||||||
2027 | 10,000 | 2.20 | % | 2.33 | % | 8.00 | ||||||
2029 | 38,000 | 1.94 | % | 2.31 | % | 9.99 | ||||||
Total/Wtd Avg | $ | 1,302,500 | 1.91 | % | 2.35 | % | 3.64 |
Maturity | Notional Amount | Weighted Average Pay-Fixed Rate | Weighted Average Receive-Variable Rate | Weighted Average Years to Maturity | ||||||||
2020 | $ | 105,000 | 1.54 | % | 2.56 | % | 1.20 | |||||
2021 | 58,500 | 3.00 | % | 2.63 | % | 2.76 | ||||||
2022 | 478,000 | 1.87 | % | 2.72 | % | 3.58 | ||||||
2023 | 403,000 | 3.05 | % | 2.64 | % | 4.65 | ||||||
2024 | 230,000 | 2.06 | % | 2.63 | % | 5.50 | ||||||
2025 | 125,000 | 2.87 | % | 2.70 | % | 6.38 | ||||||
2026 | 75,000 | 2.12 | % | 2.66 | % | 7.89 | ||||||
2027 | 264,000 | 2.35 | % | 2.66 | % | 8.68 | ||||||
2028 | 225,000 | 2.96 | % | 2.69 | % | 9.37 | ||||||
Total/Wtd Avg | $ | 1,963,500 | 2.41 | % | 2.67 | % | 5.57 |
For the Three Months Ended June 30, 2019 | ||||||||||||||||||||||||||||||||
Beginning Notional Amount | Buys or Covers | Sales or Shorts | Ending Net Notional Amount | Net Fair Value as of Period End | Net Receivable/(Payable) from/to Broker | Derivative Asset | Derivative Liability | |||||||||||||||||||||||||
TBAs - Long | $ | 125,000 | $ | 737,500 | $ | (737,500 | ) | $ | 125,000 | $ | 126,064 | $ | (125,612 | ) | $ | 625 | $ | (173 | ) | |||||||||||||
TBAs - Short | $ | — | $ | — | $ | (100,000 | ) | $ | (100,000 | ) | $ | (102,242 | ) | $ | 102,230 | $ | — | $ | (12 | ) |
For the Three Months Ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Beginning Notional Amount | Buys or Covers | Sales or Shorts | Ending Net Notional Amount | Net Fair Value as of Period End | Net Receivable/(Payable) from/to Broker | Derivative Asset | Derivative Liability | |||||||||||||||||||||||||
TBAs - Long | $ | 139,000 | $ | 316,000 | $ | (295,000 | ) | $ | 160,000 | $ | 166,600 | $ | (166,203 | ) | $ | 397 | $ | — | ||||||||||||||
TBAs - Short | $ | — | $ | 551,000 | $ | (551,000 | ) | $ | — | $ | — | $ | (152 | ) | $ | — | $ | (152 | ) |
For the Six Months Ended June 30, 2019 | ||||||||||||||||||||||||||||||||
Beginning Notional Amount | Buys or Covers | Sales or Shorts | Ending Net Notional Amount | Net Fair Value as of Period End | Net Receivable/(Payable) from/to Broker | Derivative Asset | Derivative Liability | |||||||||||||||||||||||||
TBAs - Long | $ | — | $ | 1,394,500 | $ | (1,269,500 | ) | $ | 125,000 | $ | 126,064 | $ | (125,612 | ) | $ | 625 | $ | (173 | ) | |||||||||||||
TBAs - Short | $ | — | $ | 185,000 | $ | (285,000 | ) | $ | (100,000 | ) | $ | (102,242 | ) | $ | 102,230 | $ | — | $ | (12 | ) |
For the Six Months Ended June 30, 2018 | ||||||||||||||||||||||||||||||||
Beginning Notional Amount | Buys or Covers | Sales or Shorts | Ending Net Notional Amount | Net Fair Value as of Period End | Net Receivable/(Payable) from/to Broker | Derivative Asset | Derivative Liability | |||||||||||||||||||||||||
TBAs - Long | $ | 100,000 | $ | 951,000 | $ | (891,000 | ) | $ | 160,000 | $ | 166,600 | $ | (166,203 | ) | $ | 397 | $ | — | ||||||||||||||
TBAs - Short | $ | — | $ | 854,000 | $ | (854,000 | ) | $ | — | $ | — | $ | (152 | ) | $ | — | $ | (152 | ) |
June 30, 2019 | June 30, 2018 | |||||
Outstanding warrants (1) | — | 1,007,500 | ||||
Unvested restricted stock units previously granted to the Manager | 40,007 | 60,000 |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2019 | June 30, 2018 | June 30, 2019 | June 30, 2018 | |||||||||||||
Numerator: | ||||||||||||||||
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $ | 15,311 | $ | 4,801 | $ | 41,099 | $ | 9,681 | ||||||||
Denominator: | ||||||||||||||||
Basic weighted average common shares outstanding | 32,709 | 28,201 | 31,636 | 28,198 | ||||||||||||
Dilutive effect of restricted stock units | 28 | 27 | 28 | 24 | ||||||||||||
Diluted weighted average common shares outstanding | 32,737 | 28,228 | 31,664 | 28,222 | ||||||||||||
Basic Earnings/(Loss) Per Share of Common Stock: | $ | 0.47 | $ | 0.17 | $ | 1.30 | $ | 0.34 | ||||||||
Diluted Earnings/(Loss) Per Share of Common Stock: | $ | 0.47 | $ | 0.17 | $ | 1.30 | $ | 0.34 |
2019 | ||||||||
Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||
3/15/2019 | 3/29/2019 | 4/30/2019 | $ | 0.50 | ||||
6/14/2019 | 6/28/2019 | 7/31/2019 | 0.50 | |||||
Total | $ | 1.00 | ||||||
2018 | ||||||||
Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||
3/15/2018 | 3/29/2018 | 4/30/2018 | $ | 0.475 | ||||
6/18/2018 | 6/29/2018 | 7/31/2018 | 0.500 | |||||
Total | $ | 0.975 |
2019 | ||||||||||
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||
8.25% Series A | 2/15/2019 | 2/28/2019 | 3/18/2019 | $ | 0.51563 | |||||
8.25% Series A | 5/17/2019 | 5/31/2019 | 6/17/2019 | 0.51563 | ||||||
Total | $ | 1.03126 | ||||||||
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||
8.00% Series B | 2/15/2019 | 2/28/2019 | 3/18/2019 | $ | 0.50 | |||||
8.00% Series B | 5/17/2019 | 5/31/2019 | 6/17/2019 | 0.50 | ||||||
Total | $ | 1.00 | ||||||||
2018 | ||||||||||
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||
8.25% Series A | 2/16/2018 | 2/28/2018 | 3/19/2018 | $ | 0.51563 | |||||
8.25% Series A | 5/15/2018 | 5/31/2018 | 6/18/2018 | 0.51563 | ||||||
Total | $ | 1.03126 | ||||||||
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||
8.00% Series B | 2/16/2018 | 2/28/2018 | 3/19/2018 | $ | 0.50 | |||||
8.00% Series B | 5/15/2018 | 5/31/2018 | 6/18/2018 | 0.50 | ||||||
Total | $ | 1.00 |
Commitment type | Date of Commitment | Total Commitment | Funded Commitment | Remaining Commitment | ||||||||||
MATH (a) | March 28, 2019 | $ | 44,590 | $ | 42,361 | $ | 2,229 | |||||||
Variable funding note (b) | March 29, 2018 | 12,444 | 7,790 | 4,654 | ||||||||||
Commercial loan G (c)(d) | July 26, 2018 | 75,000 | 32,299 | 42,701 | ||||||||||
Commercial loan I (c) | January 23, 2019 | 20,000 | 7,384 | 12,616 | ||||||||||
Commercial loan J (c) | February 11, 2019 | 30,000 | 3,233 | 26,767 | ||||||||||
Commercial loan K (c) | February 22, 2019 | 20,000 | 6,289 | 13,711 | ||||||||||
Residential mortgage loan pool A (e) | May 30, 2019 | 44,054 | — | 44,054 | ||||||||||
Residential mortgage loan pool B (f) | June 24, 2019 | 190,101 | — | 190,101 | ||||||||||
Total | $ | 436,189 | $ | 99,356 | $ | 336,833 |
(a) | Refer to Note 12 "Investments in debt and equity of affiliates" for more information regarding MATH. |
(b) | On March 29, 2018, the Company, alongside private funds under the management of Angelo Gordon, purchased a variable funding note issued pursuant to an indenture. |
(c) | The Company entered into commitments on commercial loans relating to construction projects. See Note 4 for further details. |
(d) | Subsequent to quarter end, the Company's total commitment and remaining commitment increased to $84.5 million and approximately $52.2 million, respectively. |
(e) | On May 30, 2019, the Company entered into a commitment to purchase a pool of residential mortgage loans with an unpaid principal balance of $54.1 million. This purchase was subject to due diligence and customary closing conditions. Subsequent to quarter end, the transaction settled with an unpaid principal balance of $45.7 million and a cost of $37.6 million. |
(f) | On June 24, 2019, the Company entered into a commitment to purchase a pool of residential mortgage loans with an unpaid principal balance of $202.2 million. This purchase is subject to due diligence and customary closing conditions. This transaction is expected to settle in September 2019. |
Securities and Loans | Single-Family Rental Properties | Corporate | Total | |||||||||||||
Net Interest Income | ||||||||||||||||
Interest income (1) | $ | 40,831 | $ | — | $ | 70 | $ | 40,901 | ||||||||
Interest expense | 23,030 | 1,247 | — | 24,277 | ||||||||||||
Total Net Interest Income | 17,801 | (1,247 | ) | 70 | 16,624 | |||||||||||
Other Income/(Loss) | ||||||||||||||||
Rental income | — | 3,162 | — | 3,162 | ||||||||||||
Net realized gain/(loss) | (27,510 | ) | (69 | ) | — | (27,579 | ) | |||||||||
Net interest component of interest rate swaps | 1,800 | — | — | 1,800 | ||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 43,165 | — | — | 43,165 | ||||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (10,839 | ) | — | — | (10,839 | ) | ||||||||||
Other income | 122 | 130 | 94 | 346 | ||||||||||||
Total Other Income/(Loss) | 6,738 | 3,223 | 94 | 10,055 | ||||||||||||
Expenses | ||||||||||||||||
Management fee to affiliate | — | — | 2,400 | 2,400 | ||||||||||||
Other operating expenses | 980 | 44 | 2,826 | 3,850 | ||||||||||||
Equity based compensation to affiliate | — | — | 73 | 73 | ||||||||||||
Excise tax | — | — | 186 | 186 | ||||||||||||
Servicing fees | 416 | — | — | 416 | ||||||||||||
Property depreciation and amortization | — | 1,180 | — | 1,180 | ||||||||||||
Property operating expenses | — | 1,946 | — | 1,946 | ||||||||||||
Total Expenses | 1,396 | 3,170 | 5,485 | 10,051 | ||||||||||||
Income/(loss) before equity in earnings/(loss) from affiliates | 23,143 | (1,194 | ) | (5,321 | ) | 16,628 | ||||||||||
Equity in earnings/(loss) from affiliates | 2,050 | — | — | 2,050 | ||||||||||||
Net Income/(Loss) | 25,193 | (1,194 | ) | (5,321 | ) | 18,678 | ||||||||||
Dividends on preferred stock | — | — | 3,367 | 3,367 | ||||||||||||
Net Income/(Loss) Available to Common Stockholders | $ | 25,193 | $ | (1,194 | ) | $ | (8,688 | ) | $ | 15,311 |
(1) | Interest earned on cash and cash equivalents, including money markets, is shown within Corporate. |
Securities and Loans | Corporate | Total | ||||||||||
Net Interest Income | ||||||||||||
Interest income | $ | 36,012 | $ | — | $ | 36,012 | ||||||
Interest expense | 16,271 | — | 16,271 | |||||||||
Total Net Interest Income | 19,741 | — | 19,741 | |||||||||
Other Income/(Loss) | ||||||||||||
Net realized gain/(loss) | (11,060 | ) | — | (11,060 | ) | |||||||
Net interest component of interest rate swaps | 1,262 | — | 1,262 | |||||||||
Unrealized gain/(loss) on real estate securities and loans, net | (578 | ) | — | (578 | ) | |||||||
Unrealized gain/(loss) on derivative and other instruments, net | 4,781 | — | 4,781 | |||||||||
Other income | 20 | — | 20 | |||||||||
Total Other Income/(Loss) | (5,575 | ) | — | (5,575 | ) | |||||||
Expenses | ||||||||||||
Management fee to affiliate | — | 2,387 | 2,387 | |||||||||
Other operating expenses | 568 | 2,875 | 3,443 | |||||||||
Equity based compensation to affiliate | — | 94 | 94 | |||||||||
Excise tax | — | 375 | 375 | |||||||||
Servicing fees | 22 | — | 22 | |||||||||
Total Expenses | 590 | 5,731 | 6,321 | |||||||||
Income/(loss) before equity in earnings/(loss) from affiliates | 13,576 | (5,731 | ) | 7,845 | ||||||||
Equity in earnings/(loss) from affiliates | 323 | — | 323 | |||||||||
Net Income/(Loss) | 13,899 | (5,731 | ) | 8,168 | ||||||||
Dividends on preferred stock | — | 3,367 | 3,367 | |||||||||
Net Income/(Loss) Available to Common Stockholders | $ | 13,899 | $ | (9,098 | ) | $ | 4,801 |
Securities and Loans | Single-Family Rental Properties | Corporate | Total | |||||||||||||
Net Interest Income | ||||||||||||||||
Interest income (1) | $ | 82,237 | $ | — | $ | 154 | $ | 82,391 | ||||||||
Interest expense | 45,123 | 2,495 | — | 47,618 | ||||||||||||
Total Net Interest Income | 37,114 | (2,495 | ) | 154 | 34,773 | |||||||||||
Other Income/(Loss) | ||||||||||||||||
Rental income | — | 6,559 | — | 6,559 | ||||||||||||
Net realized gain/(loss) | (48,094 | ) | (95 | ) | — | (48,189 | ) | |||||||||
Net interest component of interest rate swaps | 3,581 | — | — | 3,581 | ||||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 89,918 | — | — | 89,918 | ||||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (20,925 | ) | — | — | (20,925 | ) | ||||||||||
Other income | 535 | 313 | 94 | 942 | ||||||||||||
Total Other Income/(Loss) | 25,015 | 6,777 | 94 | 31,886 | ||||||||||||
Expenses | ||||||||||||||||
Management fee to affiliate | — | — | 4,745 | 4,745 | ||||||||||||
Other operating expenses | 1,948 | 92 | 5,640 | 7,680 | ||||||||||||
Equity based compensation to affiliate | — | — | 199 | 199 | ||||||||||||
Excise tax | — | — | 278 | 278 | ||||||||||||
Servicing fees | 787 | — | — | 787 | ||||||||||||
Property depreciation and amortization | — | 2,627 | — | 2,627 | ||||||||||||
Property operating expenses | — | 3,789 | — | 3,789 | ||||||||||||
Total Expenses | 2,735 | 6,508 | 10,862 | 20,105 | ||||||||||||
Income/(loss) before equity in earnings/(loss) from affiliates | 59,394 | (2,226 | ) | (10,614 | ) | 46,554 | ||||||||||
Equity in earnings/(loss) from affiliates | 1,279 | — | — | 1,279 | ||||||||||||
Net Income/(Loss) | 60,673 | (2,226 | ) | (10,614 | ) | 47,833 | ||||||||||
Dividends on preferred stock | — | — | 6,734 | 6,734 | ||||||||||||
Net Income/(Loss) Available to Common Stockholders | $ | 60,673 | $ | (2,226 | ) | $ | (17,348 | ) | $ | 41,099 |
(1) | Interest earned on cash and cash equivalents, including money markets, is shown within Corporate. |
Securities and Loans | Corporate | Total | ||||||||||
Net Interest Income | ||||||||||||
Interest income | $ | 75,369 | $ | — | $ | 75,369 | ||||||
Interest expense | 31,597 | — | 31,597 | |||||||||
Total Net Interest Income | 43,772 | — | 43,772 | |||||||||
Other Income/(Loss) | ||||||||||||
Net realized gain/(loss) | (22,899 | ) | — | (22,899 | ) | |||||||
Net interest component of interest rate swaps | (208 | ) | — | (208 | ) | |||||||
Unrealized gain/(loss) on real estate securities and loans, net | (36,733 | ) | — | (36,733 | ) | |||||||
Unrealized gain/(loss) on derivative and other instruments, net | 41,871 | — | 41,871 | |||||||||
Other income | 20 | — | 20 | |||||||||
Total Other Income/(Loss) | (17,949 | ) | — | (17,949 | ) | |||||||
Expenses | ||||||||||||
Management fee to affiliate | — | 4,826 | 4,826 | |||||||||
Other operating expenses | 998 | 5,668 | 6,666 | |||||||||
Equity based compensation to affiliate | — | 145 | 145 | |||||||||
Excise tax | — | 750 | 750 | |||||||||
Servicing fees | 84 | — | 84 | |||||||||
Total Expenses | 1,082 | 11,389 | 12,471 | |||||||||
Income/(loss) before equity in earnings/(loss) from affiliates | 24,741 | (11,389 | ) | 13,352 | ||||||||
Equity in earnings/(loss) from affiliates | 3,063 | — | 3,063 | |||||||||
Net Income/(Loss) | 27,804 | (11,389 | ) | 16,415 | ||||||||
Dividends on preferred stock | — | 6,734 | 6,734 | |||||||||
Net Income/(Loss) Available to Common Stockholders | $ | 27,804 | $ | (18,123 | ) | $ | 9,681 |
Securities and Loans (a) | Single-Family Rental Properties | Corporate | Total | |||||||||||||
Total Assets | $ | 3,589,040 | $ | 142,632 | $ | 66,243 | $ | 3,797,915 | ||||||||
Total Liabilities | $ | 2,937,508 | $ | 104,384 | $ | 25,159 | $ | 3,067,051 | ||||||||
Total Stockholders' Equity | $ | 651,532 | $ | 38,248 | $ | 41,084 | $ | 730,864 | ||||||||
Total Liabilities & Stockholders' Equity | $ | 3,589,040 | $ | 142,632 | $ | 66,243 | $ | 3,797,915 |
(a) | Includes Investments in debt and equity of affiliates of $100.0 million. |
Securities and Loans (a) | Single-Family Rental Properties | Corporate | Total | |||||||||||||
Total Assets | $ | 3,373,713 | $ | 142,535 | $ | 32,678 | $ | 3,548,926 | ||||||||
Total Liabilities | $ | 2,759,082 | $ | 105,102 | $ | 28,731 | $ | 2,892,915 | ||||||||
Total Stockholders' Equity | $ | 614,631 | $ | 37,433 | $ | 3,947 | $ | 656,011 | ||||||||
Total Liabilities & Stockholders' Equity | $ | 3,373,713 | $ | 142,535 | $ | 32,678 | $ | 3,548,926 |
(a) | Includes Investments in debt and equity of affiliates of $84.9 million. |
• | Fixed rate securities (held as mortgage pass-through securities); |
• | Sequential pay fixed rate collateralized mortgage obligations ("CMOs"); |
◦ | CMOs are structured debt instruments representing interests in specified pools of mortgage loans subdivided into multiple classes, or tranches, of securities, with each tranche having different maturities or risk profiles. |
• | Inverse Interest Only securities (CMOs where the holder is entitled only to the interest payments made on the mortgages underlying certain mortgage backed securities ("MBS") whose coupon has an inverse relationship to its benchmark rate, such as LIBOR); |
• | Interest Only securities (CMOs where the holder is entitled only to the interest payments made on the mortgages underlying certain MBS "interest-only strips"); |
• | Certain Agency RMBS for which the underlying collateral is not identified until shortly (generally two days) before the purchase or sale settlement date ("TBAs"); and |
• | Excess mortgage servicing rights ("Excess MSRs") whose underlying collateral is securitized in a trust held by a U.S. government agency or GSE. |
◦ | Excess MSRs are interests in an MSR, representing a portion of the interest payment collected from a pool of mortgage loans, net of a basic servicing fee paid to the mortgage servicer. An MSR provides a mortgage servicer with the right to service a mortgage loan or a pool of mortgages in exchange for a portion of the interest payments made on the mortgage or the underlying mortgages. An MSR is made up of two components: a basic servicing fee and an Excess MSR. The basic servicing fee is the compensation received by the mortgage servicer for the performance of its servicing duties. |
• | Prime (weighted average credit score above 700) |
• | Alt-A/Subprime |
◦ | Alt-A (weighted average credit score between 700 and 620); and |
◦ | Subprime (weighted average credit score below 620). |
• | CRTs (defined below) |
• | Interest Only securities (Non-Agency RMBS backed by interest-only strips) |
• | Excess MSRs whose underlying collateral is securitized in a trust not held by a U.S. government agency or GSE; |
◦ | Excess MSRs are grouped within "Interest Only and Excess MSR" throughout Part I, Item 2 of this Quarterly Report on Form 10-Q and are grouped within Excess mortgage servicing rights or Excess MSRs in the Notes to the Consolidated Financial Statements included in Part I, Item 1 of this Quarterly Report on Form 10-Q; |
• | Re/Non-Performing Loans (described below); and |
• | New Origination Loans (described below). |
• | Unguaranteed and unsecured mezzanine, junior mezzanine and first loss securities issued either by GSEs or issued by other third-party institutions to transfer their exposure to mortgage default risk to private investors. These securities reference a specific pool of newly originated single-family mortgages from a specified time period (typically around the time of origination). The risk of loss on the reference pool of mortgages is transferred to investors who may experience losses when adverse credit events such as defaults, liquidations or delinquencies occur in the underlying mortgages. Owners of these securities generally receive an uncapped floating interest rate equal to a predetermined spread over one-month LIBOR. |
• | RPLs or NPLs in securitized form that are issued by an entity in which we own an equity interest and that we hold alongside other private funds under the management of Angelo Gordon. The securitizations typically take the form of equity and various classes of notes. These investments are included in the "RMBS" and "Investments in debt and equity of affiliates" line items on our consolidated balance sheets. |
• | RPLs or NPLs that we hold through interests in certain consolidated trusts. These investments are secured by residential real property including prime, Alt-A, and subprime mortgage loans, and are included in the "Residential mortgage loans, at fair value" line item on our consolidated balance sheets. |
• | "Non-QM" loans, which are residential mortgage loans that do not qualify for the Consumer Finance Protection Bureau's (the "CFPB") safe harbor provision for "qualifying mortgages," or "QM," that we hold alongside other private funds under the management of Angelo Gordon. These investments are held in one of our unconsolidated subsidiaries, Mortgage Acquisition Trust I LLC ("MATT") (see the "Contractual obligations" section of this Item 2 for more detail), and are included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheets. |
• | Non-QM loans in securitized form that are issued by an entity in which we own an equity interest and that we hold alongside other private funds under the management of Angelo Gordon. The securitizations typically take the form of various classes of notes. These investments are included in the "Investments in debt and equity of affiliates" line items on our consolidated balance sheets. |
• | Loans we originate to third party land developers for purposes of horizontal land development. These investments are included in the "Investments in debt and equity of affiliates" line items on our consolidated balance sheets. |
• | Commercial mortgage-backed securities ("CMBS"); |
• | Interest Only securities (CMBS backed by interest-only strips); |
• | Commercial real estate loans secured by commercial real property, including first mortgages, mezzanine loans, preferred equity, first or second lien loans, subordinate interests in first mortgages, bridge loans to be used in the acquisition, construction or redevelopment of a property and mezzanine financing secured by interests in commercial real estate; and |
• | Freddie Mac K-Series (described below). |
• | Fixed and floating-rate CMBS, including investment grade and non-investment grade classes. CMBS are secured by, or evidence ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. |
• | CMBS, Interest-Only securities and CMBS principal-only securities which are regularly-issued by Freddie Mac as structured pass-through securities backed by multifamily mortgage loans. These K-Series feature a wide range of investor options which |
Three Months Ended | ||||||||||||
June 30, 2019 | June 30, 2018 | Increase/(Decrease) | ||||||||||
Statement of Operations Data: | ||||||||||||
Net Interest Income | ||||||||||||
Interest income | $ | 40,901 | $ | 36,012 | $ | 4,889 | ||||||
Interest expense | 24,277 | 16,271 | 8,006 | |||||||||
Total Net Interest Income | 16,624 | 19,741 | (3,117 | ) | ||||||||
Other Income/(Loss) | ||||||||||||
Rental income | 3,162 | — | 3,162 | |||||||||
Net realized gain/(loss) | (27,579 | ) | (11,060 | ) | (16,519 | ) | ||||||
Net interest component of interest rate swaps | 1,800 | 1,262 | 538 | |||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 43,165 | (578 | ) | 43,743 | ||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (10,839 | ) | 4,781 | (15,620 | ) | |||||||
Other income | 346 | 20 | 326 | |||||||||
Total Other Income/(Loss) | 10,055 | (5,575 | ) | 15,630 | ||||||||
Expenses | ||||||||||||
Management fee to affiliate | 2,400 | 2,387 | 13 | |||||||||
Other operating expenses | 3,850 | 3,443 | 407 | |||||||||
Equity based compensation to affiliate | 73 | 94 | (21 | ) | ||||||||
Excise tax | 186 | 375 | (189 | ) | ||||||||
Servicing fees | 416 | 22 | 394 | |||||||||
Property depreciation and amortization | 1,180 | — | 1,180 | |||||||||
Property operating expenses | 1,946 | — | 1,946 | |||||||||
Total Expenses | 10,051 | 6,321 | 3,730 | |||||||||
Income/(loss) before equity in earnings/(loss) from affiliates | 16,628 | 7,845 | 8,783 | |||||||||
Equity in earnings/(loss) from affiliates | 2,050 | 323 | 1,727 | |||||||||
Net Income/(Loss) | 18,678 | 8,168 | 10,510 | |||||||||
Dividends on preferred stock | 3,367 | 3,367 | — | |||||||||
Net Income/(Loss) Available to Common Stockholders | $ | 15,311 | $ | 4,801 | $ | 10,510 |
Three Months Ended | ||||||||
June 30, 2019 | June 30, 2018 | |||||||
Sale of real estate securities | $ | 3,745 | $ | (16,872 | ) | |||
Sale of loans, and loans transferred to or sold from Other assets | 775 | 838 | ||||||
Settlement of derivatives and other instruments | (21,671 | ) | 5,720 | |||||
OTTI | (10,428 | ) | (746 | ) | ||||
Total Net realized gain/(loss) | $ | (27,579 | ) | $ | (11,060 | ) |
Three Months Ended | ||||||||
June 30, 2019 | June 30, 2018 | |||||||
Corporate | ||||||||
Affiliate expense reimbursement - Operating expenses | $ | 1,745 | $ | 1,628 | ||||
Professional fees | 469 | 611 | ||||||
D&O insurance | 174 | 179 | ||||||
Directors' compensation | 218 | 218 | ||||||
Other | 220 | 239 | ||||||
Total Corporate | 2,826 | 2,875 | ||||||
Securities and Loans and Single-Family Rental Properties Segments | ||||||||
Affiliate expense reimbursement - Deal related expenses | 173 | 33 | ||||||
Professional fees (1) | 90 | 33 | ||||||
Residential mortgage loan related expenses | 216 | 111 | ||||||
Transaction related expenses and deal related performance fees | 409 | 311 | ||||||
Other | 136 | 80 | ||||||
Total Securities and Loans and Single-Family Rental Properties Segments | 1,024 | 568 | ||||||
Total Other operating expenses | $ | 3,850 | $ | 3,443 |
(1) | For the three months ended June 30, 2019, we incurred $44.0 thousand of professional fees related to the Single-Family Rental Properties Segment. No professional fees were incurred relating to the Single-Family Rental Properties Segment for the three months ended June 30, 2018. |
Six Months Ended | ||||||||||||
June 30, 2019 | June 30, 2018 | Increase/(Decrease) | ||||||||||
Statement of Operations Data: | ||||||||||||
Net Interest Income | ||||||||||||
Interest income | $ | 82,391 | $ | 75,369 | $ | 7,022 | ||||||
Interest expense | 47,618 | 31,597 | 16,021 | |||||||||
Total Net Interest Income | 34,773 | 43,772 | (8,999 | ) | ||||||||
Other Income/(Loss) | ||||||||||||
Rental income | 6,559 | — | 6,559 | |||||||||
Net realized gain/(loss) | (48,189 | ) | (22,899 | ) | (25,290 | ) | ||||||
Net interest component of interest rate swaps | 3,581 | (208 | ) | 3,789 | ||||||||
Unrealized gain/(loss) on real estate securities and loans, net | 89,918 | (36,733 | ) | 126,651 | ||||||||
Unrealized gain/(loss) on derivative and other instruments, net | (20,925 | ) | 41,871 | (62,796 | ) | |||||||
Other income | 942 | 20 | 922 | |||||||||
Total Other Income/(Loss) | 31,886 | (17,949 | ) | 49,835 | ||||||||
Expenses | ||||||||||||
Management fee to affiliate | 4,745 | 4,826 | (81 | ) | ||||||||
Other operating expenses | 7,680 | 6,666 | 1,014 | |||||||||
Equity based compensation to affiliate | 199 | 145 | 54 | |||||||||
Excise tax | 278 | 750 | (472 | ) | ||||||||
Servicing fees | 787 | 84 | 703 | |||||||||
Property depreciation and amortization | 2,627 | — | 2,627 | |||||||||
Property operating expenses | 3,789 | — | 3,789 | |||||||||
Total Expenses | 20,105 | 12,471 | 7,634 | |||||||||
Income/(loss) before equity in earnings/(loss) from affiliates | 46,554 | 13,352 | 33,202 | |||||||||
Equity in earnings/(loss) from affiliates | 1,279 | 3,063 | (1,784 | ) | ||||||||
Net Income/(Loss) | 47,833 | 16,415 | 31,418 | |||||||||
Dividends on preferred stock | 6,734 | 6,734 | — | |||||||||
Net Income/(Loss) Available to Common Stockholders | $ | 41,099 | $ | 9,681 | $ | 31,418 |
Six Months Ended | ||||||||
June 30, 2019 | June 30, 2018 | |||||||
Sale of real estate securities | $ | 5,807 | $ | (29,368 | ) | |||
Sale of loans, and loans transferred to or sold from Other assets | 948 | 1,230 | ||||||
Settlement of derivatives and other instruments | (41,447 | ) | 6,948 | |||||
OTTI | (13,497 | ) | (1,709 | ) | ||||
Total Net realized gain/(loss) | $ | (48,189 | ) | $ | (22,899 | ) |
Six Months Ended | ||||||||
June 30, 2019 | June 30, 2018 | |||||||
Corporate | ||||||||
Affiliate expense reimbursement - Operating expenses | $ | 3,490 | $ | 3,261 | ||||
Professional fees | 909 | 1,141 | ||||||
D&O insurance | 348 | 358 | ||||||
Directors’ compensation | 439 | 419 | ||||||
Other | 454 | 489 | ||||||
Total Corporate | 5,640 | 5,668 | ||||||
Securities and Loans and Single-Family Rental Properties Segments | ||||||||
Affiliate expense reimbursement - Deal related expenses | 367 | 202 | ||||||
Affiliate expense reimbursement - Transaction related expenses and deal related performance fees | 42 | — | ||||||
Professional fees (1) | 184 | 77 | ||||||
Residential mortgage loan related expenses | 398 | 293 | ||||||
Transaction related expenses and deal related performance fees | 763 | 311 | ||||||
Other | 286 | 115 | ||||||
Total Securities and Loans and Single-Family Rental Properties Segments | 2,040 | 998 | ||||||
Total Other operating expenses | $ | 7,680 | $ | 6,666 |
(1) | For the six months ended June 30, 2019, we incurred $92.0 thousand of professional fees related to the Single-Family Rental Properties Segment. No professional fees were incurred relating to the Single-Family Rental Properties Segment for the six months ended June 30, 2018. |
June 30, 2019 | December 31, 2018 | June 30, 2018 | |||||||||
Book value per share | $ | 17.42 | $ | 17.21 | $ | 18.98 | |||||
Add back: Accumulated depreciation and amortization per share | 0.15 | 0.09 | — | ||||||||
Undepreciated book value per share | $ | 17.57 | $ | 17.30 | $ | 18.98 |
June 30, 2019 | |||||||||
Weighted Average | GAAP Investment Portfolio | Investments in Debt and Equity of Affiliates | Investment Portfolio** | ||||||
Yield* | 4.86 | % | 5.92 | % | 5.01 | % | |||
Cost of Funds | 2.88 | % | 4.62 | % | 2.98 | % | |||
Net Interest Margin | 1.98 | % | 1.30 | % | 2.03 | % | |||
Leverage Ratio | 4.1x | *** | 4.4x | ||||||
June 30, 2018 | |||||||||
Weighted Average | GAAP Investment Portfolio | Investments in Debt and Equity of Affiliates | Investment Portfolio** | ||||||
Yield | 4.87 | % | 8.46 | % | 5.08 | % | |||
Cost of Funds | 2.30 | % | 4.65 | % | 2.37 | % | |||
Net Interest Margin | 2.57 | % | 3.81 | % | 2.71 | % | |||
Leverage Ratio | 4.0x | *** | 4.4x |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, 2019 | June 30, 2018 | June 30, 2019 | June 30, 2018 | ||||||||||||
Net Income/(loss) available to common stockholders | $ | 15,311 | $ | 4,801 | $ | 41,099 | $ | 9,681 | |||||||
Add (Deduct): | |||||||||||||||
Net realized (gain)/loss | 27,579 | 11,060 | 48,189 | 22,899 | |||||||||||
Unrealized (gain)/loss on real estate securities and loans, net | (43,165 | ) | 578 | (89,918 | ) | 36,733 | |||||||||
Unrealized (gain)/loss on derivative and other instruments, net | 10,839 | (4,781 | ) | 20,925 | (41,871 | ) | |||||||||
Property depreciation and amortization | 1,180 | — | 2,627 | — | |||||||||||
Transaction related expenses and deal related performance fees (a)(b) | 484 | 314 | 942 | 314 | |||||||||||
Equity in (earnings)/loss from affiliates | (2,050 | ) | (323 | ) | (1,279 | ) | (3,063 | ) | |||||||
Net interest income and expenses from equity method investments (c) | 1,352 | 2,326 | 2,356 | 4,024 | |||||||||||
Dollar roll income | 363 | 656 | 720 | 1,144 | |||||||||||
Other income | (114 | ) | — | (261 | ) | — | |||||||||
Core Earnings (d) | $ | 11,779 | $ | 14,631 | $ | 25,400 | $ | 29,861 | |||||||
Core Earnings, per Diluted Share (d) | $ | 0.36 | $ | 0.52 | $ | 0.80 | $ | 1.06 |
(a) | For the three months ended March 31, 2018, the above chart was not adjusted for transaction related expenses of $0.1 million, as they did not have a material impact on Core Earnings for the period. Our policy with respect to transaction related expenses was modified in Q2 2018. |
(b) | For the three and six months ended June 30, 2018, the above chart was not adjusted for deal related performance fees as they did not have a material impact on Core Earnings for the period. Our policy with respect to deal related performance fees was modified in Q3 2018. |
(c) | For the three months ended June 30, 2019 and June 30, 2018, $(4.8) million or $(0.15) per diluted share and $0.8 million or $0.03 per diluted share, respectively, of realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and corresponding derivatives were excluded from Core earnings per diluted share as a result of our modification to the definition and calculation of Core Earnings in Q4 2018. For the six months ended June 30, 2019 and June 30, 2018, $(7.6) million or $(0.24) per diluted share and $2.1 million or $0.08 per diluted share, respectively, of realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and corresponding derivatives were excluded from Core earnings per diluted share. |
(d) | The three months ended June 30, 2019 and June 30, 2018 include cumulative retrospective adjustments of $(1.3) million or $(0.04) per diluted share and $(0.1) million or de minimis per diluted share, respectively, on the premium amortization for investments accounted for under ASC 320-10. |
Amortized Cost | Carrying Value (a) | Percent of Investment Portfolio Carrying Value | Leverage Ratio (b) | ||||||||||||||||||||||
June 30, 2019 | December 31, 2018 | June 30, 2019 | December 31, 2018 | June 30, 2019 | December 31, 2018 | June 30, 2019 | December 31, 2018 | ||||||||||||||||||
Securities and Loans Segment | |||||||||||||||||||||||||
Agency RMBS | $ | 2,211,625 | $ | 2,019,617 | $ | 2,270,497 | $ | 2,015,586 | 57.5 | % | 56.6 | % | 7.5x | 7.0x | |||||||||||
Residential Investments | 1,047,572 | 969,484 | 1,119,701 | 1,019,116 | 28.3 | % | 28.6 | % | 3.1x | 3.4x | |||||||||||||||
Commercial Investments | 379,504 | 348,720 | 404,649 | 365,052 | 10.2 | % | 10.3 | % | 2.1x | 2.4x | |||||||||||||||
ABS | 20,696 | 21,946 | 20,571 | 21,160 | 0.5 | % | 0.6 | % | 0.9x | 1.0x | |||||||||||||||
Total Securities and Loans Segment | 3,659,397 | 3,359,767 | 3,815,418 | 3,420,914 | 96.5 | % | 96.1 | % | 4.5x | 4.7x | |||||||||||||||
Single-Family Rental Properties Segment | |||||||||||||||||||||||||
Single-Family Rental Properties | 136,374 | 138,678 | 136,374 | 138,678 | 3.5 | % | 3.9 | % | 2.8x | 2.7x | |||||||||||||||
Total: Investment Portfolio | $ | 3,795,771 | $ | 3,498,445 | $ | 3,951,792 | $ | 3,559,592 | 100.0 | % | 100.0 | % | 4.4x | 4.6x | |||||||||||
Investments in Debt and Equity of Affiliates (c) | $ | 237,885 | $ | 212,349 | $ | 245,295 | $ | 213,419 | N/A | N/A | (d) | (d) | |||||||||||||
TBAs | $ | 125,891 | $ | — | $ | 126,064 | $ | — | N/A | N/A | (d) | (d) | |||||||||||||
Total: GAAP Investment Portfolio | $ | 3,431,995 | $ | 3,286,096 | $ | 3,580,433 | $ | 3,346,173 | N/A | N/A | 4.1x | 4.3x |
(a) | Carrying value represents fair value, except in the case of Single-family rental properties, where it represents cost less accumulated depreciation and amortization. |
(b) | The leverage ratio on Agency RMBS includes any net receivables on TBA. The leverage ratio by type of investment is calculated by dividing the investment type's total financing by its allocated equity (described in the chart below). |
(c) | Certain Re/Non-Performing Loans held in securitized form are recorded net of non-recourse securitized debt. |
(d) | Refer to the "Financing activities" section below for an aggregate breakout of leverage. |
Allocated Equity | Percent of Equity | ||||||||||||
June 30, 2019 | December 31, 2018 | June 30, 2019 | December 31, 2018 | ||||||||||
Securities and Loans Segment | |||||||||||||
Agency RMBS | $ | 263,743 | $ | 257,454 | 36.1 | % | 39.2 | % | |||||
Residential Investments | 287,194 | 241,284 | 39.3 | % | 36.8 | % | |||||||
Commercial Investments | 133,018 | 109,159 | 18.2 | % | 16.6 | % | |||||||
ABS | 11,121 | 10,293 | 1.5 | % | 1.6 | % | |||||||
Total Securities and Loans Segment | 695,076 | 618,190 | 95.1 | % | 94.2 | % | |||||||
Single-Family Rental Properties Segment | |||||||||||||
Single-Family Rental Properties | 35,788 | 37,821 | 4.9 | % | 5.8 | % | |||||||
Total | $ | 730,864 | $ | 656,011 | 100.0 | % | 100.0 | % |
Instrument | Current Face | Amortized Cost | Unrealized Mark- to-Market | Fair Value (1) | Weighted Average Coupon (2) | Weighted Average Yield | Weighted Average Life (Years) (3) (4) | |||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||
30 Year Fixed Rate | $ | 1,880,323 | $ | 1,932,364 | $ | 58,502 | $ | 1,990,866 | 4.11 | % | 3.47 | % | 5.59 | |||||||||||
Fixed Rate CMO | 40,022 | 40,248 | 525 | 40,773 | 3.00 | % | 2.78 | % | 2.76 | |||||||||||||||
Inverse Interest Only | 257,679 | 42,342 | 1,199 | 43,541 | 3.76 | % | 6.08 | % | 5.03 | |||||||||||||||
Interest Only | 344,558 | 48,068 | (160 | ) | 47,908 | 3.55 | % | 1.08 | % | 4.18 | ||||||||||||||
Excess MSR (5) | 3,485,499 | 22,712 | (1,367 | ) | 21,345 | N/A | 7.33 | % | 5.72 | |||||||||||||||
Fixed Rate 30 Year TBA (6) | 125,000 | 125,891 | 173 | 126,064 | 3.00 | % | N/A | N/A | ||||||||||||||||
Total Agency RMBS | 6,133,081 | 2,211,625 | 58,872 | 2,270,497 | 3.93 | % | 3.50 | % | 5.54 | |||||||||||||||
Credit Investments: | ||||||||||||||||||||||||
Residential Investments | ||||||||||||||||||||||||
Prime (7) | 323,746 | 233,118 | 32,592 | 265,710 | 4.92 | % | 7.50 | % | 11.44 | |||||||||||||||
Alt-A/Subprime (7) | 203,450 | 123,240 | 14,585 | 137,825 | 4.80 | % | 6.66 | % | 7.21 | |||||||||||||||
Credit Risk Transfer | 248,344 | 248,745 | 8,538 | 257,283 | 5.85 | % | 6.00 | % | 6.32 | |||||||||||||||
Interest Only and Excess MSR (8) | 309,525 | 2,882 | (866 | ) | 2,016 | 0.67 | % | 15.88 | % | 5.25 | ||||||||||||||
Re/Non-Performing Loans | 345,582 | 275,751 | 16,492 | 292,243 | 5.18 | % | 8.13 | % | 6.74 | |||||||||||||||
New Origination Loans | 504,690 | 163,836 | 788 | 164,624 | 2.99 | % | 5.02 | % | 1.56 | |||||||||||||||
Total Residential Investments | 1,935,337 | 1,047,572 | 72,129 | 1,119,701 | 4.28 | % | 6.87 | % | 5.93 | |||||||||||||||
Commercial Investments | ||||||||||||||||||||||||
CMBS | 149,322 | 143,612 | 1,771 | 145,383 | 5.79 | % | 6.12 | % | 2.62 | |||||||||||||||
Freddie Mac K-Series | 201,740 | 74,132 | 19,276 | 93,408 | 5.92 | % | 12.29 | % | 9.07 | |||||||||||||||
Interest Only (9) | 3,493,209 | 43,969 | 3,884 | 47,853 | 0.23 | % | 6.99 | % | 3.20 | |||||||||||||||
Commercial Real Estate Loans (10) | 118,005 | 117,791 | 214 | 118,005 | 7.53 | % | 7.87 | % | 0.79 | |||||||||||||||
Total Commercial Investments | 3,962,276 | 379,504 | 25,145 | 404,649 | 0.70 | % | 8.16 | % | 3.40 | |||||||||||||||
ABS | 20,790 | 20,696 | (125 | ) | 20,571 | 9.58 | % | 10.20 | % | 4.79 | ||||||||||||||
Total Credit Investments | 5,918,403 | 1,447,772 | 97,149 | 1,544,921 | 1.74 | % | 7.25 | % | 4.23 | |||||||||||||||
Total: Securities and Loans Segment | $ | 12,051,484 | $ | 3,659,397 | $ | 156,021 | $ | 3,815,418 | 2.47 | % | 5.07 | % | 4.89 | |||||||||||
Investments in Debt and Equity of Affiliates | $ | 897,744 | $ | 237,885 | $ | 7,410 | $ | 245,295 | 2.48 | % | 5.92 | % | 3.47 | |||||||||||
TBAs | $ | 125,000 | $ | 125,891 | $ | 173 | $ | 126,064 | 3.00 | % | N/A | N/A | ||||||||||||
Total: GAAP Securities and Loans Segment | $ | 11,028,740 | $ | 3,295,621 | $ | 148,438 | $ | 3,444,059 | 2.46 | % | 4.91 | % | 4.98 |
(1) | Refer to "Off-balance sheet arrangements" section below and Note 2 to the Notes of the Consolidated Financial Statements section for more detail on our what is included in our "Investments in debt and equity of affiliates" line item on our consolidated balance sheet and a discussion of Investments in debt and equity of affiliates. |
(2) | Equity residuals, principal only securities and Excess MSRs with a zero coupon rate are excluded from this calculation. |
(3) | Fixed Rate 30 Year TBA are excluded from this calculation. |
(4) | This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
(5) | Excess MSRs whose underlying collateral is securitized in a trust held by a U.S. government agency or GSE. |
(6) | Represents long positions in Fixed Rate 30 Year TBA. |
(7) | Non-Agency RMBS with credit scores above 700, between 700 and 620 and below 620 at origination are classified as Prime, Alt-A, and Subprime, respectively. The weighted average credit scores of our Prime and Alt-A/Subprime Non-Agency RMBS were 719 and 665, respectively. |
(8) | Excess MSRs whose underlying collateral is securitized in a trust not held by a U.S. government agency or GSE. |
(9) | Includes Freddie Mac K-Series interest-only bonds. |
(10) | Yield on Commercial Real Estate Loans includes any exit fees. |
Instrument | Current Face | Amortized Cost | Unrealized Mark- to-Market | Fair Value (1) | Weighted Average Coupon (2) | Weighted Average Yield | Weighted Average Life (Years) (3) (4) | |||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||
30 Year Fixed Rate | $ | 1,781,995 | $ | 1,832,745 | $ | (2,630 | ) | $ | 1,830,115 | 4.08 | % | 3.66 | % | 8.82 | ||||||||||
Fixed Rate CMO | 44,418 | 44,745 | (388 | ) | 44,357 | 3.00 | % | 2.79 | % | 3.95 | ||||||||||||||
Inverse Interest Only | 310,065 | 52,952 | (594 | ) | 52,358 | 3.68 | % | 9.84 | % | 6.83 | ||||||||||||||
Interest Only | 370,679 | 62,132 | (682 | ) | 61,450 | 3.55 | % | 6.67 | % | 5.20 | ||||||||||||||
Excess MSR (5) | 3,723,025 | 27,043 | 263 | 27,306 | N/A | 10.45 | % | 6.76 | ||||||||||||||||
Total Agency RMBS | 6,230,182 | 2,019,617 | (4,031 | ) | 2,015,586 | 3.94 | % | 3.98 | % | 7.24 | ||||||||||||||
Credit Investments: | ||||||||||||||||||||||||
Residential Investments | ||||||||||||||||||||||||
Prime (6) | 388,021 | 287,754 | 28,637 | 316,391 | 4.83 | % | 7.19 | % | 10.95 | |||||||||||||||
Alt-A/Subprime (6) | 209,887 | 126,206 | 11,789 | 137,995 | 4.76 | % | 6.81 | % | 7.28 | |||||||||||||||
Credit Risk Transfer | 144,215 | 144,409 | 5,259 | 149,668 | 6.13 | % | 6.26 | % | 5.97 | |||||||||||||||
Interest Only and Excess MSR (7) | 337,908 | 3,373 | (65 | ) | 3,308 | 0.63 | % | 22.02 | % | 5.51 | ||||||||||||||
Re/Non-Performing Loans | 369,803 | 294,803 | 3,624 | 298,427 | 4.86 | % | 7.71 | % | 5.73 | |||||||||||||||
New Origination Loans | 109,960 | 112,939 | 388 | 113,327 | 6.14 | % | 5.06 | % | 2.89 | |||||||||||||||
Total Residential Investments | 1,559,794 | 969,484 | 49,632 | 1,019,116 | 4.58 | % | 6.97 | % | 7.01 | |||||||||||||||
Commercial Investments | ||||||||||||||||||||||||
CMBS | 172,095 | 131,159 | (1,330 | ) | 129,829 | 6.14 | % | 6.74 | % | 3.64 | ||||||||||||||
Freddie Mac K-Series | 202,176 | 70,590 | 14,694 | 85,284 | 5.89 | % | 12.24 | % | 9.56 | |||||||||||||||
Interest Only (8) | 3,534,050 | 48,398 | 2,967 | 51,365 | 0.23 | % | 6.87 | % | 3.43 | |||||||||||||||
Commercial Real Estate Loans (9) | 98,574 | 98,573 | 1 | 98,574 | 7.45 | % | 7.65 | % | 0.92 | |||||||||||||||
Total Commercial Investments | 4,006,895 | 348,720 | 16,332 | 365,052 | 0.65 | % | 8.29 | % | 3.69 | |||||||||||||||
ABS | 22,125 | 21,946 | (786 | ) | 21,160 | 9.49 | % | 10.22 | % | 5.38 | ||||||||||||||
Total Credit Investments | 5,588,814 | 1,340,150 | 65,178 | 1,405,328 | 1.66 | % | 7.36 | % | 4.62 | |||||||||||||||
Total: Securities and Loans Segment | $ | 11,818,996 | $ | 3,359,767 | $ | 61,147 | $ | 3,420,914 | 2.41 | % | 5.37 | % | 6.00 | |||||||||||
Investments in Debt and Equity of Affiliates | $ | 544,914 | $ | 212,349 | $ | 1,070 | $ | 213,419 | 3.29 | % | 6.49 | % | 5.10 | |||||||||||
Total: GAAP Securities and Loans Segment | $ | 11,274,082 | $ | 3,147,418 | $ | 60,077 | $ | 3,207,495 | 2.38 | % | 5.29 | % | 6.04 |
(1) | Refer to "Off-balance sheet arrangements" section below and Note 2 to the Notes of the Consolidated Financial Statements section for more detail on our what is included in our "Investments in debt and equity of affiliates" line item on our consolidated balance sheet and a discussion of Investments in debt and equity of affiliates. |
(2) | Equity residuals, principal only securities and Excess MSRs with a zero coupon rate are excluded from this calculation. |
(3) | Fixed Rate 30 Year TBA are excluded from this calculation. |
(4) | This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
(5) | Excess MSRs whose underlying collateral is securitized in a trust held by a U.S. government agency or GSE. |
(6) | Non-Agency RMBS with credit scores above 700, between 700 and 620 and below 620 at origination are classified as Prime, Alt-A, and Subprime, respectively. The weighted average credit scores of our Prime and Alt-A/Subprime Non-Agency RMBS were 719 and 665, respectively. |
(7) | Excess MSRs whose underlying collateral is securitized in a trust not held by a U.S. government agency or GSE. |
(8) | Includes Freddie Mac K-Series interest-only bonds. |
(9) | Yield on Commercial Real Estate Loans includes any exit fees. |
Fair Value | CPR (1)(2) | |||||||||||||
Agency RMBS | June 30, 2019 | December 31, 2018 | June 30, 2019 | December 31, 2018 | ||||||||||
30 Year Fixed Rate | $ | 1,990,866 | $ | 1,830,115 | 6.9 | % | 4.0 | % | ||||||
Fixed Rate CMO | 40,773 | 44,357 | 10.3 | % | 5.2 | % | ||||||||
ARM (3) | — | — | — | % | 11.4 | % | ||||||||
Inverse Interest Only | 43,541 | 52,358 | 11.4 | % | 6.8 | % | ||||||||
Interest Only | 47,908 | 61,450 | 10.1 | % | 8.6 | % | ||||||||
Total/Weighted Average | $ | 2,123,088 | $ | 1,988,280 | 7.1 | % | 4.4 | % |
(1) | Represents the weighted average monthly CPRs published during the quarters ended of June 30, 2019 and December 31, 2018 for our in-place portfolio as of the same period. |
(2) | Source: Bloomberg |
(3) | We held ARMs during the fourth quarter of 2018, but sold them prior to December 31, 2018. |
Fair Value | ||||||||
June 30, 2019 | December 31, 2018 | |||||||
Non-Agency RMBS (1) | $ | 771,345 | $ | 716,197 | ||||
CMBS (2) | 286,644 | 266,478 | ||||||
ABS | 20,571 | 21,160 | ||||||
Total Credit securities | 1,078,560 | 1,003,835 | ||||||
Residential loans (3) | 348,356 | 302,919 | ||||||
Commercial real estate loans | 118,005 | 98,574 | ||||||
Total loans | 466,361 | 401,493 | ||||||
Total Credit investments | $ | 1,544,921 | $ | 1,405,328 | ||||
Less: Investments in Debt and Equity of Affiliates | $ | 244,661 | $ | 212,555 | ||||
Total GAAP Credit Portfolio | $ | 1,300,260 | $ | 1,192,773 |
(1) | Includes investments in Prime, Alt-A/Subprime, Credit Risk Transfer, Interest-Only and Excess MSR, and Re/Non-Performing Loans and New Origination Loans that are held in securitized form. |
(2) | Includes CMBS, Freddie Mac K-Series, and Interest-Only investments. |
(3) | Includes Re/Non-Performing Loans and New Origination Loans that are not held in securitized form. |
Credit Securities: | Current Face | Amortized Cost | Unrealized Mark-to- Market | Fair Value (1) | Weighted Average Coupon (2) | Weighted Average Yield | Weighted Average Life (Years) (3) | |||||||||||||||||
Pre 2009 | $ | 307,939 | $ | 222,230 | $ | 29,618 | $ | 251,848 | 5.11 | % | 7.08 | % | 12.03 | |||||||||||
2010 | 1,212 | 1,059 | 54 | 1,113 | 2.59 | % | 5.80 | % | 2.91 | |||||||||||||||
2011 | 5,383 | 4,733 | 101 | 4,834 | 4.40 | % | 6.37 | % | 4.97 | |||||||||||||||
2012 | 4,472 | 3,752 | 535 | 4,287 | 4.27 | % | 6.41 | % | 3.54 | |||||||||||||||
2013 | 70,266 | 11,858 | 1,581 | 13,439 | 2.09 | % | 7.81 | % | 2.64 | |||||||||||||||
2014 | 983,757 | 37,228 | 5,154 | 42,382 | 0.30 | % | 10.32 | % | 0.79 | |||||||||||||||
2015 | 1,108,702 | 108,129 | 18,887 | 127,016 | 0.71 | % | 9.06 | % | 4.03 | |||||||||||||||
2016 | 1,252,283 | 102,023 | 14,418 | 116,441 | 0.75 | % | 8.52 | % | 4.72 | |||||||||||||||
2017 | 826,565 | 207,434 | 10,220 | 217,654 | 1.58 | % | 7.51 | % | 5.52 | |||||||||||||||
2018 | 251,519 | 79,839 | 2,389 | 82,228 | 1.93 | % | 6.53 | % | 6.58 | |||||||||||||||
2019 | 578,705 | 212,261 | 5,057 | 217,318 | 2.92 | % | 6.75 | % | 2.45 | |||||||||||||||
Total: Credit Securities | $ | 5,390,803 | $ | 990,546 | $ | 88,014 | $ | 1,078,560 | 1.31 | % | 7.58 | % | 4.22 | |||||||||||
Investments in Debt and Equity of Affiliates | $ | 603,783 | $ | 90,043 | $ | 6,414 | $ | 96,457 | 1.12 | % | 8.44 | % | 3.19 | |||||||||||
Total: GAAP Basis | $ | 4,787,020 | $ | 900,503 | $ | 81,600 | $ | 982,103 | 1.33 | % | 7.49 | % | 4.35 |
(1) | Certain Re/Non-Performing Loans held in securitized form are recorded net of non-recourse securitized debt. |
(2) | Equity residual investments and principal only securities are excluded from this calculation. |
(3) | This is based on projected life. Typically, actual maturities of mortgage-backed securities are shorter than stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
Credit Securities: | Current Face | Amortized Cost | Unrealized Mark-to- Market | Fair Value (1) | Weighted Average Coupon (2) | Weighted Average Yield | Weighted Average Life (Years) (3) | |||||||||||||||||
Pre 2009 | $ | 409,237 | $ | 279,978 | $ | 26,811 | $ | 306,789 | 4.98 | % | 7.01 | % | 10.79 | |||||||||||
2010 | 1,415 | 1,237 | 18 | 1,255 | 2.51 | % | 6.14 | % | 2.94 | |||||||||||||||
2011 | 6,144 | 5,405 | 5 | 5,410 | 4.31 | % | 6.03 | % | 5.00 | |||||||||||||||
2012 | 4,966 | 4,147 | 545 | 4,692 | 4.22 | % | 6.30 | % | 3.59 | |||||||||||||||
2013 | 71,948 | 13,662 | 1,569 | 15,231 | 2.04 | % | 7.57 | % | 2.89 | |||||||||||||||
2014 | 991,192 | 33,899 | 3,956 | 37,855 | 0.28 | % | 10.42 | % | 1.01 | |||||||||||||||
2015 | 1,140,335 | 112,805 | 16,128 | 128,933 | 0.74 | % | 9.19 | % | 4.36 | |||||||||||||||
2016 | 1,292,975 | 111,709 | 12,800 | 124,509 | 0.78 | % | 8.11 | % | 4.96 | |||||||||||||||
2017 | 833,086 | 211,172 | 3,817 | 214,989 | 1.64 | % | 7.58 | % | 5.46 | |||||||||||||||
2018 | 366,221 | 166,254 | (2,082 | ) | 164,172 | 2.49 | % | 7.35 | % | 5.51 | ||||||||||||||
Total: Credit Portfolio | $ | 5,117,519 | $ | 940,268 | $ | 63,567 | $ | 1,003,835 | 1.28 | % | 7.73 | % | 4.62 | |||||||||||
Investments in Debt and Equity of Affiliates | $ | 271,780 | $ | 95,474 | $ | 466 | $ | 95,940 | 1.60 | % | 8.26 | % | 5.19 | |||||||||||
Total: GAAP Basis | $ | 4,845,739 | $ | 844,794 | $ | 63,101 | $ | 907,895 | 1.26 | % | 7.67 | % | 4.59 |
(1) | Certain Re/Non-Performing Loans held in securitized form are recorded net of non-recourse securitized debt. |
(2) | Equity residual investments and principal only securities are excluded from this calculation. |
(3) | This is based on projected life. Typically, actual maturities of mortgage-backed securities are shorter than stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
Credit Rating - Credit Securities (1) | June 30, 2019 (2) | December 31, 2018 (2) | ||||||
AAA | $ | 22,506 | $ | 15,240 | ||||
A | 12,730 | 24,824 | ||||||
BBB | 25,449 | 27,510 | ||||||
BB | 93,379 | 71,678 | ||||||
B | 166,244 | 146,753 | ||||||
Below B | 113,292 | 144,962 | ||||||
Not Rated | 644,960 | 572,868 | ||||||
Total: Credit Securities | $ | 1,078,560 | $ | 1,003,835 | ||||
Investments in Debt and Equity of Affiliates | $ | 96,457 | $ | 95,940 | ||||
Total: GAAP Basis | $ | 982,103 | $ | 907,895 |
(1) | Represents the minimum rating for rated assets of S&P, Moody and Fitch credit ratings, stated in terms of the S&P equivalent. |
(2) | Certain Re/Non-Performing Loans held in securitized form are recorded net of non-recourse securitized debt. |
June 30, 2019 | ||||||||||||||||
Non-Agency RMBS | CMBS (1) | |||||||||||||||
State | Fair Value (2) | Percentage (2) | State | Fair Value (2) | Percentage (2) | |||||||||||
California | $ | 156,505 | 21.9 | % | California | $ | 34,530 | 12.0 | % | |||||||
Florida | 49,460 | 6.9 | % | Texas | 31,236 | 10.9 | % | |||||||||
New York | 41,216 | 5.8 | % | New York | 23,883 | 8.3 | % | |||||||||
Colorado | 34,610 | 4.9 | % | Florida | 20,881 | 7.3 | % | |||||||||
Texas | 30,638 | 4.3 | % | New Jersey | 18,012 | 6.3 | % | |||||||||
Other | 458,916 | 56.2 | % | Other | 158,102 | 55.2 | % | |||||||||
Total | $ | 771,345 | 100.0 | % | Total | $ | 286,644 | 100.0 | % |
(1) | CMBS includes all commercial credit securities, including CMBS, Freddie Mac K-Series, and Interest-Only investments. |
(2) | Non-Agency RMBS fair value includes $57.8 million of investments where there was no data regarding the underlying collateral. These positions were excluded from the percent calculation. |
December 31, 2018 | ||||||||||||||||
Non-Agency RMBS | CMBS (1) | |||||||||||||||
State | Fair Value (2) | Percentage (2) | State | Fair Value | Percentage | |||||||||||
California | $ | 149,417 | 23.4 | % | Texas | $ | 29,064 | 10.9 | % | |||||||
Florida | 42,175 | 6.6 | % | California | 26,174 | 9.8 | % | |||||||||
New York | 40,667 | 6.4 | % | Florida | 23,254 | 8.7 | % | |||||||||
Colorado | 28,180 | 4.4 | % | New York | 21,446 | 8.0 | % | |||||||||
Georgia | 26,551 | 4.2 | % | New Jersey | 20,756 | 7.8 | % | |||||||||
Other | 429,207 | 55.0 | % | Other | 145,784 | 54.8 | % | |||||||||
Total | $ | 716,197 | 100.0 | % | Total | $ | 266,478 | 100.0 | % |
(1) | CMBS includes all commercial credit securities, including CMBS, Freddie Mac K-Series, and Interest-Only investments. |
(2) | Fair value includes $78.8 million of investments where there was no data regarding the underlying collateral. These positions were excluded from the percent calculation. |
June 30, 2019 | |||||||||||||
Non-Agency RMBS* | |||||||||||||
Category | Fair Value | Weighted Average 60+ Days Delinquent | Weighted Average Loan Age (Months) | Weighted Average Credit Enhancement | |||||||||
Prime | $ | 265,710 | 10.4 | % | 132.9 | 9.4 | % | ||||||
Alt-A/Subprime | 137,825 | 11.8 | % | 157.6 | 15.7 | % | |||||||
Credit Risk Transfer | 257,283 | 0.2 | % | 20.9 | 1.5 | % |
CMBS* | |||||||||||||
Category | Fair Value | Weighted Average 60+ Days Delinquent | Weighted Average Loan Age (Months) | Weighted Average Credit Enhancement | |||||||||
CMBS | $ | 145,383 | — | % | 31.4 | 14.8 | % | ||||||
Freddie Mac K Series | 93,408 | 0.7 | % | 44.4 | 0.5 | % |
December 31, 2018 | |||||||||||||
Non-Agency RMBS* | |||||||||||||
Category | Fair Value | Weighted Average 60+ Days Delinquent | Weighted Average Loan Age (Months) | Weighted Average Credit Enhancement | |||||||||
Prime | $ | 316,391 | 10.4 | % | 133.2 | 11.9 | % | ||||||
Alt-A/Subprime | 137,995 | 14.6 | % | 152.1 | 16.5 | % | |||||||
Credit Risk Transfer | 149,668 | 0.3 | % | 24.0 | 1.2 | % |
CMBS* | |||||||||||||
Category | Fair Value | Weighted Average 60+ Days Delinquent | Weighted Average Loan Age (Months) | Weighted Average Credit Enhancement | |||||||||
CMBS | $ | 129,829 | 1.1 | % | 29.6 | 13.6 | % | ||||||
Freddie Mac K Series | 85,284 | 0.7 | % | 39.7 | 0.6 | % |
State | Number of Properties (a) | Average Occupancy | Average Monthly Rent (b) | Average Monthly Rent PSF (b) | Percent of Rental Income (c) | ||||||||||||
South Carolina | 435 | 93.3 | % | $ | 1,089 | $ | 0.76 | 38.3 | % | ||||||||
Alabama | 296 | 93.2 | % | 1,006 | 0.66 | 24.0 | % | ||||||||||
Georgia | 209 | 88.0 | % | 915 | 0.62 | 14.6 | % | ||||||||||
North Carolina | 120 | 92.5 | % | 981 | 0.71 | 9.4 | % | ||||||||||
Ohio | 70 | 91.4 | % | 1,089 | 0.79 | 6.0 | % | ||||||||||
Indiana | 49 | 89.8 | % | 1,084 | 0.70 | 4.1 | % | ||||||||||
Tennessee | 43 | 93.0 | % | 1,042 | 0.72 | 3.6 | % | ||||||||||
Total | 1,222 | 92.1 | % | $ | 1,028 | $ | 0.71 | 100.0 | % |
(a) | Represents stabilized properties that have the ability to generate income as of June 30, 2019. |
(b) | Represents average monthly straight-line rents for occupied residences as of June 30, 2019. |
(c) | Represents the percentage of total straight-line rents for occupied residences in each state as of June 30, 2019. |
Number of Properties (a) | Average Occupancy | Average Monthly Rent (b) | Average Monthly Rent PSF (b) | Percent of Rental Income (c) | |||||||||||||
Total | 1,225 | 87.9 | % | $ | 1,020 | $ | 0.71 | 100.0 | % |
(a) | Represents stabilized properties that have the ability to generate income as of December 31, 2018. |
(b) | Represents average straight-line rents for occupied residences as of December 31, 2018. |
(c) | Represents the percentage of total straight-line rents for occupied residences in each state as of December 31, 2018. |
Quarter Ended | Quarter-End Balance | Average Quarterly Balance | Maximum Balance at Any Month-End | |||||||||
June 30, 2019 | ||||||||||||
Non-GAAP Basis | $ | 3,176,519 | $ | 3,268,591 | $ | 3,365,461 | ||||||
Less: Investments in Debt and Equity of Affiliates | 183,286 | 216,024 | 238,045 | |||||||||
GAAP Basis | $ | 2,993,233 | $ | 3,052,567 | $ | 3,127,416 | ||||||
March 31, 2019 | ||||||||||||
Non-GAAP Basis | $ | 3,392,457 | $ | 3,171,994 | $ | 3,392,456 | ||||||
Less: Investments in Debt and Equity of Affiliates | 177,548 | 174,672 | 179,524 | |||||||||
GAAP Basis | $ | 3,214,909 | $ | 2,997,322 | $ | 3,212,932 | ||||||
December 31, 2018 | ||||||||||||
Non-GAAP Basis | $ | 2,962,244 | $ | 2,953,741 | $ | 2,968,859 | ||||||
Less: Investments in Debt and Equity of Affiliates | 139,739 | 125,851 | 139,739 | |||||||||
GAAP Basis | $ | 2,822,505 | $ | 2,827,890 | $ | 2,829,120 | ||||||
September 30, 2018 | ||||||||||||
Non-GAAP Basis | $ | 3,015,530 | $ | 2,896,931 | $ | 3,015,530 | ||||||
Less: Investments in Debt and Equity of Affiliates | 102,149 | 92,833 | 102,149 | |||||||||
GAAP Basis | $ | 2,913,381 | $ | 2,804,098 | $ | 2,913,381 | ||||||
June 30, 2018 | ||||||||||||
Non-GAAP Basis | $ | 2,719,376 | $ | 2,792,123 | $ | 2,932,186 | ||||||
Less: Investments in Debt and Equity of Affiliates | 85,194 | 170,006 | 213,489 | |||||||||
GAAP Basis | $ | 2,634,182 | $ | 2,622,117 | $ | 2,718,697 | ||||||
March 31, 2018 | ||||||||||||
Non-GAAP Basis | $ | 3,035,398 | $ | 2,954,404 | $ | 3,043,392 | ||||||
Less: Investments in Debt and Equity of Affiliates | 208,819 | 77,309 | 208,819 | |||||||||
GAAP Basis | $ | 2,826,579 | $ | 2,877,095 | $ | 2,834,573 | ||||||
December 31, 2017 | ||||||||||||
Non-GAAP Basis | $ | 3,011,591 | $ | 2,882,548 | $ | 3,011,591 | ||||||
Less: Investments in Debt and Equity of Affiliates | 7,184 | 8,849 | 9,807 | |||||||||
GAAP Basis | $ | 3,004,407 | $ | 2,873,699 | $ | 3,001,784 | ||||||
September 30, 2017 | ||||||||||||
Non-GAAP Basis | $ | 2,703,069 | $ | 2,596,533 | $ | 2,746,151 | ||||||
Less: Investments in Debt and Equity of Affiliates | 8,517 | 8,697 | 8,869 | |||||||||
GAAP Basis | $ | 2,694,552 | $ | 2,587,836 | $ | 2,737,282 | ||||||
June 30, 2017 | ||||||||||||
Non-GAAP Basis | $ | 2,265,227 | $ | 2,209,991 | $ | 2,339,133 | ||||||
Less: Investments in Debt and Equity of Affiliates | 8,485 | 8,806 | 9,116 |
GAAP Basis | $ | 2,256,742 | $ | 2,201,185 | $ | 2,330,017 | ||||||
March 31, 2017 | ||||||||||||
Non-GAAP Basis | $ | 1,887,767 | $ | 1,813,668 | $ | 1,887,766 | ||||||
Less: Investments in Debt and Equity of Affiliates | 8,424 | 8,788 | 9,172 | |||||||||
GAAP Basis | $ | 1,879,343 | $ | 1,804,880 | $ | 1,878,594 | ||||||
December 31, 2016 | ||||||||||||
Non-GAAP Basis | $ | 1,910,509 | $ | 1,972,785 | $ | 2,009,130 | ||||||
Less: Investments in Debt and Equity of Affiliates | 9,999 | 10,525 | 11,019 | |||||||||
GAAP Basis | $ | 1,900,510 | $ | 1,962,260 | $ | 1,998,111 | ||||||
September 30, 2016 | ||||||||||||
Non-GAAP Basis | $ | 2,237,849 | $ | 2,242,396 | $ | 2,275,368 | ||||||
Less: Investments in Debt and Equity of Affiliates | 11,485 | 12,147 | 12,843 | |||||||||
GAAP Basis | $ | 2,226,364 | $ | 2,230,249 | $ | 2,262,525 | ||||||
June 30, 2016 | ||||||||||||
Non-GAAP Basis | $ | 2,263,591 | $ | 2,305,133 | $ | 2,368,335 | ||||||
Less: Investments in Debt and Equity of Affiliates | 13,595 | 14,628 | 15,535 | |||||||||
GAAP Basis | $ | 2,249,996 | $ | 2,290,505 | $ | 2,352,800 |
June 30, 2019 | December 31, 2018 | |||||||
Repurchase agreements | $ | 2,825,781 | $ | 2,650,898 | ||||
Term loan, net | 101,983 | 102,017 | ||||||
Revolving facilities | 248,755 | 209,329 | ||||||
Total: Non-GAAP Basis | $ | 3,176,519 | $ | 2,962,244 | ||||
Investments in Debt and Equity of Affiliates | $ | 183,286 | $ | 139,739 | ||||
Total: GAAP Basis | $ | 2,993,233 | $ | 2,822,505 |
Securities and Loans Segment | Single-Family Rental Properties Segment | Total | ||||||||||||||||||||||||||
Agency | Credit | SFR | ||||||||||||||||||||||||||
Financing Arrangements Maturing Within: (1) | Balance | Weighted Average Funding Cost | Balance | Weighted Average Funding Cost | Balance | Weighted Average Funding Cost | Balance | Weighted Average Funding Cost | ||||||||||||||||||||
Overnight | $ | 118,272 | 2.69 | % | $ | — | — | $ | — | — | $ | 118,272 | 2.69 | % | ||||||||||||||
30 days or less | 999,243 | 2.68 | % | 571,031 | 3.48 | % | — | — | % | 1,570,274 | 2.97 | % | ||||||||||||||||
31-60 days | 428,101 | 2.60 | % | 134,079 | 3.82 | % | — | — | % | 562,180 | 2.89 | % | ||||||||||||||||
61-90 days | 147,241 | 2.61 | % | 74,872 | 3.89 | % | — | — | % | 222,113 | 3.04 | % | ||||||||||||||||
91-180 days | 248,955 | 2.62 | % | — | — | % | — | — | % | 248,955 | 2.62 | % | ||||||||||||||||
Greater than 180 days | — | — | % | 352,742 | 4.54 | % | 101,983 | 4.80 | % | 454,725 | 4.60 | % | ||||||||||||||||
Total: Non-GAAP Basis | $ | 1,941,812 | 2.65 | % | $ | 1,132,724 | 3.88 | % | $ | 101,983 | 4.80 | % | $ | 3,176,519 | 3.16 | % | ||||||||||||
Investments in Debt and Equity of Affiliates | $ | — | — | $ | 183,286 | 4.62 | % | $ | — | — | % | $ | 183,286 | 4.62 | % | |||||||||||||
Total: GAAP Basis | $ | 1,941,812 | 2.65 | % | $ | 949,438 | 3.73 | % | $ | 101,983 | 4.80 | % | $ | 2,993,233 | 3.07 | % |
(1) | As of June 30, 2019, our weighted average days to maturity is 133 days and our weighted average original days to maturity is 212 days on a GAAP Basis. As of June 30, 2019, our weighted average days to maturity is 138 days and our weighted average original days to maturity is 236 days on a Non-GAAP Basis. |
Securities and Loans Segment | Single-Family Rental Properties Segment | Total | ||||||||||||||||||||||||||
Agency | Credit | SFR | ||||||||||||||||||||||||||
Financing Arrangements Maturing Within: (1) | Balance | Weighted Average Funding Cost | Balance | Weighted Average Funding Cost | Balance | Weighted Average Funding Cost | Balance | Weighted Average Funding Cost | ||||||||||||||||||||
Overnight | $ | 52,385 | 3.92 | % | $ | — | — | $ | — | — | $ | 52,385 | 3.92 | % | ||||||||||||||
30 days or less | 1,093,948 | 2.51 | % | 482,281 | 3.52 | % | — | — | 1,576,229 | 2.82 | % | |||||||||||||||||
31-60 days | 658,721 | 2.57 | % | 274,968 | 4.55 | % | — | — | 933,689 | 3.16 | % | |||||||||||||||||
61-90 days | — | — | 46,594 | 3.89 | % | — | — | 46,594 | 3.89 | % | ||||||||||||||||||
91-180 days | — | — | 13,699 | 6.01 | % | — | — | 13,699 | 6.01 | % | ||||||||||||||||||
Greater than 180 days | — | — | 237,631 | 4.56 | % | 102,017 | 4.80 | % | 339,648 | 4.64 | % | |||||||||||||||||
Total: Non-GAAP Basis | $ | 1,805,054 | 2.57 | % | $ | 1,055,173 | 4.07 | % | $ | 102,017 | 4.80 | % | $ | 2,962,244 | 3.18 | % | ||||||||||||
Investments in Debt and Equity of Affiliates | $ | — | — | $ | 139,739 | 5.79 | % | $ | — | — | $ | 139,739 | 5.79 | % | ||||||||||||||
Total: GAAP Basis | $ | 1,805,054 | 2.57 | % | $ | 915,434 | 3.81 | % | $ | 102,017 | 4.80 | % | $ | 2,822,505 | 3.04 | % |
(1) | As of December 31, 2018, our weighted average days to maturity is 143 days and our weighted average original days to maturity is 218 days on a GAAP Basis. As of December 31, 2018, our weighted average days to maturity is 142 days and our weighted average original days to maturity is 226 days on a Non-GAAP Basis. |
Repurchase Agreements Maturing Within: | Balance | Weighted Average Rate | Weighted Average Funding Cost | Weighted Average Days to Maturity | Weighted Average Haircut | |||||||||||
Overnight | $ | 118,272 | 2.69 | % | 2.69 | % | 1 | 3.2 | % | |||||||
30 days or less | 1,543,943 | 2.95 | % | 2.95 | % | 10 | 10.4 | % | ||||||||
31-60 days | 559,764 | 2.89 | % | 2.89 | % | 47 | 10.4 | % | ||||||||
61-90 days | 222,113 | 3.04 | % | 3.04 | % | 70 | 11.2 | % | ||||||||
91-180 days | 248,955 | 2.62 | % | 2.62 | % | 136 | 5.7 | % | ||||||||
Greater than 180 days | 25,978 | 4.62 | % | 4.62 | % | 376 | 23.8 | % | ||||||||
Total: Non-GAAP Basis | $ | 2,719,025 | 2.92 | % | 2.92 | % | 37 | 9.9 | % | |||||||
Investments in Debt and Equity of Affiliates | $ | 56,774 | 4.55 | % | 4.55 | % | 173 | 28.5 | % | |||||||
Total: GAAP Basis | $ | 2,662,251 | 2.88 | % | 2.88 | % | 35 | 9.5 | % |
Repurchase Agreements Maturing Within: | Balance | Weighted Average Rate | Weighted Average Funding Cost | Weighted Average Days to Maturity | Weighted Average Haircut | |||||||||||
Overnight | $ | 52,385 | 3.92 | % | 3.92 | % | 2 | 3.0 | % | |||||||
30 days or less | 1,576,229 | 2.82 | % | 2.82 | % | 9 | 9.9 | % | ||||||||
31-60 days | 852,017 | 2.85 | % | 2.85 | % | 46 | 8.1 | % | ||||||||
61-90 days | 46,594 | 3.89 | % | 3.89 | % | 72 | 21.4 | % | ||||||||
91-180 days | 13,699 | 6.01 | % | 6.01 | % | 178 | 38.1 | % | ||||||||
Greater than 180 days | 26,212 | 4.71 | % | 4.77 | % | 556 | 21.9 | % | ||||||||
Total: Non-GAAP Basis | $ | 2,567,136 | 2.91 | % | 2.91 | % | 29 | 9.7 | % | |||||||
Investments in Debt and Equity of Affiliates | $ | 55,025 | 4.94 | % | 4.97 | % | 258 | 27.1 | % | |||||||
Total: GAAP Basis | $ | 2,512,111 | 2.86 | % | 2.86 | % | 24 | 9.3 | % |
Repurchase Agreements Maturing Within: | Balance | Weighted Average Rate | Weighted Average Funding Cost | Weighted Average Days to Maturity | Weighted Average Haircut | |||||||||||
30 days or less | $ | 4,535 | 3.63 | % | 3.63 | % | 17 | 22.3 | % | |||||||
Greater than 180 days | 100,138 | 4.21 | % | 4.31 | % | 547 | 17.9 | % | ||||||||
Total: GAAP Basis | $ | 104,673 | 4.19 | % | 4.28 | % | 525 | 18.1 | % |
Repurchase Agreements Maturing Within: | Balance | Weighted Average Rate | Weighted Average Funding Cost | Weighted Average Days to Maturity | Weighted Average Haircut | |||||||||||
Greater than 180 days | $ | 83,762 | 4.27 | % | 4.37 | % | 728 | 15.6 | % |
Repurchase Agreements Maturing Within: | Balance | Weighted Average Rate | Weighted Average Funding Cost | Weighted Average Days to Maturity | Weighted Average Haircut | |||||||||||
Greater than 180 days | $ | 2,083 | 5.17 | % | 7.04 | % | 1,281 | 35.6 | % |
June 30, 2019 | December 31, 2018 | |||||||||||||||||||||||||||
Facility | Investment | Maturity Date | Rate | Funding Cost (2) | Balance | Maximum Aggregate Borrowing Capacity | Rate | Funding Cost (2) | Balance | |||||||||||||||||||
Term loan facility, net (1) | Single-family rental properties | October 10, 2023 | 4.63 | % | 4.80 | % | $ | 101,983 | $ | 102,866 | 4.63 | % | 4.80 | % | $ | 102,017 | ||||||||||||
Revolving facility A (4)(5) | Commercial loans | July 1, 2019 | 4.55 | % | 4.55 | % | $ | 21,796 | $ | 21,796 | 4.66 | % | 4.66 | % | $ | 21,796 | ||||||||||||
Revolving facility B (3)(4) | Re/Non-performing loans | June 15, 2020 | 4.41 | % | 4.41 | % | 52,603 | 110,000 | 4.53 | % | 4.54 | % | 63,328 | |||||||||||||||
Revolving facility C (3)(4) | Commercial loans | August 10, 2023 | 4.55 | % | 4.78 | % | 47,844 | 100,000 | 4.53 | % | 4.80 | % | 39,491 | |||||||||||||||
Revolving facility D (3)(4) | New origination loans | February 18, 2020 | 4.35 | % | 4.64 | % | 124,096 | 200,655 | 5.00 | % | 6.37 | % | 81,671 | |||||||||||||||
Revolving facility E (4) | Re/Non-performing loans | August 25, 2019 | 4.78 | % | 4.78 | % | 2,416 | 2,416 | 4.88 | % | 4.88 | % | 3,043 | |||||||||||||||
Total revolving facilities | $ | 248,755 | $ | 434,867 | $ | 209,329 | ||||||||||||||||||||||
Total: Non-GAAP Basis | $ | 350,738 | $ | 537,733 | $ | 311,346 | ||||||||||||||||||||||
Investments in Debt and Equity of Affiliates | $ | 126,512 | $ | 203,071 | $ | 84,714 | ||||||||||||||||||||||
Total: GAAP Basis | $ | 224,226 | $ | 334,662 | $ | 226,632 |
(1) | As of June 30, 2019 and December 31, 2018, the total borrowings under the term loan was $102.9 million and $103.0 million, respectively, which is shown net of deferred financing costs of $0.9 million and $1.0 million, respectively. |
(2) | Funding costs represent the stated rate inclusive of any deferred financing costs. |
(3) | Increasing our borrowing capacity under this facility requires consent of the lender. |
(4) | Under the terms of our financing agreements, the counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. |
(5) | This facility was paid off subsequent to quarter end. |
Weighted Average | ||||||||||||||||
Current Face | Fair Value | Coupon | Yield | Life (Years) (1) | ||||||||||||
Consolidated tranche (2) | $ | 8,606 | $ | 8,630 | 4.19 | % | 4.38 | % | 2.11 | |||||||
Retained tranche | 8,235 | 6,826 | 4.64 | % | 19.15 | % | 7.96 | |||||||||
Total resecuritized asset | $ | 16,841 | $ | 15,456 | 4.41 | % | 10.90 | % | 4.97 |
(1) | This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
(2) | As of June 30, 2019, the fair market value of the consolidated tranche is included on our consolidated balance sheets as "Non-Agency RMBS." As of June 30, 2019, we have recorded secured financing of $8.6 million on our consolidated balance sheets in the "Securitized debt, at fair value" line item. |
Weighted Average | ||||||||||||||||
Current Face | Fair Value | Coupon | Yield | Life (Years) (1) | ||||||||||||
Consolidated tranche (2) | $ | 10,821 | $ | 10,858 | 4.10 | % | 4.47 | % | 2.39 | |||||||
Retained tranche | 8,401 | 6,550 | 4.61 | % | 18.50 | % | 8.37 | |||||||||
Total resecuritized asset | $ | 19,222 | $ | 17,408 | 4.32 | % | 9.75 | % | 5.00 |
(1) | This is based on projected life. Typically, actual maturities of investments and loans are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. |
(2) | As of December 31, 2018, the fair market value of the consolidated tranche is included on our consolidated balance sheets as "Non-Agency RMBS." As of December 31, 2018, we have recorded secured financing of $10.9 million on our consolidated balance sheets in the "Securitized debt, at fair value" line item. |
June 30, 2019 | Leverage | Stockholders’ Equity | Leverage Ratio | |||||||
GAAP Leverage | $ | 3,025,807 | $ | 730,864 | 4.1x | |||||
Financing arrangements through affiliated entities | 183,286 | |||||||||
Net TBA receivable/(payable) adjustment | 23,382 | |||||||||
Non-GAAP "At Risk" Leverage | $ | 3,232,475 | $ | 730,864 | 4.4x |
December 31, 2018 | Leverage | Stockholders’ Equity | Leverage Ratio | |||||||
GAAP Leverage | $ | 2,833,363 | $ | 656,011 | 4.3x | |||||
Financing arrangements through affiliated entities | 155,888 | |||||||||
Non-GAAP "At Risk" Leverage | $ | 2,989,251 | $ | 656,011 | 4.6x |
Derivatives and Other Instruments (1) | GAAP Designation | Balance Sheet Location | June 30, 2019 | December 31, 2018 | ||||||||
Pay Fix/Receive Float Interest Rate Swap Agreements (2) | Non-Hedge | Other assets | $ | 81 | $ | 1,406 | ||||||
Pay Fix/Receive Float Interest Rate Swap Agreements (2) | Non-Hedge | Other liabilities | (353 | ) | (317 | ) | ||||||
Payer Swaptions | Non-Hedge | Other assets | 74 | 323 | ||||||||
Short positions on U.S. Treasuries | Non-Hedge | Other liabilities (3) | — | (11,378 | ) |
(1) | As of June 30, 2019, we applied a reduction in fair value of $1,203 and $0.2 million to our U.S. Treasury Futures assets and Eurodollar Futures liabilities, respectively, related to variation margin. As of December 31, 2018, we applied a fair value reduction of $0.1 million and $1.0 million to our U.S. Treasury Futures assets and Eurodollar Future liabilities, respectively, related to variation margin. |
(2) | As of June 30, 2019, we applied a reduction in fair value of $0.4 million and $8.3 million to our interest rate swap assets and liabilities, respectively, related to variation margin. As of December 31, 2018, we applied a reduction in fair value of $26.0 million and $18.1 million to our interest rate swap assets and liabilities, respectively, related to variation margin. |
(3) | Short positions on U.S. Treasuries relate to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the "Unrealized gain/(loss) on derivatives and other instruments, net" line item on our consolidated statement of operations. |
Notional amount of non-hedge derivatives and other instruments: | June 30, 2019 | December 31, 2018 | ||||||
Pay Fix/Receive Float Interest Rate Swap Agreements | $ | 1,302,500 | $ | 1,963,500 | ||||
Payer Swaptions | 445,000 | 260,000 | ||||||
Long positions on U.S. Treasury Futures (1) | — | 30,000 | ||||||
Short positions on U.S. Treasury Futures (1) | 700 | — | ||||||
Short positions on Eurodollar Futures (2) | 1,000,000 | 500,000 | ||||||
Short positions on U.S. Treasuries | — | 11,250 |
(1) | Each U.S. Treasury Future contract embodies $100,000 of notional value. |
(2) | Each Eurodollar Future contract embodies $1,000,000 of notional value. |
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2019 | June 30, 2018 | June 30, 2019 | June 30, 2018 | |||||||||||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | ||||||||||||||||
Interest rate swaps, at fair value | $ | (9,102 | ) | $ | 5,610 | $ | (19,764 | ) | $ | 41,862 | ||||||
Eurodollar Futures | (266 | ) | — | 768 | — | |||||||||||
Swaptions, at fair value | (256 | ) | (384 | ) | (774 | ) | (32 | ) | ||||||||
U.S. Treasury Futures | 1 | 385 | (144 | ) | (109 | ) | ||||||||||
U.S. Treasuries | — | — | 82 | (94 | ) | |||||||||||
(9,623 | ) | 5,611 | $ | (19,832 | ) | $ | 41,627 | |||||||||
Included within Net realized gain/(loss) | ||||||||||||||||
Interest rate swaps, at fair value | (23,538 | ) | 5,862 | (41,080 | ) | 5,862 | ||||||||||
Eurodollar Futures | 11 | — | (1,229 | ) | — | |||||||||||
Swaptions, at fair value | (227 | ) | — | (861 | ) | 51 | ||||||||||
U.S. Treasury Futures | 302 | 67 | 371 | 740 | ||||||||||||
U.S. Treasuries | (176 | ) | — | (249 | ) | 131 | ||||||||||
(23,628 | ) | 5,929 | (43,048 | ) | 6,784 | |||||||||||
Total income/(loss) | $ | (33,251 | ) | $ | 11,540 | (62,880 | ) | 48,411 |
Weighted Average Life (Years) on non-hedge derivatives and other instruments | June 30, 2019 | December 31, 2018 | ||||
Interest rate swaps | 3.64 | 5.57 | ||||
Swaptions | 0.53 | 0.60 | ||||
Short positions on Eurodollar Futures | 0.96 | 1.95 | ||||
Short positions on U.S. Treasury Futures | 0.22 | — | ||||
Long positions on U.S. Treasury Futures | — | 0.22 | ||||
Short positions on U.S. Treasuries | — | 2.88 |
Maturity | Notional Amount | Weighted Average Pay-Fixed Rate | Weighted Average Receive-Variable Rate | Weighted Average Years to Maturity | ||||||||
2020 | $ | 105,000 | 1.54 | % | 2.57 | % | 0.70 | |||||
2022 | 778,750 | 1.92 | % | 2.45 | % | 2.98 | ||||||
2023 | 5,750 | 3.19 | % | 2.57 | % | 4.35 | ||||||
2024 | 345,000 | 1.96 | % | 2.05 | % | 4.97 | ||||||
2026 | 20,000 | 1.90 | % | 2.53 | % | 7.37 | ||||||
2027 | 10,000 | 2.20 | % | 2.33 | % | 8.00 | ||||||
2029 | 38,000 | 1.94 | % | 2.31 | % | 9.99 | ||||||
Total/Wtd Avg | $ | 1,302,500 | 1.91 | % | 2.35 | % | 3.64 |
Maturity | Notional Amount | Weighted Average Pay-Fixed Rate | Weighted Average Receive-Variable Rate | Weighted Average Years to Maturity | ||||||||
2020 | $ | 105,000 | 1.54 | % | 2.56 | % | 1.20 | |||||
2021 | 58,500 | 3.00 | % | 2.63 | % | 2.76 | ||||||
2022 | 478,000 | 1.87 | % | 2.72 | % | 3.58 | ||||||
2023 | 403,000 | 3.05 | % | 2.64 | % | 4.65 | ||||||
2024 | 230,000 | 2.06 | % | 2.63 | % | 5.50 | ||||||
2025 | 125,000 | 2.87 | % | 2.70 | % | 6.38 | ||||||
2026 | 75,000 | 2.12 | % | 2.66 | % | 7.89 | ||||||
2027 | 264,000 | 2.35 | % | 2.66 | % | 8.68 | ||||||
2028 | 225,000 | 2.96 | % | 2.69 | % | 9.37 | ||||||
Total/Wtd Avg | $ | 1,963,500 | 2.41 | % | 2.67 | % | 5.57 |
2019 | ||||||||
Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||
3/15/2019 | 3/29/2019 | 4/30/2019 | $ | 0.50 | ||||
6/14/2019 | 6/28/2019 | 7/31/2019 | 0.50 | |||||
Total | $ | 1.00 |
2018 | ||||||||
Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||
3/15/2018 | 3/29/2018 | 4/30/2018 | $ | 0.475 | ||||
6/18/2018 | 6/29/2018 | 7/31/2018 | 0.500 | |||||
Total | $ | 0.975 |
2019 | ||||||||||
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||
8.25% Series A | 2/15/2019 | 2/28/2019 | 3/18/2019 | $ | 0.51563 | |||||
8.25% Series A | 5/17/2019 | 5/31/2019 | 6/17/2019 | 0.51563 | ||||||
Total | $ | 1.03126 |
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||
8.00% Series B | 2/15/2019 | 2/28/2019 | 3/18/2019 | $ | 0.50 | |||||
8.00% Series B | 5/17/2019 | 5/31/2019 | 6/17/2019 | 0.50 | ||||||
Total | $ | 1.00 |
2018 | ||||||||||
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||
8.25% Series A | 2/16/2018 | 2/28/2018 | 3/19/2018 | $ | 0.51563 | |||||
8.25% Series A | 5/15/2018 | 5/31/2018 | 6/18/2018 | 0.51563 | ||||||
Total | $ | 1.03126 |
Dividend | Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||||
8.00% Series B | 2/16/2018 | 2/28/2018 | 3/19/2018 | $ | 0.50 | |||||
8.00% Series B | 5/15/2018 | 5/31/2018 | 6/18/2018 | 0.50 | ||||||
Total | $ | 1.00 |
Counterparty | Stockholders’ Equity at Risk | Weighted Average Maturity (days) | Percentage of Stockholders' Equity | |||||||
Barclays Capital Inc | $ | 70,888 | 222 | 10 | % | |||||
Credit Suisse Securities, LLC - Non-GAAP | $ | 39,017 | 456 | 5 | % | |||||
Non-GAAP Adjustments (a) | (29,008 | ) | (260 | ) | (4 | )% | ||||
Credit Suisse Securities, LLC - GAAP | $ | 10,009 | 196 | 1 | % |
(a) | Represents stockholders' equity at risk, weighted average maturity and percentage of stockholders' equity from financing arrangements held in investments in debt and equity of affiliates. |
Counterparty | Stockholders’ Equity at Risk | Weighted Average Maturity (days) | Percentage of Stockholders’ Equity | |||||||
Credit Suisse Securities, LLC - Non-GAAP | $ | 45,039 | 222 | 7 | % | |||||
Non-GAAP Adjustments (a) | (34,616 | ) | (75 | ) | (5 | )% | ||||
Credit Suisse Securities, LLC - GAAP | $ | 10,423 | 147 | 2 | % | |||||
Barclays Capital Inc | $ | 40,882 | 356 | 6 | % |
(a) | Represents stockholders' equity at risk, weighted average maturity and percentage of stockholders' equity from financing arrangements held in investments in debt and equity of affiliates. |
June 30, 2019 | December 31, 2018 | |||||||||||||||||||||||
Assets (1) | Liabilities | Equity | Assets (1) | Liabilities | Equity | |||||||||||||||||||
Agency Excess MSR | $ | 634 | $ | — | $ | 634 | $ | 864 | $ | — | $ | 864 | ||||||||||||
Total Agency | 634 | — | 634 | 864 | — | 864 | ||||||||||||||||||
Re/Non-Performing Loans | 74,433 | (47,761 | ) | 26,672 | 94,135 | (57,222 | ) | 36,913 | ||||||||||||||||
New Origination Loans | 164,624 | (134,964 | ) | 29,660 | 113,327 | (81,671 | ) | 31,656 | ||||||||||||||||
Total Residential | 239,057 | (182,725 | ) | 56,332 | 207,462 | (138,893 | ) | 68,569 | ||||||||||||||||
Freddie Mac K-Series | 4,587 | — | 4,587 | 4,059 | — | 4,059 | ||||||||||||||||||
CMBS Interest Only | 1,017 | — | 1,017 | 1,034 | — | 1,034 | ||||||||||||||||||
Total Commercial | 5,604 | — | 5,604 | 5,093 | — | 5,093 | ||||||||||||||||||
Total Credit | 244,661 | (182,725 | ) | 61,936 | 212,555 | (138,893 | ) | 73,662 | ||||||||||||||||
Total Investments excluding AG Arc | 245,295 | (182,725 | ) | 62,570 | 213,419 | (138,893 | ) | 74,526 | ||||||||||||||||
AG Arc, at fair value | 18,717 | — | 18,717 | 20,360 | — | 20,360 | ||||||||||||||||||
Cash and Other assets/(liabilities) (2) | 20,515 | (1,847 | ) | 18,668 | 7,423 | (17,417 | ) | (9,994 | ) | |||||||||||||||
Investments in debt and equity of affiliates | $ | 284,527 | $ | (184,572 | ) | $ | 99,955 | $ | 241,202 | $ | (156,310 | ) | $ | 84,892 |
(1) | Certain Re/Non-Performing Loans held in securitized form are recorded net of non-recourse securitized debt. |
(2) | Includes financing arrangements on real estate owned as of June 30, 2019 and December 31, 2018 of $(0.6) million and $(0.8) million, respectively. |
Commitment Type | Date of Commitment | Total Commitment | Funded Commitment | Remaining Commitment | ||||||||||
MATH (a) | March 28, 2019 | $ | 44,590 | $ | 42,361 | $ | 2,229 | |||||||
Variable funding note (b) | March 29, 2018 | 12,444 | 7,790 | 4,654 | ||||||||||
Commercial loan G (c)(d) | July 26, 2018 | 75,000 | 32,299 | 42,701 | ||||||||||
Commercial loan I (c) | January 23, 2019 | 20,000 | 7,384 | 12,616 | ||||||||||
Commercial loan J (c)(e) | February 11, 2019 | 30,000 | 3,233 | 26,767 | ||||||||||
Commercial loan K (c) | February 22, 2019 | 20,000 | 6,289 | 13,711 | ||||||||||
Residential mortgage loan pool A (f) | May 30, 2019 | 44,054 | — | 44,054 | ||||||||||
Residential mortgage loan pool B (g) | June 24, 2019 | 190,101 | — | 190,101 | ||||||||||
Total | $ | 436,189 | $ | 99,356 | $ | 336,833 |
(a) | See "Contractual obligations" section above for detail on our commitment to MATH. |
(b) | On March 29, 2018, we, alongside private funds under the management of Angelo Gordon, purchased a variable funding note issued pursuant to an indenture. |
(c) | We entered into commitments on commercial loans relating to construction projects. See Note 4 to the Notes to Consolidated Financial Statements (unaudited) for further details. |
(d) | Subsequent to quarter end, our total commitment and remaining commitment increased to $84.5 million and approximately $52.2 million, respectively. We expect to receive financing of approximately $33.9 million on our new remaining commitment, which would cause our remaining equity commitment to be approximately $18.3 million subsequent to quarter end. This financing is not committed, and actual financing could vary significantly from our expectations. |
(e) | We expect financing of approximately $17.4 million on our remaining commitment which would cause our remaining equity commitment to be approximately $9.4 million. Of the expected financing, $8.7 million is committed by the financing counterparty. Actual financing could vary significantly from our expectations. |
(f) | On May 30, 2019, we entered into a commitment to purchase a pool of residential mortgage loans with an unpaid principal balance of $54.1 million. This purchase is subject to due diligence and customary closing conditions. Subsequent to quarter end, the transaction settled with an unpaid principal balance of $45.7 million, a cost of $37.6 million and financing of $28.5 million. |
(g) | On June 24, 2019, we entered into a commitment to purchase a pool of residential mortgage loans with an unpaid principal balance of $202.2 million. This purchase is subject to due diligence and customary closing conditions. This transaction is expected to settle in September 2019. We expect to finance this transaction at settlement in the normal course of business. The expected financing is not committed by any counterparty and could vary significantly from our expectations. |
Duration (1)(2) | Years | |
Agency RMBS | 0.77 | |
Residential Loans (3) | 0.72 | |
Hedges | (1.16 | ) |
Subtotal | 0.33 | |
Credit Investments, excluding Residential Loans (3) | 0.65 | |
Duration Gap | 0.98 |
(1) | Duration related to financing arrangements is netted within its respective Agency RMBS and Credit Investments line items. |
(2) | The calculation of duration does not include our SFR portfolio. |
(3) | Residential Loans include Re/Non-Performing Loans and New Origination Loans. Residential Loans are presented pro-forma for the purchase of $234.2 million of Re/Non-Performing Loans that we have committed to purchase but that have not yet settled as the hedges related to these purchases have already been added to the portfolio. The duration gap exclusive of these commitments would be 0.67. |
Change in Interest Rates (basis points) (1)(2) | Change in Fair Market Value as a Percentage of GAAP Equity | Change in Fair Market Value as a Percentage of Assets | Percentage Change in Projected Net Interest Income (3) | ||||||
75 | (4.8 | )% | (0.9 | )% | (6.2 | )% | |||
50 | (2.7 | )% | (0.5 | )% | (3.9 | )% | |||
25 | (1.1 | )% | (0.2 | )% | (1.8 | )% | |||
(25) | 0.7 | % | 0.1 | % | 1.5 | % | |||
(50) | 1.0 | % | 0.2 | % | 3.0 | % | |||
(75) | 1.4 | % | 0.3 | % | 4.8 | % |
(1) | Includes investments held through affiliated entities that are reported as "Investments in debt and equity of affiliates" on our consolidated balance sheet, but excludes AG Arc. |
(2) | Does not include cash investments, which typically have overnight maturities and are not expected to change in value as interest rates change. |
(3) | Interest income includes trades settled as of June 30, 2019. |
Change in Interest Rates (basis points) (1)(2) | Change in Fair Market Value as a Percentage of GAAP Equity (3) | Change in Fair Market Value as a Percentage of Assets (3) | Percentage Change in Projected Net Interest Income (4) | ||||||
75 | (6.1 | )% | (1.2 | )% | (7.3 | )% | |||
50 | (3.6 | )% | (0.7 | )% | (4.6 | )% | |||
25 | (1.5 | )% | (0.3 | )% | (2.2 | )% | |||
(25) | 1.1 | % | 0.2 | % | 1.9 | % | |||
(50) | 2.0 | % | 0.4 | % | 3.7 | % | |||
(75) | 2.8 | % | 0.5 | % | 5.9 | % |
(1) | Includes investments held through affiliated entities that are reported as "Investments in debt and equity of affiliates" on our consolidated balance sheet, but excludes AG Arc. |
(2) | Does not include cash investments, which typically have overnight maturities and are not expected to change in value as interest rates change. |
(3) | Changes in fair market value as a percentage of GAAP equity and assets, as well as changes in projected net interest income are presented pro-forma for the purchase of $234.2 million of Re/Non-Performing Loans that we have committed to purchase but that have not yet settled. |
(4) | Interest income includes trades settled as of June 30, 2019. |
ITEM 1. | LEGAL PROCEEDINGS. |
ITEM 1A. | RISK FACTORS. |
ITEM 2. | UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS. |
ITEM 3. | DEFAULTS UPON SENIOR SECURITIES. |
ITEM 4. | MINE SAFETY DISCLOSURES |
ITEM 5. | OTHER INFORMATION. |
ITEM 6. | EXHIBITS. |
Exhibit No. | Description | |
101.INS | XBRL Instance Document | |
101.SCH | XBRL Taxonomy Extension Schema Document | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document | |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document |
* | Fully or partly previously filed. |
** | Management contract or compensatory plan or arrangement. |
AG MORTGAGE INVESTMENT TRUST, INC. | ||
August 6, 2019 | By: | /s/ David N. Roberts |
David N. Roberts | ||
Chief Executive Officer (principal executive officer) | ||
August 6, 2019 | By: | /s/ Brian C. Sigman |
Brian C. Sigman | ||
Chief Financial Officer and Treasurer (principal financial officer and principal accounting officer) |
1. | I have reviewed this quarterly report on Form 10-Q of AG Mortgage Investment Trust, Inc.; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: August 6, 2019 | |
/s/ David N. Roberts | |
David N. Roberts | |
Chief Executive Officer |
1. | I have reviewed this quarterly report on Form 10-Q of AG Mortgage Investment Trust, Inc.; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | Designed such disclosure controls and procedures or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: August 6, 2019 | |
/s/ Brian C. Sigman | |
Brian C. Sigman | |
Chief Financial Officer and | |
Treasurer |
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report. |
/s/ David N. Roberts | |
David N. Roberts | |
Chief Executive Officer | |
August 6, 2019 |
(1) | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
(2) | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report. |
/s/ Brian C. Sigman | |
Brian C. Sigman | |
Chief Financial Officer and | |
Treasurer | |
August 6, 2019 |
Document And Entity Information - shares |
6 Months Ended | |
---|---|---|
Jun. 30, 2019 |
Jul. 23, 2019 |
|
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2019 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | AG Mortgage Investment Trust, Inc. | |
Entity Central Index Key | 0001514281 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Current Reporting Status | Yes | |
Entity Common Stock, Shares Outstanding | 32,735,670 |
Consolidated Balance Sheets (Unaudited) [Parenthetical] - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Stock, shares authorized (in shares) | 50,000,000 | 50,000,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 |
Common stock, shares issued (in shares) | 32,709,000 | 28,744,000 |
Common stock, shares outstanding (in shares) | 32,709,000 | 28,744,000 |
8.25% Series A Cumulative Redeemable Preferred Stock [Member] | ||
Preferred Stock, shares issued (in shares) | 2,070,000 | 2,070,000 |
Preferred Stock, shares outstanding (in shares) | 2,070,000 | 2,070,000 |
Preferred Stock, liquidation preference | $ 51,750 | $ 51,750 |
8.00% Series B Cumulative Redeemable Preferred Stock [Member] | ||
Preferred Stock, shares issued (in shares) | 4,600,000 | 4,600,000 |
Preferred Stock, shares outstanding (in shares) | 4,600,000 | 4,600,000 |
Preferred Stock, liquidation preference | $ 115,000 | $ 115,000 |
Residential Mortgage [Member] | ||
Residential mortgage loans, at fair value, pledged as collateral | 127,854 | 99,283 |
Commercial Loan [Member] | ||
Residential mortgage loans, at fair value, pledged as collateral | 3,233 | 0 |
Agency [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | 2,062,928 | 1,934,562 |
Non-Agency [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | 652,582 | 605,243 |
ABS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | 12,781 | 13,346 |
CMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | $ 258,424 | $ 248,355 |
Consolidated Statements of Operations (Unaudited) - USD ($) shares in Thousands, $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Net Interest Income | ||||
Interest income | $ 40,901 | $ 36,012 | $ 82,391 | $ 75,369 |
Interest expense | 24,277 | 16,271 | 47,618 | 31,597 |
Total Net Interest Income | 16,624 | 19,741 | 34,773 | 43,772 |
Other Income/(Loss) | ||||
Rental income | 3,162 | 0 | 6,559 | 0 |
Net realized gain/(loss) | (27,579) | (11,060) | (48,189) | (22,899) |
Net interest component of interest rate swaps | 1,800 | 1,262 | 3,581 | (208) |
Unrealized gain/(loss) on real estate securities and loans, net | 43,165 | (578) | 89,918 | (36,733) |
Unrealized gain/(loss) on derivative and other instruments, net | (10,839) | 4,781 | (20,925) | 41,871 |
Other income | 346 | 20 | 942 | 20 |
Total Other Income/(Loss) | 10,055 | (5,575) | 31,886 | (17,949) |
Expenses | ||||
Management fee to affiliate | 2,400 | 2,387 | 4,745 | 4,826 |
Other operating expenses | 3,850 | 3,443 | 7,680 | 6,666 |
Equity based compensation to affiliate | 73 | 94 | 199 | 145 |
Excise tax | 186 | 375 | 278 | 750 |
Servicing fees | 416 | 22 | 787 | 84 |
Property depreciation and amortization | 1,180 | 0 | 2,627 | 0 |
Property operating expenses | 1,946 | 0 | 3,789 | 0 |
Total Expenses | 10,051 | 6,321 | 20,105 | 12,471 |
Income/(loss) before equity in earnings/(loss) from affiliates | 16,628 | 7,845 | 46,554 | 13,352 |
Equity in earnings/(loss) from affiliates | 2,050 | 323 | 1,279 | 3,063 |
Net Income/(Loss) | 18,678 | 8,168 | 47,833 | 16,415 |
Dividends on preferred stock | 3,367 | 3,367 | 6,734 | 6,734 |
Net Income/(Loss) Available to Common Stockholders | $ 15,311 | $ 4,801 | $ 41,099 | $ 9,681 |
Earnings/(Loss) Per Share of Common Stock | ||||
Basic (in dollars per share) | $ 0.47 | $ 0.17 | $ 1.30 | $ 0.34 |
Diluted (in dollars per share) | $ 0.47 | $ 0.17 | $ 1.30 | $ 0.34 |
Weighted Average Number of Shares of Common Stock Outstanding | ||||
Basic (in shares) | 32,709 | 28,201 | 31,636 | 28,198 |
Diluted (in shares) | 32,737 | 28,228 | 31,664 | 28,222 |
Consolidated Statements of Stockholders’ Equity (Unaudited) - USD ($) $ in Thousands |
Total |
Common Stock [Member] |
8.25 % Series A Cumulative Redeemable Preferred Stock [Member] |
8.00 % Series B Cumulative Redeemable Preferred Stock [Member] |
Additional Paid-in Capital [Member] |
Retained Earnings/(Deficit) [Member] |
---|---|---|---|---|---|---|
Beginning Balance (in shares) at Dec. 31, 2017 | 28,193,000 | |||||
Beginning Balance at Dec. 31, 2017 | $ 714,259 | $ 282 | $ 49,921 | $ 111,293 | $ 585,530 | $ (32,767) |
Net proceeds from issuance of common stock | (225) | (225) | ||||
Grant of restricted stock and amortization of equity based compensation (in shares) | 8,000 | |||||
Grant of restricted stock and amortization of equity based compensation | 337 | 337 | ||||
Common dividends declared | (27,493) | (27,493) | ||||
Preferred Series A dividends declared | (2,134) | (2,134) | ||||
Preferred Series B dividends declared | (4,600) | (4,600) | ||||
Net Income/(Loss) | 16,415 | 16,415 | ||||
Ending Balance (in shares) at Jun. 30, 2018 | 28,201,000 | |||||
Ending Balance at Jun. 30, 2018 | 696,559 | $ 282 | 49,921 | 111,293 | 585,642 | (50,579) |
Beginning Balance (in shares) at Mar. 31, 2018 | 28,196,000 | |||||
Beginning Balance at Mar. 31, 2018 | 705,826 | $ 282 | 49,921 | 111,293 | 585,610 | (41,280) |
Net proceeds from issuance of common stock | (162) | (162) | ||||
Grant of restricted stock and amortization of equity based compensation (in shares) | 5,000 | |||||
Grant of restricted stock and amortization of equity based compensation | 194 | 194 | ||||
Common dividends declared | (14,100) | (14,100) | ||||
Preferred Series A dividends declared | (1,067) | (1,067) | ||||
Preferred Series B dividends declared | (2,300) | (2,300) | ||||
Net Income/(Loss) | 8,168 | 8,168 | ||||
Ending Balance (in shares) at Jun. 30, 2018 | 28,201,000 | |||||
Ending Balance at Jun. 30, 2018 | 696,559 | $ 282 | 49,921 | 111,293 | 585,642 | (50,579) |
Beginning Balance (in shares) at Dec. 31, 2018 | 28,744,000 | |||||
Beginning Balance at Dec. 31, 2018 | 656,011 | $ 287 | 49,921 | 111,293 | 595,412 | (100,902) |
Net proceeds from issuance of common stock (in shares) | 3,953,000 | |||||
Net proceeds from issuance of common stock | 66,063 | $ 40 | 66,023 | |||
Grant of restricted stock and amortization of equity based compensation (in shares) | 12,000 | |||||
Grant of restricted stock and amortization of equity based compensation | 398 | 398 | ||||
Common dividends declared | (32,707) | (32,707) | ||||
Preferred Series A dividends declared | (2,134) | (2,134) | ||||
Preferred Series B dividends declared | (4,600) | (4,600) | ||||
Net Income/(Loss) | 47,833 | 47,833 | ||||
Ending Balance (in shares) at Jun. 30, 2019 | 32,709,000 | |||||
Ending Balance at Jun. 30, 2019 | 730,864 | $ 327 | 49,921 | 111,293 | 661,833 | (92,510) |
Beginning Balance (in shares) at Mar. 31, 2019 | 32,703,000 | |||||
Beginning Balance at Mar. 31, 2019 | 731,636 | $ 327 | 49,921 | 111,293 | 661,561 | (91,466) |
Net proceeds from issuance of common stock | 99 | 99 | ||||
Grant of restricted stock and amortization of equity based compensation (in shares) | 6,000 | |||||
Grant of restricted stock and amortization of equity based compensation | 173 | 173 | ||||
Common dividends declared | (16,355) | (16,355) | ||||
Preferred Series A dividends declared | (1,067) | (1,067) | ||||
Preferred Series B dividends declared | (2,300) | (2,300) | ||||
Net Income/(Loss) | 18,678 | 18,678 | ||||
Ending Balance (in shares) at Jun. 30, 2019 | 32,709,000 | |||||
Ending Balance at Jun. 30, 2019 | $ 730,864 | $ 327 | $ 49,921 | $ 111,293 | $ 661,833 | $ (92,510) |
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands |
6 Months Ended | |
---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Cash Flows from Operating Activities | ||
Net income/(loss) | $ 47,833 | $ 16,415 |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium/(discount) | (1,393) | 37 |
Net realized (gain)/loss | 48,189 | 22,899 |
Unrealized (gain)/loss on real estate securities and loans, net | (89,918) | 36,733 |
Unrealized (gain)/loss on derivative and other instruments, net | 20,925 | (41,871) |
Property depreciation and amortization | 2,627 | 0 |
Equity based compensation to affiliate | 199 | 145 |
Equity based compensation expense | 199 | 192 |
(Income)/loss from investments in debt and equity of affiliates in excess of distributions received | 5,640 | 2,586 |
Change in operating assets/liabilities: | ||
Other assets | (5,229) | (1,120) |
Other liabilities | (7,297) | 1,199 |
Net cash provided by (used in) operating activities | 21,775 | 37,215 |
Cash Flows from Investing Activities | ||
Purchase of real estate securities | (707,330) | (1,147,269) |
Purchase of residential mortgage loans | (25,996) | (105,450) |
Origination of commercial loans | (13,473) | 0 |
Purchase of commercial loans | (16,175) | 0 |
Purchase of U.S. Treasury securities | (60,615) | (249,659) |
Purchase of excess mortgage servicing rights | 0 | (25,162) |
Investments in debt and equity of affiliates | (32,880) | (40,781) |
Proceeds from sales of real estate securities | 446,089 | 1,314,739 |
Proceeds from sales of residential mortgage loans | 12,780 | 30,981 |
Proceeds from sales of U.S. treasury securities | 60,498 | 249,227 |
Principal repayments/return of basis on real estate securities | 151,918 | 246,313 |
Principal repayments/return of basis on excess mortgage servicing rights | 1,983 | 607 |
Principal repayments on commercial loans | 10,471 | 14,522 |
Principal repayments on residential mortgage loans | 7,743 | 1,255 |
Distributions received in excess of income from investments in debt and equity of affiliates | 12,179 | 20,862 |
Net proceeds from/(payments made) on reverse repurchase agreements | 11,499 | 24,695 |
Net proceeds from/(payments made) on sales of securities borrowed under reverse repurchase agreements | (11,478) | (24,033) |
Net settlement of interest rate swaps and other instruments | (58,594) | 19,331 |
Net settlement of TBAs | 1,600 | 165 |
Cash flows provided by/(used in) other investing activities | (1,157) | 785 |
Net cash provided by/(used in) investing activities | (210,938) | 331,128 |
Cash Flows from Financing Activities | ||
Net proceeds from issuance of common stock | 66,063 | (225) |
Borrowings under financing arrangements | 20,785,055 | 26,737,708 |
Repayments of financing arrangements | (20,614,328) | (27,074,212) |
Net collateral received from/(paid to) derivative counterparty | (1,465) | 31,178 |
Net collateral received from/(paid to) repurchase counterparty | (113) | 38 |
Dividends paid on common stock | (30,723) | (26,785) |
Dividends paid on preferred stock | (6,734) | (6,734) |
Net cash provided by/(used in) financing activities | 197,755 | (339,032) |
Net change in cash, cash equivalents and restricted cash | 8,592 | 29,311 |
Cash, cash equivalents, and restricted cash, Beginning of Period | 84,358 | 52,815 |
Cash, cash equivalents, and restricted cash, End of Period | 92,950 | 82,126 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on financing arrangements | 49,651 | 29,292 |
Cash paid for excise and income taxes | 1,407 | 1,384 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Payable on unsettled trades | 23,944 | 134,597 |
Principal repayments on real estate securities not yet received | 0 | 801 |
Common stock dividends declared but not paid | 16,355 | 14,100 |
Decrease in securitized debt | 2,215 | 2,482 |
Transfer from residential mortgage loans to other assets | 1,466 | 654 |
Transfer from non-agency to investments in debt and equity of affiliates | 0 | 44,970 |
Transfer from other assets to investments in debt and equity of affiliates | 0 | 242 |
Transfer from financing arrangements to investments in debt and equity of affiliates | $ 0 | $ 33,720 |
Consolidated Statements of Cash Flows (Unaudited) [Parenthetical] - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
Jun. 30, 2018 |
Dec. 31, 2017 |
---|---|---|---|---|
Statement of Cash Flows [Abstract] | ||||
Cash and cash equivalents | $ 60,097 | $ 31,579 | $ 31,145 | |
Restricted cash | 32,853 | 52,779 | 50,981 | |
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ 92,950 | $ 84,358 | $ 82,126 | $ 52,815 |
Organization |
6 Months Ended |
---|---|
Jun. 30, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization AG Mortgage Investment Trust, Inc. (the "Company") was incorporated in the state of Maryland on March 1, 2011. The Company is a hybrid mortgage REIT that opportunistically invests in a diversified risk adjusted portfolio of agency investments, credit investments, and single-family rental properties. Agency investments include Agency RMBS and Agency Excess MSRs, and credit investments include Non-Agency RMBS, ABS, CMBS, loans, and Credit Excess MSRs, as defined below. Residential mortgage-backed securities ("RMBS") include securities issued or guaranteed by a U.S. government-sponsored entity such as Fannie Mae or Freddie Mac (collectively, "GSEs"), or any agency of the U.S. Government such as Ginnie Mae (collectively, "Agency RMBS"). Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities or organizations other than a GSE or agency of the U.S. government, including investment grade (AAA through BBB) and non-investment grade classes (BB and below). The mortgage loan collateral for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by U.S. government agencies or U.S. government-sponsored entities. Asset Backed Securities ("ABS") are securitized investments for which the underlying assets are diverse, not only representing real estate related assets. Commercial Mortgage Backed Securities ("CMBS") represent investments of fixed- and floating-rate CMBS, including investment grade (AAA through BBB) and non-investment grade classes (BB and below), secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. Collectively, the Company refers to Agency RMBS, Non-Agency RMBS, ABS and CMBS asset types as "real estate securities" or "securities." Commercial loans are secured by an interest in commercial real estate and represent a contractual right to receive money on demand or on fixed or determinable dates. Residential mortgage loans refer to performing, re-performing and non-performing loans secured by a first lien mortgage on residential mortgaged property located in any of the 50 states of the United States or in the District of Columbia. The Company refers to its residential and commercial mortgage loans as "mortgage loans" or "loans." Single-family rental properties represent equity interests in residential properties held for the purpose of owning, leasing, and operating as single-family rental properties. Excess MSRs refer to the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust either held or not held by a U.S. government agency or GSE (“Agency Excess MSR”) or (“Credit Excess MSR”), respectively. The Company conducts its business through the following segments: (i) Securities and Loans and (ii) Single-Family Rental Properties. The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. ("Angelo Gordon"), a privately-held, SEC-registered investment adviser, pursuant to a management agreement. The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement. The Company conducts its operations to qualify and be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation. |
Summary of significant accounting policies |
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Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of significant accounting policies | Summary of significant accounting policies The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments considered necessary for a fair statement of the Company’s financial position, results of operations and cash flows have been included for the interim period and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. Cash and cash equivalents Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents includes cash invested in money market funds. As of June 30, 2019 and December 31, 2018, the Company held $45.8 million and $0.6 million, respectively, of cash equivalents. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets. Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Due to broker, which is included in the "Other liabilities" line item on the consolidated balance sheets, does not include variation margin received on centrally cleared derivatives. See Note 9 for more detail. Any cash due to the Company in the form of principal payments is included in the "Other assets" line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows. Restricted cash Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, financing arrangements and security deposits. Restricted cash also includes cash deposited into accounts related to rent deposits and collections, security deposits, property taxes, insurance premiums, interest expenses, property management fees and capital expenditures. Restricted cash is not available to the Company for general corporate purposes. As of June 30, 2019 and December 31, 2018, the Company held $1.6 million and $1.3 million, respectively, of restricted cash related to security deposits. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Restricted cash is carried at cost, which approximates fair value. Restricted cash does not include variation margin pledged on centrally cleared derivatives. See Note 9 for more detail. Offering costs The Company has incurred offering costs in connection with common stock offerings and registration statements. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. Use of estimates The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. Earnings/(Loss) per share In accordance with the provisions of Accounting Standards Codification ("ASC") 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value will be determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below:
Transfers between levels are assumed to occur at the beginning of the reporting period. Accounting for real estate securities Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities," ASC 325-40, "Beneficial Interests in Securitized Financial Assets," or ASC 310-30, "Loans and Debt Securities Acquired with Deteriorated Credit Quality." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio. Real estate securities are recorded at fair market value on the consolidated balance sheets and the periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on real estate securities and loans, net." Real estate securities acquired through securitizations are shown in the line item "Purchase of real estate securities" on the consolidated statement of cash flows. Purchases and sales of real estate securities are recorded on the trade date. These investments meet the requirements to be classified as available for sale under ASC 320-10-25 which requires the securities to be carried at fair value on the consolidated balance sheets with changes in fair value recorded to other comprehensive income, a component of stockholders’ equity. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. When the Company purchases securities with evidence of credit deterioration since origination, it will analyze the securities to determine if the guidance found in ASC 310-30 is applicable. The Company accounts for its securities under ASC 310 and ASC 325 and evaluates securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either "temporary" or "other-than-temporary." When a real estate security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. Additionally, for securities accounted for under ASC 325-40, an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and include observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The determination as to whether an OTTI exists is subjective, given that such determination is based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the performance of such security subsequently improves. Any remaining unrealized losses on securities at June 30, 2019 do not represent other than temporary impairment as the Company has the ability and intent to hold the securities to maturity or for a period of time sufficient for a forecasted market price recovery up to or above the amortized cost of the investment, and the Company is not required to sell the security for regulatory or other reasons. In addition, any unrealized losses on the Company’s Agency RMBS accounted for under ASC 320 are not due to credit losses given their explicit guarantee of principal and interest by the GSEs, but rather are due to changes in interest rates and prepayment expectations. See Note 3 for a summary of OTTI charges recorded. Sales of securities are driven by the Manager’s portfolio management process. The Manager seeks to mitigate risks including those associated with prepayments, defaults, severities, amongst others and will opportunistically rotate the portfolio into securities with more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of securities, loans and derivatives are included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The cost of positions sold is calculated using a first in, first out ("FIFO") basis. Realized gains and losses are recorded in earnings at the time of disposition. Accounting for residential and commercial mortgage loans Investments in mortgage loans are recorded in accordance with ASC 310-10, "Receivables." At purchase, the Company may aggregate its mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. The Company has chosen to make a fair value election pursuant to ASC 825 for its mortgage loan portfolio. Loans are recorded at fair market value on the consolidated balance sheets and any periodic change in fair market value will be recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on real estate securities and loans, net." Purchases and sales of mortgage loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies. Prior to the settlement date, the Company will include commitments to purchase loans within the Commitments and Contingencies footnote to the financial statements. The Company amortizes or accretes any premium or discount over the life of the loans utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal on its loans to determine whether they are impaired. A loan or pool of loans is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan or pool of loans is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30. Mortgage loans that are delinquent 60 or more days are considered non-performing. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference. The adjustment is accounted for as a change in estimate in conformity with ASC 250, "Accounting Changes and Error Corrections" with the amount of periodic accretion adjusted over the remaining life of the loan. Decreases in cash flows expected to be collected from previously projected cash flows, which includes all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, may be recognized as impairment. Increases in interest income may be recognized on a loan on which the Company previously recorded an OTTI charge if the performance of such loan subsequently improves. Investments in debt and equity of affiliates The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method. A majority of the Company’s investments held through affiliated entities are comprised of real estate securities, Excess MSRs, and loans. These types of investments may also be held directly by the Company. These entities have chosen to make a fair value election on their financial instruments pursuant to ASC 825; as such, the Company will treat these investments consistently with this election. On December 9, 2015, the Company, alongside private funds under the management of Angelo Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries ("AG Arc"), formed Arc Home LLC ("Arc Home"). The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. On August 29, 2017, the Company, alongside private funds under the management of Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly "Non-QM" loans, which are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the CFPB. Non-QM loans are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. MATT is expected to make an election to be treated as a real estate investment trust beginning with the 2018 tax year. During Q3 2018, the Company transferred certain of its CMBS from certain of its non-wholly owned subsidiaries to a consolidated entity. The Company executed this transfer in order to obtain financing on these real estate securities. As a result, there was a reclassification of these assets from the "Investments in debt and equity of affiliates" line item to the "CMBS" line item on the Company's consolidated balance sheets. In addition, the Company has also shown this reclassification as a non-cash transfer from the "Investments in debt and equity of affiliates" line item to the "CMBS" line item on its consolidated statements of cash flows. The below table reconciles the fair market value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheet (in thousands).
The Company’s investments in debt and equity of affiliates are recorded at fair market value on the consolidated balance sheets in the "Investments in debt and equity of affiliates" line item and periodic changes in fair market value are recorded in current period earnings on the consolidated statement of operations as a component of "Equity in earnings/(loss) from affiliates." Capital contributions, distributions and profits and losses of such entities are allocated in accordance with the terms of the applicable agreements. Accounting for excess mortgage servicing rights The Company has acquired the right to receive the excess servicing spread related to Excess MSRs. The Company has chosen to make a fair value election pursuant to ASC 825 for Excess MSRs. Excess MSRs are recorded at fair market value on the consolidated balance sheets and any periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on derivative and other instruments, net." The Company amortizes or accretes any premium or discount over the life of the related Excess MSRs utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of interest of its Excess MSRs to determine whether they are impaired. An Excess MSR is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for Excess MSRs. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If there is a significant increase in expected cash flows over what was previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the Excess MSR’s yield over its remaining life. Decreases in cash flows expected to be collected from previously projected cash flows, which includes all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, may be recognized as impairment. Increases in interest income may be recognized on an Excess MSR on which the Company previously recorded an OTTI charge if the performance of such Excess MSR subsequently improves. Accounting for single-family rental properties Purchases of single-family rental properties are treated as asset acquisitions under ASU 2017-01, "Clarifying the Definition of a Business" and are recorded at their purchase price, which is allocated between land, building and improvements, and in-place lease intangibles (when a tenant is in place at the acquisition date) based upon their relative fair values at the date of acquisition. Fair value is determined in accordance with ASC 820 and is primarily based on unobservable data inputs. In making estimates of fair values for purposes of allocating the purchase price, the Company utilizes its own market knowledge and published market data and generally engages a third-party valuation specialist to assist management in the determination of fair value for purposes of allocating price of properties acquired as part of portfolio level transactions. For purposes of this allocation, the purchase price is inclusive of acquisition costs, which include legal costs, as well as other closing costs. The Company incurs costs to acquire, stabilize and prepare our single-family rental properties to be rented. These costs include renovation and other costs associated with these activities. The Company capitalizes these costs as a component of the Company's investment in each single-family rental property, using specific identification and relative allocation methodologies. The capitalization period associated with the Company's stabilization activities begins at such time that activities commence and concludes at the time that a single-family rental property is available to be leased. Once a property is ready for its intended use, expenditures for ordinary maintenance and repairs are expensed to operations as incurred. The Company capitalizes expenditures that improve or extend the life of a home and for certain furniture and fixtures additions. The Company records single-family rental properties at purchase price plus any capitalized expenses less accumulated depreciation and amortization and any impairment to the "Single-family rental properties, net" line item on the consolidated balance sheets. Costs capitalized in connection with property acquisitions and improvements are depreciated over their estimated useful lives on a straight line basis. Buildings are depreciated over 30 years and improvements are depreciated over a range of 5 years to 30 years. In-place lease intangibles are recorded based on the costs to execute similar leases as well as an estimate of lost rent revenue at in-place rental rates during the estimated time required to lease the property. The in-place lease intangibles are amortized over the remaining life of the leases in place at purchase and are recorded in "Single-family rental properties, net" on the Company's consolidated balance sheets. The weighted average remaining life of the leases in place at purchase is 0.4 months. The Company assesses impairment in its single-family rental properties at least on a quarterly basis, or whenever events or changes in business circumstances indicate that carrying amounts of the assets may not be fully recoverable. When such trigger events occur, the Company determines whether there has been impairment by comparing the asset’s carrying value with its estimated fair value. Should impairment exist, the asset is written down to its estimated fair value. This analysis is performed at the property level using estimated cash flows, which are estimated based on a number of assumptions that are subject to economic and market uncertainties, including, among others, demand for rental properties, competition for customers, changes in market rental rates, costs to operate each property, expected ownership periods and value of the property. If the carrying amount of a property exceeds the sum of its undiscounted future operating and disposition cash flows, an impairment loss is recorded for excess of the carrying amount over the estimated fair value. Minimum contractual rents from leases are recognized on a straight-line basis over the terms of the leases in rental income. Therefore, actual amounts billed in accordance with the lease during any given period may be higher or lower than the amount of rental income recognized during the period. Straight-line rental income commences when the customer takes control of the leased premises. The Company maintains an allowance for doubtful accounts for estimated losses that may result from the inability of residents to make required rent or other payments. The allowance is estimated based on, among other considerations, the aging of accounts receivable, payment histories, and overall delinquencies. The provision for doubtful accounts is recorded as a reduction of rental income on the Company's consolidated statements of operations and a reduction of rent receivable, which is included within "Other assets" on the Company's consolidated balance sheets. Investment consolidation and transfers of financial assets For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting. A similar analysis will be performed for each entity with which the Company enters into an agreement for management, servicing or related services. In performing the analysis, the Company refers to guidance in ASC 810-10, "Consolidation." In situations where the Company is the transferor of financial assets, the Company refers to the guidance in ASC 860-10 "Transfers and Servicing." In variable interest entities ("VIEs"), an entity is subject to consolidation under ASC 810-10 if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. See Note 3 for more detail. The Company entered into a resecuritization transaction in 2014 which resulted in the Company consolidating the VIE that was created to facilitate the transaction and to which the underlying assets in connection with the resecuritization were transferred. In determining the accounting treatment to be applied to this resecuritization transaction, the Company evaluated whether the entity used to facilitate this transaction was a VIE and, if so, whether it should be consolidated. Based on its evaluation, the Company concluded that the VIE should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfer of the underlying assets would qualify as a sale or should be accounted for as secured financings under GAAP. See Note 3 below for more detail. The Company transferred certain of its CMBS in Q3 2018 from certain of its non-wholly owned subsidiaries into a newly formed wholly owned entity so the Company could obtain financing on these real estate securities. The Company evaluated whether this newly formed entity was a VIE and, whether it should be consolidated. Based on its evaluation, the Company concluded that the VIE should be consolidated. If the Company had determined that consolidation was not required, it would have accounted for its investment in this entity as an equity method investment. See Note 3 below as well as the "Investments in debt and equity of affiliates" section above for more detail. The Company may periodically enter into transactions in which it transfers assets to a third party. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, a determination must 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. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term "participating interest" to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair values. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "residential mortgage loans" on the consolidated balance sheets, depending upon the structure of the securitization transaction. ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." Interest income recognition Interest income on the Company’s real estate securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities. The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all securities accounted for under the fair value option (ASC 825). As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable. Total interest income is recorded in the "Interest income" line item on the consolidated statement of operations. On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally Agency RMBS, exclusive of interest-only securities), prepayments of the underlying collateral must be estimated, which directly affect the speed at which the Company amortizes premiums on its securities. If actual and anticipated cash flows differ from previous estimates, the Company records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield through the reporting date. Similarly, the Company also reassesses the cash flows on at least a quarterly basis for securities accounted for under ASC 325-40 (generally Non-Agency RMBS, ABS, CMBS, interest-only securities and Excess MSRs). In estimating these cash flows, there are a number of assumptions made that are uncertain and subject to judgments and assumptions based on subjective and objective factors and contingencies. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment as adjusted for credit impairment, if any. Interest income on the Company’s loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all loans accounted for under the fair value option (ASC 825). Any amortization will be reflected as an adjustment to interest income in the consolidated statement of operations. For security and loan investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30. For purposes of income recognition, the Company may aggregate loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent increases in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life. Decreases in cash flows expected to be collected should be recognized as impairment. The Company’s accrual of interest, discount accretion and premium amortization for U.S. federal and other tax purposes differs from the financial accounting treatment of these items as described above. Financing arrangements The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements include repurchase agreements and financing facilities. The Company's financing facilities include both term loans and revolving facilities. Repurchase agreements and financing facilities are treated as collateralized financing transactions and carried at their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements and revolving facilities approximates fair value. The Company pledges certain securities, loans or properties as collateral under financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the securities, or loans pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in fair value of assets pledged under repurchase agreements and revolving facilities, lenders may require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls. As of June 30, 2019 and December 31, 2018, the Company has met all margin call requirements. Accounting for derivative financial instruments The Company enters into derivative contracts as a means of mitigating interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. Additionally, if or when hedge accounting is elected, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of June 30, 2019 and December 31, 2018, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis with respect to its counterparties. The Company records the daily receipt or payment of variation margin associated with the Company’s centrally cleared derivative instruments on a net basis. See Note 9 for a discussion of this accounting treatment. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the "Net realized gain/(loss)" line item in the consolidated statement of operations. To-be-announced securities A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item "Unrealized gain/(loss) on derivative and other instruments, net." The Company presents the purchase or sale of TBAs net of the corresponding payable or receivable, respectively, until the settlement date of the transaction. Contracts for the purchase or sale of Agency RMBS are accounted for as derivatives if they do not qualify for the "regular way" security trade scope exception found in ASC 815-10. To be eligible for this scope exception, the contract must meet the following conditions: (1) there is no other way to purchase or sell that security, (2) delivery of that security and settlement will occur within the shortest period possible for that type of security, and (3) it is probable at inception and throughout the term of the individual contract that the contract will not settle net and will result in physical delivery of a security when it is issued. Unrealized gains and losses associated with TBA contracts not meeting the regular-way exception and not designated as hedging instruments are recognized in the consolidated statement of operations in the line item "Unrealized gain/(loss) on derivative and other instruments, net." U.S. Treasury securities The Company may purchase long or sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates. The Company may finance its purchase of U.S. Treasury securities with overnight repurchase agreements. The Company may borrow securities to cover short sales of U.S. Treasury securities through overnight reverse repurchase agreements, which are accounted for as borrowing transactions, and the Company recognizes an obligation to return the borrowed securities at fair value on its consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date.The Company establishes haircuts to ensure the fair market value of the underlying assets remain sufficient to protect the Company in the event of a default by a counterparty. Interest income and expense associated with purchases and short sales of U.S. Treasury securities are recognized in "Interest income" and "Interest expense," respectively, on the consolidated statement of operations. Realized and unrealized gains and losses associated with purchases and short sales of U.S. Treasury securities are recognized in "Net realized gain/(loss)" and "Unrealized gain/(loss) on derivative and other instruments, net," respectively, on the consolidated statement of operations. Manager compensation The management agreement provides for payment to the Manager of a management fee. The management fee is accrued and expensed during the period for which it is earned. For a more detailed discussion on the fees payable under the management agreement, see Note 12. Income taxes The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, 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. The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements. Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles. The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other 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 declare dividends to the Company which will be included in the Company’s taxable income/(loss) and necessitate a distribution to stockholders. Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state and local corporate income taxes. The Company elected to treat one of its foreign subsidiaries as a TRS and, accordingly, taxable income generated by this foreign TRS may not be subject to local income taxation, but generally will be included in the Company’s income on a current basis as Subpart F income, whether or not distributed. 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 believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. If the Company were to fail to meet the REIT requirements, it would be subject to federal income taxes and applicable state and local taxes. 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 evaluates uncertain income tax positions, if any, in accordance with ASC 740, "Income Taxes." The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. See Note 11 for further details. Deal related performance fees The Company accrues deal related performance fees, payable to Arc Home and third party operators, on certain of its CMBS, Excess MSRs and its single-family rental properties. The deal related performance fees are based on these investments meeting certain performance hurdles. The fees are accrued and expensed during the period for which they are incurred and are included in the "Other operating expenses" and "Equity in earnings/(loss) from affiliates" line items on the Consolidated Statement of Operations. Stock-based compensation The Company applies the provisions of ASC 718, "Compensation—Stock Compensation" with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans. ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in financial statements. Compensation cost is measured based on the fair value of the equity or liability instruments issued. Compensation cost related to restricted common shares and restricted stock units issued to the Company’s directors and the Manager are measured at its estimated fair value at the grant date, and is amortized and expensed over the vesting period on a straight-line basis. Restricted stock units granted to the Manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The restricted stock units are not considered to be participating shares. Restricted stock units are measured at fair value reduced by the present value of the dividends expected to be paid on the underlying shares during the requisite service period, discounted at an assumed risk free rate. The Company has elected to use the straight-line method to amortize compensation expense for restricted stock units. Recent accounting pronouncements In June 2016, the FASB issued ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13"). ASU 2016-13 introduces a new model related to the accounting for credit losses on instruments, specifically, financial assets subject to credit losses and measured at amortized cost and certain off-balance sheet credit exposures. ASU 2016-13 amends the current guidance, requiring an OTTI charge only when fair value is below the amortized cost of an asset. The length of time the fair value of an available-for-sale debt security has been below the amortized cost will no longer impact the determination of whether a credit loss exists. As such, it is no longer an other-than-temporary model. In addition, credit losses on available-for-sale debt securities will now be limited to the difference between the security’s amortized cost basis and its fair value. The new debt security model will also require the use of an allowance to record estimated credit losses. The new guidance also expands the disclosure requirements regarding an entity’s assumptions and models. In addition, public entities will need to disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination (i.e., by vintage year). ASU 2016-13 is effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Company is currently evaluating its method of adoption and the impact this ASU will have on its consolidated financial statements. In June 2018, the FASB issued ASU 2018-7, "Improvements to Nonemployee Share–Based Payment Accounting" ("ASU 2018-7"). The standard largely aligns the accounting for share–based payment awards issued to employees and nonemployees. Equity-classified share-based payment awards issued to nonemployees will be measured on the grant date, instead of being remeasured through the performance completion date (generally the vesting date), as required under the current guidance. The standard is to be applied on a modified retrospective basis through a cumulative-effect adjustment to retained earnings as of the beginning of the fiscal year when adopted. The standard is effective for public business entities for fiscal years beginning after December 15, 2018 and interim periods within those years. The Company adopted ASU 2018-7 in the first quarter of 2019 and applied the guidance on a modified retrospective basis through a cumulative-effect adjustment to retained earnings. The adjustment was immaterial. In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820) Disclosure Framework–Changes to the Disclosure Requirements for Fair Value Measurement" ("ASU 2018-13"). ASU 2018-13 changes the fair value measurement disclosure requirements of ASC 820 "Fair Value Measurement" by adding, eliminating, and modifying certain disclosure requirements. ASU 2018-13 is effective for all entities for fiscal years beginning after December 15, 2019 and requires application of the prospective method of transition. The Company is currently assessing the impact the guidance will have on its consolidated financial statements. |
Real Estate Securities |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Securities | Real Estate Securities The following tables detail the Company’s real estate securities portfolio as of June 30, 2019 and December 31, 2018. The Company’s Agency RMBS are mortgage pass-through certificates or collateralized mortgage obligations ("CMOs") representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. The principal and interest payments on Agency RMBS securities have an explicit guarantee by either an agency of the U.S. government or a U.S. government-sponsored entity. The Company’s Non-Agency RMBS, ABS and CMBS portfolios are primarily not issued or guaranteed by Fannie Mae, Freddie Mac or any agency of the U.S. Government and are therefore subject to credit risk. The Company has chosen to make a fair value election pursuant to ASC 825 for its real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item on the consolidated statement of operations. The gross unrealized gains/(losses) stated in the tables below represent inception to date unrealized gains/(losses). The following table details the Company’s real estate securities portfolio as of June 30, 2019 ($ in thousands):
The following table details the Company’s real estate securities portfolio as of December 31, 2018 ($ in thousands):
The following table presents the gross unrealized losses and fair value of the Company’s real estate securities by length of time that such securities have been in a continuous unrealized loss position as of June 30, 2019 and December 31, 2018 (in thousands):
As described in Note 2, the Company evaluates securities for OTTI on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either "temporary" or "other-than-temporary." For the three months ended June 30, 2019, the Company recognized an OTTI charge of $8.7 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The Company recorded $8.7 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts. Of the $8.7 million of OTTI recorded, $0.9 million related to securities where OTTI was not recognized in a prior year. For the six months ended June 30, 2019, the Company recognized an OTTI charge of $11.1 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The Company recorded $11.1 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts. Of the $11.1 million of OTTI recorded, $1.2 million related to securities where OTTI was not recognized in a prior year. For the three months ended June 30, 2018, the Company recognized an OTTI charge of $0.7 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The Company recorded $0.7 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts. Of the $0.7 million of OTTI recorded, $0.5 million related to securities where OTTI was not recognized in a prior year. For the six months ended June 30, 2018, the Company recognized an OTTI charge of $1.7 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The Company recorded $1.7 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts. Of the $1.7 million of OTTI recorded, $1.1 million related to securities where OTTI was not recognized in a prior year. The unrealized losses on the remaining real estate securities are solely due to market conditions and not the credit quality of the assets. The investments in any remaining unrealized loss positions are not considered other than temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments and the Company is not required to sell the investments for regulatory or other reasons. The following table details the weighted average life of our real estate securities broken out by Agency RMBS and Credit Investments as of June 30, 2019 ($ in thousands):
The following table details the weighted average life of our real estate securities broken out by Agency RMBS and Credit Investments as of December 31, 2018 ($ in thousands):
For the three months ended June 30, 2019, the Company sold 15 securities for total proceeds of $233.1 million, recording realized gains of $3.8 million and realized losses of $0.1 million. For the six months ended June 30, 2019, the Company sold 46 securities for total proceeds of $446.1 million, recording realized gains of $8.1 million and realized losses of $2.3 million. For the three months ended June 30, 2018, the Company sold 48 securities for total proceeds of $586.3 million, recording realized gains of $0.3 million and realized losses of $17.1 million. For the six months ended June 30, 2018, the Company sold 105 securities for total proceeds of $1.3 billion, recording realized gains of $6.2 million and realized losses of $35.5 million. See Notes 4 and 9 for amounts realized on sales of loans and the settlement of certain derivatives, respectively. A Special Purpose Entity ("SPE") is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. See Note 2 for more detail. The Company previously entered into a resecuritization transaction in 2014 that resulted in the Company consolidating the VIE created for the transaction with the SPE, which was used to facilitate the transaction ("VIE A"). The Company concluded that the SPE created to facilitate this transaction was a VIE. The Company also determined that the VIE created to facilitate the resecuritization transaction should be consolidated by the Company and treated as a secured borrowing, based on the Company’s involvement in VIE A, including the design and purpose of the SPE, and whether the Company’s involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the VIE. The following table details certain information on VIE A as of June 30, 2019 ($ in thousands):
The following table details certain information on VIE A as of December 31, 2018 ($ in thousands):
The holders of the consolidated tranche have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to VIE A. The Company transferred certain of its CMBS in Q3 2018 from certain of its non-wholly owned subsidiaries into a newly formed entity so it could obtain financing on these real estate securities ("VIE B"). The Company concluded that the entity created to facilitate this transfer was a VIE. The Company also determined that VIE B should be consolidated by the Company based on the Company’s 100% equity ownership in VIE B (despite a profit participation interest held by an unaffiliated third party in VIE B), the Company's involvement in VIE B, including the design and purpose of the entity, and whether the Company’s involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of VIE B. The following table details certain information on VIE B as of June 30, 2019 and December 31, 2018 (in thousands):
Except for restricted cash, assets held by VIE B are not restricted and can be used to settle any obligations of the Company. The liabilities of VIE B are recourse to the Company and can be satisfied with assets of the Company. |
Loans |
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans | Loans Residential mortgage loans In February 2019, the Company purchased a residential mortgage loan portfolio with a gross aggregate unpaid principal balance and a gross acquisition fair value of $25.9 million and $19.7 million, respectively. For the three months ended June 30, 2019, the Company sold 78 loans for total proceeds of $12.7 million, recording realized gains of $1.0 million and realized losses of $0.2 million. For the six months ended June 30, 2019, the Company sold loans 79 for total proceeds of $12.8 million, recording realized gains of $1.0 million and realized losses of $0.2 million. For the three and six months ended June 30, 2018, the Company sold 150 loans for total proceeds of $31.0 million, recording realized gains of $0.7 million and realized losses of $0.1 million. The Company has chosen to make a fair value election pursuant to ASC 825 for its residential mortgage loan portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item. The gross unrealized gains/(losses) stated in the tables below represents inception to date unrealized gains/(losses). The table below details information regarding the Company’s residential mortgage loan portfolio as of June 30, 2019 ($ in thousands):
The table below details information regarding the Company’s residential mortgage loan portfolio as of December 31, 2018 ($ in thousands):
The table below details information regarding the Company’s re-performing and non-performing residential mortgage loans as of June 30, 2019 and December 31, 2018 (in thousands):
As described in Note 2, the Company evaluates loans for OTTI on at least a quarterly basis. The determination of whether a loan is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of a loan is less than its amortized cost at the balance sheet date, the loan is considered impaired, and the impairment is designated as either "temporary" or "other-than-temporary." No OTTI was recorded for the three and six months ended June 30, 2019 and June 30, 2018 on the Company’s residential mortgage loans. As of June 30, 2019 and December 31, 2018, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $15.0 million and $17.3 million, respectively. The Company’s mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the U.S. The following is a summary of the geographic concentration of credit risk within the Company’s mortgage loan portfolio:
The Company records interest income on an effective interest basis. The accretable discount is determined by the excess of the Company’s estimate of undiscounted principal, interest, and other cash flows expected to be collected over its initial investment in the mortgage loan. The following is a summary of the changes in the accretable portion of discounts for the three and six months ended June 30, 2019 and June 30, 2018, respectively (in thousands):
As of June 30, 2019, the Company’s residential mortgage loan portfolio was comprised of 2,456 conventional loans with original loan balances between $2,827 and $1.9 million. As of December 31, 2018, the Company’s residential mortgage loan portfolio was comprised of 2,025 conventional loans with original loan balances between $10,000 and $1.9 million. Commercial loans The Company has chosen to make a fair value election pursuant to ASC 825 for its commercial loan portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item. The gross unrealized gains/(losses) columns in the tables below represent inception to date unrealized gains/(losses). The following table presents detail on the Company’s commercial loan portfolio on June 30, 2019 ($ in thousands).
The following table presents detail on the Company’s commercial loan portfolio on December 31, 2018 ($ in thousands).
During the three and six months ended June 30, 2019, the Company recorded a de minimis of discount accretion on its commercial loans. During the three and six months ended June 30, 2018, the Company recorded $0.1 million and $1.1 million of discount accretion, respectively, on its commercial loans. The decrease is due to the early payoff at par of a loan held at a discount in April 2018. |
Excess MSRs |
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Disclosure of Excess MSRs [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Excess MSRs | Excess MSRs The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio. Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on derivative and other instruments, net" line item. The gross unrealized gains/(losses) columns below represent inception to date unrealized gains/(losses). The following table presents detail on the Company’s Excess MSR portfolio on June 30, 2019 ($ in thousands).
The following table presents detail on the Company’s Excess MSR portfolio on December 31, 2018 ($ in thousands).
As described in Note 2, the Company evaluates securities for OTTI on at least a quarterly basis. The determination of whether an Excess MSR is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of an Excess MSR is less than its amortized cost at the balance sheet date, the Excess MSR is considered impaired, and the impairment is designated as either "temporary" or "other-than-temporary." For the three months ended June 30, 2019, the Company recognized an OTTI charge of $1.6 million on its Excess MSRs, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. Of the $1.6 million of OTTI recorded for the three months ended June 30, 2019, $0.4 million was related to Excess MSRs where OTTI was not recognized in a prior year. For the six months ended June 30, 2019, the Company recognized an OTTI charge of $2.2 million on its Excess MSRs, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. Of the $2.2 million of OTTI recorded for the six months ended June 30, 2019, $0.5 million was related to Excess MSRs where OTTI was not recognized in a prior year. No OTTI was recorded for the three and six months ended June 30, 2018. |
Single-family rental properties |
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Real Estate [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Single-family rental properties | Single-family rental properties In September 2018, the Company purchased 1,225 single-family rental properties for $140.9 million. The Company also financed the portfolio with $103.0 million of 5-year, fixed rate debt. The carrying amount of the properties included $1.3 million of capitalized acquisition costs. The following table presents the net carrying amount associated with the Company's properties by component (in thousands).
During the three and six months ended June 30, 2019, the Company recognized $0.9 million and $1.8 million, respectively, of depreciation expense related to buildings and improvements. During the three and six months ended June 30, 2019, the Company also recognized $0.3 million and $0.8 million, respectively, of amortization related to in-place lease intangible assets. The weighted average life of the in-place lease intangibles at purchase is 0.4 months and the Company expects to fully amortize these assets over that time period. These amounts are included in the "Property depreciation and amortization" line item in the consolidated statement of operations. During the three and six months ended June 30, 2019, the Company incurred $1.6 million and $3.2 million, respectively, of expenses relating to operating and maintenance. During the three and six months ended June 30, 2019, the Company incurred $0.3 million and $0.5 million, respectively, of property management fees. These expenses are included in the "Property operating expenses" line item in the consolidated statement of operations. The following table presents a schedule of non-cancellable, contractual, future minimum rent under leases at June 30, 2019 (in thousands). These rental payments are based on contractual amounts.
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Fair value measurements |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value measurements | Fair value measurements As described in Note 2, the fair value of financial instruments that are recorded at fair value will be determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. Values for the Company’s securities, Excess MSRs, securitized debt, derivatives and U.S. Treasury securities are based upon prices obtained from third party pricing services, which are indicative of market activity. The fair value of the Company’s obligation to return securities borrowed under reverse repurchase agreements is based upon the value of the underlying borrowed U.S. Treasury securities as of the reporting date. The evaluation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices such as the one-year constant maturity treasury and LIBOR, which are observable inputs. The evaluation also considers the underlying characteristics of each investment, which are also observable inputs, including: coupon; maturity date; loan age; reset date; collateral type; periodic and life cap; geography; and prepayment speeds. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date. If, in the opinion of the Manager, one or more prices reported to the Company are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information. In valuing its derivatives, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. All of the Company’s derivatives are either subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the "Dodd Frank Act"). For swaps cleared under the Dodd Frank Act, a Central Counterparty Clearing House ("CCCH") now stands between the Company and the over-the-counter derivative counterparties. In order to access clearing, the Company has entered into clearing agreements with Futures Commissions Merchants ("FCMs"). Beginning in the first quarter of 2017, as a result of a CCCH amendment to its rule book governing central clearing activities, the daily exchange of variation margin associated with a CCCH centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, beginning in 2017, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap and future derivative asset or liability, respectively. Beginning in 2017, the carrying amount of centrally cleared interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments. See Note 9 for more information. The fair value of the Company’s mortgage loans considers data such as loan origination information, additional updated borrower information, loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts and valuations of the underlying properties. The variables considered most significant to the determination of the fair value of the Company’s mortgage loans include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates and loss severity (considering mortgage insurance). Projections of default and prepayment rates are impacted by other variables such as reperformance rates and timeline to liquidation. The Company uses loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value of its mortgage loans. Because of the inherent uncertainty of such valuation, the fair values established for mortgage loans held by the Company may differ from the fair values that would have been established if a ready market existed for these mortgage loans. Accordingly, mortgage loans are classified as Level 3 in the fair value hierarchy. The Manager may also engage specialized third party valuation service providers to assess and corroborate the valuation of a selection of investments in the Company’s loan portfolio on a periodic basis. These specialized third party valuation service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. The analyses provided by valuation service providers are reviewed and considered by the Manager. TBA instruments are similar in form to the Company’s Agency RMBS portfolio, and the Company therefore estimates fair value based on similar methods. Cash equivalents include investments in money market funds that invest primarily in short-term U.S. Treasury and Agency securities. These cash equivalent instruments are valued at their market quoted prices, which generally approximate cost plus accrued interest and are generally categorized as Level 1. The Company entered into a resecuritization transaction that resulted in the Company consolidating a VIE created with the SPE which was used to facilitate the transaction. The Company categorizes the fair value measurement of the consolidated tranche as Level 3. In December 2015, the Company, alongside private funds under the management of Angelo Gordon, through AG Arc, formed Arc Home. The Company invests in Arc Home through AG Arc. In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, FHA, VA and Ginnie Mae seller/servicer of residential mortgages. Through this subsidiary, Arc Home originates conforming, Government, Jumbo and other non-conforming residential mortgage loans, retains the mortgage servicing rights associated with the loans it originates, and purchases additional mortgage servicing rights from third-party sellers. As a result of this acquisition, the Company transferred its investment in AG Arc from Level 1 into Level 3. The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2019 (in thousands):
The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2018 (in thousands):
The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and six months ended June 30, 2019 and June 30, 2018. Refer to the tables below for details on transfers between the Level 3 and Level 2 categories under ASC 820. Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods. The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value:
(1) Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2019, the Company transferred 3 Non-Agency RMBS securities into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(1) Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2018, the Company transferred 7 Non-Agency RMBS securities into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2019, the Company transferred 7 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 6 Non-Agency RMBS and 2 CMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2018, the Company transferred 8 Non-Agency RMBS security into the Level 3 category from the Level 2 and 1 CMBS security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value.
(1) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2019.
(1) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2018. As further described above, values for the Company’s securities portfolio are based upon prices obtained from third-party pricing services. Broker quotations may also be used. The significant unobservable inputs used in the fair value measurement of the Company’s securities are prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. Also, as described above, valuation of the Company’s loan portfolio is determined by the Manager using third-party pricing services where available, specialized third party valuation service providers, or model-based pricing. The evaluation considers the underlying characteristics of each loan, which are observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. These valuations also require significant judgments, which include assumptions regarding capitalization rates, re-performance rates, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders and other factors deemed necessary by management. Changes in the market environment and other events that may occur over the life of our investments may cause the gains or losses ultimately realized on these investments to be different than the valuations currently estimated. If applicable, analyses provided by valuation service providers are reviewed and considered by the Manager. |
Financing arrangements |
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Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financing arrangements | Financing arrangements The following table presents a summary of the Company's financing arrangements as of June 30, 2019 and December 31, 2018 (in thousands).
Repurchase agreements A vast majority of the Company's financing arrangements are effectuated through repurchase agreements. The Company pledges certain real estate securities and loans as collateral under repurchase agreements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a "haircut." The Company calculates haircuts disclosed in the tables below by dividing allocated capital on each borrowing by the current fair market value of each investment. Repurchase agreements entered into by the Company are accounted for as financings and require the repurchase of the transferred assets at the end of each agreement’s term, typically 30 to 90 days. The carrying amount of the Company’s repurchase agreements approximates fair value due to their short-term maturities or floating rate coupons. If the Company maintains the beneficial interest in the specific assets pledged during the term of the borrowing, it receives the related principal and interest payments. If the Company does not maintain the beneficial interest in the specific assets pledged during the term of the borrowing, it will have the related principal and interest payments remitted to it by the lender. Interest rates on these borrowings are fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the borrowing at which time the Company may enter into a new borrowing arrangement at prevailing market rates with the same counterparty or repay that counterparty and negotiate financing with a different counterparty. If the fair value of pledged assets declines due to changes in market conditions or the publishing of monthly security paydown factors, lenders typically would require the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, referred to as margin calls. The fair value of financial instruments pledged as collateral on the Company’s repurchase agreements disclosed in the tables below represent the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties. The Company maintains a level of liquidity in the form of cash and unpledged Agency RMBS and Agency Interest-Only securities in order to meet these obligations. Under the terms of the Company’s master repurchase agreements, the counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. If the fair market value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to us in the form of securities or cash or post additional collateral to us. The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding real estate securities pledged as collateral as of June 30, 2019 ($ in thousands):
The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding real estate securities pledged as collateral as of December 31, 2018 ($ in thousands):
The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding residential mortgage loans pledged as collateral as of June 30, 2019 ($ in thousands):
The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding residential mortgage loans pledged as collateral as of December 31, 2018 ($ in thousands):
The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding commercial loans pledged as collateral as of June 30, 2019 ($ in thousands):
There were no repurchase agreements and corresponding commercial loans pledged as collateral as of December 31, 2018. Although repurchase agreements are committed borrowings until maturity, the lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets resulting from changes in market conditions or factor changes would require the Company to provide additional collateral or cash to fund margin calls. See Note 9 for details on collateral posted/received against certain derivatives. The following table presents information with respect to the Company’s posting of collateral under repurchase agreements on June 30, 2019 and December 31, 2018, broken out by investment type (in thousands):
The following table presents the fair value of collateral posted to us under repurchase agreements by lenders (in thousands):
The following table presents information with respect to the Company’s total borrowings under repurchase agreements on June 30, 2019 and December 31, 2018, broken out by investment type (in thousands):
The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of June 30, 2019 (in thousands):
The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of December 31, 2018 (in thousands):
Term loan and revolving facilities The following table presents information regarding the Company's term loan and revolving facilities, excluding facilities within investments in debt and equity of affiliates, as of June 30, 2019 and December 31, 2018 ($ in thousands).
In September 2018, SFR MT LLC, a subsidiary of the Company, entered into an agreement with an insurance company to finance the ownership and acquisition of Single-family rental properties (the "term loan"). The financing has a fixed rate of 4.625%. This financing arrangement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type. On September 17, 2014, AG MIT CREL, LLC ("AG MIT CREL"), a subsidiary of the Company, entered into a Master Repurchase Agreement and Securities Contract (the "CREL Repurchase Agreement" or "Revolving facility A") with Wells Fargo to finance certain commercial loans. Each transaction under the CREL Repurchase Agreement will have its own specific terms, such as identification of the assets subject to the transaction, sale price, repurchase price and rate. The CREL Repurchase Agreement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type. In June 2018, AG MIT WFB1 2014 LLC ("AG MIT WFB1"), a subsidiary of the Company, entered into Amendments Seven and Eight of the Master Repurchase Agreement and Securities Contract (as amended, the "WFB1 Repurchase Agreement" or "Revolving facility B") with Wells Fargo to finance the ownership and acquisition of certain pools of residential mortgage loans. The WFB1 Repurchase Agreement provides for a funding period ending June 14, 2019 and a facility termination date of June 15, 2020. The WFB1 Repurchase Agreement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type. In the event the debt outstanding under the WFB1 Repurchase Agreement falls below $7.0 million, a cash trap trigger event will occur in which all income payments received by Wells Fargo will be applied against the outstanding balance until the WFB1 Repurchase Agreement is paid off. In August 2018, AG MIT CREL II, LLC, a subsidiary of the Company, entered into a Master Repurchase Agreement with JP Morgan (the "JPM Repurchase Agreement" or "Revolving facility C") to finance certain commercial loans. The JPM Repurchase Agreement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type. Financing arrangements The Company seeks to obtain financing from several different counterparties in order to reduce the financing risk related to any single counterparty. The Company has entered into master repurchase agreements ("MRAs") or loan agreements with such financing counterparties. As of June 30, 2019 and December 31, 2018 the Company had 45 and 44 financing counterparties, respectively, under which it had outstanding debt with 33 and 31 counterparties, respectively. The following table presents information at June 30, 2019 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).
The following table presents information at December 31, 2018 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).
The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity, leverage ratios, performance triggers or other financial ratios. |
Other assets and liabilities |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets and liabilities | Other assets and liabilities The following table details certain information on the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of June 30, 2019 and December 31, 2018 (in thousands):
Derivative assets and liabilities The Company’s derivatives may include interest rate swaps ("swaps"), TBAs, swaption contracts, Eurodollar Futures and U.S. Treasury Futures, (the latter two, collectively, "Futures"). Derivatives have not been designated as hedging instruments. The Company uses these derivatives and may also utilize other instruments to manage interest rate risk, including long and short positions in U.S. Treasury securities. The Company may exchange cash "variation margin" with the counterparties to its derivative instruments on a daily basis based upon changes in the fair value of such derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House ("LCH"), the central clearinghouses ("CCPs") through which those derivatives are cleared. In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts. Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets. Prior to the first quarter of 2017, the daily exchange of variation margin associated with centrally cleared derivative instruments was considered a pledge of collateral. For these prior periods, receivables recognized for the right to reclaim cash variation margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets. Beginning in the first quarter of 2017, as a result of an amendment to the CCPs' rule book, which governs their central clearing activities, the daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, beginning in 2017, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. Beginning in 2017, the carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments. As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period. Non-exchange traded derivatives were not affected by these legal interpretations and continue to be reported at fair value including accrued interest. The following table presents the fair value of the Company’s derivatives and other instruments and their balance sheet location at June 30, 2019 and December 31, 2018 (in thousands).
The following table summarizes information related to derivatives and other instruments (in thousands):
The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands):
The following table presents both gross information and net information about derivative and other instruments eligible for offset in the consolidated balance sheets as of June 30, 2019 (in thousands):
The following table presents both gross information and net information about derivative instruments eligible for offset in the consolidated balance sheets as of December 31, 2018 (in thousands):
The Company must post cash or securities as collateral on its derivative instruments when their fair value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of the derivatives involved. The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty will post collateral to it. As of June 30, 2019, the Company pledged real estate securities with a fair value of $8.4 million and cash of $17.8 million as collateral against certain derivatives. The $17.8 million of cash pledged as collateral against certain derivatives has been reduced by $8.1 million related to variation margin. The Company’s counterparties posted no cash to it as collateral for certain derivatives. As of December 31, 2018, the Company pledged real estate securities with a fair value of $7.2 million and cash of $29.3 million as collateral against certain derivatives. Of the $29.3 million of cash pledged as collateral against certain derivatives, $7.1 million represents amounts related to variation margin.The Company’s counterparties posted cash of $1.5 million as collateral for certain derivatives. Interest rate swaps To help mitigate exposure to increases in interest rates, the Company uses currently-paying and may use forward-starting, one- or three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements. This arrangement hedges our exposure to higher interest rates because the variable-rate payments received on the swap agreements largely offset additional interest accruing on the related borrowings due to the higher interest rate, leaving the fixed-rate payments to be paid on the swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the swap agreements and actual borrowing rates. As of June 30, 2019, the Company’s interest rate swap positions consist of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of June 30, 2019 ($ in thousands):
As of December 31, 2018, the Company’s interest rate swap positions consist of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of December 31, 2018 ($ in thousands):
TBAs As discussed in Note 2, the Company has entered into TBAs. The following table presents information about the Company’s TBAs for the three and six months ended June 30, 2019 and June 30, 2018 (in thousands):
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Earnings per share |
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Earnings Per Share [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings per share | Earnings per share Basic earnings per share ("EPS") is calculated by dividing net income/(loss) available to common stockholders for the period by the weighted- average shares of the Company’s common stock outstanding for that period that participate in the Company’s common dividends. Diluted EPS takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. As of June 30, 2019 and June 30, 2018, the Company’s outstanding warrants and unvested restricted stock units were as follows:
(1) The warrants expired on July 6, 2018. Each warrant entitled the holder to purchase half a share of the Company’s common stock at a fixed price upon exercise of the warrant. For the three and six months ended June 30, 2018, the Company excluded the effects of such from the computation of diluted earnings per share because their effect would be anti-dilutive. The warrants expired on July 6, 2018. Restricted stock units granted to the manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The restricted stock units are not considered to be participating shares. The dilutive effects of the restricted stock units are only included in diluted weighted average common shares outstanding. The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the three and six months ended June 30, 2019 and June 30, 2018 (in thousands, except per share data):
The following tables detail our common stock dividends during the six months ended June 30, 2019 and June 30, 2018:
The following tables detail our preferred stock dividends during the six months ended June 30, 2019 and June 30, 2018:
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Income taxes |
6 Months Ended |
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Jun. 30, 2019 | |
Income Tax Disclosure [Abstract] | |
Income taxes | Income taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. Most states follow U.S. federal income tax treatment of REITs. For the three months ended June 30, 2019 and June 30, 2018, the Company recorded excise tax expense of $0.2 million and $0.4 million, respectively. For the six months ended June 30, 2019 and June 30, 2018, the Company recorded excise tax expense of $0.3 million and $0.8 million, respectively. Excise tax represents a four percent tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year. The expense is calculated in accordance with applicable tax regulations. The Company files tax returns in several U.S jurisdictions. There are no ongoing U.S. federal, state or local tax examinations related to the Company. The Company elected to treat certain domestic subsidiaries as TRSs and may elect to treat other 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. The Company elected to treat one of its foreign subsidiaries as a TRS and, accordingly, taxable income generated by this TRS may not be subject to local income taxation, but generally will be included in the Company’s income on a current basis as Subpart F income, whether or not distributed. Cash distributions 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 distribution 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. Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of June 30, 2019 or June 30, 2018. The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. |
Related party transactions |
6 Months Ended |
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Jun. 30, 2019 | |
Related Party Transactions [Abstract] | |
Related party transactions | Related party transactions The Company has entered into a management agreement with the Manager, which provided for an initial term and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights. As of June 30, 2019 and December 31, 2018, no event of termination had occurred. The Company is externally managed and advised by the Manager. Pursuant to the terms of the management agreement, which became effective July 6, 2011 (upon the consummation of the Company’s initial public offering (the "IPO")), the Manager provides the Company with its management team, including its officers, along with appropriate support personnel. Each of the Company’s officers is an employee of Angelo Gordon. The Company does not have any employees. The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the Company’s management agreement. Management fee The Manager is entitled to a management fee equal to 1.50% per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity. For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements. For the three and six months ended June 30, 2019, the Company incurred management fees of approximately $2.4 million and $4.7 million, respectively. For the three and six months ended June 30, 2018, the Company incurred management fees of approximately $2.4 million and $4.8 million, respectively. Termination fee The termination fee, payable upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach of any material term of the management agreement, will be equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of June 30, 2019 and December 31, 2018, no event of termination of the management agreement had occurred. Expense reimbursement The Company is required to reimburse the Manager or its affiliates for operating expenses which are incurred by the Manager or its affiliates on behalf of the Company, including expenses relating to legal, accounting, due diligence and other services. The Company’s reimbursement obligation is not subject to any dollar limitation; however, the reimbursement is subject to an annual budget process which combines guidelines from the Management Agreement with oversight by the Company’s Board of Directors. The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs. In their capacities as officers or personnel of the Manager or its affiliates, they devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business. Of the $3.9 million and $7.7 million of Other operating expenses for the three and six months ended June 30, 2019 respectively, the Company has accrued $1.9 million and $3.9 million, respectively, representing a reimbursement of expenses. Of the $3.5 million and $6.7 million of Other operating expenses for the three and six months ended June 30, 2018, respectively, the Company accrued $1.7 million and $3.5 million, respectively, representing a reimbursement of expenses. The Manager did not waive its right to receive any expense reimbursements for the three and six months ended June 30, 2019. The Manager waived its right to receive expense reimbursements of $0.5 million for the year ended December 31, 2018. Restricted stock grants Pursuant to the Company’s Manager Equity Incentive Plan and the Equity Incentive Plan adopted on July 6, 2011, the Company can award up to 277,500 shares of its common stock in the form of restricted stock, stock options, restricted stock units or other types of awards to the directors, officers, advisors, consultants and other personnel of the Company and to the Manager. As of June 30, 2019, 30,781 shares of common stock were available to be awarded under the equity incentive plans. Awards under the equity incentive plans are forfeitable until they become vested. An award will become vested only if the vesting conditions set forth in the applicable award agreement (as determined by the compensation committee) are satisfied. The vesting conditions may include performance of services for a specified period, achievement of performance goals, or a combination of both. The compensation committee also has the authority to provide for accelerated vesting of an award upon the occurrence of certain events in its discretion. As of June 30, 2019, the Company has granted an aggregate of 86,469 and 40,250 shares of restricted common stock to its independent directors and Manager, respectively, and 120,000 restricted stock units to its Manager under its equity incentive plans. As of June 30, 2019, all the shares of restricted common stock granted to the Company’s Manager and independent directors have vested and 79,993 restricted stock units granted to the Company’s Manager have vested. The 40,007 restricted stock units that have not vested as of June 30, 2019 were granted to the Manager on July 1, 2017 and represent the right to receive an equivalent number of shares of the Company’s common stock to be issued if and when the units vest. Annual vesting of approximately 20,000 units will occur on each of July 1, 2019, and July 1, 2020. The units do not entitle the participant the rights of a holder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The vesting of such units is subject to the continuation of the management agreement. If the management agreement terminates, all unvested units then held by the Manager or the Manager’s transferee shall be immediately cancelled and forfeited without consideration. Director compensation Beginning in 2018, the Company began paying a $160,000 annual base director’s fee to each independent director. Base director’s fees are paid 50% in cash and 50% in restricted common stock. The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter. To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares. All directors’ fees are paid pro rata (and restricted stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable. These shares may not be sold or transferred by such director during the time of his service as an independent member of the Company’s board. Beginning in 2019, the Company increased the annual fee paid to the lead independent director from $15,000 to $25,000. Investments in debt and equity of affiliates The Company invests in credit sensitive residential and commercial real estate assets through affiliated entities which hold an ownership interest in the assets. The Company is one investor, amongst other investors managed by affiliates of Angelo Gordon, in such entities and has applied the equity method of accounting for such investments. See Note 2 for the gross fair value of the Company's share of these investments as of June 30, 2019 and December 31, 2018. During Q3 2018, the Company transferred certain of its CMBS from certain of its non-wholly owned subsidiaries to a fully consolidated entity. The Company executed the transfer in order to obtain financing on these real estate securities. As a result, there was a reclassification of these assets from the "Investments in debt and equity of affiliates" line item to the "CMBS" line item on the Company's consolidated balance sheets. In addition, the Company has also shown this reclassification as a non-cash transfer on its consolidated statement of cash flows. The Company’s investment in AG Arc is reflected on the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets. See Note 2 for the fair value of AG Arc as of June 30, 2019 and December 31, 2018. In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, Federal Housing Administration ("FHA"), Veteran’s Administration ("VA") and Ginnie Mae seller/servicer of mortgages with licenses to conduct business in 47 states, including Washington D.C. Through this subsidiary, Arc Home originates conforming, Government, Jumbo and other non-conforming residential mortgage loans, retains the mortgage servicing rights associated with the loans it originates, and purchases additional mortgage servicing rights from third-party sellers. Arc Home is led by an external management team. Arc Home may sell loans to the Company, to third parties, or to affiliates of the Manager. Arc Home may also enter into agreements with third parties or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third parties or originates. The Company, directly or through its subsidiaries, has entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs. As of June 30, 2019 and December 31, 2018, these Excess MSRs had fair value of approximately $21.3 million and $27.3 million, respectively. On August 29, 2017, the Company, alongside private funds under the management of Angelo Gordon, entered into the MATH LLC Agreement, which requires that MATH fund a capital commitment of $75.0 million to MATT. This commitment was increased by $25.0 million to $100.0 million on March 28, 2019 with an amendment to the MATH LLC Agreement. As of June 30, 2019, the Company’s share of MATH’s total capital commitment to MATT was $44.6 million, of which the Company had funded $42.4 million and the Company's remaining commitment was $2.2 million (net of any return of capital to the Company). Transactions with affiliates In connection with the Company’s investments in residential mortgage loans and residential mortgage loans in securitized form which are issued by an entity the Company has an equity interest in and hold alongside other private funds under the management of Angelo Gordon ("Re/Non-Performing Loans"), the Company may engage asset managers to provide advisory, consultation, asset management and other services to help our third-party servicers formulate and implement strategic plans to manage, collect and dispose of loans in a manner that is reasonably expected to maximize the amount of proceeds from each loan. Beginning in November 2015, the Company engaged Red Creek Asset Management LLC ("Asset Manager"), a related party of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its residential loans and Re/Non-Performing Loans. The Asset Manager acknowledges that the Company will at all times have and retain ownership of all loans and that the Asset Manager will not acquire (i) title to any loan, (ii) any security interest in any loan, or (iii) any other rights or interests of any kind or any nature whatsoever in or to any loan. The Company pays separate arm’s-length asset management fees as assessed and confirmed periodically by a third party valuation firm for (i) non-performing loans and (ii) re-performing loans. For the three and six months ended June 30, 2019, the fees paid by the Company to the Asset Manager totaled $141,896 and $266,880, respectively. For the three and six months ended June 30, 2018, the fees paid by the Company to the Asset Manager totaled $73,790 and $121,431, respectively. In connection with the Company’s investments in Excess MSRs purchased through Arc Home, the Company pays an administrative fee to Arc Home. For the three and six months ended June 30, 2019 the administrative fees paid by the Company to Arc Home totaled $80,467 and $163,371, respectively. For the three and six months ended June 30, 2018 the administrative fees paid by the Company to Arc Home totaled $57,747 and $77,682, respectively. In February 2017, in accordance with the Company’s Affiliated Transactions Policy, the Company executed one trade whereby the Company acquired a real estate security from an affiliate of the Manager (the "February Selling Affiliate"). As of the date of the trade, the security acquired from the February Selling Affiliate had a total fair value of $2.0 million. The February Selling Affiliate sold the real estate security through a BWIC (Bids Wanted in Competition). Prior to the submission of the BWIC by the February Selling Affiliate, the Company submitted its bid for the real estate security to the February Selling Affiliate. The Company’s pre-submission of its bid allowed the Company to confirm third-party market pricing and best execution. In July 2017, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities from an affiliate of the Manager (the "July Selling Affiliate"). As of the date of the trade, the securities acquired from the July Selling Affiliate had a total fair value of $0.2 million. As procuring market bids for the real estate securities was determined to be impracticable in the Manager’s reasonable judgment, appropriate pricing was based on a valuation prepared by an independent third-party pricing vendor. The third-party pricing vendor allowed the Company to confirm third-party market pricing and best execution. In October 2017, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities and loans from two affiliates of the Manager (the "October Selling Affiliates"). As of the date of the trade, the real estate securities and loans acquired from the October Selling Affiliates had a total fair value of $8.4 million. As procuring market bids for the real estate securities and loans were determined to be impracticable in the Manager’s reasonable judgment, appropriate pricing was based on a valuation prepared by independent third-party pricing vendors. The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution. In October 2018, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities and loans from an affiliate of the Manager (the "October 2018 Selling Affiliate"). As of the date of the trade, the real estate securities and loans acquired from the October 2018 Selling Affiliate had a total fair value of $0.5 million. As procuring market bids for the real estate securities and loans was determined to be impracticable in the Manager’s reasonable judgment, appropriate pricing was based on a valuation prepared by independent third-party pricing vendors. The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution. In March 2019, in accordance with the Company’s Affiliated Transactions Policy, the Company executed one trade whereby the Company acquired a real estate security from an affiliate of the Manager (the "March 2019 Selling Affiliate"). As of the date of the trade, the security acquired from the March 2019 Selling Affiliate had a total fair value of $0.9 million. The March 2019 Selling Affiliate sold the real estate security through a BWIC. Prior to the submission of the BWIC by the March 2019 Selling Affiliate, the Company submitted its bid for the real estate security to the March 2019 Selling Affiliate. The pre-submission of the Company's bid allowed the Company to confirm third-party market pricing and best execution. In June 2019, the Company, alongside private funds under the management of Angelo Gordon, participated, through its unconsolidated ownership interest in MATT, in a rated non-QM loan securitization, in which non-QM loans with a fair market value of $408.0 million were securitized. Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair market value of $42.9 million as of June 30, 2019. The Company has a 44.59% interest in the retained subordinate tranches. |
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Jun. 30, 2019 | |
Stockholders' Equity Note [Abstract] | |
Equity | Equity On May 2, 2018, the Company filed a shelf registration statement registering up to $750.0 million of its securities, including capital stock (the "2018 Registration Statement"). As of June 30, 2019, $591.2 million of the Company’s securities, including capital stock, was available for issuance under the 2018 Registration Statement. The 2018 Registration Statement became effective on May 18, 2018 and will expire on May 18, 2021. Concurrently with the IPO in 2011, the Company offered a private placement of 3,205,000 units at $20.00 per share to a limited number of investors qualifying as "accredited investors" under Rule 501 of Regulation D promulgated under the Securities Act of 1933, as amended (the "Securities Act"). Each unit consisted of one share of common stock ("private placement share") and a warrant ("private placement warrant") to purchase 0.50 of a share of common stock. Each private placement warrant had an exercise price of $20.50 per share (as adjusted for reorganizations, reclassifications, consolidations, mergers, sales, transfers or other dispositions) and expired on July 6, 2018. No warrants were exercised for the three and six months ended June 30, 2018, or in 2018 through the expiration date on July 6, 2018. The Company’s Series A and Series B Preferred Stock have no stated maturity and are not subject to any sinking fund or mandatory redemption. Under certain circumstances upon a change of control, the Company’s Series A and Series B Preferred Stock are convertible to shares of the Company’s common stock. Holders of the Company’s Series A and Series B Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a rate of 8.25% and 8.00% per annum on the Series A and Series B Preferred Stock, respectively, of the $25.00 per share liquidation preference before holders of the common stock are entitled to receive any dividends. Shares of the Company’s Series A and Series B Preferred Stock are currently redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option. Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December. As of June 30, 2019, the Company had declared all required quarterly dividends on the Company’s Series A and Series B Preferred Stock. On November 3, 2015, the Company’s Board of Directors authorized a stock repurchase program ("Repurchase Program") to repurchase up to $25.0 million of its outstanding common stock. Such authorization does not have an expiration date. As part of the Repurchase Program, shares may be purchased in open market transactions, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Exchange Act. Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. Subject to applicable securities laws, the timing, manner, price and amount of any repurchases of common stock under the Repurchase Program may be determined by the Company in its discretion, using available cash resources. Shares of common stock repurchased by the Company under the Repurchase Program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its common stock as required by Maryland law. The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice and the authorization does not obligate the Company to acquire any particular amount of common stock. The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings. No shares were repurchased under the Repurchase Program during the three and six months ended June 30, 2019 and June 30, 2018, and approximately $14.6 million of common stock remained authorized for future share repurchases under the Repurchase Program. On May 5, 2017, the Company entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents, as defined in Rule 415 under the Securities Act of 1933. The Equity Distribution Agreements were amended on May 22, 2018 in conjunction with the filing of the Company’s 2018 Registration Statement. For the three and six months ended June 30, 2019, the Company sold 503,700 shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $8.6 million. For the three and six months ended June 30, 2018, the Company did not sell any common stock under the Equity Distribution Agreements. On February 14, 2019, the Company completed a public offering of 3,000,000 shares of its common stock and subsequently issued an additional 450,000 shares pursuant to the underwriters' over-allotment option at a price of $16.70 per share. Net proceeds to the Company from the offering were approximately $57.4 million, after deducting estimated offering expenses. |
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Commitments and Contingencies | Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. As of June 30, 2019, the Company was not involved in any material legal proceedings. The below table details the Company's outstanding commitments as of June 30, 2019 (in thousands):
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Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment reporting | Segment reporting The Company reassessed its determination of segments after its purchase of a portfolio of Single-family rental properties in September 2018 and has determined that it has two reportable segments based on how management reviews and manages the business. These reportable segments include its (i) Securities and Loans, which includes the Company's investments in Excess MSRs and Arc Home, and (ii) Single-Family Rental Properties. Corporate includes the operating expenses of the Company and those items that are not directly allocable to either of the two reportable segments. The table below presents our results of operations for the three months ended June 30, 2019 by business segment (in thousands):
The table below presents our results of operations for the three months ended June 30, 2018 by business segment (in thousands):
The table below presents our results of operations for the six months ended June 30, 2019 by business segment (in thousands):
The table below presents our results of operations for the six months ended June 30, 2018 by business segment (in thousands):
The table below presents our consolidated balance sheet as of June 30, 2019 by business segment (in thousands):
The table below presents our consolidated balance sheet as of December 31, 2018 by business segment (in thousands):
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Summary of significant accounting policies (Policies) |
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Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | Cash and cash equivalents Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents includes cash invested in money market funds. As of June 30, 2019 and December 31, 2018, the Company held $45.8 million and $0.6 million, respectively, of cash equivalents. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets. Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Due to broker, which is included in the "Other liabilities" line item on the consolidated balance sheets, does not include variation margin received on centrally cleared derivatives. See Note 9 for more detail. Any cash due to the Company in the form of principal payments is included in the "Other assets" line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows. |
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Restricted cash | Restricted cash Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, financing arrangements and security deposits. Restricted cash also includes cash deposited into accounts related to rent deposits and collections, security deposits, property taxes, insurance premiums, interest expenses, property management fees and capital expenditures. Restricted cash is not available to the Company for general corporate purposes. As of June 30, 2019 and December 31, 2018, the Company held $1.6 million and $1.3 million, respectively, of restricted cash related to security deposits. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Restricted cash is carried at cost, which approximates fair value. Restricted cash does not include variation margin pledged on centrally cleared derivatives. |
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Offering costs | Offering costs The Company has incurred offering costs in connection with common stock offerings and registration statements. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. |
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Use of estimates | Use of estimates The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. |
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Earnings/(Loss) per share | Earnings/(Loss) per share In accordance with the provisions of Accounting Standards Codification ("ASC") 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive. |
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Valuation of financial instruments | Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value will be determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below:
Transfers between levels are assumed to occur at the beginning of the reporting period. |
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Accounting for real estate securities | Accounting for real estate securities Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities," ASC 325-40, "Beneficial Interests in Securitized Financial Assets," or ASC 310-30, "Loans and Debt Securities Acquired with Deteriorated Credit Quality." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio. Real estate securities are recorded at fair market value on the consolidated balance sheets and the periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on real estate securities and loans, net." Real estate securities acquired through securitizations are shown in the line item "Purchase of real estate securities" on the consolidated statement of cash flows. Purchases and sales of real estate securities are recorded on the trade date. These investments meet the requirements to be classified as available for sale under ASC 320-10-25 which requires the securities to be carried at fair value on the consolidated balance sheets with changes in fair value recorded to other comprehensive income, a component of stockholders’ equity. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. When the Company purchases securities with evidence of credit deterioration since origination, it will analyze the securities to determine if the guidance found in ASC 310-30 is applicable. The Company accounts for its securities under ASC 310 and ASC 325 and evaluates securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either "temporary" or "other-than-temporary." When a real estate security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. Additionally, for securities accounted for under ASC 325-40, an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a "market participant" would use and include observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The determination as to whether an OTTI exists is subjective, given that such determination is based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the performance of such security subsequently improves. Any remaining unrealized losses on securities at June 30, 2019 do not represent other than temporary impairment as the Company has the ability and intent to hold the securities to maturity or for a period of time sufficient for a forecasted market price recovery up to or above the amortized cost of the investment, and the Company is not required to sell the security for regulatory or other reasons. In addition, any unrealized losses on the Company’s Agency RMBS accounted for under ASC 320 are not due to credit losses given their explicit guarantee of principal and interest by the GSEs, but rather are due to changes in interest rates and prepayment expectations. See Note 3 for a summary of OTTI charges recorded. Sales of securities are driven by the Manager’s portfolio management process. The Manager seeks to mitigate risks including those associated with prepayments, defaults, severities, amongst others and will opportunistically rotate the portfolio into securities with more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of securities, loans and derivatives are included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The cost of positions sold is calculated using a first in, first out ("FIFO") basis. Realized gains and losses are recorded in earnings at the time of disposition. |
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Accounting for residential and commercial mortgage loans | Accounting for residential and commercial mortgage loans Investments in mortgage loans are recorded in accordance with ASC 310-10, "Receivables." At purchase, the Company may aggregate its mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. The Company has chosen to make a fair value election pursuant to ASC 825 for its mortgage loan portfolio. Loans are recorded at fair market value on the consolidated balance sheets and any periodic change in fair market value will be recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on real estate securities and loans, net." Purchases and sales of mortgage loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies. Prior to the settlement date, the Company will include commitments to purchase loans within the Commitments and Contingencies footnote to the financial statements. The Company amortizes or accretes any premium or discount over the life of the loans utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal on its loans to determine whether they are impaired. A loan or pool of loans is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan or pool of loans is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30. Mortgage loans that are delinquent 60 or more days are considered non-performing. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference. The adjustment is accounted for as a change in estimate in conformity with ASC 250, "Accounting Changes and Error Corrections" with the amount of periodic accretion adjusted over the remaining life of the loan. Decreases in cash flows expected to be collected from previously projected cash flows, which includes all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, may be recognized as impairment. Increases in interest income may be recognized on a loan on which the Company previously recorded an OTTI charge if the performance of such loan subsequently improves. |
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Investments in debt and equity of affiliates | Investments in debt and equity of affiliates The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method. A majority of the Company’s investments held through affiliated entities are comprised of real estate securities, Excess MSRs, and loans. These types of investments may also be held directly by the Company. These entities have chosen to make a fair value election on their financial instruments pursuant to ASC 825; as such, the Company will treat these investments consistently with this election. On December 9, 2015, the Company, alongside private funds under the management of Angelo Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries ("AG Arc"), formed Arc Home LLC ("Arc Home"). The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. On August 29, 2017, the Company, alongside private funds under the management of Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly "Non-QM" loans, which are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the CFPB. Non-QM loans are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. MATT is expected to make an election to be treated as a real estate investment trust beginning with the 2018 tax year. During Q3 2018, the Company transferred certain of its CMBS from certain of its non-wholly owned subsidiaries to a consolidated entity. The Company executed this transfer in order to obtain financing on these real estate securities. As a result, there was a reclassification of these assets from the "Investments in debt and equity of affiliates" line item to the "CMBS" line item on the Company's consolidated balance sheets. In addition, the Company has also shown this reclassification as a non-cash transfer from the "Investments in debt and equity of affiliates" line item to the "CMBS" line item on its consolidated statements of cash flows. The below table reconciles the fair market value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheet (in thousands).
The Company’s investments in debt and equity of affiliates are recorded at fair market value on the consolidated balance sheets in the "Investments in debt and equity of affiliates" line item and periodic changes in fair market value are recorded in current period earnings on the consolidated statement of operations as a component of "Equity in earnings/(loss) from affiliates." Capital contributions, distributions and profits and losses of such entities are allocated in accordance with the terms of the applicable agreements. |
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Accounting for excess mortgage servicing rights | Accounting for excess mortgage servicing rights The Company has acquired the right to receive the excess servicing spread related to Excess MSRs. The Company has chosen to make a fair value election pursuant to ASC 825 for Excess MSRs. Excess MSRs are recorded at fair market value on the consolidated balance sheets and any periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on derivative and other instruments, net." The Company amortizes or accretes any premium or discount over the life of the related Excess MSRs utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of interest of its Excess MSRs to determine whether they are impaired. An Excess MSR is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for Excess MSRs. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If there is a significant increase in expected cash flows over what was previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the Excess MSR’s yield over its remaining life. Decreases in cash flows expected to be collected from previously projected cash flows, which includes all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, may be recognized as impairment. Increases in interest income may be recognized on an Excess MSR on which the Company previously recorded an OTTI charge if the performance of such Excess MSR subsequently improves. |
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Accounting for single-family rental properties | Accounting for single-family rental properties Purchases of single-family rental properties are treated as asset acquisitions under ASU 2017-01, "Clarifying the Definition of a Business" and are recorded at their purchase price, which is allocated between land, building and improvements, and in-place lease intangibles (when a tenant is in place at the acquisition date) based upon their relative fair values at the date of acquisition. Fair value is determined in accordance with ASC 820 and is primarily based on unobservable data inputs. In making estimates of fair values for purposes of allocating the purchase price, the Company utilizes its own market knowledge and published market data and generally engages a third-party valuation specialist to assist management in the determination of fair value for purposes of allocating price of properties acquired as part of portfolio level transactions. For purposes of this allocation, the purchase price is inclusive of acquisition costs, which include legal costs, as well as other closing costs. The Company incurs costs to acquire, stabilize and prepare our single-family rental properties to be rented. These costs include renovation and other costs associated with these activities. The Company capitalizes these costs as a component of the Company's investment in each single-family rental property, using specific identification and relative allocation methodologies. The capitalization period associated with the Company's stabilization activities begins at such time that activities commence and concludes at the time that a single-family rental property is available to be leased. Once a property is ready for its intended use, expenditures for ordinary maintenance and repairs are expensed to operations as incurred. The Company capitalizes expenditures that improve or extend the life of a home and for certain furniture and fixtures additions. The Company records single-family rental properties at purchase price plus any capitalized expenses less accumulated depreciation and amortization and any impairment to the "Single-family rental properties, net" line item on the consolidated balance sheets. Costs capitalized in connection with property acquisitions and improvements are depreciated over their estimated useful lives on a straight line basis. Buildings are depreciated over 30 years and improvements are depreciated over a range of 5 years to 30 years. In-place lease intangibles are recorded based on the costs to execute similar leases as well as an estimate of lost rent revenue at in-place rental rates during the estimated time required to lease the property. The in-place lease intangibles are amortized over the remaining life of the leases in place at purchase and are recorded in "Single-family rental properties, net" on the Company's consolidated balance sheets. The weighted average remaining life of the leases in place at purchase is 0.4 months. The Company assesses impairment in its single-family rental properties at least on a quarterly basis, or whenever events or changes in business circumstances indicate that carrying amounts of the assets may not be fully recoverable. When such trigger events occur, the Company determines whether there has been impairment by comparing the asset’s carrying value with its estimated fair value. Should impairment exist, the asset is written down to its estimated fair value. This analysis is performed at the property level using estimated cash flows, which are estimated based on a number of assumptions that are subject to economic and market uncertainties, including, among others, demand for rental properties, competition for customers, changes in market rental rates, costs to operate each property, expected ownership periods and value of the property. If the carrying amount of a property exceeds the sum of its undiscounted future operating and disposition cash flows, an impairment loss is recorded for excess of the carrying amount over the estimated fair value. Minimum contractual rents from leases are recognized on a straight-line basis over the terms of the leases in rental income. Therefore, actual amounts billed in accordance with the lease during any given period may be higher or lower than the amount of rental income recognized during the period. Straight-line rental income commences when the customer takes control of the leased premises. The Company maintains an allowance for doubtful accounts for estimated losses that may result from the inability of residents to make required rent or other payments. The allowance is estimated based on, among other considerations, the aging of accounts receivable, payment histories, and overall delinquencies. The provision for doubtful accounts is recorded as a reduction of rental income on the Company's consolidated statements of operations and a reduction of rent receivable, which is included within "Other assets" on the Company's consolidated balance sheets. |
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Investment consolidation and transfers of financial assets | Investment consolidation and transfers of financial assets For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting. A similar analysis will be performed for each entity with which the Company enters into an agreement for management, servicing or related services. In performing the analysis, the Company refers to guidance in ASC 810-10, "Consolidation." In situations where the Company is the transferor of financial assets, the Company refers to the guidance in ASC 860-10 "Transfers and Servicing." In variable interest entities ("VIEs"), an entity is subject to consolidation under ASC 810-10 if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. See Note 3 for more detail. The Company entered into a resecuritization transaction in 2014 which resulted in the Company consolidating the VIE that was created to facilitate the transaction and to which the underlying assets in connection with the resecuritization were transferred. In determining the accounting treatment to be applied to this resecuritization transaction, the Company evaluated whether the entity used to facilitate this transaction was a VIE and, if so, whether it should be consolidated. Based on its evaluation, the Company concluded that the VIE should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfer of the underlying assets would qualify as a sale or should be accounted for as secured financings under GAAP. See Note 3 below for more detail. The Company transferred certain of its CMBS in Q3 2018 from certain of its non-wholly owned subsidiaries into a newly formed wholly owned entity so the Company could obtain financing on these real estate securities. The Company evaluated whether this newly formed entity was a VIE and, whether it should be consolidated. Based on its evaluation, the Company concluded that the VIE should be consolidated. If the Company had determined that consolidation was not required, it would have accounted for its investment in this entity as an equity method investment. See Note 3 below as well as the "Investments in debt and equity of affiliates" section above for more detail. The Company may periodically enter into transactions in which it transfers assets to a third party. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, a determination must 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. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term "participating interest" to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair values. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "residential mortgage loans" on the consolidated balance sheets, depending upon the structure of the securitization transaction. ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." |
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Interest income recognition | Interest income recognition Interest income on the Company’s real estate securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities. The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all securities accounted for under the fair value option (ASC 825). As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable. Total interest income is recorded in the "Interest income" line item on the consolidated statement of operations. On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally Agency RMBS, exclusive of interest-only securities), prepayments of the underlying collateral must be estimated, which directly affect the speed at which the Company amortizes premiums on its securities. If actual and anticipated cash flows differ from previous estimates, the Company records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield through the reporting date. Similarly, the Company also reassesses the cash flows on at least a quarterly basis for securities accounted for under ASC 325-40 (generally Non-Agency RMBS, ABS, CMBS, interest-only securities and Excess MSRs). In estimating these cash flows, there are a number of assumptions made that are uncertain and subject to judgments and assumptions based on subjective and objective factors and contingencies. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment as adjusted for credit impairment, if any. Interest income on the Company’s loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all loans accounted for under the fair value option (ASC 825). Any amortization will be reflected as an adjustment to interest income in the consolidated statement of operations. For security and loan investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30. For purposes of income recognition, the Company may aggregate loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent increases in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life. Decreases in cash flows expected to be collected should be recognized as impairment. The Company’s accrual of interest, discount accretion and premium amortization for U.S. federal and other tax purposes differs from the financial accounting treatment of these items as described above. |
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Financing arrangements | Financing arrangements The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements include repurchase agreements and financing facilities. The Company's financing facilities include both term loans and revolving facilities. Repurchase agreements and financing facilities are treated as collateralized financing transactions and carried at their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements and revolving facilities approximates fair value. The Company pledges certain securities, loans or properties as collateral under financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the securities, or loans pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries. In response to declines in fair value of assets pledged under repurchase agreements and revolving facilities, lenders may require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls. |
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Accounting for derivative financial instruments | Accounting for derivative financial instruments The Company enters into derivative contracts as a means of mitigating interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. Additionally, if or when hedge accounting is elected, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of June 30, 2019 and December 31, 2018, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis with respect to its counterparties. The Company records the daily receipt or payment of variation margin associated with the Company’s centrally cleared derivative instruments on a net basis. See Note 9 for a discussion of this accounting treatment. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the "Net realized gain/(loss)" line item in the consolidated statement of operations. |
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To-be-announced securities | To-be-announced securities A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item "Unrealized gain/(loss) on derivative and other instruments, net." The Company presents the purchase or sale of TBAs net of the corresponding payable or receivable, respectively, until the settlement date of the transaction. Contracts for the purchase or sale of Agency RMBS are accounted for as derivatives if they do not qualify for the "regular way" security trade scope exception found in ASC 815-10. To be eligible for this scope exception, the contract must meet the following conditions: (1) there is no other way to purchase or sell that security, (2) delivery of that security and settlement will occur within the shortest period possible for that type of security, and (3) it is probable at inception and throughout the term of the individual contract that the contract will not settle net and will result in physical delivery of a security when it is issued. Unrealized gains and losses associated with TBA contracts not meeting the regular-way exception and not designated as hedging instruments are recognized in the consolidated statement of operations in the line item "Unrealized gain/(loss) on derivative and other instruments, net." |
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U.S. Treasury securities | U.S. Treasury securities The Company may purchase long or sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates. The Company may finance its purchase of U.S. Treasury securities with overnight repurchase agreements. The Company may borrow securities to cover short sales of U.S. Treasury securities through overnight reverse repurchase agreements, which are accounted for as borrowing transactions, and the Company recognizes an obligation to return the borrowed securities at fair value on its consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date.The Company establishes haircuts to ensure the fair market value of the underlying assets remain sufficient to protect the Company in the event of a default by a counterparty. Interest income and expense associated with purchases and short sales of U.S. Treasury securities are recognized in "Interest income" and "Interest expense," respectively, on the consolidated statement of operations. Realized and unrealized gains and losses associated with purchases and short sales of U.S. Treasury securities are recognized in "Net realized gain/(loss)" and "Unrealized gain/(loss) on derivative and other instruments, net," respectively, on the consolidated statement of operations. |
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Manager compensation | Manager compensation The management agreement provides for payment to the Manager of a management fee. The management fee is accrued and expensed during the period for which it is earned. |
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Income taxes | Income taxes The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, 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. The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements. Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles. The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other 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 declare dividends to the Company which will be included in the Company’s taxable income/(loss) and necessitate a distribution to stockholders. Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state and local corporate income taxes. The Company elected to treat one of its foreign subsidiaries as a TRS and, accordingly, taxable income generated by this foreign TRS may not be subject to local income taxation, but generally will be included in the Company’s income on a current basis as Subpart F income, whether or not distributed. 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 believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. If the Company were to fail to meet the REIT requirements, it would be subject to federal income taxes and applicable state and local taxes. 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 evaluates uncertain income tax positions, if any, in accordance with ASC 740, "Income Taxes." The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. |
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Deal related performance fees | Deal related performance fees The Company accrues deal related performance fees, payable to Arc Home and third party operators, on certain of its CMBS, Excess MSRs and its single-family rental properties. The deal related performance fees are based on these investments meeting certain performance hurdles. The fees are accrued and expensed during the period for which they are incurred and are included in the "Other operating expenses" and "Equity in earnings/(loss) from affiliates" line items on the Consolidated Statement of Operations. |
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Stock-based compensation | Stock-based compensation The Company applies the provisions of ASC 718, "Compensation—Stock Compensation" with regard to its equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans. ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in financial statements. Compensation cost is measured based on the fair value of the equity or liability instruments issued. Compensation cost related to restricted common shares and restricted stock units issued to the Company’s directors and the Manager are measured at its estimated fair value at the grant date, and is amortized and expensed over the vesting period on a straight-line basis. Restricted stock units granted to the Manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The restricted stock units are not considered to be participating shares. Restricted stock units are measured at fair value reduced by the present value of the dividends expected to be paid on the underlying shares during the requisite service period, discounted at an assumed risk free rate. The Company has elected to use the straight-line method to amortize compensation expense for restricted stock units. |
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Recent accounting pronouncements | Recent accounting pronouncements In June 2016, the FASB issued ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13"). ASU 2016-13 introduces a new model related to the accounting for credit losses on instruments, specifically, financial assets subject to credit losses and measured at amortized cost and certain off-balance sheet credit exposures. ASU 2016-13 amends the current guidance, requiring an OTTI charge only when fair value is below the amortized cost of an asset. The length of time the fair value of an available-for-sale debt security has been below the amortized cost will no longer impact the determination of whether a credit loss exists. As such, it is no longer an other-than-temporary model. In addition, credit losses on available-for-sale debt securities will now be limited to the difference between the security’s amortized cost basis and its fair value. The new debt security model will also require the use of an allowance to record estimated credit losses. The new guidance also expands the disclosure requirements regarding an entity’s assumptions and models. In addition, public entities will need to disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination (i.e., by vintage year). ASU 2016-13 is effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Company is currently evaluating its method of adoption and the impact this ASU will have on its consolidated financial statements. In June 2018, the FASB issued ASU 2018-7, "Improvements to Nonemployee Share–Based Payment Accounting" ("ASU 2018-7"). The standard largely aligns the accounting for share–based payment awards issued to employees and nonemployees. Equity-classified share-based payment awards issued to nonemployees will be measured on the grant date, instead of being remeasured through the performance completion date (generally the vesting date), as required under the current guidance. The standard is to be applied on a modified retrospective basis through a cumulative-effect adjustment to retained earnings as of the beginning of the fiscal year when adopted. The standard is effective for public business entities for fiscal years beginning after December 15, 2018 and interim periods within those years. The Company adopted ASU 2018-7 in the first quarter of 2019 and applied the guidance on a modified retrospective basis through a cumulative-effect adjustment to retained earnings. The adjustment was immaterial. In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820) Disclosure Framework–Changes to the Disclosure Requirements for Fair Value Measurement" ("ASU 2018-13"). ASU 2018-13 changes the fair value measurement disclosure requirements of ASC 820 "Fair Value Measurement" by adding, eliminating, and modifying certain disclosure requirements. ASU 2018-13 is effective for all entities for fiscal years beginning after December 15, 2019 and requires application of the prospective method of transition. The Company is currently assessing the impact the guidance will have on its consolidated financial statements. |
Summary of significant accounting policies (Tables) |
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Schedule of investments in debt and equity of affiliates | The below table reconciles the fair market value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheet (in thousands).
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Real Estate Securities (Tables) |
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of real estate securities portfolio | The following table details the Company’s real estate securities portfolio as of June 30, 2019 ($ in thousands):
The following table details the Company’s real estate securities portfolio as of December 31, 2018 ($ in thousands):
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Schedule of gross unrealized losses and fair value of Company's real estate securities by length of time | The following table presents the gross unrealized losses and fair value of the Company’s real estate securities by length of time that such securities have been in a continuous unrealized loss position as of June 30, 2019 and December 31, 2018 (in thousands):
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Schedule of weighted average life of real estate securities | The following table details the weighted average life of our real estate securities broken out by Agency RMBS and Credit Investments as of June 30, 2019 ($ in thousands):
The following table details the weighted average life of our real estate securities broken out by Agency RMBS and Credit Investments as of December 31, 2018 ($ in thousands):
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Schedule of Company's consolidated VIE | The following table details certain information on VIE B as of June 30, 2019 and December 31, 2018 (in thousands):
The following table details certain information on VIE A as of June 30, 2019 ($ in thousands):
The following table details certain information on VIE A as of December 31, 2018 ($ in thousands):
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Loans (Tables) |
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Company's residential mortgage loan portfolio and commercial loan portfolio | The following table presents detail on the Company’s commercial loan portfolio on June 30, 2019 ($ in thousands).
The following table presents detail on the Company’s commercial loan portfolio on December 31, 2018 ($ in thousands).
The table below details information regarding the Company’s residential mortgage loan portfolio as of June 30, 2019 ($ in thousands):
The table below details information regarding the Company’s residential mortgage loan portfolio as of December 31, 2018 ($ in thousands):
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Schedule of Company's re-performing and non-performing residential mortgage loans | The table below details information regarding the Company’s re-performing and non-performing residential mortgage loans as of June 30, 2019 and December 31, 2018 (in thousands):
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Schedule of certain concentrations of credit risk within the Company's mortgage loan portfolio | The Company’s mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the U.S. The following is a summary of the geographic concentration of credit risk within the Company’s mortgage loan portfolio:
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Schedule of changes in the accretable portion of discounts | The following is a summary of the changes in the accretable portion of discounts for the three and six months ended June 30, 2019 and June 30, 2018, respectively (in thousands):
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Excess MSRs (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of Excess MSRs [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Excess MSR Portfolio | The following table presents detail on the Company’s Excess MSR portfolio on June 30, 2019 ($ in thousands).
The following table presents detail on the Company’s Excess MSR portfolio on December 31, 2018 ($ in thousands).
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Single-family rental properties (Tables) |
6 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of real estate properties by component | The following table presents the net carrying amount associated with the Company's properties by component (in thousands).
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Schedule of non-cancellable, contractual, future minimum rental payments | The following table presents a schedule of non-cancellable, contractual, future minimum rent under leases at June 30, 2019 (in thousands). These rental payments are based on contractual amounts.
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Fair value measurements (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of financial instruments measured at fair value | The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2019 (in thousands):
The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2018 (in thousands):
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Schedule of assets and liabilities measured on a recurring basis | The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value:
(1) Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2019, the Company transferred 3 Non-Agency RMBS securities into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(1) Transfers are assumed to occur at the beginning of the period. During the three months ended June 30, 2018, the Company transferred 7 Non-Agency RMBS securities into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2019, the Company transferred 7 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 6 Non-Agency RMBS and 2 CMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2018, the Company transferred 8 Non-Agency RMBS security into the Level 3 category from the Level 2 and 1 CMBS security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
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Schedule of valuation techniques | The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value.
(1) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2019.
(1) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2018. |
Financing arrangements (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of repurchase agreements | The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding real estate securities pledged as collateral as of June 30, 2019 ($ in thousands):
The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding real estate securities pledged as collateral as of December 31, 2018 ($ in thousands):
The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding residential mortgage loans pledged as collateral as of June 30, 2019 ($ in thousands):
The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding residential mortgage loans pledged as collateral as of December 31, 2018 ($ in thousands):
The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding commercial loans pledged as collateral as of June 30, 2019 ($ in thousands):
The following table presents a summary of the Company's financing arrangements as of June 30, 2019 and December 31, 2018 (in thousands).
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Schedule of securities collateral information | The following table presents information with respect to the Company’s posting of collateral under repurchase agreements on June 30, 2019 and December 31, 2018, broken out by investment type (in thousands):
The following table presents the fair value of collateral posted to us under repurchase agreements by lenders (in thousands):
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Schedule of total borrowings under repurchase agreements | The following table presents information with respect to the Company’s total borrowings under repurchase agreements on June 30, 2019 and December 31, 2018, broken out by investment type (in thousands):
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Schedule of gross and net information about repurchase agreements | The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of June 30, 2019 (in thousands):
The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of December 31, 2018 (in thousands):
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Schedule of term loan and revolving facilities | The following table presents information regarding the Company's term loan and revolving facilities, excluding facilities within investments in debt and equity of affiliates, as of June 30, 2019 and December 31, 2018 ($ in thousands).
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Schedule of repurchase agreement counterparty | The following table presents information at June 30, 2019 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).
The following table presents information at December 31, 2018 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).
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Other assets and liabilities (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of other assets and other liabilities | The following table details certain information on the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of June 30, 2019 and December 31, 2018 (in thousands):
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Schedule of Company's derivative and other instruments and their balance sheet location | The following table presents the fair value of the Company’s derivatives and other instruments and their balance sheet location at June 30, 2019 and December 31, 2018 (in thousands).
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Schedule of derivatives and other instruments | The following table summarizes information related to derivatives and other instruments (in thousands):
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Schedule of gains/(losses) related to derivatives and other instruments | The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands):
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Schedule of gross and net information about derivatives and other instruments | The following table presents both gross information and net information about derivative and other instruments eligible for offset in the consolidated balance sheets as of June 30, 2019 (in thousands):
The following table presents both gross information and net information about derivative instruments eligible for offset in the consolidated balance sheets as of December 31, 2018 (in thousands):
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Schedule of interest rate derivatives | As of June 30, 2019, the Company’s interest rate swap positions consist of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of June 30, 2019 ($ in thousands):
As of December 31, 2018, the Company’s interest rate swap positions consist of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of December 31, 2018 ($ in thousands):
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Schedule of to be announced securities activity | As discussed in Note 2, the Company has entered into TBAs. The following table presents information about the Company’s TBAs for the three and six months ended June 30, 2019 and June 30, 2018 (in thousands):
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Earnings per share (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of outstanding warrants and unvested restricted stock units | As of June 30, 2019 and June 30, 2018, the Company’s outstanding warrants and unvested restricted stock units were as follows:
(1) The warrants expired on July 6, 2018. |
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Schedule of basic and diluted earnings per share | The following tables detail our preferred stock dividends during the six months ended June 30, 2019 and June 30, 2018:
The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the three and six months ended June 30, 2019 and June 30, 2018 (in thousands, except per share data):
The following tables detail our common stock dividends during the six months ended June 30, 2019 and June 30, 2018:
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Commitments and Contingencies (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of outstanding commitments | The below table details the Company's outstanding commitments as of June 30, 2019 (in thousands):
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Segment reporting (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Segment Reporting Information, by Segment | The table below presents our results of operations for the three months ended June 30, 2019 by business segment (in thousands):
The table below presents our results of operations for the three months ended June 30, 2018 by business segment (in thousands):
The table below presents our results of operations for the six months ended June 30, 2019 by business segment (in thousands):
The table below presents our results of operations for the six months ended June 30, 2018 by business segment (in thousands):
The table below presents our consolidated balance sheet as of June 30, 2019 by business segment (in thousands):
The table below presents our consolidated balance sheet as of December 31, 2018 by business segment (in thousands):
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Summary of significant accounting policies - Narrative (Details) - USD ($) $ in Millions |
6 Months Ended | |
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Jun. 30, 2019 |
Dec. 31, 2018 |
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Significant Accounting Policies Disclosure [Line Items] | ||
Cash equivalents | $ 45.8 | $ 0.6 |
Restricted cash related to security deposits | $ 1.6 | $ 1.3 |
Building [Member] | ||
Significant Accounting Policies Disclosure [Line Items] | ||
Weighted average useful life, property acquisitions and improvements | 30 years | |
In-Place Lease Intangibles [Member] | ||
Significant Accounting Policies Disclosure [Line Items] | ||
Weighted average useful life, intangible assets | 12 days | |
Minimum [Member] | Building Improvements [Member] | ||
Significant Accounting Policies Disclosure [Line Items] | ||
Weighted average useful life, property acquisitions and improvements | 5 years | |
Maximum [Member] | Building Improvements [Member] | ||
Significant Accounting Policies Disclosure [Line Items] | ||
Weighted average useful life, property acquisitions and improvements | 30 years |
Summary of significant accounting policies - Schedule of investments in debt and equity of affiliates (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | $ 99,955 | $ 84,892 |
Residential and Commercial Real Estates Assets [Member] | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 161,400 | 113,300 |
Assets [Member] | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 245,295 | 213,419 |
Investments in debt and equity of affiliates | 284,527 | 241,202 |
Cash and Other assets/(liabilities) | 20,515 | 7,423 |
Assets [Member] | ARC Home LLC [Member] | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | 18,717 | 20,360 |
Liabilities [Member] | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | (182,725) | (138,893) |
Investments in debt and equity of affiliates | (184,572) | (156,310) |
Cash and Other assets/(liabilities) | (1,847) | (17,417) |
Liabilities [Member] | ARC Home LLC [Member] | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | 0 | 0 |
Stockholders' Equity [Member] | ||
Investments in and Advances to Affiliates [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 62,570 | 74,526 |
Investments in debt and equity of affiliates | 99,955 | 84,892 |
Cash and Other assets/(liabilities) | 18,668 | (9,994) |
Stockholders' Equity [Member] | ARC Home LLC [Member] | ||
Investments in and Advances to Affiliates [Line Items] | ||
Investments in debt and equity of affiliates | $ 18,717 | $ 20,360 |
Real Estate Securities - Summary of real estate securities portfolio (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 7,309,602 | $ 7,352,895 |
Premium / (Discount) | (4,346,077) | (4,515,527) |
Amortized Cost | 2,963,525 | 2,837,368 |
Gross Unrealized Gains | 144,022 | 77,521 |
Gross Unrealized Losses | (2,356) | (18,714) |
Fair Value | $ 3,105,191 | $ 2,896,175 |
Weighted Average Coupon | 2.29% | 2.23% |
Weighted Average Yield | 4.73% | 5.08% |
Agency RMBS: 30 Year Fixed Rate [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 1,880,323 | $ 1,781,995 |
Premium / (Discount) | 52,041 | 50,750 |
Amortized Cost | 1,932,364 | 1,832,745 |
Gross Unrealized Gains | 58,795 | 6,544 |
Gross Unrealized Losses | (293) | (9,174) |
Fair Value | $ 1,990,866 | $ 1,830,115 |
Weighted Average Coupon | 4.11% | 4.08% |
Weighted Average Yield | 3.47% | 3.66% |
Agency RMBS: Fixed Rate CMO [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 40,022 | $ 44,418 |
Premium / (Discount) | 226 | 327 |
Amortized Cost | 40,248 | 44,745 |
Gross Unrealized Gains | 525 | 0 |
Gross Unrealized Losses | 0 | (388) |
Fair Value | $ 40,773 | $ 44,357 |
Weighted Average Coupon | 3.00% | 3.00% |
Weighted Average Yield | 2.78% | 2.79% |
Agency RMBS: Interest Only [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 602,237 | $ 680,743 |
Premium / (Discount) | (511,827) | (565,659) |
Amortized Cost | 90,410 | 115,084 |
Gross Unrealized Gains | 1,306 | 1,788 |
Gross Unrealized Losses | (267) | (3,064) |
Fair Value | $ 91,449 | $ 113,808 |
Weighted Average Coupon | 3.64% | 3.61% |
Weighted Average Yield | 3.46% | 8.13% |
Agency Residential Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 2,522,582 | $ 2,507,156 |
Premium / (Discount) | (459,560) | (514,582) |
Amortized Cost | 2,063,022 | 1,992,574 |
Gross Unrealized Gains | 60,626 | 8,332 |
Gross Unrealized Losses | (560) | (12,626) |
Fair Value | $ 2,123,088 | $ 1,988,280 |
Weighted Average Coupon | 3.98% | 3.94% |
Weighted Average Yield | 3.46% | 3.89% |
Credit Securities: Non-Agency RMBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 795,373 | $ 763,753 |
Premium / (Discount) | (175,158) | (189,569) |
Amortized Cost | 620,215 | 574,184 |
Gross Unrealized Gains | 58,743 | 50,131 |
Gross Unrealized Losses | (300) | (2,064) |
Fair Value | $ 678,658 | $ 622,251 |
Weighted Average Coupon | 5.21% | 5.09% |
Weighted Average Yield | 7.08% | 7.18% |
Non-Agency RMBS Interest Only [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 271,356 | $ 296,677 |
Premium / (Discount) | (268,665) | (293,520) |
Amortized Cost | 2,691 | 3,157 |
Gross Unrealized Gains | 236 | 879 |
Gross Unrealized Losses | (1,093) | (937) |
Fair Value | $ 1,834 | $ 3,099 |
Weighted Average Coupon | 0.67% | 0.63% |
Weighted Average Yield | 15.05% | 21.88% |
Total Non Agency Residential Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 1,066,729 | $ 1,060,430 |
Premium / (Discount) | (443,823) | (483,089) |
Amortized Cost | 622,906 | 577,341 |
Gross Unrealized Gains | 58,979 | 51,010 |
Gross Unrealized Losses | (1,393) | (3,001) |
Fair Value | $ 680,492 | $ 625,350 |
Weighted Average Coupon | 4.48% | 4.29% |
Weighted Average Yield | 7.11% | 7.25% |
Credit Securities: ABS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 20,790 | $ 22,125 |
Premium / (Discount) | (94) | (179) |
Amortized Cost | 20,696 | 21,946 |
Gross Unrealized Gains | 0 | 0 |
Gross Unrealized Losses | (125) | (786) |
Fair Value | $ 20,571 | $ 21,160 |
Weighted Average Coupon | 9.58% | 9.49% |
Weighted Average Yield | 10.20% | 10.22% |
CMBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 338,307 | $ 361,514 |
Premium / (Discount) | (124,370) | (163,366) |
Amortized Cost | 213,937 | 198,148 |
Gross Unrealized Gains | 20,490 | 14,936 |
Gross Unrealized Losses | (223) | (2,030) |
Fair Value | $ 234,204 | $ 211,054 |
Weighted Average Coupon | 5.80% | 6.12% |
Weighted Average Yield | 8.47% | 8.87% |
CMBS Interest Only [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 3,361,194 | $ 3,401,670 |
Premium / (Discount) | (3,318,230) | (3,354,311) |
Amortized Cost | 42,964 | 47,359 |
Gross Unrealized Gains | 3,927 | 3,243 |
Gross Unrealized Losses | (55) | (271) |
Fair Value | $ 46,836 | $ 50,331 |
Weighted Average Coupon | 0.23% | 0.24% |
Weighted Average Yield | 7.00% | 6.87% |
Total Commercial Mortgage Backed Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 3,699,501 | $ 3,763,184 |
Premium / (Discount) | (3,442,600) | (3,517,677) |
Amortized Cost | 256,901 | 245,507 |
Gross Unrealized Gains | 24,417 | 18,179 |
Gross Unrealized Losses | (278) | (2,301) |
Fair Value | $ 281,040 | $ 261,385 |
Weighted Average Coupon | 0.49% | 0.48% |
Weighted Average Yield | 8.23% | 8.48% |
Total Credit Investments [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 4,787,020 | $ 4,845,739 |
Premium / (Discount) | (3,886,517) | (4,000,945) |
Amortized Cost | 900,503 | 844,794 |
Gross Unrealized Gains | 83,396 | 69,189 |
Gross Unrealized Losses | (1,796) | (6,088) |
Fair Value | $ 982,103 | $ 907,895 |
Weighted Average Coupon | 1.33% | 1.26% |
Weighted Average Yield | 7.49% | 7.67% |
Real Estate Securities - Summary of gross unrealized losses and fair value of real estate securities by length of time (Details 1) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Investments, Debt and Equity Securities [Abstract] | ||
Less than 12 months, Fair Value | $ 49,628 | $ 966,620 |
Less than 12 months, Unrealized Losses | (752) | (14,937) |
Greater than 12 months, Fair Value | 30,708 | 81,170 |
Greater than 12 months, Unrealized Losses | $ (1,604) | $ (3,777) |
Real Estate Securities - Narrative (Details) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019
USD ($)
security
|
Jun. 30, 2018
USD ($)
security
|
Jun. 30, 2019
USD ($)
security
|
Jun. 30, 2018
USD ($)
security
|
|
Debt Securities, Available-for-sale [Line Items] | ||||
Other than temporary impairment charge on securities | $ 8,700 | $ 11,100 | ||
Proceeds from sales of real estate securities | 446,089 | $ 1,314,739 | ||
Settled Securities [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other than temporary impairment charge on securities | $ 8,700 | $ 700 | $ 11,100 | $ 1,700 |
Number of securities sold | security | 15 | 48 | 46 | 105 |
Proceeds from sales of real estate securities | $ 233,100 | $ 586,300 | $ 446,100 | $ 1,300,000 |
Securities, gross realized gains | 3,800 | 300 | 8,100 | 6,200 |
Securities, gross realized losses | 100 | 17,100 | 2,300 | 35,500 |
Fair Values of Securities [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other than temporary impairment, not recognized in a prior period | $ 900 | $ 500 | $ 1,200 | $ 1,100 |
Variable Interest Entity B [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Equity ownership percentage | 100.00% | 100.00% |
Real Estate Securities - Summary of weighted average life of real estate securities (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Agency RMBS [Member] | ||
Fair Value | ||
Total | $ 2,123,088 | $ 1,988,280 |
Amortized Cost | ||
Total | $ 2,063,022 | $ 1,992,574 |
Weighted Average Coupon | ||
Total | 3.98% | 3.94% |
Agency RMBS [Member] | Less than or equal to 1 year [Member] | ||
Fair Value | ||
Less than or equal to 1 year | $ 0 | $ 0 |
Amortized Cost | ||
Less than or equal to 1 year | $ 0 | $ 0 |
Weighted Average Coupon | ||
Less than or equal to 1 year | 0.00% | 0.00% |
Agency RMBS [Member] | Greater than one year and less than or equal to five years [Member] | ||
Fair Value | ||
Greater than one year and less than or equal to five years | $ 542,883 | $ 61,644 |
Amortized Cost | ||
Greater than one year and less than or equal to five years | $ 528,844 | $ 61,305 |
Weighted Average Coupon | ||
Greater than one year and less than or equal to five years | 3.91% | 3.01% |
Agency RMBS [Member] | Greater than five years and less than or equal to ten years [Member] | ||
Fair Value | ||
Greater than five years and less than or equal to ten years | $ 1,580,205 | $ 1,908,417 |
Amortized Cost | ||
Greater than five years and less than or equal to ten years | $ 1,534,178 | $ 1,912,545 |
Weighted Average Coupon | ||
Greater than five years and less than or equal to ten years | 4.01% | 4.02% |
Agency RMBS [Member] | Greater than ten years [Member] | ||
Fair Value | ||
Greater than ten years | $ 0 | $ 18,219 |
Amortized Cost | ||
Greater than ten years | $ 0 | $ 18,724 |
Weighted Average Coupon | ||
Greater than ten years | 0.00% | 3.50% |
Credit Securities [Member] | ||
Fair Value | ||
Total | $ 982,103 | $ 907,895 |
Amortized Cost | ||
Total | $ 900,503 | $ 844,794 |
Weighted Average Coupon | ||
Total | 1.33% | 1.26% |
Credit Securities [Member] | Less than or equal to 1 year [Member] | ||
Fair Value | ||
Less than or equal to 1 year | $ 110,497 | $ 73,194 |
Amortized Cost | ||
Less than or equal to 1 year | $ 108,712 | $ 73,738 |
Weighted Average Coupon | ||
Less than or equal to 1 year | 0.72% | 0.59% |
Credit Securities [Member] | Greater than one year and less than or equal to five years [Member] | ||
Fair Value | ||
Greater than one year and less than or equal to five years | $ 268,545 | $ 240,232 |
Amortized Cost | ||
Greater than one year and less than or equal to five years | $ 253,195 | $ 226,342 |
Weighted Average Coupon | ||
Greater than one year and less than or equal to five years | 0.97% | 0.89% |
Credit Securities [Member] | Greater than five years and less than or equal to ten years [Member] | ||
Fair Value | ||
Greater than five years and less than or equal to ten years | $ 400,325 | $ 420,050 |
Amortized Cost | ||
Greater than five years and less than or equal to ten years | $ 361,430 | $ 388,500 |
Weighted Average Coupon | ||
Greater than five years and less than or equal to ten years | 1.42% | 1.47% |
Credit Securities [Member] | Greater than ten years [Member] | ||
Fair Value | ||
Greater than ten years | $ 202,736 | $ 174,419 |
Amortized Cost | ||
Greater than ten years | $ 177,166 | $ 156,214 |
Weighted Average Coupon | ||
Greater than ten years | 5.86% | 5.77% |
Real Estate Securities - Summary of Company's consolidated VIE A (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2019 |
Dec. 31, 2018 |
|
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 7,309,602 | $ 7,352,895 |
Fair Value | $ 3,105,191 | $ 2,896,175 |
Weighted Average Coupon | 2.29% | 2.23% |
Weighted Average Yield | 4.73% | 5.08% |
Securitized debt, at fair value | $ 8,630 | $ 10,858 |
Resecuritized Asset [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | 16,841 | 19,222 |
Fair Value | $ 15,456 | $ 17,408 |
Weighted Average Coupon | 4.41% | 4.32% |
Weighted Average Yield | 10.90% | 9.75% |
Weighted Average Life (Years) | 4 years 11 months 19 days | 5 years |
Consolidated tranche [Member] | Resecuritized Asset [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 8,606 | $ 10,821 |
Fair Value | $ 8,630 | $ 10,858 |
Weighted Average Coupon | 4.19% | 4.10% |
Weighted Average Yield | 4.38% | 4.47% |
Weighted Average Life (Years) | 2 years 1 month 9 days | 2 years 4 months 22 days |
Retained tranche [Member] | Resecuritized Asset [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Current Face | $ 8,235 | $ 8,401 |
Fair Value | $ 6,826 | $ 6,550 |
Weighted Average Coupon | 4.64% | 4.61% |
Weighted Average Yield | 19.15% | 18.50% |
Weighted Average Life (Years) | 7 years 11 months 14 days | 8 years 4 months 12 days |
Real Estate Securities - Summary of Company's consolidated VIE B (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
Jun. 30, 2018 |
---|---|---|---|
Assets | |||
Cash and cash equivalents | $ 60,097 | $ 31,579 | $ 31,145 |
Restricted cash | 1,600 | 1,300 | |
Other assets | 24,577 | 33,503 | |
Total Assets | 3,797,915 | 3,548,926 | |
Liabilities | |||
Other liabilities | 48,833 | 45,180 | |
Total Liabilities | 3,067,051 | 2,892,915 | |
Variable Interest Entity B [Member] | |||
Assets | |||
CMBS | 92,384 | 84,515 | |
Cash and cash equivalents | 610 | 595 | |
Restricted cash | 0 | 258 | |
Other assets | 156 | 151 | |
Total Assets | 93,150 | 85,519 | |
Liabilities | |||
Financing arrangements, net | 57,648 | 54,278 | |
Other liabilities | 3,730 | 2,954 | |
Total Liabilities | $ 61,378 | $ 57,232 |
Loans - Narrative (Details) |
3 Months Ended | 6 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2019
USD ($)
loan
|
Jun. 30, 2018
USD ($)
loan
|
Jun. 30, 2019
USD ($)
loan
|
Jun. 30, 2018
USD ($)
loan
|
Feb. 28, 2019
USD ($)
|
Dec. 31, 2018
USD ($)
loan
|
|
Gain (Loss) on Securities [Line Items] | ||||||
Residential mortgage loan portfolio, aggregate unpaid principal balance | $ 25,900,000 | |||||
Residential mortgage loan portfolio, acquisition fair value | $ 19,700,000 | |||||
Proceeds from sale of loans | $ 12,700,000 | $ 31,000,000 | $ 12,800,000 | $ 31,000,000 | ||
Realized gain on sale of loan | 1,000,000 | 700,000 | 1,000,000 | 700,000 | ||
Realized loss on sale of loan | 200,000 | 100,000 | 200,000 | 100,000 | ||
Mortgage loans in process of foreclosure | $ 15,000,000 | $ 15,000,000 | $ 17,300,000 | |||
Discount accretion on commercial loans | $ 100,000 | $ 1,100,000 | ||||
Residential Mortgage [Member] | ||||||
Gain (Loss) on Securities [Line Items] | ||||||
Number of loans sold | loan | 78 | 150 | 79 | 150 | ||
Other than temporary impairment losses recognized | $ 0 | $ 0 | ||||
Number of conventional loans with balances | loan | 2,456 | 2,456 | 2,025 | |||
Loan balances | $ 226,028,000 | $ 226,028,000 | $ 216,853,000 | |||
Residential Mortgage [Member] | Maximum [Member] | ||||||
Gain (Loss) on Securities [Line Items] | ||||||
Loan balances | 1,900,000 | 1,900,000 | 1,900,000 | |||
Residential Mortgage [Member] | Minimum [Member] | ||||||
Gain (Loss) on Securities [Line Items] | ||||||
Loan balances | $ 2,827 | $ 2,827 | $ 10,000 |
Loans - Summary of Company's residential mortgage loan portfolio (Details) - Residential Mortgage [Member] - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2019 |
Dec. 31, 2018 |
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 226,028 | $ 216,853 |
Premium (Discount) | (33,920) | (31,773) |
Amortized Cost | 192,108 | 185,080 |
Gross Unrealized Gains | 7,862 | 1,190 |
Gross Unrealized Losses | 0 | (174) |
Fair Value | $ 199,970 | $ 186,096 |
Weighted Average Coupon | 5.17% | 4.75% |
Weighted Average Yield | 6.82% | 6.53% |
Weighted Average Life (Years) | 6 years 11 months 2 days | 7 years 1 month 20 days |
Loans - Summary of Company's re-performing and non-performing residential mortgage loans (Details) - Residential Mortgage [Member] - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Debt Instrument [Line Items] | ||
Fair Value | $ 199,970 | $ 186,096 |
Unpaid Principal Balance | 226,028 | 216,853 |
Re-Performing Financing Receivable [Member] | ||
Debt Instrument [Line Items] | ||
Fair Value | 159,787 | 148,508 |
Unpaid Principal Balance | 177,362 | 172,470 |
Non-Performing Financing Receivable [Member] | ||
Debt Instrument [Line Items] | ||
Fair Value | 40,183 | 37,588 |
Unpaid Principal Balance | $ 48,666 | $ 44,383 |
Loans - Summary of concentrations of credit risk (Details) - Geographic Concentration Risk [Member] - Accounts Receivable [Member] |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2019 |
Dec. 31, 2018 |
|
California [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 17.00% | 19.00% |
Florida [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 8.00% | 9.00% |
Georgia [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 6.00% | 5.00% |
New York [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration Risk, Percentage | 4.00% | 5.00% |
Loans - Summary of changes in the accretable portion of discounts (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Changes in the accretable portion | ||||
Beginning Balance | $ 99,504 | $ 9,825 | $ 79,610 | $ 9,318 |
Additions | 505 | 36,443 | 20,236 | 36,443 |
Accretion | (3,438) | (543) | (6,701) | (1,033) |
Reclassifications from/(to) non-accretable difference | (2,245) | 825 | 1,604 | 1,822 |
Disposals | (4,811) | (1,499) | (5,234) | (1,499) |
Ending Balance | $ 89,515 | $ 45,051 | $ 89,515 | $ 45,051 |
Loans - Summary of Company's commercial loan portfolio (Details) - USD ($) $ in Thousands |
1 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended |
---|---|---|---|---|
Aug. 06, 2019 |
Mar. 31, 2019 |
Jun. 30, 2019 |
Dec. 31, 2018 |
|
Gain (Loss) on Securities [Line Items] | ||||
Outstanding commitment | $ 436,189 | |||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | (99,356) | |||
Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Current Face | 118,005 | $ 98,574 | ||
Premium (Discount) | (214) | (1) | ||
Amortized Cost | 117,791 | 98,573 | ||
Gross Unrealized Gains | 214 | 1 | ||
Gross Unrealized Losses | 0 | 0 | ||
Fair Value | $ 118,005 | $ 98,574 | ||
Weighted Average Coupon Rate | 7.53% | 7.45% | ||
Weighted Average Yield | 7.87% | 7.65% | ||
Weighted Average Life (in years) | 9 months 14 days | 11 months 1 day | ||
Loan B [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Current Face | $ 32,800 | $ 32,800 | ||
Premium (Discount) | 0 | 0 | ||
Amortized Cost | 32,800 | 32,800 | ||
Gross Unrealized Gains | 0 | 0 | ||
Gross Unrealized Losses | 0 | 0 | ||
Fair Value | $ 32,800 | $ 32,800 | ||
Weighted Average Coupon Rate | 7.17% | 7.13% | ||
Weighted Average Yield | 7.60% | 7.51% | ||
Weighted Average Life (in years) | 6 days | 6 months 7 days | ||
Loan F [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Current Face | $ 10,417 | |||
Premium (Discount) | (1) | |||
Amortized Cost | 10,416 | |||
Gross Unrealized Gains | 1 | |||
Gross Unrealized Losses | 0 | |||
Fair Value | $ 10,417 | |||
Weighted Average Coupon Rate | 13.39% | |||
Weighted Average Yield | 14.02% | |||
Weighted Average Life (in years) | 10 days | |||
Loan F [Member] | Mezzanine Loan [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Proceeds from Loans | $ 10,400 | |||
Loan G [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Current Face | $ 32,299 | |||
Premium (Discount) | 0 | $ 0 | ||
Amortized Cost | 32,299 | 19,357 | ||
Gross Unrealized Gains | 0 | 0 | ||
Gross Unrealized Losses | 0 | 0 | ||
Fair Value | $ 32,299 | $ 19,357 | ||
Weighted Average Coupon Rate | 7.21% | 7.14% | ||
Weighted Average Yield | 7.21% | 7.14% | ||
Weighted Average Life (in years) | 1 year 15 days | 1 year 6 months 16 days | ||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | $ 19,357 | |||
Loan G [Member] | Commercial Loan [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Outstanding commitment | $ 75,000 | |||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | (32,299) | |||
Loan G [Member] | Commercial Loan [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Amortized Cost | 32,300 | 19,400 | ||
Outstanding commitment | 75,000 | 75,000 | ||
Loan H [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Current Face | 36,000 | 36,000 | ||
Premium (Discount) | 0 | 0 | ||
Amortized Cost | 36,000 | 36,000 | ||
Gross Unrealized Gains | 0 | 0 | ||
Gross Unrealized Losses | 0 | 0 | ||
Fair Value | $ 36,000 | $ 36,000 | ||
Weighted Average Coupon Rate | 6.39% | 6.21% | ||
Weighted Average Yield | 6.39% | 6.21% | ||
Weighted Average Life (in years) | 8 months 13 days | 1 year 2 months 14 days | ||
Loan H [Member] | Commercial Loan [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Outstanding commitment | $ 36,000 | $ 36,000 | ||
Loan I [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Current Face | 7,384 | |||
Premium (Discount) | (214) | |||
Amortized Cost | 7,170 | |||
Gross Unrealized Gains | 214 | |||
Gross Unrealized Losses | 0 | |||
Fair Value | $ 7,384 | |||
Weighted Average Coupon Rate | 12.91% | |||
Weighted Average Yield | 15.36% | |||
Weighted Average Life (in years) | 1 year 6 months 19 days | |||
Loan I [Member] | Commercial Loan [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Outstanding commitment | $ 20,000 | |||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | (7,384) | |||
Loan I [Member] | Mezzanine Loan [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Amortized Cost | 7,400 | |||
Outstanding commitment | 20,000 | |||
Loan J [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Current Face | 3,233 | |||
Premium (Discount) | 0 | |||
Amortized Cost | 3,233 | |||
Gross Unrealized Gains | 0 | |||
Gross Unrealized Losses | 0 | |||
Fair Value | $ 3,233 | |||
Weighted Average Coupon Rate | 7.09% | |||
Weighted Average Yield | 7.09% | |||
Weighted Average Life (in years) | 2 years 7 months 17 days | |||
Loan J [Member] | Commercial Loan [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Outstanding commitment | $ 30,000 | |||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | (3,233) | |||
Loan J [Member] | Commercial Loan [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Amortized Cost | 3,200 | |||
Outstanding commitment | 30,000 | |||
Loan K [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Current Face | 6,289 | |||
Premium (Discount) | 0 | |||
Amortized Cost | 6,289 | |||
Gross Unrealized Gains | 0 | |||
Gross Unrealized Losses | 0 | |||
Fair Value | $ 6,289 | |||
Weighted Average Coupon Rate | 11.44% | |||
Weighted Average Yield | 12.65% | |||
Weighted Average Life (in years) | 2 years 1 month 21 days | |||
Outstanding commitment | $ 15,000 | |||
Loan K [Member] | Commercial Loan [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Outstanding commitment | 20,000 | |||
The amount the entity has funded to date out of the amount it has agreed to spend under the long-term purchase commitment. | (6,289) | |||
Loan K [Member] | Commercial Loan [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Amortized Cost | 4,700 | |||
Loan K [Member] | Mezzanine Loan [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Amortized Cost | 1,600 | |||
Outstanding commitment | 5,000 | |||
Maximum [Member] | Loan B [Member] | Commercial Loan [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Loan balances | 31,800 | 31,800 | ||
Minimum [Member] | Loan B [Member] | Mezzanine Loan [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Loan balances | $ 1,000 | 1,000 | ||
Minimum [Member] | Loan F [Member] | Mezzanine Loan [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Loan balances | $ 10,400 | |||
Subsequent Event [Member] | Loan G [Member] | Commercial Loan [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Outstanding commitment | $ 84,500 | |||
Subsequent Event [Member] | Loan G [Member] | Commercial Loan [Member] | Commercial Portfolio Segment [Member] | ||||
Gain (Loss) on Securities [Line Items] | ||||
Outstanding commitment | $ 84,500 |
Excess MSRs - Summary of Excess MSR portfolio (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2019 |
Dec. 31, 2018 |
|
Disclosure of Excess MSRs [Line Items] | ||
Unpaid Principal Balance | $ 3,375,106 | $ 3,605,758 |
Amortized Cost | 22,197 | 26,397 |
Gross Unrealized Gains | 64 | 1,081 |
Gross Unrealized Losses | (1,368) | (828) |
Fair Value | $ 20,893 | $ 26,650 |
Weighted Average Yield | 7.58% | 10.62% |
Weighted Average Life (Years) | 5 years 8 months 26 days | 6 years 8 months 29 days |
Agency Excess MSRs [Member] | ||
Disclosure of Excess MSRs [Line Items] | ||
Unpaid Principal Balance | $ 3,336,937 | $ 3,564,527 |
Amortized Cost | 22,006 | 26,182 |
Gross Unrealized Gains | 64 | 1,081 |
Gross Unrealized Losses | (1,359) | (821) |
Fair Value | $ 20,711 | $ 26,442 |
Weighted Average Yield | 7.37% | 10.43% |
Weighted Average Life (Years) | 5 years 8 months 29 days | 6 years 9 months 6 days |
Credit Excess MSRs [Member] | ||
Disclosure of Excess MSRs [Line Items] | ||
Unpaid Principal Balance | $ 38,169 | $ 41,231 |
Amortized Cost | 191 | 215 |
Gross Unrealized Gains | 0 | 0 |
Gross Unrealized Losses | (9) | (7) |
Fair Value | $ 182 | $ 208 |
Weighted Average Yield | 24.28% | 24.09% |
Weighted Average Life (Years) | 5 years 1 month 27 days | 5 years 8 days |
Excess MSRs - Narrative (Details) - USD ($) |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Disclosure of Excess MSRs [Abstract] | ||||
Excess MSR, OTTI | $ 1,600,000 | $ 0 | $ 2,200,000 | $ 0 |
Excess MSR, OTTI not recognized in a prior period | $ 400,000 | $ 500,000 |
Single-family rental properties - Narrative (Details) |
1 Months Ended | 3 Months Ended | 6 Months Ended | |
---|---|---|---|---|
Sep. 30, 2018
USD ($)
property
|
Jun. 30, 2019
USD ($)
|
Jun. 30, 2019
USD ($)
|
Dec. 31, 2018
USD ($)
|
|
Real Estate [Line Items] | ||||
Number of single-family residential properties | property | 1,225 | |||
Payments to acquire real estate | $ 140,900,000 | $ 136,374,000 | $ 136,374,000 | $ 138,678,000 |
Capitalized acquisition costs (excluding purchase price) | 1,300,000 | |||
Depreciation expense | 900,000 | 1,800,000 | ||
Amortization related to in-place lease intangible assets | 300,000 | 800,000 | ||
Property operating expenses | 1,600,000 | 3,200,000 | ||
Property management fees | $ 300,000 | $ 500,000 | ||
In-Place Lease Intangibles [Member] | ||||
Real Estate [Line Items] | ||||
Weighted average useful life, intangible assets | 12 days | |||
Fixed Rate Debt [Member] | ||||
Real Estate [Line Items] | ||||
Fixed rate debt | $ 103,000,000.0 | |||
Debt instrument, term | 5 years |
Single-family rental properties - Summary of real estate properties by component (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
Sep. 30, 2018 |
---|---|---|---|
Real Estate [Abstract] | |||
Land | $ 29,104 | $ 29,104 | |
Building and improvements | 110,136 | 109,812 | |
In-place lease intangibles | 2,097 | 2,098 | |
Single-family rental properties | 141,337 | 141,014 | |
Less: Accumulated depreciation and amortization | (4,963) | (2,336) | |
Single-family rental properties, net | $ 136,374 | $ 138,678 | $ 140,900 |
Single-family rental properties - Summary of future minimum rental payments (Details) $ in Thousands |
Jun. 30, 2019
USD ($)
|
---|---|
Real Estate [Abstract] | |
2019 (last 6 months) | $ 6,736 |
2020 | 2,272 |
2021 | 35 |
2022 | 6 |
Total | $ 9,049 |
Fair value measurements - Summary of financial instruments measured at fair value (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Assets: | ||
Assets, Fair Value Disclosure | $ 3,509,313 | $ 3,230,179 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (9,168) | (22,553) |
AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 18,717 | 20,360 |
Cash Equivalents [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 45,757 | 595 |
Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 780 | 1,729 |
Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (538) | (317) |
Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,990,866 | 1,830,115 |
Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 40,773 | 44,357 |
Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 91,449 | 113,808 |
Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 678,658 | 622,251 |
Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,834 | 3,099 |
ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 20,571 | 21,160 |
CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 234,204 | 211,054 |
CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 46,836 | 50,331 |
Residential Mortgage [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 199,970 | 186,096 |
Commercial Loan [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 118,005 | 98,574 |
Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 20,893 | 26,650 |
Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (8,630) | (10,858) |
Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (11,378) | |
Fair Value, Inputs, Level 1 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 45,757 | 595 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Cash Equivalents [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 45,757 | 595 |
Fair Value, Inputs, Level 1 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Residential Mortgage [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Commercial Loan [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 1 [Member] | Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | |
Fair Value, Inputs, Level 2 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 2,255,360 | 2,120,706 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (538) | (11,695) |
Fair Value, Inputs, Level 2 [Member] | AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Cash Equivalents [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 780 | 1,729 |
Fair Value, Inputs, Level 2 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (538) | (317) |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,990,866 | 1,830,115 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 40,773 | 44,357 |
Fair Value, Inputs, Level 2 [Member] | Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 91,449 | 113,808 |
Fair Value, Inputs, Level 2 [Member] | Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 117,513 | 130,697 |
Fair Value, Inputs, Level 2 [Member] | Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 13,979 | 0 |
Fair Value, Inputs, Level 2 [Member] | CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Residential Mortgage [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Commercial Loan [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 2 [Member] | Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | (11,378) | |
Fair Value, Inputs, Level 3 [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,208,196 | 1,108,878 |
Liabilities: | ||
Liabilities, Fair Value Disclosure | (8,630) | (10,858) |
Fair Value, Inputs, Level 3 [Member] | AG Arc [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 18,717 | 20,360 |
Fair Value, Inputs, Level 3 [Member] | Cash Equivalents [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Derivative Assets [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Derivative Liabilities [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: 30 Year Fixed Rate [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: Fixed Rate CMO [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Agency RMBS: Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 0 | 0 |
Fair Value, Inputs, Level 3 [Member] | Non-Agency RMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 561,145 | 491,554 |
Fair Value, Inputs, Level 3 [Member] | Non-Agency RMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 1,834 | 3,099 |
Fair Value, Inputs, Level 3 [Member] | ABS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 20,571 | 21,160 |
Fair Value, Inputs, Level 3 [Member] | CMBS [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 220,225 | 211,054 |
Fair Value, Inputs, Level 3 [Member] | CMBS Interest Only [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 46,836 | 50,331 |
Fair Value, Inputs, Level 3 [Member] | Residential Mortgage [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 199,970 | 186,096 |
Fair Value, Inputs, Level 3 [Member] | Commercial Loan [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 118,005 | 98,574 |
Fair Value, Inputs, Level 3 [Member] | Excess Mortgage Servicing Rights [Member] | ||
Assets: | ||
Assets, Fair Value Disclosure | 20,893 | 26,650 |
Fair Value, Inputs, Level 3 [Member] | Securitized debt [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | $ (8,630) | (10,858) |
Fair Value, Inputs, Level 3 [Member] | Securities Borrowed Under Reverse Repurchase Agreements [Member] | ||
Liabilities: | ||
Liabilities, Fair Value Disclosure | $ 0 |
Fair value measurements - Summary of assets and liabilities measured on a recurring basis (Details) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019
USD ($)
security
|
Jun. 30, 2018
USD ($)
security
|
Jun. 30, 2019
USD ($)
security
|
Jun. 30, 2018
USD ($)
security
|
|
Non-Agency RMBS [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 506,103 | $ 730,919 | $ 491,554 | $ 845,424 |
Transfers: | ||||
Transfers into level 3 | 24,194 | 93,951 | 55,174 | 101,985 |
Transfers out of level 3 | (61,531) | 0 | ||
Purchases/Transfers | 61,496 | 2,291 | 140,562 | 93,877 |
Capital contributions | 0 | |||
Proceeds from sales/redemptions | (14,606) | (6,683) | (49,242) | (184,804) |
Proceeds from settlement | (22,573) | (31,612) | (27,873) | (69,563) |
Total net gains/(losses) | ||||
Included in net income | 6,531 | (2,758) | 12,501 | (811) |
Ending Balance | 561,145 | 786,108 | 561,145 | 786,108 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ 5,108 | $ (2,722) | $ 10,087 | $ (1,697) |
Number of securities transferred | security | 3 | 7 | 7 | 8 |
Non-Agency RMBS [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 6 | |||
Non-Agency RMBS Interest Only [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 2,501 | $ 2,913 | $ 3,099 | $ 2,662 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | 0 |
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | 0 | 0 | 0 |
Proceeds from settlement | 0 | 0 | 0 | 0 |
Total net gains/(losses) | ||||
Included in net income | (667) | (42) | (1,265) | 209 |
Ending Balance | 1,834 | 2,871 | 1,834 | 2,871 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (386) | (42) | (984) | 229 |
ABS [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 20,199 | 35,838 | 21,160 | 40,958 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 819 | 2,628 | 1,158 | 5,596 |
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | 0 | (1,283) | 0 |
Proceeds from settlement | (634) | (737) | (1,183) | (8,711) |
Total net gains/(losses) | ||||
Included in net income | 187 | 26 | 719 | (88) |
Ending Balance | 20,571 | 37,755 | 20,571 | 37,755 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 187 | 26 | 654 | (69) |
CMBS [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 212,904 | 182,970 | 211,054 | 161,250 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | (5,279) | (6,951) | ||
Purchases/Transfers | 23,656 | 26,056 | 43,445 | 56,256 |
Capital contributions | 0 | |||
Proceeds from sales/redemptions | (14,097) | 0 | (20,165) | 0 |
Proceeds from settlement | (7,570) | (48,241) | (22,934) | (49,145) |
Total net gains/(losses) | ||||
Included in net income | 5,332 | (953) | 14,104 | (1,578) |
Ending Balance | 220,225 | 159,832 | 220,225 | 159,832 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 5,329 | (1,026) | $ 10,733 | $ (1,651) |
CMBS [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Total net gains/(losses) | ||||
Number of securities transferred | security | 2 | 1 | ||
CMBS Interest Only [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 49,397 | 48,625 | $ 50,331 | $ 50,702 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | 0 |
Capital contributions | 0 | |||
Proceeds from sales/redemptions | (1,714) | (4,659) | (1,714) | (4,659) |
Proceeds from settlement | 0 | 0 | 0 | 0 |
Total net gains/(losses) | ||||
Included in net income | (847) | (784) | (1,781) | (2,861) |
Ending Balance | 46,836 | 43,182 | 46,836 | 43,182 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (772) | (551) | (1,706) | (2,628) |
Residential Mortgage [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 202,047 | 19,872 | 186,096 | 18,890 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 6,250 | 105,041 | 25,995 | 105,041 |
Capital contributions | 0 | |||
Proceeds from sales/redemptions | (12,704) | (30,832) | (12,780) | (30,832) |
Proceeds from settlement | (4,152) | (1,073) | (8,189) | (1,256) |
Total net gains/(losses) | ||||
Included in net income | 8,529 | 121 | 8,848 | 1,286 |
Ending Balance | 199,970 | 93,129 | 199,970 | 93,129 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 7,847 | (581) | 7,992 | 584 |
Commercial Loan [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 110,223 | 57,666 | 98,574 | 57,521 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 8,132 | 0 | 29,648 | 0 |
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | 0 | 0 | 0 |
Proceeds from settlement | 0 | (14,522) | (10,417) | (14,522) |
Total net gains/(losses) | ||||
Included in net income | (350) | 73 | 200 | 218 |
Ending Balance | 118,005 | 43,217 | 118,005 | 43,217 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (350) | (145) | 200 | 0 |
Excess Mortgage Servicing Rights [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 24,301 | 30,747 | 26,650 | 5,084 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | (209) | 0 | 25,162 |
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | 0 | 0 | 0 |
Proceeds from settlement | 0 | (179) | 0 | (512) |
Total net gains/(losses) | ||||
Included in net income | (3,408) | (1,077) | (5,757) | (452) |
Ending Balance | 20,893 | 29,282 | 20,893 | 29,282 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (1,803) | (1,077) | (3,539) | (452) |
AG Arc [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 23,775 | 18,438 | 20,360 | 17,911 |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | 0 |
Capital contributions | 6,689 | |||
Proceeds from sales/redemptions | 0 | 0 | 0 | 0 |
Proceeds from settlement | 0 | 0 | 0 | 0 |
Total net gains/(losses) | ||||
Included in net income | (5,058) | (85) | (8,332) | 442 |
Ending Balance | 18,717 | 18,353 | 18,717 | 18,353 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (5,058) | (85) | (8,332) | 442 |
Securitized Debt [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | (10,515) | (15,497) | (10,858) | (16,478) |
Transfers: | ||||
Transfers into level 3 | 0 | 0 | 0 | 0 |
Transfers out of level 3 | 0 | 0 | ||
Purchases/Transfers | 0 | 0 | 0 | 0 |
Capital contributions | 0 | |||
Proceeds from sales/redemptions | 0 | 0 | 0 | 0 |
Proceeds from settlement | 1,898 | 1,488 | 2,215 | 2,482 |
Total net gains/(losses) | ||||
Included in net income | (13) | 25 | 13 | 12 |
Ending Balance | (8,630) | (13,984) | (8,630) | (13,984) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ (13) | $ 25 | $ 13 | $ 12 |
Fair value measurements - Summary of gains/(losses) recorded in the statement of operations (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Condensed Income Statements, Captions [Line Items] | ||||
Gain (loss) included in statement of operations | $ 10,089 | $ (6,178) | $ 15,118 | $ (5,230) |
Unrealized gain/(loss) on derivative and other instruments, net | (20,925) | 41,871 | ||
Equity in earnings/(loss) from affiliates | 2,050 | 323 | 1,279 | 3,063 |
Interest Income [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | (1,816) | (427) | (3,526) | (440) |
Equity in earnings/(loss) from affiliates | (5,058) | (86) | (8,332) | 441 |
Real Estate Securities And Loans [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Gain (loss) included in statement of operations | 16,963 | (5,665) | 26,976 | (5,231) |
Fair Value, Inputs, Level 3 [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Gain (loss) included in statement of operations | 10,236 | (5,456) | 19,250 | (3,624) |
Fair Value, Inputs, Level 3 [Member] | Available-for-sale Securities [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Gain (loss) included in statement of operations | 383 | 829 | 3,581 | 5,470 |
Fair Value, Inputs, Level 3 [Member] | Interest Income [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Unrealized gain/(loss) on derivative and other instruments, net | (3,421) | (427) | (5,744) | (440) |
Equity in earnings/(loss) from affiliates | (5,058) | (86) | (8,332) | 441 |
Fair Value, Inputs, Level 3 [Member] | Real Estate Securities And Loans [Member] | ||||
Condensed Income Statements, Captions [Line Items] | ||||
Gain (loss) included in statement of operations | $ 18,332 | $ (5,772) | $ 29,745 | $ (9,095) |
Fair value measurements - Summary of valuation techniques (Details) - Fair Value, Inputs, Level 3 [Member] $ in Thousands |
Jun. 30, 2019
USD ($)
$ / shares
|
Dec. 31, 2018
USD ($)
$ / shares
|
---|---|---|
Non-Agency RMBS [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | $ 551,234 | $ 475,927 |
Non-Agency RMBS [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 9,911 | 15,627 |
Non-Agency RMBS Interest Only [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, fair value | 1,834 | 3,099 |
ABS [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 12,781 | 13,346 |
ABS [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 7,790 | 7,814 |
CMBS [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 220,225 | 208,228 |
CMBS [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, fair value | 2,826 | |
CMBS Interest Only [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, fair value | 46,836 | 50,331 |
Residential Mortgage [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 199,970 | 86,813 |
Residential Mortgage [Member] | Recent Transaction Price [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 99,283 | |
Commercial Loan [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 39,089 | 32,800 |
Commercial Loan [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 78,916 | 65,774 |
Excess Mortgage Servicing Rights [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, fair value | 20,711 | 26,442 |
Excess Mortgage Servicing Rights [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, fair value | 182 | 208 |
AG Arc [Member] | Comparable Multiple [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 18,717 | 20,360 |
Securitized debt [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, fair value | $ (8,630) | $ (10,858) |
Measurement Input, Book Value Multiple [Member] | AG Arc [Member] | Comparable Multiple [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.0 | 1.0 |
Measurement Input, Discount Rate [Member] | Non-Agency RMBS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0231 | 0.0332 |
Measurement Input, Discount Rate [Member] | Non-Agency RMBS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.2000 | 0.2000 |
Measurement Input, Discount Rate [Member] | Non-Agency RMBS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0516 | 0.0534 |
Measurement Input, Discount Rate [Member] | Non-Agency RMBS Interest Only [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0700 | 0.0700 |
Measurement Input, Discount Rate [Member] | Non-Agency RMBS Interest Only [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.3500 | 0.3500 |
Measurement Input, Discount Rate [Member] | Non-Agency RMBS Interest Only [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.2505 | 0.2737 |
Measurement Input, Discount Rate [Member] | ABS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0867 | 0.0000 |
Measurement Input, Discount Rate [Member] | ABS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0886 | 0.0000 |
Measurement Input, Discount Rate [Member] | ABS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0871 | 0.0000 |
Measurement Input, Discount Rate [Member] | CMBS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0380 | 0.0499 |
Measurement Input, Discount Rate [Member] | CMBS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1340 | 0.1451 |
Measurement Input, Discount Rate [Member] | CMBS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0695 | 0.0791 |
Measurement Input, Discount Rate [Member] | CMBS Interest Only [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0296 | 0.0367 |
Measurement Input, Discount Rate [Member] | CMBS Interest Only [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1011 | 0.1079 |
Measurement Input, Discount Rate [Member] | CMBS Interest Only [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0426 | 0.0493 |
Measurement Input, Discount Rate [Member] | Residential Mortgage [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0500 | 0.0592 |
Measurement Input, Discount Rate [Member] | Residential Mortgage [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0825 | 0.0900 |
Measurement Input, Discount Rate [Member] | Residential Mortgage [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0528 | 0.0633 |
Measurement Input, Discount Rate [Member] | Commercial Loan [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0417 | 0.0751 |
Measurement Input, Discount Rate [Member] | Commercial Loan [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0699 | 0.0751 |
Measurement Input, Discount Rate [Member] | Commercial Loan [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0525 | 0.0751 |
Measurement Input, Discount Rate [Member] | Excess Mortgage Servicing Rights [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0850 | 0.0850 |
Measurement Input, Discount Rate [Member] | Excess Mortgage Servicing Rights [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1163 | 0.1162 |
Measurement Input, Discount Rate [Member] | Excess Mortgage Servicing Rights [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0919 | 0.0918 |
Measurement Input, Discount Rate [Member] | Securitized debt [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0315 | 0.0409 |
Measurement Input, Discount Rate [Member] | Securitized debt [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0315 | 0.0409 |
Measurement Input, Discount Rate [Member] | Securitized debt [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0315 | 0.0409 |
Measurement Input, Prepayment Rate [Member] | Non-Agency RMBS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0000 | 0.0000 |
Measurement Input, Prepayment Rate [Member] | Non-Agency RMBS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 1.0000 | 1.0000 |
Measurement Input, Prepayment Rate [Member] | Non-Agency RMBS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1687 | 0.1366 |
Measurement Input, Prepayment Rate [Member] | Non-Agency RMBS Interest Only [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0950 | 0.0950 |
Measurement Input, Prepayment Rate [Member] | Non-Agency RMBS Interest Only [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1800 | 0.1800 |
Measurement Input, Prepayment Rate [Member] | Non-Agency RMBS Interest Only [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1581 | 0.1570 |
Measurement Input, Prepayment Rate [Member] | ABS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.2000 | 0.2000 |
Measurement Input, Prepayment Rate [Member] | ABS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.2000 | 0.2000 |
Measurement Input, Prepayment Rate [Member] | ABS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.2000 | 0.2000 |
Measurement Input, Prepayment Rate [Member] | CMBS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0000 | 0.0000 |
Measurement Input, Prepayment Rate [Member] | CMBS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0000 | 0.0000 |
Measurement Input, Prepayment Rate [Member] | CMBS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0000 | 0.0000 |
Measurement Input, Prepayment Rate [Member] | CMBS Interest Only [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.9900 | 0.9900 |
Measurement Input, Prepayment Rate [Member] | CMBS Interest Only [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 1.0000 | 1.0000 |
Measurement Input, Prepayment Rate [Member] | CMBS Interest Only [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.9992 | 0.9992 |
Measurement Input, Prepayment Rate [Member] | Residential Mortgage [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0463 | 0.0499 |
Measurement Input, Prepayment Rate [Member] | Residential Mortgage [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0882 | 0.0837 |
Measurement Input, Prepayment Rate [Member] | Residential Mortgage [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0741 | 0.0795 |
Measurement Input, Prepayment Rate [Member] | Excess Mortgage Servicing Rights [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.0909 | 0.0631 |
Measurement Input, Prepayment Rate [Member] | Excess Mortgage Servicing Rights [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1668 | 0.1012 |
Measurement Input, Prepayment Rate [Member] | Excess Mortgage Servicing Rights [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | 0.1210 | 0.0847 |
Measurement Input, Prepayment Rate [Member] | Securitized debt [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1000 | 0.1000 |
Measurement Input, Prepayment Rate [Member] | Securitized debt [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1000 | 0.1000 |
Measurement Input, Prepayment Rate [Member] | Securitized debt [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1000 | 0.1000 |
Measurement Input, Collateral Losses [Member] | Non-Agency RMBS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0000 | 0.0000 |
Measurement Input, Collateral Losses [Member] | Non-Agency RMBS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.3000 | 0.3000 |
Measurement Input, Collateral Losses [Member] | Non-Agency RMBS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0147 | 0.0224 |
Measurement Input, Collateral Losses [Member] | Non-Agency RMBS Interest Only [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0075 | |
Measurement Input, Collateral Losses [Member] | Non-Agency RMBS Interest Only [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0200 | |
Measurement Input, Collateral Losses [Member] | Non-Agency RMBS Interest Only [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0153 | |
Measurement Input, Collateral Losses [Member] | ABS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0200 | 0.0200 |
Measurement Input, Collateral Losses [Member] | ABS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0200 | 0.0200 |
Measurement Input, Collateral Losses [Member] | ABS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0200 | 0.0200 |
Measurement Input, Collateral Losses [Member] | CMBS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0000 | 0.0000 |
Measurement Input, Collateral Losses [Member] | CMBS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0000 | 0.0050 |
Measurement Input, Collateral Losses [Member] | CMBS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0000 | 0.0002 |
Measurement Input, Collateral Losses [Member] | CMBS Interest Only [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0000 | 0.0000 |
Measurement Input, Collateral Losses [Member] | CMBS Interest Only [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0000 | 0.0000 |
Measurement Input, Collateral Losses [Member] | CMBS Interest Only [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0000 | 0.0000 |
Measurement Input, Collateral Losses [Member] | Residential Mortgage [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0152 | 0.0143 |
Measurement Input, Collateral Losses [Member] | Residential Mortgage [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0497 | 0.0583 |
Measurement Input, Collateral Losses [Member] | Residential Mortgage [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0217 | 0.0194 |
Measurement Input, Collateral Losses [Member] | Securitized debt [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0350 | 0.0350 |
Measurement Input, Collateral Losses [Member] | Securitized debt [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0350 | 0.0350 |
Measurement Input, Collateral Losses [Member] | Securitized debt [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0350 | 0.0350 |
Measurement Input, Loss Severity [Member] | Non-Agency RMBS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | (0.0190) | (0.0043) |
Measurement Input, Loss Severity [Member] | Non-Agency RMBS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 1.0000 | 1.0000 |
Measurement Input, Loss Severity [Member] | Non-Agency RMBS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.2108 | 0.2630 |
Measurement Input, Loss Severity [Member] | Non-Agency RMBS Interest Only [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.2000 | |
Measurement Input, Loss Severity [Member] | Non-Agency RMBS Interest Only [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.6500 | |
Measurement Input, Loss Severity [Member] | Non-Agency RMBS Interest Only [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.3404 | |
Measurement Input, Loss Severity [Member] | ABS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.5000 | 0.5000 |
Measurement Input, Loss Severity [Member] | ABS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.5000 | 0.5000 |
Measurement Input, Loss Severity [Member] | ABS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.5000 | 0.5000 |
Measurement Input, Loss Severity [Member] | CMBS [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0000 | 0.0000 |
Measurement Input, Loss Severity [Member] | CMBS [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0000 | 0.2500 |
Measurement Input, Loss Severity [Member] | CMBS [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0000 | 0.0105 |
Measurement Input, Loss Severity [Member] | CMBS Interest Only [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0000 | 0.0000 |
Measurement Input, Loss Severity [Member] | CMBS Interest Only [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0000 | 0.0000 |
Measurement Input, Loss Severity [Member] | CMBS Interest Only [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0000 | 0.0000 |
Measurement Input, Loss Severity [Member] | Residential Mortgage [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0325 | 0.0628 |
Measurement Input, Loss Severity [Member] | Residential Mortgage [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.3789 | 0.3219 |
Measurement Input, Loss Severity [Member] | Residential Mortgage [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.2646 | 0.0813 |
Measurement Input, Loss Severity [Member] | Securitized debt [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.4500 | 0.4500 |
Measurement Input, Loss Severity [Member] | Securitized debt [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.4500 | 0.4500 |
Measurement Input, Loss Severity [Member] | Securitized debt [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.4500 | 0.4500 |
Measurement Input, Offered Price [Member] | Non-Agency RMBS [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 89.89 | 86.57 |
Measurement Input, Offered Price [Member] | Non-Agency RMBS [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 97.40 | 97.39 |
Measurement Input, Offered Price [Member] | Non-Agency RMBS [Member] | Weighted Average [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 94.41 | 92.43 |
Measurement Input, Offered Price [Member] | ABS [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 100.00 | 100.00 |
Measurement Input, Offered Price [Member] | ABS [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 100.00 | 100.00 |
Measurement Input, Offered Price [Member] | ABS [Member] | Weighted Average [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 100.00 | 100.00 |
Measurement Input, Offered Price [Member] | CMBS [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 0.00 | 4.83 |
Measurement Input, Offered Price [Member] | CMBS [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 0.00 | 8.88 |
Measurement Input, Offered Price [Member] | CMBS [Member] | Weighted Average [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | $ / shares | 0.00 | 7.87 |
Measurement Input, Offered Price [Member] | Commercial Loan [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 100.00 | 100.00 |
Measurement Input, Offered Price [Member] | Commercial Loan [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 100.00 | 100.00 |
Measurement Input, Offered Price [Member] | Commercial Loan [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | $ / shares | 100.00 | 100.00 |
Measurement Input, Offered Price [Member] | Excess Mortgage Servicing Rights [Member] | Minimum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.01 | 0.02 |
Measurement Input, Offered Price [Member] | Excess Mortgage Servicing Rights [Member] | Maximum [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.46 | 0.49 |
Measurement Input, Offered Price [Member] | Excess Mortgage Servicing Rights [Member] | Weighted Average [Member] | Consensus Pricing [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Servicing asset, measurement input | $ / shares | 0.45 | 0.47 |
Measurement Input, Credit Spread [Member] | Commercial Loan [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 475 | 475 |
Measurement Input, Credit Spread [Member] | Commercial Loan [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 900 | 475 |
Measurement Input, Credit Spread [Member] | Commercial Loan [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 543 | 475.00 |
Measurement Input, Recovery Rate [Member] | Commercial Loan [Member] | Minimum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.0000 | 1.0000 |
Measurement Input, Recovery Rate [Member] | Commercial Loan [Member] | Maximum [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.0000 | 1.0000 |
Measurement Input, Recovery Rate [Member] | Commercial Loan [Member] | Weighted Average [Member] | Valuation Technique, Discounted Cash Flow [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 1.0000 | 1.0000 |
Financing arrangements - Summary of financing arrangements (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Repurchase Agreement Disclosure [Line Items] | ||
Debt instrument, borrowing capacity, amount | $ 224,226 | $ 226,632 |
Financing arrangements, net | 2,993,233 | 2,822,505 |
Term Loan [Member] | ||
Repurchase Agreement Disclosure [Line Items] | ||
Debt instrument, borrowing capacity, amount | 101,983 | 102,017 |
Revolving Credit Facility [Member] | ||
Repurchase Agreement Disclosure [Line Items] | ||
Debt instrument, borrowing capacity, amount | 122,243 | 124,615 |
Net Amounts Of Liabilities Presented In The Consolidated Balance Sheet [Member] | ||
Repurchase Agreement Disclosure [Line Items] | ||
Gross Liability for repurchase agreements | $ 2,769,007 | $ 2,595,873 |
Financing arrangements - Summary of repurchase agreements (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 2,662,251 | $ 2,512,111 |
Weighted Average Rate | 2.88% | 2.86% |
Weighted Average Haircut | 9.50% | 9.30% |
Fair Value Pledged | $ 2,978,356 | $ 2,794,303 |
Amortized Cost | 2,843,592 | 2,743,825 |
Accrued Interest | 10,871 | 10,906 |
Residential Mortgage [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 104,673 | |
Weighted Average Rate | 4.19% | |
Weighted Average Funding Cost | 4.28% | |
Weighted Average Haircut | 18.10% | |
Fair Value Pledged | $ 127,854 | |
Amortized Cost | 122,442 | |
Accrued Interest | 115 | |
Overnight [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 118,272 | $ 52,385 |
Weighted Average Rate | 2.69% | 3.92% |
Weighted Average Haircut | 3.20% | 3.00% |
Fair Value Pledged | $ 122,242 | $ 54,032 |
Amortized Cost | 118,803 | 53,848 |
Accrued Interest | 404 | 177 |
30 days or less [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 1,528,744 | $ 1,555,709 |
Weighted Average Rate | 2.94% | 2.80% |
Weighted Average Haircut | 10.10% | 9.70% |
Fair Value Pledged | $ 1,726,287 | $ 1,733,753 |
Amortized Cost | 1,644,265 | 1,698,750 |
Accrued Interest | 6,917 | 7,294 |
30 days or less [Member] | Residential Mortgage [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 4,535 | |
Weighted Average Rate | 3.63% | |
Weighted Average Funding Cost | 3.63% | |
Weighted Average Haircut | 22.30% | |
Fair Value Pledged | $ 5,833 | |
Amortized Cost | 5,833 | |
Accrued Interest | 7 | |
31-60 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 559,764 | $ 852,017 |
Weighted Average Rate | 2.89% | 2.85% |
Weighted Average Haircut | 10.40% | 8.10% |
Fair Value Pledged | $ 634,313 | $ 939,222 |
Amortized Cost | 597,477 | 925,418 |
Accrued Interest | 1,937 | 3,123 |
61-90 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 202,596 | $ 46,594 |
Weighted Average Rate | 2.88% | 3.89% |
Weighted Average Haircut | 9.60% | 21.40% |
Fair Value Pledged | $ 225,928 | $ 59,319 |
Amortized Cost | 220,055 | 58,422 |
Accrued Interest | 794 | 306 |
91-180 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 248,955 | |
Weighted Average Rate | 2.62% | |
Weighted Average Haircut | 5.70% | |
Fair Value Pledged | $ 263,368 | |
Amortized Cost | 257,229 | |
Accrued Interest | 815 | |
Maturity Over 180 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 3,920 | $ 5,406 |
Weighted Average Rate | 4.40% | 4.53% |
Weighted Average Haircut | 23.30% | 23.10% |
Fair Value Pledged | $ 6,218 | $ 7,977 |
Amortized Cost | 5,763 | 7,387 |
Accrued Interest | 4 | 6 |
Maturity Over 180 Days [Member] | Residential Mortgage [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 100,138 | $ 83,762 |
Weighted Average Rate | 4.21% | 4.27% |
Weighted Average Funding Cost | 4.31% | 4.37% |
Weighted Average Haircut | 17.90% | 15.60% |
Fair Value Pledged | $ 122,021 | $ 99,283 |
Amortized Cost | 116,609 | 99,457 |
Accrued Interest | 108 | $ 91 |
Maturity Over 180 Days [Member] | Commercial Loan [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance | $ 2,083 | |
Weighted Average Rate | 5.17% | |
Weighted Average Funding Cost | 7.04% | |
Weighted Average Haircut | 35.60% | |
Fair Value Pledged | $ 3,233 | |
Amortized Cost | 3,233 | |
Accrued Interest | $ 19 |
Financing arrangements - Summary of securities collateral information (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Fair Value of investments pledged as collateral under repurchase agreements | ||
Cash pledged (i.e., restricted cash) under repurchase agreements | $ 10,022 | $ 20,267 |
The total amount of collateral pledged under repurchase agreements | 3,119,465 | 2,913,853 |
Total collateral posted to us under repurchase agreements | 0 | 2,657 |
Agency RMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 2,054,569 | 1,927,359 |
Total collateral posted to us under repurchase agreements | 0 | 1,534 |
Non-Agency RMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 652,582 | 605,243 |
ABS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 12,781 | 13,346 |
CMBS [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 258,424 | 248,355 |
US Treasury Securities [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Total collateral posted to us under repurchase agreements | 0 | 1,123 |
Residential Mortgage [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | 127,854 | 99,283 |
Commercial Loan [Member] | ||
Fair Value of investments pledged as collateral under repurchase agreements | ||
Fair Value of investments pledged as collateral under repurchase agreements | $ 3,233 | $ 0 |
Financing arrangements - Summary of total borrowings under repurchase agreements (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Agency RMBS [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | $ 1,941,812 | $ 1,805,054 |
Non-Agency RMBS [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 517,514 | 499,851 |
ABS [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 9,455 | 10,548 |
CMBS [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 193,470 | 196,658 |
Residential Mortgage [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 104,673 | 83,762 |
Commercial Loan [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | 2,083 | 0 |
Gross Amounts of Recognized Liabilities [Member] | ||
Schedule Of Total Borrowings Under Repurchase Agreements [Line Items] | ||
Gross Liability for repurchase agreements | $ 2,769,007 | $ 2,595,873 |
Financing arrangements - Summary of gross and net information about repurchase agreements (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Gross Amounts of Recognized Liabilities [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | $ 2,769,007 | $ 2,595,873 |
Gross Amounts Offset In The Consolidated Balance Sheets [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | 0 | 0 |
Net Amounts Of Liabilities Presented In The Consolidated Balance Sheets [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | 2,769,007 | 2,595,873 |
Gross Amounts Not Offset in the Consolidated Balance Sheets Financial Instruments Posted [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | 2,769,007 | 2,595,873 |
Gross Amounts Not Offset in the Consolidated Balance Sheets of Cash Collateral Posted [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | 0 | 0 |
Net Amount [Member] | ||
Gross And Net Information About Repurchase Agreement Disclosure [Line Items] | ||
Financing arrangements, net | $ 0 | $ 0 |
Financing arrangements - Summary of term loan and revolving facilities (Details) - USD ($) |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Debt Instrument [Line Items] | ||
Balance | $ 224,226,000 | $ 226,632,000 |
Net Carrying Value of Assets Pledged as Collateral | 308,990,000 | $ 312,178,000 |
Maximum Aggregate Borrowing Capacity | $ 334,662,000 | |
Term Loan [Member] | ||
Debt Instrument [Line Items] | ||
Rate | 4.63% | 4.63% |
Funding Cost | 4.80% | 4.80% |
Balance | $ 101,983,000 | $ 102,017,000 |
Net Carrying Value of Assets Pledged as Collateral | 136,374,000 | 138,678,000 |
Maximum Aggregate Borrowing Capacity | 102,866,000 | 103,000,000 |
Financing fees | $ 900,000 | $ 1,000,000 |
Revolving Credit Facility A [Member] | ||
Debt Instrument [Line Items] | ||
Rate | 4.55% | 4.66% |
Funding Cost | 4.55% | 4.66% |
Balance | $ 21,796,000 | $ 21,796,000 |
Net Carrying Value of Assets Pledged as Collateral | 32,800,000 | $ 32,800,000 |
Maximum Aggregate Borrowing Capacity | $ 21,796,000 | |
Revolving Credit Facility B [Member] | ||
Debt Instrument [Line Items] | ||
Rate | 4.41% | 4.53% |
Funding Cost | 4.41% | 4.54% |
Balance | $ 52,603,000 | $ 63,328,000 |
Net Carrying Value of Assets Pledged as Collateral | 71,517,000 | $ 85,343,000 |
Maximum Aggregate Borrowing Capacity | $ 110,000,000 | |
Revolving Credit Facility C [Member] | ||
Debt Instrument [Line Items] | ||
Rate | 4.55% | 4.53% |
Funding Cost | 4.78% | 4.80% |
Balance | $ 47,844,000 | $ 39,491,000 |
Net Carrying Value of Assets Pledged as Collateral | 68,299,000 | 55,357,000 |
Maximum Aggregate Borrowing Capacity | 100,000,000 | |
Revolving Credit Facility [Member] | ||
Debt Instrument [Line Items] | ||
Balance | 122,243,000 | 124,615,000 |
Net Carrying Value of Assets Pledged as Collateral | 172,616,000 | $ 173,500,000 |
Maximum Aggregate Borrowing Capacity | $ 231,796,000 |
Financing arrangements - Narrative (Details) $ in Millions |
1 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2018
USD ($)
|
Jun. 30, 2019
counterparty
|
Dec. 31, 2018
counterparty
|
Sep. 30, 2018 |
|
Repurchase Agreement Disclosure [Line Items] | ||||
Financing counterparties | 45 | 44 | ||
Number of counterparties with outstanding debt | 33 | 31 | ||
Metropolitan Life Insurance Company [Member] | ||||
Repurchase Agreement Disclosure [Line Items] | ||||
Long term debt fixed rate percentage | 4.625% | |||
AG MIT WFB1 [Member] | Maximum [Member] | ||||
Repurchase Agreement Disclosure [Line Items] | ||||
Cash trap trigger | $ | $ 7.0 |
Financing arrangements - Summary of repurchase agreement counterparty (Details) - Barclays Capital Inc [Member] - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2019 |
Dec. 31, 2018 |
|
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders’ Equity at Risk | $ 70,888 | $ 40,882 |
Weighted Average Maturity (days) | 222 days | 356 days |
Percentage of Stockholders’ Equity | 10.00% | 6.00% |
Other assets and liabilities - Summary of other assets and liabilities (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Dec. 31, 2018 |
Jun. 30, 2018 |
---|---|---|---|
Other assets | |||
Interest receivable | $ 12,945 | $ 12,762 | |
Receivable under reverse repurchase agreements | 0 | 11,461 | |
Derivative assets, at fair value | 780 | 1,729 | |
Other assets | 5,128 | 6,948 | |
Due from broker | 5,724 | 603 | |
Total Other assets | 24,577 | 33,503 | |
Other liabilities | |||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 0 | 11,378 | |
Payable on unsettled trades | 23,944 | 0 | $ 134,597 |
Interest payable | 9,619 | 12,196 | |
Derivative liabilities, at fair value | 538 | 317 | |
Due to affiliates | 4,323 | 4,023 | |
Accrued expenses | 6,952 | 7,859 | |
Taxes payable | 561 | 1,673 | |
Due to broker | 2,896 | 7,734 | |
Total Other liabilities | $ 48,833 | $ 45,180 |
Other assets and liabilities - Summary of Company's derivatives and other instruments and their balance sheet location (Details) - USD ($) |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Interest Rate Swap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | $ 81,000 | $ 1,406,000 |
Derivative liabilities, at fair value | (353,000) | (317,000) |
Swaptions [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 74,000 | 323,000 |
TBAs [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 625,000 | 0 |
Derivative liabilities, at fair value | (185,000) | 0 |
US Treasury Securities [Member] | Short [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities, at fair value | 0 | (11,378,000) |
Maximum [Member] | Interest Rate Swap [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 400,000 | 26,000,000 |
Derivative liabilities, at fair value | (8,300,000) | (18,100,000) |
Maximum [Member] | US Treasury Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 1,203 | 100,000 |
Maximum [Member] | Eurodollar Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | $ 200,000 | $ 1,000,000 |
Other assets and liabilities - Summary of information related to derivatives and other instruments (Details) - USD ($) |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Derivative [Line Items] | ||
Derivative, notional amount | $ 1,302,500,000 | $ 1,963,500,000 |
US Treasury Futures [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 100,000 | |
Eurodollar Futures [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 1,000,000 | |
Long [Member] | Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 1,302,500,000 | 1,963,500,000 |
Notional amount of Swaptions [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 445,000,000 | 260,000,000 |
Net notional amount of TBAs [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 125,000,000 | 0 |
Net notional amount of TBAs [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 100,000,000 | 0 |
US Treasury Futures [Member] | Long [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 0 | 30,000,000 |
US Treasury Futures [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Derivative, notional amount | 700,000 | 0 |
Eurodollar Futures [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | 1,000,000,000 | 500,000,000 |
US Treasury Securities [Member] | Short [Member] | ||
Derivative [Line Items] | ||
Derivative liability, notional amount | $ 0 | $ 11,250,000 |
Other assets and liabilities - Summary of gains/(losses) related to derivatives and other instruments (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | $ (10,075) | $ 5,202 | $ (19,391) | $ 41,646 |
Included within Net realized gain/(loss) | (21,671) | 5,721 | (41,447) | 6,949 |
Total income/(loss) | (31,746) | 10,923 | (60,838) | 48,595 |
Gains and losses from purchases and sales of TBAs | 89,918 | (36,733) | ||
Interest Rate Swap [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | (9,102) | 5,610 | (19,764) | 41,862 |
Included within Net realized gain/(loss) | (23,538) | 5,862 | (41,080) | 5,862 |
Eurodollar Future [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | (266) | 0 | 768 | 0 |
Included within Net realized gain/(loss) | 11 | 0 | (1,229) | 0 |
Swaptions, at fair value [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | (256) | (384) | (774) | (32) |
Included within Net realized gain/(loss) | (227) | 0 | (861) | 51 |
US Treasury Futures [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | 1 | 385 | (144) | (109) |
Included within Net realized gain/(loss) | 302 | 67 | 371 | 740 |
TBAs [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | (452) | (409) | 441 | 19 |
Included within Net realized gain/(loss) | 1,957 | (208) | 1,601 | 165 |
Gains and losses from purchases and sales of TBAs | 300 | 600 | 700 | 1,100 |
Unrealized gain on securities | 1,200 | 1,300 | (1,000) | |
Unrealized loss on securities | 1,300 | |||
US Treasury Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Included within Unrealized gain/(loss) on derivative and other instruments, net | 0 | 0 | 82 | (94) |
Included within Net realized gain/(loss) | $ (176) | $ 0 | $ (249) | $ 131 |
Other assets and liabilities - Summary of gross and net information about derivatives and other instruments (Details) - USD ($) |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | $ 931,000 | $ 2,930,000 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 931,000 | 2,930,000 |
Financial Instruments (Posted)/Received | 625,000 | 0 |
Cash Collateral (Posted)/Received | (301,000) | 865,000 |
Net Amount | 607,000 | 2,065,000 |
Derivative Liabilities | ||
Gross Amounts of Recognized Assets (Liabilities) | (44,000) | 1,635,000 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | (44,000) | 1,635,000 |
Financial Instruments (Posted)/Received | 0 | 0 |
Cash Collateral (Posted)/Received | (185,000) | 1,465,000 |
Net Amount | 141,000 | 170,000 |
Derivative assets before accrued interest | 900,000 | 2,900,000 |
Derivative assets accrued interest | (100,000) | (1,200,000) |
Derivative Asset | 780,000 | 1,729,000 |
Derivative liabilities including accrued interest | (43,912) | 1,600,000 |
Derivative liabilities accrued interest | 500,000 | 1,900,000 |
Derivative Liability | (538,000) | (317,000) |
Interest Rate Swap [Member] | ||
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | 232,000 | 2,608,000 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 232,000 | 2,608,000 |
Financial Instruments (Posted)/Received | 0 | 0 |
Cash Collateral (Posted)/Received | 0 | 1,465,000 |
Net Amount | 232,000 | 1,143,000 |
Derivative Liabilities | ||
Gross Amounts of Recognized Assets (Liabilities) | 141,000 | 1,635,000 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 141,000 | 1,635,000 |
Financial Instruments (Posted)/Received | 0 | 0 |
Cash Collateral (Posted)/Received | 0 | 1,465,000 |
Net Amount | 141,000 | 170,000 |
Interest Rate Swaptions [Member] | ||
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | 74,000 | 322,000 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 74,000 | 322,000 |
Financial Instruments (Posted)/Received | 0 | 0 |
Cash Collateral (Posted)/Received | (301,000) | (600,000) |
Net Amount | 375,000 | 922,000 |
Receivable Under Reverse Repurchase Agreements [Member] | ||
Receivable Under Reverse Repurchase Agreements | ||
Gross Amounts of Recognized Assets (Liabilities) | 11,461,000 | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 11,461,000 | |
Financial Instruments (Posted)/Received | 11,378,000 | |
Cash Collateral (Posted)/Received | 0 | |
Net Amount | 83,000 | |
Interest Rate Swap [Member] | ||
Derivative Liabilities | ||
Derivative assets, at fair value | 81,000 | 1,406,000 |
Derivative liabilities, at fair value | 353,000 | 317,000 |
TBAs [Member] | ||
Derivative Assets | ||
Gross Amounts of Recognized Assets (Liabilities) | 625,000 | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 625,000 | |
Financial Instruments (Posted)/Received | 625,000 | |
Cash Collateral (Posted)/Received | 0 | |
Net Amount | 0 | |
Derivative Liabilities | ||
Gross Amounts of Recognized Assets (Liabilities) | (185,000) | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | (185,000) | |
Financial Instruments (Posted)/Received | 0 | |
Cash Collateral (Posted)/Received | (185,000) | |
Net Amount | 0 | |
Derivative assets, at fair value | 625,000 | 0 |
Derivative liabilities, at fair value | 185,000 | 0 |
Maximum [Member] | US Treasury Futures [Member] | ||
Derivative Liabilities | ||
Derivative assets, at fair value | 1,203 | 100,000 |
Maximum [Member] | Eurodollar Futures [Member] | ||
Derivative Liabilities | ||
Derivative assets, at fair value | 200,000 | 1,000,000 |
Maximum [Member] | Interest Rate Swap [Member] | ||
Derivative Liabilities | ||
Derivative assets, at fair value | 400,000 | 26,000,000 |
Derivative liabilities, at fair value | $ 8,300,000 | $ 18,100,000 |
Other assets and liabilities - Narrative (Details) - USD ($) $ in Millions |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2019 |
Dec. 31, 2018 |
|
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Pledged real estate securities, fair value | $ 8.4 | $ 7.2 |
Cash as collateral for certain derivatives | 17.8 | 29.3 |
Cash pledged as collateral against derivatives related to variation margin | $ 8.1 | 7.1 |
Counterparties posted cash as collateral for certain derivatives | $ 1.5 |
Other assets and liabilities - Summary of interest rate derivatives (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2019 |
Dec. 31, 2018 |
|
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 1,302,500 | $ 1,963,500 |
Weighted Average Pay-Fixed Rate | 1.91% | 2.41% |
Weighted Average Receive-Variable Rate | 2.35% | 2.67% |
Weighted Average Years to Maturity | 3 years 7 months 21 days | 5 years 6 months 25 days |
2020 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 105,000 | $ 105,000 |
Weighted Average Pay-Fixed Rate | 1.54% | 1.54% |
Weighted Average Receive-Variable Rate | 2.57% | 2.56% |
Weighted Average Years to Maturity | 8 months 12 days | 1 year 2 months 12 days |
2021 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 58,500 | |
Weighted Average Pay-Fixed Rate | 3.00% | |
Weighted Average Receive-Variable Rate | 2.63% | |
Weighted Average Years to Maturity | 2 years 9 months 3 days | |
2022 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 778,750 | $ 478,000 |
Weighted Average Pay-Fixed Rate | 1.92% | 1.87% |
Weighted Average Receive-Variable Rate | 2.45% | 2.72% |
Weighted Average Years to Maturity | 2 years 11 months 23 days | 3 years 6 months 29 days |
2023 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 5,750 | $ 403,000 |
Weighted Average Pay-Fixed Rate | 3.19% | 3.05% |
Weighted Average Receive-Variable Rate | 2.57% | 2.64% |
Weighted Average Years to Maturity | 4 years 4 months 7 days | 4 years 7 months 24 days |
2024 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 345,000 | $ 230,000 |
Weighted Average Pay-Fixed Rate | 1.96% | 2.06% |
Weighted Average Receive-Variable Rate | 2.05% | 2.63% |
Weighted Average Years to Maturity | 4 years 11 months 19 days | 5 years 6 months |
2025 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 125,000 | |
Weighted Average Pay-Fixed Rate | 2.87% | |
Weighted Average Receive-Variable Rate | 2.70% | |
Weighted Average Years to Maturity | 6 years 4 months 17 days | |
2026 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 20,000 | $ 75,000 |
Weighted Average Pay-Fixed Rate | 1.90% | 2.12% |
Weighted Average Receive-Variable Rate | 2.53% | 2.66% |
Weighted Average Years to Maturity | 7 years 4 months 14 days | 7 years 10 months 20 days |
2027 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 10,000 | $ 264,000 |
Weighted Average Pay-Fixed Rate | 2.20% | 2.35% |
Weighted Average Receive-Variable Rate | 2.33% | 2.66% |
Weighted Average Years to Maturity | 7 years 11 months 29 days | 8 years 8 months 5 days |
2028 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 225,000 | |
Weighted Average Pay-Fixed Rate | 2.96% | |
Weighted Average Receive-Variable Rate | 2.69% | |
Weighted Average Years to Maturity | 9 years 4 months 13 days | |
2029 [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Notional Amount | $ 38,000 | |
Weighted Average Pay-Fixed Rate | 1.94% | |
Weighted Average Receive-Variable Rate | 2.31% | |
Weighted Average Years to Maturity | 9 years 11 months 27 days |
Other assets and liabilities - Summary of TBAs (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
Dec. 31, 2018 |
|
To Be Announced Securities [Roll Forward] | |||||
Beginning Notional Amount | $ 1,963,500 | ||||
Ending Net Notional Amount | $ 1,302,500 | 1,302,500 | |||
Net Receivable/(Payable) from/to Broker | (2,896) | (2,896) | $ (7,734) | ||
Derivative assets, at fair value | 780 | 780 | 1,729 | ||
Derivative Liability | (538) | (538) | $ (317) | ||
To Be Announced Securities [Member] | Long [Member] | |||||
To Be Announced Securities [Roll Forward] | |||||
Beginning Notional Amount | 125,000 | $ 139,000 | 0 | $ 100,000 | |
Buys or Covers | 737,500 | 316,000 | 1,394,500 | 951,000 | |
Sales or Shorts | (737,500) | (295,000) | (1,269,500) | (891,000) | |
Ending Net Notional Amount | 125,000 | 160,000 | 125,000 | 160,000 | |
Net Fair Value as of Period End | 126,064 | 166,600 | 126,064 | 166,600 | |
Net Receivable/(Payable) from/to Broker | (125,612) | (166,203) | (125,612) | (166,203) | |
Derivative assets, at fair value | 625 | 397 | 625 | 397 | |
Derivative Liability | (173) | 0 | (173) | 0 | |
To Be Announced Securities [Member] | Short [Member] | |||||
To Be Announced Securities [Roll Forward] | |||||
Beginning Notional Amount | 0 | 0 | 0 | 0 | |
Buys or Covers | 0 | 551,000 | 185,000 | 854,000 | |
Sales or Shorts | (100,000) | (551,000) | (285,000) | (854,000) | |
Ending Net Notional Amount | (100,000) | 0 | (100,000) | 0 | |
Net Fair Value as of Period End | (102,242) | 0 | (102,242) | 0 | |
Net Receivable/(Payable) from/to Broker | 102,230 | (152) | 102,230 | (152) | |
Derivative assets, at fair value | 0 | 0 | 0 | 0 | |
Derivative Liability | $ (12) | $ (152) | $ (12) | $ (152) |
Earnings per share - Summary of outstanding warrants and unvested restricted stock units (Details) - shares |
Jun. 30, 2019 |
Dec. 31, 2018 |
Jun. 30, 2018 |
---|---|---|---|
Class of Warrant or Right [Line Items] | |||
Outstanding warrants (in shares) | 0 | 1,007,500 | |
Unvested restricted stock units previously granted to the Manager (in shares) | 32,709,000 | 28,744,000 | |
Restricted Stock Units (RSUs) [Member] | Manager [Member] | |||
Class of Warrant or Right [Line Items] | |||
Unvested restricted stock units previously granted to the Manager (in shares) | 40,007 | 60,000 |
Earnings per share - Summary of earnings per share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Numerator: | ||||
Net income/(loss) available to common stockholders for basic and diluted earnings per share | $ 15,311 | $ 4,801 | $ 41,099 | $ 9,681 |
Denominator: | ||||
Basic weighted average common shares outstanding (in shares) | 32,709 | 28,201 | 31,636 | 28,198 |
Dilutive effect of restricted stock units (in shares) | 28 | 27 | 28 | 24 |
Diluted weighted average common shares outstanding (in shares) | 32,737 | 28,228 | 31,664 | 28,222 |
Basic Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ 0.47 | $ 0.17 | $ 1.30 | $ 0.34 |
Diluted Earnings/(Loss) Per Share of Common Stock (in dollars per share) | $ 0.47 | $ 0.17 | $ 1.30 | $ 0.34 |
Earnings per share - Summary of common stock dividends (Details) - $ / shares |
3 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Jul. 31, 2019 |
Jun. 14, 2019 |
Apr. 30, 2019 |
Mar. 15, 2019 |
Jul. 31, 2018 |
Jun. 18, 2018 |
Apr. 30, 2018 |
Mar. 15, 2018 |
Jul. 31, 2019 |
Jun. 14, 2019 |
Jul. 31, 2018 |
Jun. 18, 2018 |
|
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||||
Dividends Declared Per Share (in dollars per share) | $ 0.5 | $ 0.5 | $ 0.5 | $ 0.475 | $ 1 | $ 0.975 | ||||||
Dividends Paid Per Share (in dollars per share) | $ 0.5 | $ 0.5 | $ 0.475 | $ 0.975 | ||||||||
Subsequent Event [Member] | ||||||||||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||||
Dividends Paid Per Share (in dollars per share) | $ 0.5 | $ 1 |
Earnings per share - Summary of preferred stock dividends (Details) - $ / shares |
3 Months Ended | 6 Months Ended | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 17, 2019 |
May 17, 2019 |
Mar. 18, 2019 |
Feb. 15, 2019 |
Jun. 18, 2018 |
May 15, 2018 |
Mar. 19, 2018 |
Feb. 16, 2018 |
Jun. 17, 2019 |
May 17, 2019 |
Jun. 18, 2018 |
May 15, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Series A Preferred Stock [Member] | ||||||||||||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||||||
Dividend Percentage | 8.25% | 8.25% | ||||||||||||
Dividends Paid Per Share (in dollars per share) | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 1.03126 | $ 1.03126 | ||||||||
Dividends Declared Per Share (in dollars per share) | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 1.03126 | $ 1.03126 | ||||||||
Series B Preferred Stock [Member] | ||||||||||||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||||||
Dividend Percentage | 8.00% | 8.00% | ||||||||||||
Dividends Paid Per Share (in dollars per share) | $ 0.5 | $ 0.5 | $ 0.5 | $ 0.5 | $ 1 | $ 1 | ||||||||
Dividends Declared Per Share (in dollars per share) | $ 0.5 | $ 0.5 | $ 0.5 | $ 0.5 | $ 1 | $ 1 |
Income taxes - Narrative (Details) - USD ($) $ in Millions |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
|
Income Tax Disclosure [Abstract] | ||||
Excise tax expense | $ 0.2 | $ 0.4 | $ 0.3 | $ 0.8 |
Related party transactions - Narrative (Details) |
3 Months Ended | 6 Months Ended | 12 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 28, 2019
USD ($)
|
Aug. 29, 2017
USD ($)
|
Jul. 01, 2017
shares
|
Jun. 30, 2019
USD ($)
state
shares
|
Jun. 30, 2018
USD ($)
|
Jun. 30, 2019
USD ($)
state
shares
|
Jun. 30, 2018
USD ($)
|
Dec. 31, 2018
USD ($)
|
Mar. 31, 2019
USD ($)
|
Oct. 31, 2018
USD ($)
|
Oct. 31, 2017
USD ($)
|
Jul. 31, 2017
USD ($)
|
Feb. 28, 2017
USD ($)
|
|
Related Party Transaction [Line Items] | |||||||||||||
Management fee percentage | 1.50% | 1.50% | |||||||||||
Management fee to affiliate | $ 2,400,000 | $ 2,387,000 | $ 4,745,000 | $ 4,826,000 | |||||||||
Other operating expenses | 3,850,000 | 3,443,000 | 7,680,000 | 6,666,000 | |||||||||
Reimbursement of expenses | 1,900,000 | 1,700,000 | 3,900,000 | 3,500,000 | |||||||||
Rights waived to receive expense reimbursement | $ 0 | 0 | $ 500,000 | ||||||||||
Director's fee | $ 160,000 | ||||||||||||
Percentage of director's fees paid in cash | 50.00% | ||||||||||||
Percentage of director's fees paid in restricted common stock | 50.00% | ||||||||||||
Number of states in which entity operates | state | 47 | 47 | |||||||||||
Outstanding commitment | $ 436,189,000 | ||||||||||||
Funded Commitment | 99,356,000 | ||||||||||||
Remaining commitment | 336,833,000 | ||||||||||||
Fees paid to asset manager | $ 141,896 | 73,790 | 266,880 | 121,431 | |||||||||
Investments in debt and equity of affiliates | $ 99,955,000 | $ 99,955,000 | 84,892,000 | ||||||||||
Loan securitization, ownership interest | 44.59% | 44.59% | |||||||||||
AG Arc LLC [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Excess MSRs, fair value | $ 21,300,000 | $ 21,300,000 | $ 27,300,000 | ||||||||||
ARC Home LLC [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Sourcing fees | 80,467 | $ 57,747 | 163,371 | $ 77,682 | |||||||||
Mortgage Acquisition Trust [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
The total amount committed under the long-term purchase commitment for the entity and its affiliates. | $ 100,000,000 | $ 75,000,000 | |||||||||||
Increase in amount committed under long term purchase commitment | $ 25,000,000 | ||||||||||||
Outstanding commitment | 44,600,000 | ||||||||||||
Funded Commitment | 42,400,000 | ||||||||||||
Remaining commitment | 2,200,000 | ||||||||||||
October Selling Affiliates [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Investments in debt and equity of affiliates | $ 8,400,000 | ||||||||||||
October 2018 Selling Affiliate [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Investments in debt and equity of affiliates | $ 500,000 | ||||||||||||
March 2019 Selling Affiliate [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Investments in debt and equity of affiliates | $ 900,000 | ||||||||||||
July Selling Affiliate [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Investments in debt and equity of affiliates | $ 200,000 | ||||||||||||
BWIC [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Investments in debt and equity of affiliates | $ 2,000,000 | ||||||||||||
Non-Qualified Mortgage Loans [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Loan securitization, fair value | 408,000,000 | 408,000,000 | |||||||||||
Senior Tranches [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Loan securitization, fair value | $ 42,900,000 | $ 42,900,000 | |||||||||||
Manager Equity Incentive Plan [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Shares of common stock company can award (in shares) | shares | 277,500 | ||||||||||||
Shares available to be awarded under equity incentive plans (in shares) | shares | 30,781 | 30,781 | |||||||||||
Director [Member] | Restricted Stock [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 86,469 | ||||||||||||
Manager [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 40,250 | ||||||||||||
Manager [Member] | Restricted Stock [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 40,007 | 120,000 | |||||||||||
Restricted stock units vested (in shares) | shares | 79,993 | ||||||||||||
Units vesting annually (in shares) | shares | 20,000 | 20,000 | |||||||||||
Minimum [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Increase in directors fees | $ 15,000 | ||||||||||||
Maximum [Member] | |||||||||||||
Related Party Transaction [Line Items] | |||||||||||||
Increase in directors fees | $ 25,000 |
Equity - Narrative (Details) - USD ($) |
3 Months Ended | 6 Months Ended | 12 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|---|
Feb. 14, 2019 |
May 05, 2017 |
Jun. 30, 2019 |
Jun. 30, 2018 |
Jun. 30, 2019 |
Jun. 30, 2018 |
Dec. 31, 2011 |
May 02, 2018 |
Nov. 03, 2015 |
|
Class of Stock [Line Items] | |||||||||
Securities and capital available for issuance | $ 591,200,000 | $ 591,200,000 | $ 750,000,000 | ||||||
Authorized amount for stock repurchase | $ 25,000,000 | ||||||||
Shares repurchased (in shares) | 0 | 0 | 0 | 0 | |||||
Net proceeds from issuance of common stock | $ 57,400,000 | $ 99,000 | $ (162,000) | $ 66,063,000 | $ (225,000) | ||||
Common shares sold in public offering (in shares) | 3,000,000 | ||||||||
Additional units sold in public offering (in shares) | 450,000 | ||||||||
Share price (in dollars per share) | $ 16.70 | ||||||||
Repurchase [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Value of common stock remained authorized for future share repurchases (in shares) | 14,600,000 | 14,600,000 | 14,600,000 | 14,600,000 | |||||
Sale Agents [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Net proceeds from issuance of common stock | $ 100,000,000 | $ 8,600,000 | $ 8,600,000 | ||||||
Net proceeds from issuance of common stock (in shares) | 503,700 | 0 | 503,700 | 0 | |||||
Series A Preferred Stock [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Dividend Percentage | 8.25% | 8.25% | |||||||
Preferred sock, liquidation preference per share (in dollars per share) | $ 25.00 | $ 25.00 | |||||||
Series B Preferred Stock [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Dividend Percentage | 8.00% | 8.00% | |||||||
Preferred sock, liquidation preference per share (in dollars per share) | $ 25 | $ 25 | |||||||
Private Placement [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Number of units in private placement (in shares) | 3,205,000 | ||||||||
Private placement price per share (in dollars per share) | $ 20.00 | ||||||||
Amount of common stock under warrant (in dollars per share) | 0.5 | ||||||||
Private placement warrant exercise price per share (in dollars per share) | $ 20.50 |
Commitments and Contingencies - Outstanding commitments (Details) - USD ($) $ in Thousands |
1 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Aug. 06, 2019 |
Jun. 30, 2019 |
Jun. 24, 2019 |
May 31, 2019 |
Feb. 28, 2019 |
|
Long-term Purchase Commitment [Line Items] | |||||
Total Commitment | $ 436,189 | ||||
Funded Commitment | 99,356 | ||||
Remaining Commitment | 336,833 | ||||
Residential mortgage loan portfolio, aggregate unpaid principal balance | $ 25,900 | ||||
Mortgage Acquisition Holding I LLC [Member] | |||||
Long-term Purchase Commitment [Line Items] | |||||
Total Commitment | 44,590 | ||||
Funded Commitment | 42,361 | ||||
Remaining Commitment | 2,229 | ||||
Variable Funding Note [Member] | |||||
Long-term Purchase Commitment [Line Items] | |||||
Total Commitment | 12,444 | ||||
Funded Commitment | 7,790 | ||||
Remaining Commitment | 4,654 | ||||
Loan G [Member] | Commercial Loan [Member] | |||||
Long-term Purchase Commitment [Line Items] | |||||
Total Commitment | 75,000 | ||||
Funded Commitment | 32,299 | ||||
Remaining Commitment | 42,701 | ||||
Loan I [Member] | Commercial Loan [Member] | |||||
Long-term Purchase Commitment [Line Items] | |||||
Total Commitment | 20,000 | ||||
Funded Commitment | 7,384 | ||||
Remaining Commitment | 12,616 | ||||
Loan J [Member] | Commercial Loan [Member] | |||||
Long-term Purchase Commitment [Line Items] | |||||
Total Commitment | 30,000 | ||||
Funded Commitment | 3,233 | ||||
Remaining Commitment | 26,767 | ||||
Loan K [Member] | Commercial Loan [Member] | |||||
Long-term Purchase Commitment [Line Items] | |||||
Total Commitment | 20,000 | ||||
Funded Commitment | 6,289 | ||||
Remaining Commitment | 13,711 | ||||
Loan Pool A [Member] | Residential Mortgage [Member] | |||||
Long-term Purchase Commitment [Line Items] | |||||
Total Commitment | 44,054 | ||||
Funded Commitment | 0 | ||||
Remaining Commitment | 44,054 | ||||
Residential mortgage loan portfolio, aggregate unpaid principal balance | $ 54,100 | ||||
Loan Pool B [Member] | Residential Mortgage [Member] | |||||
Long-term Purchase Commitment [Line Items] | |||||
Total Commitment | 190,101 | ||||
Funded Commitment | 0 | ||||
Remaining Commitment | $ 190,101 | ||||
Residential mortgage loan portfolio, aggregate unpaid principal balance | $ 202,200 | ||||
Subsequent Event [Member] | Loan G [Member] | Commercial Loan [Member] | |||||
Long-term Purchase Commitment [Line Items] | |||||
Total Commitment | $ 84,500 | ||||
Remaining Commitment | 52,200 | ||||
Subsequent Event [Member] | Loan Pool A [Member] | Residential Mortgage [Member] | |||||
Long-term Purchase Commitment [Line Items] | |||||
Total Commitment | 37,600 | ||||
Residential mortgage loan portfolio, aggregate unpaid principal balance | $ 45,700 |
Segment reporting - Income Statement (Details) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2019
USD ($)
|
Jun. 30, 2018
USD ($)
|
Jun. 30, 2019
USD ($)
segment
|
Jun. 30, 2018
USD ($)
|
|
Segment Reporting Information [Line Items] | ||||
Number of reportable segments | segment | 2 | |||
Net Interest Income | ||||
Interest income | $ 40,901 | $ 36,012 | $ 82,391 | $ 75,369 |
Interest expense | 24,277 | 16,271 | 47,618 | 31,597 |
Total Net Interest Income | 16,624 | 19,741 | 34,773 | 43,772 |
Other Income/(Loss) | ||||
Rental income | 3,162 | 0 | 6,559 | 0 |
Net realized gain/(loss) | (27,579) | (11,060) | (48,189) | (22,899) |
Net interest component of interest rate swaps | 1,800 | 1,262 | 3,581 | (208) |
Unrealized gain/(loss) on real estate securities and loans, net | 43,165 | (578) | 89,918 | (36,733) |
Unrealized gain/(loss) on derivative and other instruments, net | (10,839) | 4,781 | (20,925) | 41,871 |
Other income | 346 | 20 | 942 | 20 |
Total Other Income/(Loss) | 10,055 | (5,575) | 31,886 | (17,949) |
Expenses | ||||
Management fee to affiliate | 2,400 | 2,387 | 4,745 | 4,826 |
Other operating expenses | 3,850 | 3,443 | 7,680 | 6,666 |
Equity based compensation to affiliate | 73 | 94 | 199 | 145 |
Excise tax | 186 | 375 | 278 | 750 |
Servicing fees | 416 | 22 | 787 | 84 |
Property depreciation and amortization | 1,180 | 0 | 2,627 | 0 |
Property operating expenses | 1,946 | 0 | 3,789 | 0 |
Total Expenses | 10,051 | 6,321 | 20,105 | 12,471 |
Income/(loss) before equity in earnings/(loss) from affiliates | 16,628 | 7,845 | 46,554 | 13,352 |
Equity in earnings/(loss) from affiliates | 2,050 | 323 | 1,279 | 3,063 |
Net Income/(Loss) | 18,678 | 8,168 | 47,833 | 16,415 |
Dividends on preferred stock | 3,367 | 3,367 | 6,734 | 6,734 |
Net Income/(Loss) Available to Common Stockholders | 15,311 | 4,801 | 41,099 | 9,681 |
Operating Segments [Member] | Securities And Loans Segment [Member] | ||||
Net Interest Income | ||||
Interest income | 40,831 | 36,012 | 82,237 | 75,369 |
Interest expense | 23,030 | 16,271 | 45,123 | 31,597 |
Total Net Interest Income | 17,801 | 19,741 | 37,114 | 43,772 |
Other Income/(Loss) | ||||
Rental income | 0 | 0 | ||
Net realized gain/(loss) | (27,510) | (11,060) | (48,094) | (22,899) |
Net interest component of interest rate swaps | 1,800 | 1,262 | 3,581 | (208) |
Unrealized gain/(loss) on real estate securities and loans, net | 43,165 | (578) | 89,918 | (36,733) |
Unrealized gain/(loss) on derivative and other instruments, net | (10,839) | 4,781 | (20,925) | 41,871 |
Other income | 122 | 20 | 535 | 20 |
Total Other Income/(Loss) | 6,738 | (5,575) | 25,015 | (17,949) |
Expenses | ||||
Management fee to affiliate | 0 | 0 | 0 | 0 |
Other operating expenses | 980 | 568 | 1,948 | 998 |
Equity based compensation to affiliate | 0 | 0 | 0 | 0 |
Excise tax | 0 | 0 | 0 | 0 |
Servicing fees | 416 | 22 | 787 | 84 |
Property depreciation and amortization | 0 | 0 | ||
Property operating expenses | 0 | 0 | ||
Total Expenses | 1,396 | 590 | 2,735 | 1,082 |
Income/(loss) before equity in earnings/(loss) from affiliates | 23,143 | 13,576 | 59,394 | 24,741 |
Equity in earnings/(loss) from affiliates | 2,050 | 323 | 1,279 | 3,063 |
Net Income/(Loss) | 25,193 | 13,899 | 60,673 | 27,804 |
Dividends on preferred stock | 0 | 0 | 0 | 0 |
Net Income/(Loss) Available to Common Stockholders | 25,193 | 13,899 | 60,673 | 27,804 |
Operating Segments [Member] | Single Family Rental Properties Segment [Member] | ||||
Net Interest Income | ||||
Interest income | 0 | 0 | ||
Interest expense | 1,247 | 2,495 | ||
Total Net Interest Income | (1,247) | (2,495) | ||
Other Income/(Loss) | ||||
Rental income | 3,162 | 6,559 | ||
Net realized gain/(loss) | (69) | (95) | ||
Net interest component of interest rate swaps | 0 | 0 | ||
Unrealized gain/(loss) on real estate securities and loans, net | 0 | 0 | ||
Unrealized gain/(loss) on derivative and other instruments, net | 0 | 0 | ||
Other income | 130 | 313 | ||
Total Other Income/(Loss) | 3,223 | 6,777 | ||
Expenses | ||||
Management fee to affiliate | 0 | 0 | ||
Other operating expenses | 44 | 92 | ||
Equity based compensation to affiliate | 0 | 0 | ||
Excise tax | 0 | 0 | ||
Servicing fees | 0 | 0 | ||
Property depreciation and amortization | 1,180 | 2,627 | ||
Property operating expenses | 1,946 | 3,789 | ||
Total Expenses | 3,170 | 6,508 | ||
Income/(loss) before equity in earnings/(loss) from affiliates | (1,194) | (2,226) | ||
Equity in earnings/(loss) from affiliates | 0 | 0 | ||
Net Income/(Loss) | (1,194) | (2,226) | ||
Dividends on preferred stock | 0 | 0 | ||
Net Income/(Loss) Available to Common Stockholders | (1,194) | (2,226) | ||
Corporate, Non-Segment [Member] | ||||
Net Interest Income | ||||
Interest income | 70 | 0 | 154 | 0 |
Interest expense | 0 | 0 | 0 | 0 |
Total Net Interest Income | 70 | 0 | 154 | 0 |
Other Income/(Loss) | ||||
Rental income | 0 | 0 | ||
Net realized gain/(loss) | 0 | 0 | 0 | 0 |
Net interest component of interest rate swaps | 0 | 0 | 0 | 0 |
Unrealized gain/(loss) on real estate securities and loans, net | 0 | 0 | 0 | 0 |
Unrealized gain/(loss) on derivative and other instruments, net | 0 | 0 | 0 | 0 |
Other income | 94 | 0 | 94 | 0 |
Total Other Income/(Loss) | 94 | 0 | 94 | 0 |
Expenses | ||||
Management fee to affiliate | 2,400 | 2,387 | 4,745 | 4,826 |
Other operating expenses | 2,826 | 2,875 | 5,640 | 5,668 |
Equity based compensation to affiliate | 73 | 94 | 199 | 145 |
Excise tax | 186 | 375 | 278 | 750 |
Servicing fees | 0 | 0 | 0 | 0 |
Property depreciation and amortization | 0 | 0 | ||
Property operating expenses | 0 | 0 | ||
Total Expenses | 5,485 | 5,731 | 10,862 | 11,389 |
Income/(loss) before equity in earnings/(loss) from affiliates | (5,321) | (5,731) | (10,614) | (11,389) |
Equity in earnings/(loss) from affiliates | 0 | 0 | 0 | 0 |
Net Income/(Loss) | (5,321) | (5,731) | (10,614) | (11,389) |
Dividends on preferred stock | 3,367 | 3,367 | 6,734 | 6,734 |
Net Income/(Loss) Available to Common Stockholders | $ (8,688) | $ (9,098) | $ (17,348) | $ (18,123) |
Segment reporting - Balance Sheet (Details) - USD ($) $ in Thousands |
Jun. 30, 2019 |
Mar. 31, 2019 |
Dec. 31, 2018 |
Jun. 30, 2018 |
Mar. 31, 2018 |
Dec. 31, 2017 |
---|---|---|---|---|---|---|
Segment Reporting Information [Line Items] | ||||||
Total Assets | $ 3,797,915 | $ 3,548,926 | ||||
Total Liabilities | 3,067,051 | 2,892,915 | ||||
Total Stockholders' Equity | 730,864 | $ 731,636 | 656,011 | $ 696,559 | $ 705,826 | $ 714,259 |
Total Liabilities & Stockholders' Equity | 3,797,915 | 3,548,926 | ||||
Investments in debt and equity of affiliates | 99,955 | 84,892 | ||||
Operating Segments [Member] | Securities And Loans Segment [Member] | ||||||
Segment Reporting Information [Line Items] | ||||||
Total Assets | 3,589,040 | 3,373,713 | ||||
Total Liabilities | 2,937,508 | 2,759,082 | ||||
Total Stockholders' Equity | 651,532 | 614,631 | ||||
Total Liabilities & Stockholders' Equity | 3,589,040 | 3,373,713 | ||||
Operating Segments [Member] | Single Family Rental Properties Segment [Member] | ||||||
Segment Reporting Information [Line Items] | ||||||
Total Assets | 142,632 | 142,535 | ||||
Total Liabilities | 104,384 | 105,102 | ||||
Total Stockholders' Equity | 38,248 | 37,433 | ||||
Total Liabilities & Stockholders' Equity | 142,632 | 142,535 | ||||
Corporate, Non-Segment [Member] | ||||||
Segment Reporting Information [Line Items] | ||||||
Total Assets | 66,243 | 32,678 | ||||
Total Liabilities | 25,159 | 28,731 | ||||
Total Stockholders' Equity | 41,084 | 3,947 | ||||
Total Liabilities & Stockholders' Equity | $ 66,243 | $ 32,678 |
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