ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) | ||||
(Address of Principal Executive Offices) | (Zip Code) |
Title of each class: | Trading Symbols: | Name of each exchange on which registered: | ||||||||||||
Large Accelerated filer | ☐ | ☒ | |||||||||
Non-Accelerated filer | ☐ | Smaller reporting company | |||||||||
Emerging growth company |
Page | ||||||||
Asset Class | Description | |||||||
Target Assets | ||||||||
Non-Agency Loans(1)(2) | •Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau ("CFPB"). | |||||||
Agency-Eligible Loans(1) | •Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE. | |||||||
Non-Agency Residential Mortgage-Backed Securities ("RMBS")(3) | •Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. The mortgage loan collateral consists of either Non-Agency Loans or Agency-Eligible Loans. | |||||||
Other Residential Mortgage Related Assets | ||||||||
Re/Non-Performing Loans(1)(2) | •Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. | |||||||
Land Related Financing(2) | •First mortgage loans originated to third-party land developers and home builders for purposes of the acquisition and horizontal development of land. | |||||||
Agency RMBS(3) | •Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||||||||||||||||||||
High Sales Price | Low Sales Price | High Sales Price | Low Sales Price | ||||||||||||||||||||
First Quarter | $ | 10.68 | $ | 8.48 | $ | 14.88 | $ | 8.31 | |||||||||||||||
Second Quarter | 9.42 | 6.15 | 14.85 | 10.61 | |||||||||||||||||||
Third Quarter | 8.39 | 4.05 | 13.05 | 9.81 | |||||||||||||||||||
Fourth Quarter | 6.53 | 3.52 | 13.49 | 9.94 | |||||||||||||||||||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||
Declaration Date | Record Date | Payment Date | Cash Dividend Per Share | Declaration Date | Record Date | Payment Date | Cash Dividend Per Share | |||||||||||||||||||||||||||||||||||||
3/18/2022 | 3/31/2022 | 4/29/2022 | $ | 0.21 | 3/22/2021 | 4/1/2021 | 4/30/2021 | $ | 0.18 | |||||||||||||||||||||||||||||||||||
6/15/2022 | 6/30/2022 | 7/29/2022 | 0.21 | 6/15/2021 | 6/30/2021 | 7/30/2021 | 0.21 | |||||||||||||||||||||||||||||||||||||
9/15/2022 | 9/30/2022 | 10/31/2022 | 0.21 | 9/15/2021 | 9/30/2021 | 10/29/2021 | 0.21 | |||||||||||||||||||||||||||||||||||||
12/19/2022 | 12/30/2022 | 1/31/2023 | 0.18 | 12/15/2021 | 12/31/2021 | 1/31/2022 | 0.21 | |||||||||||||||||||||||||||||||||||||
Total | $ | 0.81 | Total | $ | 0.81 |
Period (1) | Total Number of Shares Purchased | Weighted Average Price Paid per Share (2) | Total Number of Shares Purchased as Part of Publicly Announced Program | Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2) | ||||||||||||||||||||||
October 1, 2022 to October 31, 2022 | 74,187 | $ | 4.32 | 74,187 | $ | 12,340,308 | ||||||||||||||||||||
November 1, 2022 to November 30, 2022 | 348,507 | 5.59 | 348,507 | 10,393,064 | ||||||||||||||||||||||
December 1, 2022 to December 30, 2022 | 430,233 | 5.99 | 430,233 | 7,817,003 | ||||||||||||||||||||||
Total | 852,927 | $ | 5.68 | 852,927 | $ | 7,817,003 |
December 31, 2022 | December 31, 2021 | ||||||||||
Book value per common share | $ | 11.39 | $ | 14.64 | |||||||
Net proceeds of preferred stock less liquidation preference of preferred stock per common share (1) | (0.36) | (0.32) | |||||||||
Adjusted book value per common share | $ | 11.03 | $ | 14.32 |
Year Ended | Increase/(Decrease) | ||||||||||||||||
December 31, 2022 | December 31, 2021 | ||||||||||||||||
Statement of Operations Data: | |||||||||||||||||
Net Interest Income | |||||||||||||||||
Interest income | $ | 180,303 | $ | 70,662 | $ | 109,641 | |||||||||||
Interest expense | 118,918 | 27,250 | 91,668 | ||||||||||||||
Total Net Interest Income | 61,385 | 43,412 | 17,973 | ||||||||||||||
Other Income/(Loss) | |||||||||||||||||
Net interest component of interest rate swaps | (4,922) | (4,862) | (60) | ||||||||||||||
Net realized gain/(loss) | 81,389 | 1,698 | 79,691 | ||||||||||||||
Net unrealized gain/(loss) | (137,634) | 62,699 | (200,333) | ||||||||||||||
Other income/(loss), net | — | 37 | (37) | ||||||||||||||
Total Other Income/(Loss) | (61,167) | 59,572 | (120,739) | ||||||||||||||
Expenses | |||||||||||||||||
Management fee to affiliate | 8,096 | 6,814 | 1,282 | ||||||||||||||
Non-investment related expenses | 9,292 | 9,745 | (453) | ||||||||||||||
Investment related expenses | 9,198 | 6,800 | 2,398 | ||||||||||||||
Transaction related expenses | 16,474 | 7,328 | 9,146 | ||||||||||||||
Total Expenses | 43,060 | 30,687 | 12,373 | ||||||||||||||
Income/(loss) before equity in earnings/(loss) from affiliates | (42,842) | 72,297 | (115,139) | ||||||||||||||
Equity in earnings/(loss) from affiliates | (10,258) | 31,889 | (42,147) | ||||||||||||||
Net Income/(Loss) | (53,100) | 104,186 | (157,286) | ||||||||||||||
Gain on Exchange Offers, net | — | 472 | (472) | ||||||||||||||
Dividends on preferred stock | (18,344) | (18,785) | 441 | ||||||||||||||
Net Income/(Loss) Available to Common Stockholders | $ | (71,444) | $ | 85,873 | $ | (157,317) |
Year Ended | ||||||||||||||||||||
December 31, 2022 | December 31, 2021 | Increase/(Decrease) | ||||||||||||||||||
Weighted average amortized cost of our GAAP investment portfolio | $ | 4,001 | $ | 1,955 | $ | 2,046 | ||||||||||||||
Weighted average yield on our GAAP investment portfolio | 4.51 | % | 3.61 | % | 0.90 | % |
Year Ended | ||||||||||||||||||||
December 31, 2022 | December 31, 2021 | Increase/(Decrease) | ||||||||||||||||||
Weighted average GAAP financing balance | $ | 3,655 | $ | 1,712 | $ | 1,943 | ||||||||||||||
Weighted average financing rate on our GAAP investment portfolio | 3.25 | % | 1.59 | % | 1.66 | % |
Year Ended | ||||||||||||||||||||
December 31, 2022 | December 31, 2021 | Increase/(Decrease) | ||||||||||||||||||
Weighted average swap notional | $ | 934 | $ | 848 | $ | 86 |
December 31, 2022 | December 31, 2021 | Increase/(Decrease) | ||||||||||||||||||
Interest rate swap notional value | $ | 335.0 | $ | 888.5 | $ | (553.5) | ||||||||||||||
Weighted average receive-variable rate | 4.30 | % | 0.15 | % | 4.15 | % | ||||||||||||||
Weighted average pay-fix rate | 2.77 | % | 0.85 | % | 1.92 | % |
Year Ended | |||||||||||
December 31, 2022 | December 31, 2021 | ||||||||||
Sales of residential mortgage loans and loans transferred to or sold from Other assets | $ | (2,958) | $ | 6,374 | |||||||
Sales of real estate securities | (34,504) | (6,088) | |||||||||
Settlement of derivatives and other instruments | 118,851 | 3,930 | |||||||||
Sales of commercial loans | — | (2,518) | |||||||||
Total Net realized gain/(loss) | $ | 81,389 | $ | 1,698 |
Year Ended | ||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
Residential mortgage loans | $ | (539,987) | $ | 25,018 | ||||||||||
Real estate securities | 3,010 | (2,648) | ||||||||||||
Securitized debt | 401,467 | 3,529 | ||||||||||||
Derivatives | (2,124) | 19,137 | ||||||||||||
Commercial loans | — | 16,148 | ||||||||||||
Excess mortgage servicing rights | — | 1,515 | ||||||||||||
Total Net unrealized gain/(loss) | $ | (137,634) | $ | 62,699 |
Year Ended | ||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
Affiliate reimbursement (1) | $ | 4,646 | $ | 4,322 | ||||||||||
Professional Fees | 1,993 | 2,409 | ||||||||||||
D&O insurance | 1,236 | 1,465 | ||||||||||||
Directors' compensation | 681 | 672 | ||||||||||||
Other | 736 | 877 | ||||||||||||
Total Non-investment related expenses | $ | 9,292 | $ | 9,745 |
Year Ended | ||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
Affiliate reimbursement | $ | 755 | $ | 1,157 | ||||||||||
Servicing fees (1) | 4,030 | 3,188 | ||||||||||||
Residential mortgage loan asset management fees (1) | 2,595 | 1,549 | ||||||||||||
Trustee and bank fees | 998 | 250 | ||||||||||||
Other | 820 | 656 | ||||||||||||
Total Investment related expenses | $ | 9,198 | $ | 6,800 |
Year Ended | ||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
MATT Non-QM Loans (1) | $ | 1,261 | $ | 12,594 | ||||||||||
Land Related Financing | 1,621 | 2,455 | ||||||||||||
Other (2) | 594 | 13,159 | ||||||||||||
AG Arc (3) | (13,734) | 3,681 | ||||||||||||
Equity in earnings/(loss) from affiliates | $ | (10,258) | $ | 31,889 |
Year Ended | ||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
Interest income (1) | $ | 6,670 | $ | 26,963 | ||||||||||
Interest expense | 1,232 | 2,200 | ||||||||||||
Total Net Interest Income | 5,438 | 24,763 | ||||||||||||
Net realized gain/(loss) | (1,191) | 1,938 | ||||||||||||
Net unrealized gain/(loss) | (293) | 3,298 | ||||||||||||
Total Other Income/(Loss) | (1,484) | 5,236 | ||||||||||||
After-tax earnings/(loss) at AG Arc (2) | (2,135) | 8,370 | ||||||||||||
Net unrealized gain/(loss) on investment in AG Arc (3) | (5,567) | 617 | ||||||||||||
Elimination of gains on loans sold to MITT (4) | (6,032) | (5,306) | ||||||||||||
Total AG Arc Earnings/(Loss) | (13,734) | 3,681 | ||||||||||||
Other operating expenses | 478 | 1,791 | ||||||||||||
Equity in earnings/(loss) from affiliates | $ | (10,258) | $ | 31,889 |
December 31, 2022 | ||||||||||||||||||||
Weighted Average | GAAP Investment Portfolio | Investments in Debt and Equity of Affiliates | Investment Portfolio (a) | |||||||||||||||||
Yield | 4.99 | % | 18.05 | % | 5.14 | % | ||||||||||||||
Cost of Funds (b)(c) | 4.31 | % | 5.19 | % | 4.31 | % | ||||||||||||||
Net Interest Margin | 0.68 | % | 12.86 | % | 0.83 | % | ||||||||||||||
Leverage Ratio (d) | 8.4x | (e) | 1.3x |
December 31, 2021 | ||||||||||||||||||||
Weighted Average | GAAP Investment Portfolio | Investments in Debt and Equity of Affiliates | Investment Portfolio (a) | |||||||||||||||||
Yield | 3.72 | % | 9.21 | % | 3.84 | % | ||||||||||||||
Cost of Funds (b)(c) | 2.06 | % | 3.41 | % | 2.08 | % | ||||||||||||||
Net Interest Margin | 1.66 | % | 5.80 | % | 1.76 | % | ||||||||||||||
Leverage Ratio (d) | 4.9x | (e) | 2.4x |
Year Ended | |||||||||||
December 31, 2022 | December 31, 2021 | ||||||||||
Net Income/(loss) available to common stockholders | $ | (71,444) | $ | 85,873 | |||||||
Add (Deduct): | |||||||||||
Net realized (gain)/loss | (81,389) | (1,698) | |||||||||
Net unrealized (gain)/loss | 137,634 | (62,699) | |||||||||
Transaction related expenses and deal related performance fees (1) | 17,162 | 8,558 | |||||||||
Equity in (earnings)/loss from affiliates | 10,258 | (31,889) | |||||||||
EAD from equity method investments (2)(3) | (12,320) | 23,807 | |||||||||
Other (income)/loss, net | — | (14) | |||||||||
(Gains) from Exchange Offers, net | — | (472) | |||||||||
Dollar roll income/(loss) | 1,999 | (3,377) | |||||||||
Earnings available for distribution | $ | 1,900 | $ | 18,089 | |||||||
Earnings available for distribution, per Diluted Share (4) | $ | 0.08 | $ | 1.11 |
Allocated Equity | Percent of Equity | |||||||||||||||||||||||||
December 31, 2022 | December 31, 2021 | December 31, 2022 | December 31, 2021 | |||||||||||||||||||||||
Residential Investments | $ | 454,411 | $ | 459,058 | 98.2 | % | 80.5 | % | ||||||||||||||||||
Agency RMBS | 8,389 | 111,322 | 1.8 | % | 19.5 | % | ||||||||||||||||||||
Total | $ | 462,800 | $ | 570,380 | 100.0 | % | 100.0 | % |
Fair Value | Percent of Investment Portfolio Fair Value | Leverage Ratio (a) | ||||||||||||||||||||||||||||||||||||
December 31, 2022 | December 31, 2021 | December 31, 2022 | December 31, 2021 | December 31, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||
Residential Investments | $ | 4,202,801 | $ | 2,725,889 | 99.5 | % | 84.6 | % | 1.3x | 2.1x | ||||||||||||||||||||||||||||
Agency RMBS | 19,124 | 495,713 | 0.5 | % | 15.4 | % | 1.7x | 3.7x | ||||||||||||||||||||||||||||||
Total: Investment Portfolio | $ | 4,221,925 | $ | 3,221,602 | 100.0 | % | 100.0 | % | 1.3x | 2.4x | ||||||||||||||||||||||||||||
Less: Investments in Debt and Equity of Affiliates | $ | 49,609 | $ | 72,026 | N/A | N/A | (b) | (b) | ||||||||||||||||||||||||||||||
Total: GAAP Investment Portfolio | $ | 4,172,316 | $ | 3,149,576 | N/A | N/A | 8.4x | 4.9x |
December 31, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Instrument | Current Face | Amortized Cost | Unrealized Mark-to-Market | Fair Value (1) | Weighted Average Coupon (2) | Weighted Average Yield | Weighted Average Life (Years) (3) | Fair Value (1) | ||||||||||||||||||||||||||||||||||||||||||
Residential Investments | ||||||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Loans | ||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Loans | $ | 3,003,137 | $ | 3,059,975 | $ | (334,066) | $ | 2,725,909 | 5.21 | % | 5.00 | % | 9.71 | $ | 1,844,198 | |||||||||||||||||||||||||||||||||||
Agency-Eligible Loans | 1,293,079 | 1,291,933 | (163,618) | 1,128,315 | 4.11 | % | 4.15 | % | 9.88 | 440,837 | ||||||||||||||||||||||||||||||||||||||||
Re- and Non-Performing Loans | 328,640 | 289,658 | (15,285) | 274,373 | 3.68 | % | 7.49 | % | 6.28 | 350,227 | ||||||||||||||||||||||||||||||||||||||||
MATT Non-QM Loans | — | — | — | — | — | % | — | % | — | 11,839 | ||||||||||||||||||||||||||||||||||||||||
Land Related Financing | 10,688 | 10,688 | — | 10,688 | 14.50 | % | 14.50 | % | 0.09 | 16,891 | ||||||||||||||||||||||||||||||||||||||||
Total Residential Mortgage Loans | 4,635,544 | 4,652,254 | (512,969) | 4,139,285 | 4.82 | % | 4.96 | % | 9.49 | 2,663,992 | ||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Securities | 14,894 | 14,693 | (4,834) | 9,859 | 4.34 | % | 4.60 | % | 12.21 | 14,600 | ||||||||||||||||||||||||||||||||||||||||
Agency-Eligible Securities | 16,819 | 10,145 | (467) | 9,678 | 3.22 | % | 8.47 | % | 14.06 | — | ||||||||||||||||||||||||||||||||||||||||
MATT Non-QM Bonds (4) | 350,361 | 31,933 | (866) | 31,067 | 0.99 | % | 20.30 | % | 3.63 | 33,998 | ||||||||||||||||||||||||||||||||||||||||
Re/Non-Performing Securities | 33,809 | 7,971 | (117) | 7,854 | 3.11 | % | 14.00 | % | 1.68 | 9,904 | ||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS Interest Only (5) | 108,464 | 2,838 | 2,220 | 5,058 | 0.38 | % | 34.42 | % | 4.68 | 3,395 | ||||||||||||||||||||||||||||||||||||||||
Total Non-Agency RMBS | 524,347 | 67,580 | (4,064) | 63,516 | 1.17 | % | 16.41 | % | 4.30 | 61,897 | ||||||||||||||||||||||||||||||||||||||||
Total Residential Investments | 5,159,891 | 4,719,834 | (517,033) | 4,202,801 | 4.61 | % | 5.13 | % | 8.96 | 2,725,889 | ||||||||||||||||||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||||||||||||||||||||||||||||
30 Year Fixed Rate | — | — | — | — | — | % | — | % | — | 495,713 | ||||||||||||||||||||||||||||||||||||||||
Interest Only | 127,356 | 19,771 | (647) | 19,124 | 2.87 | % | 7.54 | % | 6.63 | — | ||||||||||||||||||||||||||||||||||||||||
Total Agency RMBS | 127,356 | 19,771 | (647) | 19,124 | 2.87 | % | 7.54 | % | 6.63 | 495,713 | ||||||||||||||||||||||||||||||||||||||||
Total: Investment Portfolio | $ | 5,287,247 | $ | 4,739,605 | $ | (517,680) | $ | 4,221,925 | 4.56 | % | 5.14 | % | 8.90 | $ | 3,221,602 | |||||||||||||||||||||||||||||||||||
Less: Investments in Debt and Equity of Affiliates | ||||||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Loans | $ | 10,688 | $ | 10,688 | $ | — | $ | 10,688 | 14.50 | % | 14.50 | % | 0.09 | $ | 28,886 | |||||||||||||||||||||||||||||||||||
Non-Agency RMBS | $ | 384,170 | $ | 39,904 | $ | (983) | $ | 38,921 | 1.31 | % | 19.03 | % | 3.45 | $ | 43,140 | |||||||||||||||||||||||||||||||||||
Total: GAAP Investment Portfolio | $ | 4,892,389 | $ | 4,689,013 | $ | (516,697) | $ | 4,172,316 | 4.69 | % | 4.99 | % | 9.34 | $ | 3,149,576 |
December 31, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | Weighted Average (1)(2)(3) | Aging by Unpaid Principal Balance (1)(2) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Original LTV Ratio | Current FICO (4) | Current | 30-59 Days | 60-89 Days | 90+ Days | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Loans | $ | 3,003,137 | $ | 2,725,909 | 69.41 | % | 730 | $ | 2,949,670 | $ | 31,177 | $ | 9,819 | $ | 12,471 | $ | 1,844,198 | |||||||||||||||||||||||||||||||||||||||
Agency-Eligible Loans | 1,293,079 | 1,128,315 | 66.43 | % | 756 | 1,287,032 | 5,801 | 246 | — | 440,837 | ||||||||||||||||||||||||||||||||||||||||||||||
MATT Non-QM Loans | — | — | — | % | — | — | — | — | — | 11,839 | ||||||||||||||||||||||||||||||||||||||||||||||
Re/Non-Performing Loans | 328,640 | 274,373 | 79.61 | % | 643 | 220,124 | 34,865 | 10,937 | 59,194 | 350,227 | ||||||||||||||||||||||||||||||||||||||||||||||
Land Related Financing | 10,688 | 10,688 | N/A | N/A | N/A | N/A | N/A | N/A | 16,891 | |||||||||||||||||||||||||||||||||||||||||||||||
Total Residential mortgage loans | $ | 4,635,544 | $ | 4,139,285 | 69.29 | % | 731 | $ | 4,456,826 | $ | 71,843 | $ | 21,002 | $ | 71,665 | $ | 2,663,992 | |||||||||||||||||||||||||||||||||||||||
Less: Residential mortgage loans in Investments in Debt and Equity of Affiliates | 10,688 | 10,688 | N/A | N/A | N/A | N/A | N/A | N/A | 28,886 | |||||||||||||||||||||||||||||||||||||||||||||||
Total GAAP Residential mortgage Loans | $ | 4,624,856 | $ | 4,128,597 | 69.29 | % | 731 | $ | 4,456,826 | $ | 71,843 | $ | 21,002 | $ | 71,665 | $ | 2,635,106 |
Credit Rating - Non-Agency RMBS (1) | December 31, 2022 | December 31, 2021 | ||||||||||||
BBB | $ | 7,707 | $ | 4,074 | ||||||||||
BB | 8,096 | 7,709 | ||||||||||||
B | 12,814 | 15,018 | ||||||||||||
Not Rated | 34,899 | 35,096 | ||||||||||||
Total: Non-Agency RMBS | $ | 63,516 | $ | 61,897 | ||||||||||
Less: Investments in Debt and Equity of Affiliates | $ | 38,921 | $ | 43,140 | ||||||||||
Total: GAAP Basis | $ | 24,595 | $ | 18,757 |
December 31, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||
State | Fair Value | Percentage | State | Fair Value | Percentage | |||||||||||||||||||||||||||
California | $ | 29,972 | 47.2 | % | California | $ | 31,480 | 50.9 | % | |||||||||||||||||||||||
New York | 9,733 | 15.3 | % | New York | 11,092 | 17.9 | % | |||||||||||||||||||||||||
Florida | 3,955 | 6.2 | % | Florida | 3,661 | 5.9 | % | |||||||||||||||||||||||||
Texas | 2,248 | 3.5 | % | New Jersey | 1,684 | 2.7 | % | |||||||||||||||||||||||||
New Jersey | 1,912 | 3.0 | % | Texas | 1,511 | 2.4 | % | |||||||||||||||||||||||||
Other | 15,696 | 24.8 | % | Other | 12,469 | 20.2 | % | |||||||||||||||||||||||||
Total | $ | 63,516 | 100.0 | % | Total | $ | 61,897 | 100.0 | % |
Fair Value | CPR (1) | |||||||||||||||||||||||||
Agency RMBS | December 31, 2022 | December 31, 2021 | December 31, 2022 | December 31, 2021 | ||||||||||||||||||||||
30 Year Fixed Rate | $ | — | $ | 495,713 | — | % | 6.1 | % | ||||||||||||||||||
Interest Only | 19,124 | — | 11.0 | % | — | % | ||||||||||||||||||||
Total/Weighted Average | $ | 19,124 | $ | 495,713 | 11.0 | % | 6.1 | % |
December 31, 2022 | December 31, 2021 | |||||||||||||
Recourse financing - Financing arrangements, including those in Investments in Debt and Equity of Affiliates | $ | 625,593 | $ | 1,791,596 | ||||||||||
Non-recourse financing - Securitized debt, at fair value | 3,262,352 | 999,215 | ||||||||||||
Non-recourse financing - Financing arrangements included in Investments in Debt and Equity of Affiliates | 16,409 | 22,156 | ||||||||||||
Total Financing | 3,904,354 | 2,812,967 | ||||||||||||
Less: | ||||||||||||||
Recourse financing - Financing arrangements included in Investments in Debt and Equity of Affiliates | 4,406 | 13,853 | ||||||||||||
Non-recourse financing - Financing arrangements included in Investments in Debt and Equity of Affiliates | 16,409 | 22,156 | ||||||||||||
Total Financing in Investments in Debt and Equity of Affiliates | 20,815 | 36,009 | ||||||||||||
Total GAAP Financing | $ | 3,883,539 | $ | 2,776,958 |
December 31, 2022 | Leverage | Stockholders' Equity | Leverage Ratio | |||||||||||||||||
GAAP Securitized debt, at fair value | $ | 3,262,352 | ||||||||||||||||||
GAAP Financing arrangements | 621,187 | |||||||||||||||||||
Restricted cash posted on Financing arrangements | (3,357) | |||||||||||||||||||
GAAP Leverage | $ | 3,880,182 | $ | 462,800 | 8.4x | |||||||||||||||
Financing arrangements through affiliated entities | 20,790 | |||||||||||||||||||
Non-recourse financing arrangements (1) | (3,278,761) | |||||||||||||||||||
Net TBA receivable/(payable) adjustment | (39,206) | |||||||||||||||||||
Economic Leverage | $ | 583,005 | $ | 462,800 | 1.3x |
December 31, 2021 | Leverage | Stockholders’ Equity | Leverage Ratio | |||||||||||||||||
GAAP Securitized debt, at fair value | $ | 999,215 | ||||||||||||||||||
GAAP Financing arrangements | 1,777,743 | |||||||||||||||||||
Restricted cash posted on Financing arrangements | (4,951) | |||||||||||||||||||
Purchase price payable on loans | 87 | |||||||||||||||||||
GAAP Leverage | $ | 2,772,094 | $ | 570,380 | 4.9x | |||||||||||||||
Financing arrangements through affiliated entities | 35,744 | |||||||||||||||||||
Non-recourse financing arrangements (1) | (1,021,371) | |||||||||||||||||||
Net TBA receivable/(payable) adjustment | (394,212) | |||||||||||||||||||
Economic Leverage | $ | 1,392,255 | $ | 570,380 | 2.4x |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||
Declaration Date | Record Date | Payment Date | Cash Dividend Per Share | Declaration Date | Record Date | Payment Date | Cash Dividend Per Share | |||||||||||||||||||||||||||||||||||||
3/18/2022 | 3/31/2022 | 4/29/2022 | $ | 0.21 | 3/22/2021 | 4/1/2021 | 4/30/2021 | $ | 0.18 | |||||||||||||||||||||||||||||||||||
6/15/2022 | 6/30/2022 | 7/29/2022 | 0.21 | 6/15/2021 | 6/30/2021 | 7/30/2021 | 0.21 | |||||||||||||||||||||||||||||||||||||
9/15/2022 | 9/30/2022 | 10/31/2022 | 0.21 | 9/15/2021 | 9/30/2021 | 10/29/2021 | 0.21 | |||||||||||||||||||||||||||||||||||||
12/19/2022 | 12/30/2022 | 1/31/2023 | 0.18 | 12/15/2021 | 12/31/2021 | 1/31/2022 | 0.21 | |||||||||||||||||||||||||||||||||||||
Total | $ | 0.81 | Total | $ | 0.81 |
2022 | Cash Dividend Per Share | |||||||||||||||||||||||||||||||
Declaration Date | Record Date | Payment Date | 8.25% Series A | 8.00% Series B | 8.000% Series C | |||||||||||||||||||||||||||
2/18/2022 | 2/28/2022 | 3/17/2022 | $ | 0.51563 | $ | 0.50 | $ | 0.50 | ||||||||||||||||||||||||
5/2/2022 | 5/31/2022 | 6/17/2022 | 0.51563 | 0.50 | 0.50 | |||||||||||||||||||||||||||
8/3/2022 | 8/31/2022 | 9/19/2022 | 0.51563 | 0.50 | 0.50 | |||||||||||||||||||||||||||
11/3/2022 | 11/30/2022 | 12/19/2022 | 0.51563 | 0.50 | 0.50 | |||||||||||||||||||||||||||
Total | $ | 2.06252 | $ | 2.00 | $ | 2.00 | ||||||||||||||||||||||||||
2021 | Cash Dividend Per Share | |||||||||||||||||||||||||||||||
Declaration Date | Record Date | Payment Date | 8.25% Series A | 8.00% Series B | 8.000% Series C | |||||||||||||||||||||||||||
2/16/2021 | 2/26/2021 | 3/17/2021 | $ | 0.51563 | $ | 0.50 | $ | 0.50 | ||||||||||||||||||||||||
5/17/2021 | 5/28/2021 | 6/17/2021 | 0.51563 | 0.50 | 0.50 | |||||||||||||||||||||||||||
7/30/2021 | 8/31/2021 | 9/17/2021 | 0.51563 | 0.50 | 0.50 | |||||||||||||||||||||||||||
11/5/2021 | 11/30/2021 | 12/17/2021 | 0.51563 | 0.50 | 0.50 | |||||||||||||||||||||||||||
Total | $ | 2.06252 | $ | 2.00 | $ | 2.00 |
Years Ended | ||||||||||||||||||||
December 31, 2022 | December 31, 2021 | Change | ||||||||||||||||||
Cash, cash equivalents, and restricted cash, Beginning of Period | $ | 100,229 | $ | 62,318 | $ | 37,911 | ||||||||||||||
Net cash provided by (used in) operating activities (1) | 22,520 | 26,298 | (3,778) | |||||||||||||||||
Net cash provided by (used in) investing activities (2) | (1,490,351) | (1,899,691) | 409,340 | |||||||||||||||||
Net cash provided by (used in) financing activities (3) | 1,466,405 | 1,911,294 | (444,889) | |||||||||||||||||
Net change in cash, cash equivalents and restricted cash | (1,426) | 37,901 | (39,327) | |||||||||||||||||
Effect of exchange rate changes on cash | — | 10 | (10) | |||||||||||||||||
Cash, cash equivalents, and restricted cash, End of Period | $ | 98,803 | $ | 100,229 | $ | (1,426) |
Preferred Shares Exchanged | ||||||||||||||||||||||||||||||||
Date | Shares of Series A Preferred Stock | Shares of Series B Preferred Stock | Shares of Series C Preferred Stock | Total Preferred Stock Par Value | Common Shares Exchanged | |||||||||||||||||||||||||||
March 17, 2021 | 153,325 | 350,609 | — | $ | 12,598 | 937,462 | ||||||||||||||||||||||||||
June 14, 2021 | — | 86,478 | 154,383 | 6,022 | 429,802 | |||||||||||||||||||||||||||
Year Ended | ||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
Management fee to affiliate | $ | 8,096 | $ | 6,814 |
Year Ended | ||||||||||||||
Consolidated statements of operations line item: | December 31, 2022 | December 31, 2021 | ||||||||||||
Non-investment related expenses (1) | $ | 4,646 | $ | 4,322 | ||||||||||
Investment related expenses | 755 | 1,157 | ||||||||||||
Transaction related expenses | 2,757 | 841 | ||||||||||||
Expense reimbursements to Manager or its affiliates | $ | 8,158 | $ | 6,320 |
Duration (1)(2) | Years | |||||||
Agency RMBS | (0.01) | |||||||
Residential Loans (3) | 5.12 | |||||||
Hedges | (1.45) | |||||||
Duration Gap | 3.66 |
Change in Interest Rates (basis points) (1)(2) | Change in Fair Value as a Percentage of GAAP Equity (3) | Change in Fair Value as a Percentage of Assets (3) | Percentage Change in Projected Net Interest Income (4) | |||||||||||||||||
+75 | (6.0) | % | (0.6) | % | (2.3) | % | ||||||||||||||
+50 | (4.0) | % | (0.4) | % | (1.5) | % | ||||||||||||||
+25 | (2.0) | % | (0.2) | % | (0.8) | % | ||||||||||||||
-25 | 2.1 | % | 0.2 | % | 0.7 | % | ||||||||||||||
-50 | 4.3 | % | 0.5 | % | 1.5 | % | ||||||||||||||
-75 | 6.5 | % | 0.7 | % | 2.2 | % |
Page | |||||
Report of Independent Registered Public Accounting Firm (PCAOB ID | |||||
December 31, 2022 | December 31, 2021 | ||||||||||
Assets | |||||||||||
Securitized residential mortgage loans, at fair value - $ | $ | $ | |||||||||
Residential mortgage loans, at fair value - $ | |||||||||||
Residential mortgage loans held for sale, at fair value - $ | |||||||||||
Real estate securities, at fair value - $ | |||||||||||
Investments in debt and equity of affiliates | |||||||||||
Cash and cash equivalents | |||||||||||
Restricted cash | |||||||||||
Other assets | |||||||||||
Total Assets | $ | $ | |||||||||
Liabilities | |||||||||||
Securitized debt, at fair value (1) | $ | $ | |||||||||
Financing arrangements | |||||||||||
Dividend payable | |||||||||||
Other liabilities (2) | |||||||||||
Total Liabilities | |||||||||||
Commitments and Contingencies (Note 12) | |||||||||||
Stockholders' Equity | |||||||||||
Preferred stock - $ | |||||||||||
Common stock, par value $ | |||||||||||
Additional paid-in capital | |||||||||||
Retained earnings/(deficit) | ( | ( | |||||||||
Total Stockholders' Equity | |||||||||||
Total Liabilities & Stockholders' Equity | $ | $ |
Year Ended | |||||||||||
December 31, 2022 | December 31, 2021 | ||||||||||
Net Interest Income | |||||||||||
Interest income | $ | $ | |||||||||
Interest expense | |||||||||||
Total Net Interest Income | |||||||||||
Other Income/(Loss) | |||||||||||
Net interest component of interest rate swaps | ( | ( | |||||||||
Net realized gain/(loss) | |||||||||||
Net unrealized gain/(loss) | ( | ||||||||||
Other income/(loss), net | |||||||||||
Total Other Income/(Loss) | ( | ||||||||||
Expenses | |||||||||||
Management fee to affiliate (1) | |||||||||||
Non-investment related expenses (1) | |||||||||||
Investment related expenses (1) | |||||||||||
Transaction related expenses (1) | |||||||||||
Total Expenses | |||||||||||
Income/(loss) before equity in earnings/(loss) from affiliates | ( | ||||||||||
Equity in earnings/(loss) from affiliates | ( | ||||||||||
Net Income/(Loss) | ( | ||||||||||
Gain on Exchange Offers, net (Note 11) | |||||||||||
Dividends on preferred stock | ( | ( | |||||||||
Net Income/(Loss) Available to Common Stockholders | $ | ( | $ | ||||||||
Earnings/(Loss) Per Share of Common Stock (2) | |||||||||||
Basic | $ | ( | $ | ||||||||
Diluted | $ | ( | $ | ||||||||
Weighted Average Number of Shares of Common Stock Outstanding (2) | |||||||||||
Basic | |||||||||||
Diluted |
Common Stock (1) | Preferred Stock | Additional Paid-in Capital (1) | Retained Earnings/(Deficit) | ||||||||||||||||||||||||||||||||
Shares | Amount | Total | |||||||||||||||||||||||||||||||||
Balance at January 1, 2021 | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||||||||
Net proceeds from issuance of common stock | — | — | |||||||||||||||||||||||||||||||||
Repurchase of common stock | ( | ( | — | ( | — | ( | |||||||||||||||||||||||||||||
Grant of restricted stock | — | — | — | ||||||||||||||||||||||||||||||||
Common dividends declared | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||
Exchange Offers (Note 11) | ( | ( | |||||||||||||||||||||||||||||||||
Net Income/(Loss) | — | — | — | — | |||||||||||||||||||||||||||||||
Balance at December 31, 2021 | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||||||||
Balance at January 1, 2022 | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||||||||
Repurchase of common stock | ( | ( | — | ( | — | ( | |||||||||||||||||||||||||||||
Grant of restricted stock | — | — | — | ||||||||||||||||||||||||||||||||
Common dividends declared | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||
Net Income/(Loss) | — | — | — | — | ( | ( | |||||||||||||||||||||||||||||
Balance at December 31, 2022 | $ | $ | $ | $ | ( | $ |
Year Ended | |||||||||||
December 31, 2022 | December 31, 2021 | ||||||||||
Cash Flows from Operating Activities | |||||||||||
Net income/(loss) | $ | ( | $ | ||||||||
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | |||||||||||
Net amortization of premium | |||||||||||
Net realized (gain)/loss | ( | ( | |||||||||
Net unrealized (gain)/loss | ( | ||||||||||
Equity based compensation expense | |||||||||||
(Income)/loss from investments in debt and equity of affiliates in excess of distributions received | ( | ||||||||||
Change in operating assets/liabilities: | |||||||||||
Other assets | ( | ( | |||||||||
Other liabilities | |||||||||||
Net cash provided by (used in) operating activities | |||||||||||
Cash Flows from Investing Activities | |||||||||||
Purchase of residential mortgage loans | ( | ( | |||||||||
Purchase of real estate securities | ( | ( | |||||||||
Origination of commercial loans | ( | ||||||||||
Purchase of commercial loans | ( | ||||||||||
Investments in debt and equity of affiliates | ( | ( | |||||||||
Proceeds from sale of residential mortgage loans | |||||||||||
Proceeds from sale of real estate securities | |||||||||||
Proceeds from sale of commercial loans | |||||||||||
Principal repayments on residential mortgage loans | |||||||||||
Principal repayments on real estate securities | |||||||||||
Principal repayments on commercial loans | |||||||||||
Distributions received in excess of income from investments in debt and equity of affiliates | |||||||||||
Net settlement of interest rate swaps and other instruments | |||||||||||
Net settlement of TBAs | |||||||||||
Cash flows provided by other investing activities | |||||||||||
Cash flows used in other investing activities | ( | ||||||||||
Net cash provided by (used in) investing activities | ( | ( | |||||||||
Cash Flows from Financing Activities | |||||||||||
Net proceeds from issuance of common stock | |||||||||||
Repurchase of common stock | ( | ( | |||||||||
Net borrowings under (repayments of) financing arrangements | ( | ||||||||||
Deferred financing costs paid | ( | ( | |||||||||
Repayments of secured debt | ( | ||||||||||
Proceeds from issuance of securitized debt | |||||||||||
Principal repayments on securitized debt | ( | ( | |||||||||
Net collateral received from (paid to) derivative counterparty | |||||||||||
Year Ended | |||||||||||
December 31, 2022 | December 31, 2021 | ||||||||||
Dividends paid on common stock | ( | ( | |||||||||
Dividends paid on preferred stock | ( | ( | |||||||||
Net cash provided by (used in) financing activities | |||||||||||
Net change in cash and cash equivalents, and restricted cash | ( | ||||||||||
Cash and cash equivalents, and restricted cash, Beginning of Year | |||||||||||
Effect of exchange rate changes on cash | |||||||||||
Cash and cash equivalents, and restricted cash, End of Year | $ | $ | |||||||||
Supplemental disclosure of cash flow information: | |||||||||||
Cash paid for interest on financing arrangements | $ | $ | |||||||||
Cash paid for excise and income tax | $ | $ | |||||||||
Supplemental disclosure of non-cash financing and investing activities: | |||||||||||
Common stock dividends declared but not paid | $ | $ | |||||||||
Exchange Offers (Note 11) | $ | $ | |||||||||
Holdback receivable on sale of excess MSRs | $ | $ | |||||||||
Transfer from residential mortgage loans to other assets | $ | $ | |||||||||
December 31, 2022 | December 31, 2021 | ||||||||||
Cash and cash equivalents | $ | $ | |||||||||
Restricted cash | |||||||||||
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ | $ |
Asset Class | Description | |||||||
Residential Investments | ||||||||
Non-Agency Loans(1) | •Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau. | |||||||
Agency-Eligible Loans(1) | •Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE. | |||||||
Re- and Non-Performing Loans(1) | •Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. | |||||||
Non-Agency Residential Mortgage-Backed Securities ("RMBS")(2) | •Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. The mortgage loan collateral consists of either Non-Agency Loans or Agency-Eligible Loans. | |||||||
Agency RMBS(2) | •Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. |
Year Ended | ||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
Intra-Entity Profits Eliminated | $ | $ |
Unpaid Principal Balance | Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2022 | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life (Years) (1) | |||||||||||||||||||||||||||||||||||||||||||||
Securitized residential mortgage loans, at fair value (2) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Loans | $ | $ | $ | $ | $ | ( | $ | % | % | ||||||||||||||||||||||||||||||||||||||||||||
Agency-Eligible Loans | ( | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Re- and Non-Performing Loans | ( | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Total Securitized residential mortgage loans, at fair value | $ | $ | $ | $ | $ | ( | $ | % | % | ||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans, at fair value | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Loans (3) | $ | $ | ( | $ | $ | $ | ( | $ | % | % | |||||||||||||||||||||||||||||||||||||||||||
Agency-Eligible Loans (3) | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Re- and Non-Performing Loans | ( | N/A | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total Residential mortgage loans, at fair value | $ | $ | ( | $ | $ | $ | ( | $ | % | % | |||||||||||||||||||||||||||||||||||||||||||
Total as of December 31, 2022 | $ | $ | $ | $ | $ | ( | $ | ||||||||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | Premium (Discount) | Amortized Cost | Gains | Losses | Fair Value | Coupon | Yield | Life (Years) (1) | |||||||||||||||||||||||||||||||||||||||||||||
Securitized residential mortgage loans, at fair value (2) | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Loans | $ | $ | $ | $ | $ | ( | $ | % | % | ||||||||||||||||||||||||||||||||||||||||||||
Re- and Non-Performing Loans | ( | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Total Securitized residential mortgage loans, at fair value | $ | $ | ( | $ | $ | $ | ( | $ | % | % | |||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans, at fair value | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Loans | $ | $ | $ | $ | $ | ( | $ | % | % | ||||||||||||||||||||||||||||||||||||||||||||
Agency-Eligible Loans | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Re- and Non-Performing Loans | ( | N/A | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total Residential mortgage loans, at fair value | $ | $ | $ | $ | $ | ( | $ | % | % | ||||||||||||||||||||||||||||||||||||||||||||
Total as of December 31, 2021 | $ | $ | $ | $ | $ | ( | $ | % | % |
Unpaid Principal Balance | Weighted Average (1)(2) | Aging by Unpaid Principal Balance (1)(3) | ||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2022 | Loan Count (1) | Original LTV Ratio | Current FICO (4) | Current | 30-59 Days | 60-89 Days | 90+ Days | |||||||||||||||||||||||||||||||||||||||||||
Securitized residential mortgage loans | ||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Loans | $ | % | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||
Agency-Eligible Loans | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Re- and Non-Performing Loans | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Total Securitized residential mortgage loans | $ | % | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans | ||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Loans | $ | % | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||
Agency-Eligible Loans | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Re- and Non-Performing Loans (1) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||||||||||||||||||
Total Residential mortgage loans | $ | % | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||
Total as of December 31, 2022 | $ | % | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||
Unpaid Principal Balance | Weighted Average (1)(2) | Aging by Unpaid Principal Balance (1)(3) | ||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | Loan Count (1) | Original LTV Ratio | Current FICO (4) | Current | 30-59 Days | 60-89 Days | 90+ Days | |||||||||||||||||||||||||||||||||||||||||||
Securitized residential mortgage loans | ||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Loans | $ | % | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||
Re- and Non-Performing Loans | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Total Securitized residential mortgage loans | $ | % | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||
Residential mortgage loans | ||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Loans | $ | % | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||
Agency-Eligible Loans | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Re- and Non-Performing Loans (1) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||||||||||||||||||
Total Residential mortgage loans | $ | % | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||
Total as of December 31, 2021 | $ | % | $ | $ | $ | $ |
Unpaid Principal Balance | Fair Value | |||||||||||||
Non-Agency Loans | $ | $ | ||||||||||||
Agency-Eligible Loans | ||||||||||||||
Total | $ | $ |
Number of Loans | Proceeds | Realized Gains | Realized Losses | |||||||||||||||||||||||
Year Ended December 31, 2022 | ||||||||||||||||||||||||||
Non-Agency Loans | $ | $ | $ | ( | ||||||||||||||||||||||
Agency-Eligible Loans | ( | |||||||||||||||||||||||||
Year Ended December 31, 2021 | ||||||||||||||||||||||||||
Non-Agency Loans (1) | $ | $ | $ | ( | ||||||||||||||||||||||
Re- and Non-Performing Loans | ||||||||||||||||||||||||||
Securitized Re- and Non-Performing Loans | ( |
Geographic Concentration of Credit Risk (1) | December 31, 2022 | December 31, 2021 | |||||||||
California | % | % | |||||||||
New York | % | % | |||||||||
Florida | % | % | |||||||||
New Jersey | % | % | |||||||||
Texas | % | % |
Year Ended | |||||||||||
December 31, 2022 | December 31, 2021 | ||||||||||
Beginning Balance | $ | $ | |||||||||
Accretion | ( | ( | |||||||||
Reclassifications from/(to) non-accretable difference | |||||||||||
Disposals | ( | ( | |||||||||
Ending Balance | $ | $ |
December 31, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||
Carrying Value | Weighted Average | Carrying Value | Weighted Average | |||||||||||||||||||||||||||||||||||
Yield | Life (Years) (1) | Yield | Life (Years) (1) | |||||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||
Non-Agency VIEs | $ | % | $ | % | ||||||||||||||||||||||||||||||||||
Agency-Eligible VIEs | % | % | — | |||||||||||||||||||||||||||||||||||
RPL/NPL VIEs | % | % | ||||||||||||||||||||||||||||||||||||
Securitized residential mortgage loans, at fair value | $ | % | $ | % | ||||||||||||||||||||||||||||||||||
Restricted cash | ||||||||||||||||||||||||||||||||||||||
Other assets | ||||||||||||||||||||||||||||||||||||||
Total Assets | $ | $ | ||||||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||
Non-Agency VIEs | $ | % | $ | % | ||||||||||||||||||||||||||||||||||
Agency-Eligible VIEs | % | % | — | |||||||||||||||||||||||||||||||||||
RPL/NPL VIEs | % | % | ||||||||||||||||||||||||||||||||||||
Securitized debt, at fair value (2) | $ | % | $ | % | ||||||||||||||||||||||||||||||||||
Other liabilities | ||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | $ | ||||||||||||||||||||||||||||||||||||
Total Equity (3) | $ | $ |
Current Face | Premium / (Discount) | Amortized Cost | Gross Unrealized | Weighted Average | |||||||||||||||||||||||||||||||||||||||||||
December 31, 2022 | Gains | Losses | Fair Value | Coupon (1) | Yield | ||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | |||||||||||||||||||||||||||||||||||||||||||||||
Agency-Eligible Securities | $ | $ | ( | $ | $ | $ | ( | $ | % | % | |||||||||||||||||||||||||||||||||||||
Non-Agency Securities (2) | ( | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS Interest Only (2) | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||
Total Non-Agency RMBS | ( | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||
Agency RMBS | |||||||||||||||||||||||||||||||||||||||||||||||
Interest Only | ( | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||
Total as of December 31, 2022 | $ | $ | ( | $ | $ | $ | ( | $ | % | % |
Current Face | Premium / (Discount) | Amortized Cost | Gross Unrealized | Weighted Average | ||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | Gains | Losses | Fair Value | Coupon (1) | Yield | |||||||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency Securities (2) | $ | $ | ( | $ | $ | $ | ( | $ | % | % | ||||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS Interest Only (2) | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||
Re/Non-Performing Securities | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total Non-Agency RMBS | ( | ( | % | % | ||||||||||||||||||||||||||||||||||||||||||||||
Agency RMBS | ||||||||||||||||||||||||||||||||||||||||||||||||||
30 Year Fixed Rate | ( | % | % | |||||||||||||||||||||||||||||||||||||||||||||||
Total as of December 31, 2021 | $ | $ | ( | $ | $ | $ | ( | $ | % | % |
Non-Agency RMBS | Agency RMBS | |||||||||||||||||||||||||||||||||||||
December 31, 2022 Weighted Average Life (1) | Fair Value | Amortized Cost | Weighted Average Coupon (2) | Fair Value | Amortized Cost | Weighted Average Coupon | ||||||||||||||||||||||||||||||||
Greater than one year and less than or equal to five years | $ | $ | % | $ | $ | % | ||||||||||||||||||||||||||||||||
Greater than five years and less than or equal to ten years | % | % | ||||||||||||||||||||||||||||||||||||
Greater than ten years | % | % | ||||||||||||||||||||||||||||||||||||
Total as of December 31, 2022 | $ | $ | % | $ | $ | % |
Non-Agency RMBS | Agency RMBS | |||||||||||||||||||||||||||||||||||||
December 31, 2021 Weighted Average Life (1) | Fair Value | Amortized Cost | Weighted Average Coupon (2) | Fair Value | Amortized Cost | Weighted Average Coupon | ||||||||||||||||||||||||||||||||
Less than or equal to one year | $ | $ | % | $ | $ | % | ||||||||||||||||||||||||||||||||
Greater than one year and less than or equal to five years | % | % | ||||||||||||||||||||||||||||||||||||
Greater than five years and less than or equal to ten years | % | % | ||||||||||||||||||||||||||||||||||||
Greater than ten years | % | % | ||||||||||||||||||||||||||||||||||||
Total as of December 31, 2021 | $ | $ | % | $ | $ | % |
Number of Securities | Proceeds | Realized Gains | Realized Losses | ||||||||||||||||||||
Year ended December 31, 2022 | $ | $ | $ | ( | |||||||||||||||||||
Year ended December 31, 2021 | ( |
Fair Value as of December 31, 2022 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
Assets: | |||||||||||||||||||||||
Securitized residential mortgage loans | $ | $ | $ | $ | |||||||||||||||||||
Residential mortgage loans (1) | |||||||||||||||||||||||
Non-Agency RMBS (2) | |||||||||||||||||||||||
Non-Agency RMBS Interest Only | |||||||||||||||||||||||
Agency Interest Only | |||||||||||||||||||||||
Derivative assets (3) | |||||||||||||||||||||||
Cash equivalents (4) | |||||||||||||||||||||||
AG Arc (5) | |||||||||||||||||||||||
Total Assets Measured at Fair Value | $ | $ | $ | $ | |||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Securitized debt | $ | $ | $ | ( | $ | ( | |||||||||||||||||
Derivative liabilities | ( | ( | |||||||||||||||||||||
Total Liabilities Measured at Fair Value | $ | $ | $ | ( | $ | ( | |||||||||||||||||
Fair value as of December 31, 2021 | |||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||
Assets: | |||||||||||||||||||||||
Securitized residential mortgage loans | $ | $ | $ | $ | |||||||||||||||||||
Residential mortgage loans | |||||||||||||||||||||||
Non-Agency RMBS (2) | |||||||||||||||||||||||
Non-Agency RMBS Interest Only | |||||||||||||||||||||||
30 Year Fixed Rate Agency RMBS | |||||||||||||||||||||||
Derivative assets (3) | |||||||||||||||||||||||
AG Arc (5) | |||||||||||||||||||||||
Total Assets Measured at Fair Value | $ | $ | $ | $ | |||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Securitized debt | $ | $ | $ | ( | $ | ( | |||||||||||||||||
Derivative liabilities (3) | ( | ( | ( | ||||||||||||||||||||
Total Liabilities Measured at Fair Value | $ | $ | ( | $ | ( | $ | ( |
Year Ended December 31, 2022 (in thousands) | |||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Loans (1) | Non-Agency RMBS | Non-Agency RMBS Interest Only | Derivative assets (2) | AG Arc | Securitized debt | Derivative liabilities (2) | |||||||||||||||||||||||||||||||||||
Beginning balance | $ | $ | $ | $ | $ | $ | ( | $ | ( | ||||||||||||||||||||||||||||||||
Purchases | |||||||||||||||||||||||||||||||||||||||||
Issuances of Securitized Debt | ( | ||||||||||||||||||||||||||||||||||||||||
Capital distributions | ( | ||||||||||||||||||||||||||||||||||||||||
Proceeds from sales | ( | ||||||||||||||||||||||||||||||||||||||||
Principal repayments | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||
Total net gains/(losses) (3) | |||||||||||||||||||||||||||||||||||||||||
Included in net income | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||
Ending Balance | $ | $ | $ | $ | $ | $ | ( | $ | ( | ||||||||||||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2022 (4) | $ | ( | $ | ( | $ | $ | $ | ( | $ | $ | ( |
$ | ( | ||||
( | |||||
( | |||||
$ | ( |
$ | ( | ||||
( | |||||
$ | ( |
Year Ended December 31, 2021 (in thousands) | |||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Loans (1) | Non-Agency RMBS | Non-Agency RMBS Interest Only | Commercial Loans | Excess Mortgage Servicing Rights | AG Arc | Securitized debt | Derivative liabilities (2) | ||||||||||||||||||||||||||||||||||||||||
Beginning balance | $ | $ | $ | $ | $ | $ | $ | ( | $ | ||||||||||||||||||||||||||||||||||||||
Transfers (3): | |||||||||||||||||||||||||||||||||||||||||||||||
Transfers out of level 3 | ( | ||||||||||||||||||||||||||||||||||||||||||||||
Purchases | |||||||||||||||||||||||||||||||||||||||||||||||
Issuances of Securitized Debt | ( | ||||||||||||||||||||||||||||||||||||||||||||||
Capital distributions | ( | ||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from sales | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Principal repayments | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Total net gains/(losses) (4) | |||||||||||||||||||||||||||||||||||||||||||||||
Included in net income | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||
Ending Balance | $ | $ | $ | $ | $ | $ | $ | ( | $ | ( | |||||||||||||||||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2021 (5) | $ | $ | $ | ( | $ | $ | $ | $ | $ | ( |
$ | |||||
$ |
$ | |||||
$ |
Asset Class | Fair Value at December 31, 2022 (in thousands) | Valuation Technique | Unobservable Input | Range (Weighted Average) (1) | ||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Securitized Residential Mortgage Loans | $ | Discounted Cash Flows | Projected Collateral Prepayments | |||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | - | |||||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Residential Mortgage Loans (2) | $ | Discounted Cash Flow | Projected Collateral Prepayments | |||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | - | |||||||||||||||||||||||||
$ | Consensus Pricing | Broker Quotes | ||||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Non-Agency RMBS | $ | Discounted Cash Flow | Projected Collateral Prepayments | |||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | ||||||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Non-Agency RMBS Interest Only | $ | Discounted Cash Flow | Projected Collateral Prepayments | |||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | ||||||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Derivative Assets (3) | $ | Discounted Cash Flow | Projected Collateral Prepayments | |||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | ||||||||||||||||||||||||||
Pull through Percentages | ||||||||||||||||||||||||||
AG Arc | $ | Comparable Multiple | Book Value Multiple | |||||||||||||||||||||||
Liability Class | Fair Value at December 31, 2022 (in thousands) | Valuation Technique | Unobservable Input | Range (Weighted Average) | ||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Securitized Debt | $ | ( | Discounted Cash Flow | Projected Collateral Prepayments | ||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | - | |||||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Derivative Liabilities (3) | $ | ( | Discounted Cash Flow | Projected Collateral Prepayments | ||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | ||||||||||||||||||||||||||
Pull Through Percentages |
Asset Class | Fair Value at December 31, 2021 (in thousands) | Valuation Technique | Unobservable Input | Range (Weighted Average) (1) | ||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Securitized Residential Mortgage Loans | $ | Discounted Cash Flow | Projected Collateral Prepayments | |||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | - | |||||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Residential Mortgage Loans | $ | Discounted Cash Flow | Projected Collateral Prepayments | |||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | - | |||||||||||||||||||||||||
$ | Consensus Pricing | Broker Quotes | ||||||||||||||||||||||||
$ | Recent Transaction | Cost | N/A | |||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Non-Agency RMBS | $ | Discounted Cash Flow | Projected Collateral Prepayments | |||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | - | |||||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Non-Agency RMBS Interest Only | $ | Discounted Cash Flow | Projected Collateral Prepayments | |||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | ||||||||||||||||||||||||||
AG Arc | $ | Comparable Multiple | Book Value Multiple | |||||||||||||||||||||||
Liability Class | Fair Value at December 31, 2021 (in thousands) | Valuation Technique | Unobservable Input | Range (Weighted Average) | ||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Securitized Debt | $ | ( | Discounted Cash Flow | Projected Collateral Prepayments | ||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | ||||||||||||||||||||||||||
Yield | ||||||||||||||||||||||||||
Derivative Liabilities (2) | $ | ( | Discounted Cash Flow | Projected Collateral Prepayments | ||||||||||||||||||||||
Projected Collateral Losses | ||||||||||||||||||||||||||
Projected Collateral Severities | ||||||||||||||||||||||||||
Pull Through Percentages |
December 31, 2022 | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||
Weighted Average | Collateral Fair Value (1)(2) | ||||||||||||||||||||||||||||||||||||||||
Current Face | Carrying Value | Stated Maturity | Funding Cost | Life (Years) | Carrying Value | ||||||||||||||||||||||||||||||||||||
Securitized residential mortgage loans (3) | $ | $ | Jan 2023 - Mar 2023 | % | $ | $ | |||||||||||||||||||||||||||||||||||
Residential mortgage loans (4)(5) | Mar 2023 - Jan 2024 | % | |||||||||||||||||||||||||||||||||||||||
Non-Agency RMBS | Jan 2023 - Mar 2023 | % | |||||||||||||||||||||||||||||||||||||||
Agency RMBS | Jan 2023 | % | |||||||||||||||||||||||||||||||||||||||
Total Financing Arrangements | $ | $ | % | $ | $ | ||||||||||||||||||||||||||||||||||||
Securitized debt, at fair value (6) | N/A | % | N/A | ||||||||||||||||||||||||||||||||||||||
Total Financing | $ | $ | % | $ | $ |
Within 30 Days | Over 30 Days to 3 Months | Over 3 Months to 12 Months | Over 12 Months | Total | |||||||||||||||||||||||||
Securitized residential mortgage loans | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
Residential mortgage loans | |||||||||||||||||||||||||||||
Non-Agency RMBS | |||||||||||||||||||||||||||||
Agency RMBS | |||||||||||||||||||||||||||||
Total Financing Arrangements | $ | $ | $ | $ | $ |
December 31, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||
Counterparty | Stockholders' Equity at Risk | Weighted Average Maturity (days) | Percentage of Stockholders' Equity | Stockholders' Equity at Risk | Weighted Average Maturity (days) | Percentage of Stockholders' Equity | ||||||||||||||||||||||||||||||||
Credit Suisse AG, Cayman Islands Branch | $ | % | $ | % | ||||||||||||||||||||||||||||||||||
Barclays Capital Inc. | % | % | ||||||||||||||||||||||||||||||||||||
BofA Securities, Inc. | % | % | ||||||||||||||||||||||||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
Other assets | ||||||||||||||
Interest receivable | $ | $ | ||||||||||||
Derivative assets, at fair value | ||||||||||||||
Other assets | ||||||||||||||
Due from broker | ||||||||||||||
Total Other assets | $ | $ | ||||||||||||
Other liabilities | ||||||||||||||
Due to affiliates (1) | $ | $ | ||||||||||||
Interest payable | ||||||||||||||
Derivative liabilities, at fair value | ||||||||||||||
Purchase price payable on loans (2) | ||||||||||||||
Accrued expenses | ||||||||||||||
Due to broker | ||||||||||||||
Total Other liabilities | $ | $ |
Derivatives and Other Instruments (1) | Balance Sheet Location | December 31, 2022 | December 31, 2021 | |||||||||||||||||
Pay Fix/Receive Float Interest Rate Swap Agreements (2) | Other assets | $ | $ | |||||||||||||||||
Short TBAs | Other assets | |||||||||||||||||||
Short TBAs | Other liabilities | ( | ||||||||||||||||||
Forward Purchase Commitments | Other assets | |||||||||||||||||||
Forward Purchase Commitments | Other liabilities | ( | ( |
Notional amount of non-hedge derivatives and other instruments: | Notional Currency | December 31, 2022 | December 31, 2021 | |||||||||||||||||
Pay Fix/Receive Float Interest Rate Swap Agreements (1) | USD | $ | $ | |||||||||||||||||
Short TBAs | USD | |||||||||||||||||||
Forward Purchase Commitments | USD | |||||||||||||||||||
Year Ended | ||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
Included within Net unrealized gain/(loss) | ||||||||||||||
Interest Rate Swaps | $ | ( | $ | |||||||||||
Short TBAs | ( | |||||||||||||
Forward Purchase Commitments | ( | |||||||||||||
Other | ||||||||||||||
( | ||||||||||||||
Included within Net realized gain/(loss) | ||||||||||||||
Interest Rate Swaps | ||||||||||||||
Long TBAs | ( | |||||||||||||
Short TBAs | ||||||||||||||
Forward Purchase Commitments | ( | |||||||||||||
Other | ( | |||||||||||||
Total income/(loss) | $ | $ |
Year Ended | Beginning Notional Amount | Buys or Covers | Sales or Shorts | Ending Notional Amount | Fair Value as of Period End | Receivable/(Payable) from/to Broker | Derivative Asset | Derivative Liability | ||||||||||||||||||||||||||||||||||||||||||
December 31, 2022 | Long TBAs | $ | $ | $ | ( | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||
December 31, 2022 | Short TBAs | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | Short TBAs | ( | ( | ( | ( |
Year Ended | |||||||||||
December 31, 2022 | December 31, 2021 | ||||||||||
Numerator: | |||||||||||
Net Income/(Loss) | $ | ( | $ | ||||||||
Gain on Exchange Offers, net (Note 11) | |||||||||||
Dividends on preferred stock | ( | ( | |||||||||
Net Income/(Loss) Available to Common Stockholders | $ | ( | $ | ||||||||
Denominator: | |||||||||||
Basic weighted average common shares outstanding | |||||||||||
Diluted weighted average common shares outstanding | |||||||||||
Earnings/(Loss) Per Share | |||||||||||
Basic | $ | ( | $ | ||||||||
Diluted | $ | ( | $ |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||
Declaration Date | Record Date | Payment Date | Cash Dividend Per Share | Declaration Date | Record Date | Payment Date | Cash Dividend Per Share | |||||||||||||||||||||||||||||||||||||
3/18/2022 | 3/31/2022 | 4/29/2022 | $ | 3/22/2021 | 4/1/2021 | 4/30/2021 | $ | |||||||||||||||||||||||||||||||||||||
6/15/2022 | 6/30/2022 | 7/29/2022 | 6/15/2021 | 6/30/2021 | 7/30/2021 | |||||||||||||||||||||||||||||||||||||||
9/15/2022 | 9/30/2022 | 10/31/2022 | 9/15/2021 | 9/30/2021 | 10/29/2021 | |||||||||||||||||||||||||||||||||||||||
12/19/2022 | 12/30/2022 | 1/31/2023 | 12/15/2021 | 12/31/2021 | 1/31/2022 | |||||||||||||||||||||||||||||||||||||||
Total | $ | Total | $ |
2022 | Cash Dividend Per Share | |||||||||||||||||||||||||||||||
Declaration Date | Record Date | Payment Date | ||||||||||||||||||||||||||||||
2/18/2022 | 2/28/2022 | 3/17/2022 | $ | $ | $ | |||||||||||||||||||||||||||
5/2/2022 | 5/31/2022 | 6/17/2022 | ||||||||||||||||||||||||||||||
8/3/2022 | 8/31/2022 | 9/19/2022 | ||||||||||||||||||||||||||||||
11/3/2022 | 11/30/2022 | 12/19/2022 | ||||||||||||||||||||||||||||||
Total | $ | $ | $ | |||||||||||||||||||||||||||||
2021 | Cash Dividend Per Share | |||||||||||||||||||||||||||||||
Declaration Date | Record Date | Payment Date | ||||||||||||||||||||||||||||||
2/16/2021 | 2/26/2021 | 3/17/2021 | $ | $ | $ | |||||||||||||||||||||||||||
5/17/2021 | 5/28/2021 | 6/17/2021 | ||||||||||||||||||||||||||||||
7/30/2021 | 8/31/2021 | 9/17/2021 | ||||||||||||||||||||||||||||||
11/5/2021 | 11/30/2021 | 12/17/2021 | ||||||||||||||||||||||||||||||
Total | $ | $ | $ |
Year Ended | |||||||||||
December 31, 2022 | December 31, 2021 | ||||||||||
Deferred tax assets | |||||||||||
Net operating loss carryforwards | $ | $ | |||||||||
Capital loss carryforwards (1) | |||||||||||
GAAP/tax basis differences | |||||||||||
Total deferred tax assets | |||||||||||
Less: valuation allowance | ( | ( | |||||||||
Net deferred tax assets | $ | $ |
Year Ended | ||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
Management fee to affiliate | $ | $ |
Year Ended | ||||||||||||||
Consolidated statements of operations line item: | December 31, 2022 | December 31, 2021 | ||||||||||||
Non-investment related expenses (1) | $ | $ | ||||||||||||
Investment related expenses | ||||||||||||||
Transaction related expenses | ||||||||||||||
Expense reimbursements to Manager or its affiliates | $ | $ |
Year Ended December 31, 2022 | Year Ended December 31, 2021 | ||||||||||||||||||||||
Shares of Restricted Stock | Weighted Average Grant Date Fair Value | Shares of Restricted Stock | Weighted Average Grant Date Fair Value | ||||||||||||||||||||
Unvested at beginning of year | $ | $ | |||||||||||||||||||||
Granted (1) | |||||||||||||||||||||||
Vested | ( | ( | |||||||||||||||||||||
Forfeited | |||||||||||||||||||||||
Unvested at end of year | $ | $ | |||||||||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Assets | Liabilities | Equity | Net Income/(Loss) | Assets | Liabilities | Equity | Net Income/(Loss) | |||||||||||||||||||||||||||||||||||||||||||
Non-QM Loans (1) | $ | $ | ( | $ | $ | $ | $ | ( | $ | $ | ||||||||||||||||||||||||||||||||||||||||
Land Related Financing (2) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Re/Non-Performing Loans | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||
Other | ( | |||||||||||||||||||||||||||||||||||||||||||||||||
Residential investments - Fair value / Net income /(loss) | $ | $ | ( | $ | $ | $ | $ | ( | $ | $ | ||||||||||||||||||||||||||||||||||||||||
AG Arc - Fair value / Net income/(loss) | ( | |||||||||||||||||||||||||||||||||||||||||||||||||
Cash and Other assets/(liabilities) | ( | — | ( | — | ||||||||||||||||||||||||||||||||||||||||||||||
Investments in debt and equity of affiliates / Equity in earnings/(loss) from affiliates | $ | $ | ( | $ | $ | ( | $ | $ | ( | $ | $ |
Year Ended | ||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
Fees paid to Asset Manager | $ | $ |
Year Ended | ||||||||||||||
December 31, 2022 | December 31, 2021 | |||||||||||||
Residential mortgage loans sold by Arc Home to the Company | $ | $ | ||||||||||||
Residential mortgage loans sold by Arc Home to private funds under the management of Angelo Gordon |
Date | Transaction | Fair value (1) | Pricing methodology | |||||||||||||||||
March 2021 | Sale of real estate securities | $ | Competitive bidding process (2) | |||||||||||||||||
April 2021 | Sale of real estate securities | Third party pricing vendors (3) | ||||||||||||||||||
July 2021 | Sale of real estate securities | Competitive bidding process (2) | ||||||||||||||||||
October 2021 | Purchase of real estate securities (4) | Third party pricing vendors (3) | ||||||||||||||||||
November 2021 | Purchase of residential mortgage loans (5) | Third party pricing vendors (3) |
Period (1) | Total Number of Shares Purchased | Weighted Average Price Paid per Share (2) | Total Number of Shares Purchased as Part of Publicly Announced Program | Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2) | ||||||||||||||||||||||
2021 Common Share Repurchases | ||||||||||||||||||||||||||
August 1, 2021 to August 31, 2021 | $ | $ | ||||||||||||||||||||||||
September 1, 2021 to September 30, 2021 | ||||||||||||||||||||||||||
October 1, 2021 to October 31, 2021 | ||||||||||||||||||||||||||
2021 Total | $ | $ | ||||||||||||||||||||||||
2022 Common Share Repurchases | ||||||||||||||||||||||||||
May 1, 2022 to May 31, 2022 | $ | $ | ||||||||||||||||||||||||
June 1, 2022 to June 30, 2022 | ||||||||||||||||||||||||||
2022 Total | $ | $ |
Period (1) | Total Number of Shares Purchased | Weighted Average Price Paid per Share (2) | Total Number of Shares Purchased as Part of Publicly Announced Program | Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2) | ||||||||||||||||||||||
August 1, 2022 to August 31, 2022 | $ | $ | ||||||||||||||||||||||||
September 1, 2022 to September 30, 2022 | ||||||||||||||||||||||||||
October 1, 2022 to October 31, 2022 | ||||||||||||||||||||||||||
November 1, 2022 to November 30, 2022 | ||||||||||||||||||||||||||
December 1, 2022 to December 30, 2022 | ||||||||||||||||||||||||||
Total | $ | $ |
Preferred Stock Series | Issuance Date | Shares Outstanding | Carrying Value | Aggregate Liquidation Preference (1) | Optional Redemption Date (2) | Rate (3)(4) | ||||||||||||||||||||||||||||||||
Series A Preferred Stock | August 3, 2012 | $ | $ | August 3, 2017 | % | |||||||||||||||||||||||||||||||||
Series B Preferred Stock | September 27, 2012 | September 17, 2017 | % | |||||||||||||||||||||||||||||||||||
Series C Preferred Stock | September 17, 2019 | September 17, 2024 | % | |||||||||||||||||||||||||||||||||||
Total | $ | $ |
Preferred Shares Exchanged | ||||||||||||||||||||||||||||||||
Date | Shares of Series A Preferred Stock | Shares of Series B Preferred Stock | Shares of Series C Preferred Stock | Total Preferred Stock Par Value | Common Shares Exchanged | |||||||||||||||||||||||||||
March 17, 2021 | $ | |||||||||||||||||||||||||||||||
June 14, 2021 | ||||||||||||||||||||||||||||||||
Commitment type | Date of Commitment | Total Commitment | Funded Commitment | Remaining Commitment | ||||||||||||||||||||||
Non-Agency and Agency-Eligible Loans (1) | Various | $ | $ | $ | ||||||||||||||||||||||
Land Related Financing (2) | Various | |||||||||||||||||||||||||
MATT Non-QM Loans (2)(3) | January 28, 2022 | |||||||||||||||||||||||||
Total | $ | $ | $ |
December 31, 2022 | December 31, 2021 | ||||||||||||||||||||||||||||||||||
AG Arc (1) | Non-QM Loans (2) | Land Related Financing (3) | Other | Total | |||||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||
Loans and real estate securities, at fair value | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||
Mortgage servicing rights, at fair value | |||||||||||||||||||||||||||||||||||
Cash and cash equivalents | |||||||||||||||||||||||||||||||||||
Restricted cash | |||||||||||||||||||||||||||||||||||
Other assets (4) | |||||||||||||||||||||||||||||||||||
Total Assets | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||||||
Financing arrangements | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||
Other liabilities (4) | |||||||||||||||||||||||||||||||||||
Total Liabilities | |||||||||||||||||||||||||||||||||||
Total Members' Equity | |||||||||||||||||||||||||||||||||||
Total Member's equity | |||||||||||||||||||||||||||||||||||
Total Liabilities & Members' Equity | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||
The Company's Investments in debt and equity of affiliates | $ | $ | $ | $ | $ | $ |
Year Ended | |||||||||||||||||||||||||||||||||||
December 31, 2022 | December 31, 2021 | ||||||||||||||||||||||||||||||||||
AG Arc (1) | Non-QM Loans (2) | Land Related Financing (3) | Other | Total | |||||||||||||||||||||||||||||||
Net Interest Income | |||||||||||||||||||||||||||||||||||
Interest income | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||
Interest expense | |||||||||||||||||||||||||||||||||||
Total Net Interest Income | |||||||||||||||||||||||||||||||||||
Other Income/(Loss) | |||||||||||||||||||||||||||||||||||
Net realized gain/(loss) | ( | ( | |||||||||||||||||||||||||||||||||
Net unrealized gain/(loss) | ( | ( | ( | ||||||||||||||||||||||||||||||||
Other income/(loss), net (4) | |||||||||||||||||||||||||||||||||||
Total Other Income | ( | ( | |||||||||||||||||||||||||||||||||
Expenses | |||||||||||||||||||||||||||||||||||
Net Income/(Loss) | ( | ( | |||||||||||||||||||||||||||||||||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | |||||||||||||||||||||||||||||||||||
Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments | $ | ( | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||||||
The Company's Equity in earnings/(loss) from affiliates | $ | ( | $ | $ | $ | $ | ( | $ |
Plan Category | Number of Securities to be Issued Upon Exercise of Outstanding Options, Warrants and Rights | Weighted Average Exercise Price of Outstanding Options, Warrants, and Rights | Number of Securities Remaining Available for Future Issuance Under Equity Compensation Plans (Excluding Securities Reflected in the First Column of this Table) | |||||||||||||||||
Equity compensation plans approved by stockholders | ||||||||||||||||||||
2020 Equity Incentive Plan | — | $ | — | 551,945 | ||||||||||||||||
2021 Manager Plan | — | — | 573,425 | |||||||||||||||||
Equity compensation plans not approved by stockholders | — | — | — | |||||||||||||||||
Total | — | $ | — | 1,125,370 |
Exhibit No. | Description | |||||||
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 | |||||||
104 | Cover Page Interactive Data File (the cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document) |
AG MORTGAGE INVESTMENT TRUST, INC. | ||||||||
February 27, 2023 | By: | /s/ THOMAS J. DURKIN | ||||||
Thomas J. Durkin | ||||||||
Chief Executive Officer and President (Principal Executive Officer) | ||||||||
February 27, 2023 | By: | /s/ THOMAS J. DURKIN | ||||||
Thomas J. Durkin Director, Chief Executive Officer and President (Principal Executive Officer) | ||||||||
February 27, 2023 | By: | /s/ ANTHONY W. ROSSIELLO | ||||||
Anthony W. Rossiello Chief Financial Officer (Principal Financial | ||||||||
Officer and Principal Accounting Officer) | ||||||||
February 27, 2023 | By: | /s/ NICHOLAS SMITH | ||||||
Nicholas Smith Director, Chief Investment Officer | ||||||||
February 27, 2023 | By: | /s/ DEBRA HESS | ||||||
Debra Hess Non-Executive Chair, Director | ||||||||
February 27, 2023 | By: | /s/ PETER LINNEMAN | ||||||
Peter Linneman Director | ||||||||
February 27, 2023 | By: | /s/ DIANNE HURLEY | ||||||
Dianne Hurley Director | ||||||||
February 27, 2023 | By: | /s/ MATTHEW JOZOFF | ||||||
Matthew Jozoff Director |
• | 450,000,000 shares of common stock, par value $0.01 per share; and | ||||
• | 50,000,000 shares of preferred stock, par value $0.01 per share, 1,663,193 of which are shares of 8.25% Series A Cumulative Redeemable Preferred Stock (the “Series A Preferred Stock”), 3,727,641 of which are shares of 8.000% Series B Cumulative Redeemable Preferred Stock (the “Series B Preferred Stock”) and 3,728,795 of which are shares of 8.00% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the “Series C Preferred Stock”). |
(1) | senior to all classes or series of our common stock and to all other equity securities issued by us other than equity securities referred to in clauses (2) and (3) below; | ||||
(2) | on a parity with the Series B Preferred Stock, the Series C Preferred Stock and all other equity securities issued by us with terms specifically providing that those equity securities rank on a parity with the Series A Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon our liquidation, dissolution or winding up; | ||||
(3) | junior to all equity securities issued by us with terms specifically providing that those equity securities rank senior to the Series A Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon our liquidation, dissolution or winding up (see “-Voting Rights” below); and | ||||
(4) | effectively junior to all of our existing and future indebtedness (including indebtedness convertible to our common stock or preferred stock), and to the indebtedness of our existing subsidiaries and any future subsidiaries. |
• | the acquisition by any person, including any syndicate or group deemed to be a “person” under Section 13(d)(3) of the Exchange Act of beneficial ownership, directly or indirectly, through a purchase, merger or other acquisition transaction or series of purchases, mergers or other acquisition transactions of our stock entitling that person to exercise more than 50% of the total voting power of all our stock entitled to vote generally in the election of our directors (except that such person will be deemed to have beneficial ownership of all securities that such person has the right to acquire, whether such right is currently exercisable or is exercisable only upon the occurrence of a subsequent condition); and | ||||
• | following the closing of any transaction referred to in the bullet point above, neither we nor the acquiring or surviving entity has a class of common securities (or American Depositary Receipts representing such securities) listed on the NYSE, the NYSE Amex or Nasdaq, or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE Amex or Nasdaq. |
• | the redemption date; | ||||
• | the number of shares of Series A Preferred Stock to be redeemed; | ||||
• | the redemption price; | ||||
• | the place or places where certificates (if any) for the Series A Preferred Stock are to be surrendered for payment of the redemption price; | ||||
• | that dividends on the shares to be redeemed will cease to accumulate on the redemption date; | ||||
• | whether such redemption is being made pursuant to the provisions described above under “-Optional Redemption” or “-Special Optional Redemption”; | ||||
• | if applicable, that such redemption is being made in connection with a Change of Control and, in that case, a brief description of the transaction or transactions constituting such Change of Control; and | ||||
• | if such redemption is being made in connection with a Change of Control, that the holders of the shares of Series A Preferred Stock being so called for redemption will not be able to tender such shares of Series A Preferred Stock for conversion in connection with the Change of Control and that each share of Series A Preferred Stock tendered for conversion that is called, prior to the Change of Control Conversion Date (as defined below), for redemption will be redeemed on the related date of redemption instead of converted on the Change of Control Conversion Date. |
• | the quotient obtained by dividing (i) the sum of the $25.00 liquidation preference per share of Series A Preferred Stock plus the amount of any accumulated and unpaid dividends thereon to, but not including, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a dividend record date and prior to the corresponding dividend payment date for the Series A Preferred Stock, in which case no additional amount for such accrued and unpaid dividend will be included in this sum) by (ii) the Common Stock Price, as defined below (such quotient, the Conversion Rate); and | ||||
• | 2.2810, or the Share Cap, subject to certain adjustments as described below. |
• | the events constituting the Change of Control; | ||||
• | the date of the Change of Control; | ||||
• | the last date on which the holders of Series A Preferred Stock may exercise their Change of Control Conversion Right; | ||||
• | the method and period for calculating the Common Stock Price; | ||||
• | the Change of Control Conversion Date; | ||||
• | that if, prior to the Change of Control Conversion Date, we have provided notice of our election to redeem all or any shares of Series A Preferred Stock, holders will not be able to convert the shares of Series A Preferred Stock called for redemption and such shares will be redeemed on the related redemption date, even if such shares have already been tendered for conversion pursuant to the Change of Control Conversion Right; | ||||
• | if applicable, the type and amount of Alternative Conversion Consideration entitled to be received per share of Series A Preferred Stock; | ||||
• | the name and address of the paying agent, transfer agent and conversion agent for the Series A Preferred Stock; | ||||
• | the procedures that the holders of Series A Preferred Stock must follow to exercise the Change of Control Conversion Right (including procedures for surrendering shares for conversion through the facilities of a Depositary (as defined below)), including the form of conversion notice to be delivered by such holders as described below; and | ||||
• | the last date on which holders of Series A Preferred Stock may withdraw shares surrendered for conversion and the procedures that such holders must follow to effect such a withdrawal. |
• | the relevant Change of Control Conversion Date; | ||||
• | the number of shares of Series A Preferred Stock to be converted; and | ||||
• | that the Series A Preferred Stock is to be converted pursuant to the applicable provisions of the Series A Preferred Stock. |
• | the number of withdrawn shares of Series A Preferred Stock; | ||||
• | if certificated Series A Preferred Stock has been surrendered for conversion, the certificate numbers of the withdrawn shares of Series A Preferred Stock; and | ||||
• | the number of shares of Series A Preferred Stock, if any, which remain subject to the holder’s conversion notice. |
(1) | senior to all classes or series of our common stock and to all other equity securities issued by us other than equity securities referred to in clauses (2) and (3) below; | ||||
(2) | on a parity with the Series A Preferred Stock, Series C Preferred Stock and all other equity securities issued by us with terms specifically providing that those equity securities rank on a parity with the Series B Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon our liquidation, dissolution or winding up; | ||||
(3) | junior to all equity securities issued by us with terms specifically providing that those equity securities rank senior to the Series B Preferred Stock with respect to rights to the payment of dividends and the distribution of assets upon our liquidation, dissolution or winding up (see “-Voting Rights” below); and | ||||
(4) | effectively junior to all of our existing and future indebtedness (including indebtedness convertible to our common stock or preferred stock), and to the indebtedness of our existing subsidiaries and any future subsidiaries. |
• | the acquisition by any person, including any syndicate or group deemed to be a “person” under Section 13(d)(3) of the Exchange Act of beneficial ownership, directly or indirectly, through a purchase, merger or other acquisition transaction or series of purchases, mergers or other acquisition transactions of our stock entitling that person to exercise more than 50% of the total voting power of all our stock entitled to vote generally in the election of our directors (except that such person will be deemed to have beneficial ownership of all securities that such person has the right to acquire, whether such right is currently exercisable or is exercisable only upon the occurrence of a subsequent condition); and | ||||
• | following the closing of any transaction referred to in the bullet point above, neither we nor the acquiring or surviving entity has a class of common securities (or American Depositary Receipts representing such securities) listed on the NYSE, the NYSE Amex or Nasdaq, or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE Amex or Nasdaq. |
• | the redemption date; | ||||
• | the number of shares of Series B Preferred Stock to be redeemed; | ||||
• | the redemption price; | ||||
• | the place or places where certificates (if any) for the Series B Preferred Stock are to be surrendered for payment of the redemption price; | ||||
• | that dividends on the shares to be redeemed will cease to accumulate on the redemption date; | ||||
• | whether such redemption is being made pursuant to the provisions described above under “-Optional Redemption” or “-Special Optional Redemption”; | ||||
• | if applicable, that such redemption is being made in connection with a Change of Control and, in that case, a brief description of the transaction or transactions constituting such Change of Control; and | ||||
• | if such redemption is being made in connection with a Change of Control, that the holders of the shares of Series B Preferred Stock being so called for redemption will not be able to tender such shares of Series B Preferred Stock for conversion in connection with the Change of Control and that each share of Series B Preferred Stock tendered for conversion that is called, prior to the Change of Control Conversion Date (as defined below), for redemption will be redeemed on the related date of redemption instead of converted on the Change of Control Conversion Date. |
• | the quotient obtained by dividing (i) the sum of the $25.00 liquidation preference per share of Series B Preferred Stock plus the amount of any accumulated and unpaid dividends thereon to, but not including, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a dividend record date and prior to the corresponding dividend payment date for the Series B Preferred Stock, in which case no additional amount for such accrued and unpaid dividend will be included in this sum) by (ii) the Common Stock Price, as defined below (such quotient, the Conversion Rate); and | ||||
• | 2.1195, or the Share Cap, subject to certain adjustments as described below. |
• | the events constituting the Change of Control; | ||||
• | the date of the Change of Control; | ||||
• | the last date on which the holders of Series B Preferred Stock may exercise their Change of Control Conversion Right; | ||||
• | the method and period for calculating the Common Stock Price; | ||||
• | the Change of Control Conversion Date; | ||||
• | that if, prior to the Change of Control Conversion Date, we have provided notice of our election to redeem all or any shares of Series B Preferred Stock, holders will not be able to convert the shares of Series B Preferred Stock called for redemption and such shares will be redeemed on the related redemption date, even if such shares have already been tendered for conversion pursuant to the Change of Control Conversion Right; | ||||
• | if applicable, the type and amount of Alternative Conversion Consideration entitled to be received per share of Series B Preferred Stock; | ||||
• | the name and address of the paying agent, transfer agent and conversion agent for the Series B Preferred Stock; | ||||
• | the procedures that the holders of Series B Preferred Stock must follow to exercise the Change of Control Conversion Right (including procedures for surrendering shares for conversion through the facilities of a Depositary (as defined below)), including the form of conversion notice to be delivered by such holders as described below; and | ||||
• | the last date on which holders of Series B Preferred Stock may withdraw shares surrendered for conversion and the procedures that such holders must follow to effect such a withdrawal. |
• | the relevant Change of Control Conversion Date; | ||||
• | the number of shares of Series B Preferred Stock to be converted; and | ||||
• | that the Series B Preferred Stock is to be converted pursuant to the applicable provisions of the Series B Preferred Stock. |
• | the number of withdrawn shares of Series B Preferred Stock; | ||||
• | if certificated Series B Preferred Stock has been surrendered for conversion, the certificate numbers of the withdrawn shares of Series B Preferred Stock; and | ||||
• | the number of shares of Series B Preferred Stock, if any, which remain subject to the holder’s conversion notice. |
• | senior to all classes or series of our common stock and to all other equity securities ranking junior to the Series C Preferred Stock (“Junior Stock”); | ||||
• | on a parity with our Series A Preferred Stock, Series B Preferred Stock and all other equity securities ranking on a parity with the Series C Preferred Stock(“Parity Stock”); | ||||
• | junior to all equity securities ranking senior to the Series C Preferred Stock (“Senior Stock”); and | ||||
• | effectively junior to all of our existing and future indebtedness (including indebtedness convertible into or exchangeable for our common stock or preferred stock) and the indebtedness of our existing and future subsidiaries. |
• | LIBOR will be the rate (expressed as a percentage per year) for deposits in U.S. dollars having an index maturity of three months, in amounts of at least $1,000,000, as such rate appears on “Reuters Page LIBOR01” at approximately 11:00 a.m. (London time) on the relevant Dividend Determination Date; or | ||||
• | if no such rate appears on “Reuters Page LIBOR01” or if the “Reuters Page LIBOR01” is not available at approximately 11:00 a.m. (London time) on the relevant Dividend Determination Date, then we will select four nationally-recognized banks in the London interbank market and request that the principal London offices of those four selected banks provide us with their offered quotation for deposits in U.S. dollars for a period of three months, commencing on the first day of the applicable Dividend Period, to prime banks in the London interbank market at approximately 11:00 a.m. (London time) on that Dividend Determination Date for the applicable Dividend Period. Offered quotations must be based on a principal amount equal to an amount that, in our discretion, is representative of a single transaction in U.S. dollars in the London interbank market at that time. If at least two quotations are provided, the Three-Month LIBOR Rate for such Dividend Period will be the arithmetic mean (rounded upward if necessary, to the nearest 0.00001 of 1%) of those quotations. If fewer than two quotations are provided, the Three-Month LIBOR Rate for such Dividend Period will be the arithmetic mean (rounded upward if necessary, to the nearest 0.00001 of 1%) of the rates quoted at approximately 11:00 a.m. (New York City time) on that Dividend Determination Date for such Dividend Period by three nationally-recognized banks in New York, New York selected by us, for loans in U.S. dollars to nationally-recognized European banks (as selected by us), for a period of three months commencing on the first day of such Dividend Period. The rates quoted must be based on an amount that, in our discretion, is representative of a single transaction in U.S. dollars in that market at that time. If no quotation is provided as described above, then if a Calculation Agent (as defined below) has not been appointed at such time, we will appoint a Calculation Agent who shall, after consulting such sources as it deems comparable to any of the foregoing quotations or display page, or any such source as it deems reasonable from which to estimate LIBOR or any of the foregoing lending rates, shall determine LIBOR for the second London Business Day (as defined below) immediately preceding the first day of such distribution period in its sole discretion. If the Calculation Agent is unable or unwilling to determine LIBOR as provided in the immediately preceding sentence, then LIBOR will be equal to Three-Month LIBOR Rate for the then current Dividend Period, or, in the case of the first Dividend Period in the Floating Rate Period, the most recent dividend rate that would have been determined based on the last available Reuters Page LIBOR01 had the Floating Rate Period been applicable prior to the first Dividend Period in the Floating Rate Period. |
• | the acquisition by any person, including any syndicate or group deemed to be a “person” under Section 13(d)(3) of the Exchange Act, of beneficial ownership, directly or indirectly, through a purchase, merger or other acquisition transaction or series of purchases, mergers or other acquisition transactions of our stock entitling that person to exercise more than 50% of the total voting power of all our stock entitled to vote generally in the election of our directors (except that such person will be deemed to have beneficial ownership of all securities that such person has the right to acquire, whether such right is currently exercisable or is exercisable only upon the occurrence of a subsequent condition); and | ||||
• | following the closing of any transaction referred to in the bullet point above, neither we nor the acquiring or surviving entity has a class of common securities (or American Depositary Receipts representing such securities) listed on the NYSE, the NYSE American or the Nasdaq Stock Market, or listed or quoted on an exchange or quotation system that is a successor to the NYSE, the NYSE American or the Nasdaq Stock Market. |
• | the redemption date; | ||||
• | the number of shares of Series C Preferred Stock to be redeemed; | ||||
• | the redemption price; | ||||
• | the place or places where certificates (if any) for the Series C Preferred Stock are to be surrendered for payment of the redemption price; | ||||
• | that dividends on the shares to be redeemed will cease to accumulate on the redemption date; | ||||
• | if applicable, that such redemption is being made in connection with a Change of Control and, in that case, a brief description of the transaction or transactions constituting such Change of Control; and | ||||
• | if such redemption is being made in connection with a Change of Control, that the holders of the shares of Series C Preferred Stock being so called for redemption will not be able to tender such shares of Series C Preferred Stock for conversion in connection with the Change of Control and that each share of Series C Preferred Stock tendered for conversion that is called, prior to the Change of Control Conversion Date (as defined below), for redemption will be redeemed on the related date of redemption instead of converted on the Change of Control Conversion Date. |
• | the quotient obtained by dividing (i) the sum of the $25.00 liquidation preference per share of Series C Preferred Stock, plus the amount of any accumulated and unpaid dividends thereon to, but excluding, the Change of Control Conversion Date (unless the Change of Control Conversion Date is after a dividend record date and prior to the corresponding dividend payment date for the Series C Preferred Stock, in which case no additional amount for such accumulated and unpaid dividends to be paid on such dividend payment date will be included in this sum) by (ii) the Common Stock Price, as defined below (such quotient, the “Conversion Rate”); and | ||||
• | 3.23206, or the “Share Cap,” subject to certain adjustments as described below. |
• | the events constituting the Change of Control; | ||||
• | the date of the Change of Control; | ||||
• | the last date on which the holders of Series C Preferred Stock may exercise their Change of Control Conversion Right; | ||||
• | the method and period for calculating the Common Stock Price; | ||||
• | the Change of Control Conversion Date; | ||||
• | that if, prior to the Change of Control Conversion Date, we have provided notice of our election to redeem all or any shares of Series C Preferred Stock, holders of Series C Preferred Stock that are subject to such notice of redemption will not be able to convert the shares of Series C Preferred Stock called for redemption and such shares will be redeemed on the related redemption date, even if such shares have already been tendered for conversion pursuant to the Change of Control Conversion Right; | ||||
• | if applicable, the type and amount of Alternative Conversion Consideration entitled to be received per share of Series C Preferred Stock; | ||||
• | the name and address of the paying agent, transfer agent and conversion agent for the Series C Preferred Stock; | ||||
• | the procedures that the holders of Series C Preferred Stock must follow to exercise the Change of Control Conversion Right (including procedures for surrendering shares of Series C Preferred Stock for conversion through the facilities of a Depositary (as defined below)), including the form of conversion notice to be delivered by such holders as described below; and | ||||
• | the last date on which holders of Series C Preferred Stock may withdraw shares of Series C Preferred Stock surrendered for conversion and the procedures that such holders must follow to effect such a withdrawal. |
• | the relevant Change of Control Conversion Date; | ||||
• | the number of shares of Series C Preferred Stock to be converted; and | ||||
• | that the shares of the Series C Preferred Stock are to be converted pursuant to the applicable provisions of the articles supplementary designating the Series C Preferred Stock. |
• | the number of withdrawn shares of Series C Preferred Stock; | ||||
• | if certificated shares of Series C Preferred Stock have been surrendered for conversion, the certificate numbers of the withdrawn shares of Series C Preferred Stock; and | ||||
• | the number of shares of Series C Preferred Stock, if any, which remain subject to the holder’s conversion notice. |
• | any person from beneficially or constructively owning, applying certain attribution rules of the Code, our capital that would result in our being “closely held” under section 856(h) of the Code (without regard to whether the stockholder’s interest is held during the last half of a taxable year) or otherwise cause us to fail to qualify as a REIT; and | ||||
• | any person from transferring our capital stock if such transfer would result in our capital stock being beneficially owned by fewer than 100 persons (determined without reference to any rules of attribution). |
• | any person violating the stock ownership limits or such other limit established by our board of directors; or | ||||
• | our being “closely held” under section 856(h) of the Code (without regard to whether the stockholder’s interest is held during the last half of a taxable year) or otherwise failing to qualify as a REIT, |
• | to rescind as void any vote cast by a purported record transferee prior to our discovery that the shares have been transferred to the charitable trust; and | ||||
• | to recast the vote in accordance with the desires of the trustee acting for the benefit of the beneficiary of the charitable trust. |
Subsidiary | State of Incorporation | ||||||||||
1. | AG MIT, LLC | Delaware | |||||||||
2. | AG MIT CMO, LLC | Delaware | |||||||||
3. | AG MIT ARC, LLC | Delaware | |||||||||
4. | AG MITT RPL TRS LLC | Delaware | |||||||||
5. | AG MIT EC LLC | Delaware |
/s/ PricewaterhouseCoopers LLP | |||||
New York, New York | |||||
February 27, 2023 |
Date: February 27, 2023 | |||||
/s/ Thomas J. Durkin | |||||
Thomas J. Durkin | |||||
Chief Executive Officer and President |
Date: February 27, 2023 | |||||
/s/ Anthony W. Rossiello | |||||
Anthony W. Rossiello | |||||
Chief Financial Officer |
/s/ Thomas J. Durkin | |||||
Thomas J. Durkin | |||||
Chief Executive Officer and President | |||||
February 27, 2023 |
/s/ Anthony W. Rossiello | |||||
Anthony W. Rossiello | |||||
Chief Financial Officer | |||||
February 27, 2023 |
Audit Information |
12 Months Ended |
---|---|
Dec. 31, 2022 | |
Audit Information [Abstract] | |
Auditor Firm ID | 238 |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Location | New York, New York |
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands |
Dec. 31, 2022 |
Dec. 31, 2021 |
---|---|---|
Preferred stock, liquidation preference | $ 227,991 | $ 227,991 |
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) | 21,284,000 | 23,908,000 |
Common stock, shares outstanding (in shares) | 21,284,000 | 23,908,000 |
Residential Portfolio Segment | ||
Residential mortgage loans | $ 4,128,597 | $ 2,635,106 |
Residential Mortgage Loans | ||
Residential mortgage loans | 421,451 | 1,476,972 |
Loans held-for-sale, fair value | 64,984 | 0 |
Residential Mortgage Loans | Residential Portfolio Segment | ||
Residential mortgage loans | 421,451 | 1,476,972 |
Residential Mortgage Loans | Residential Portfolio Segment | Asset Pledged as Collateral | ||
Residential mortgage loans | 353,039 | 1,469,358 |
Loans held-for-sale, fair value | 64,984 | 0 |
Residential Mortgage Loans | Securitized residential mortgage loans | ||
Residential mortgage loans | 3,707,146 | 1,158,134 |
Residential Mortgage Loans | Securitized residential mortgage loans | Residential Portfolio Segment | ||
Residential mortgage loans | 3,707,146 | 1,158,134 |
Residential Mortgage Loans | Securitized residential mortgage loans | Residential Portfolio Segment | Asset Pledged as Collateral | ||
Residential mortgage loans | 423,967 | 119,947 |
Real Estate Securities | ||
Real estate securities, at fair value, pledged as collateral | $ 41,653 | $ 444,481 |
Consolidated Statements of Operations - USD ($) shares in Thousands, $ in Thousands |
12 Months Ended | |||||
---|---|---|---|---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|||||
Net Interest Income | ||||||
Interest income | $ 180,303 | $ 70,662 | ||||
Interest expense | 118,918 | 27,250 | ||||
Total Net Interest Income | 61,385 | 43,412 | ||||
Other Income/(Loss) | ||||||
Net interest component of interest rate swaps | (4,922) | (4,862) | ||||
Net realized gain/(loss) | 81,389 | 1,698 | ||||
Net unrealized gain/(loss) | (137,634) | 62,699 | ||||
Other income/(loss), net | 0 | 37 | ||||
Total Other Income/(Loss) | (61,167) | 59,572 | ||||
Expenses | ||||||
Management fee to affiliate | [1] | 8,096 | 6,814 | |||
Non-investment related expenses | [1] | 9,292 | 9,745 | |||
Investment related expenses | [1] | 9,198 | 6,800 | |||
Transaction related expenses | [1] | 16,474 | 7,328 | |||
Total Expenses | 43,060 | 30,687 | ||||
Income/(loss) before equity in earnings/(loss) from affiliates | (42,842) | 72,297 | ||||
Equity in earnings/(loss) from affiliates | (10,258) | 31,889 | ||||
Net Income/(Loss) | (53,100) | 104,186 | ||||
Gain on Exchange Offers, net (Note 11) | 0 | 472 | ||||
Dividends on preferred stock | (18,344) | (18,785) | ||||
Net Income/(Loss) Available to Common Stockholders | $ (71,444) | $ 85,873 | ||||
Earnings/(Loss) Per Share of Common Stock | ||||||
Basic (in dollars per share) | [2] | $ (3.12) | $ 5.29 | |||
Diluted (in dollars per share) | [2] | $ (3.12) | $ 5.29 | |||
Weighted Average Number of Shares of Common Stock Outstanding | ||||||
Basic (in shares) | [2] | 22,890 | 16,234 | |||
Diluted (in shares) | [2] | 22,890 | 16,234 | |||
|
Consolidated Statements of Operations (Parenthetical) |
Jul. 22, 2021 |
Jul. 12, 2021 |
---|---|---|
Income Statement [Abstract] | ||
Reverse stock split ratio | 0.3333 | 0.3333 |
Consolidated Statements of Stockholders’ Equity - USD ($) shares in Thousands, $ in Thousands |
Total |
Common Stock |
Preferred Stock |
Additional Paid-in Capital |
[1] | Retained Earnings/(Deficit) |
|||
---|---|---|---|---|---|---|---|---|---|
Beginning balance (in shares) at Dec. 31, 2020 | [1] | 13,811 | |||||||
Beginning balance at Dec. 31, 2020 | $ 409,705 | $ 138 | [1] | $ 238,478 | $ 689,147 | $ (518,058) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Net proceeds from issuance of common stock (in shares) | [1] | 9,022 | |||||||
Net proceeds from issuance of common stock | 93,134 | $ 90 | [1] | 93,044 | |||||
Repurchase of common stock (in shares) | [1] | (320) | |||||||
Repurchase of common stock | (3,555) | $ (3) | [1] | (3,552) | |||||
Grant of restricted stock (in shares) | [1] | 27 | |||||||
Grant of restricted stock | 320 | 320 | |||||||
Common dividends declared | (14,560) | (14,560) | |||||||
Preferred dividends declared | (18,840) | (18,840) | |||||||
Exchange Offers (in shares) | [1] | 1,368 | |||||||
Exchange Offers (Note 11) | (10) | $ 14 | [1] | (18,006) | 17,510 | 472 | |||
Net Income/(Loss) | $ 104,186 | 104,186 | |||||||
Ending balance (in shares) at Dec. 31, 2021 | 23,908 | 23,908 | [1] | ||||||
Ending balance at Dec. 31, 2021 | $ 570,380 | $ 239 | [1] | 220,472 | 796,469 | (446,800) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Repurchase of common stock (in shares) | [1] | (2,671) | |||||||
Repurchase of common stock | (18,217) | $ (27) | [1] | (18,190) | |||||
Grant of restricted stock (in shares) | [1] | 47 | |||||||
Grant of restricted stock | 327 | 327 | |||||||
Common dividends declared | (18,246) | (18,246) | |||||||
Preferred dividends declared | (18,344) | (18,344) | |||||||
Net Income/(Loss) | $ (53,100) | (53,100) | |||||||
Ending balance (in shares) at Dec. 31, 2022 | 21,284 | 21,284 | [1] | ||||||
Ending balance at Dec. 31, 2022 | $ 462,800 | $ 212 | [1] | $ 220,472 | $ 778,606 | $ (536,490) | |||
|
Consolidated Statements of Stockholders’ Equity (Parenthetical) |
Jul. 22, 2021 |
Jul. 12, 2021 |
---|---|---|
Statement of Stockholders' Equity [Abstract] | ||
Reverse stock split ratio | 0.3333 | 0.3333 |
Consolidated Statements of Cash Flows - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Cash Flows from Operating Activities | ||
Net Income/(Loss) | $ (53,100) | $ 104,186 |
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | ||
Net amortization of premium | 5,463 | 6,082 |
Net realized (gain)/loss | (81,389) | (1,698) |
Net unrealized (gain)/loss | 137,634 | (62,699) |
Equity based compensation expense | 327 | 320 |
(Income)/loss from investments in debt and equity of affiliates in excess of distributions received | 12,482 | (14,283) |
Change in operating assets/liabilities: | ||
Other assets | (6,791) | (7,631) |
Other liabilities | 7,894 | 2,021 |
Net cash provided by (used in) operating activities | 22,520 | 26,298 |
Cash Flows from Investing Activities | ||
Purchase of residential mortgage loans | (2,583,622) | (2,472,393) |
Purchase of real estate securities | (108,558) | (924,663) |
Origination of commercial loans | 0 | (3,219) |
Purchase of commercial loans | 0 | (1,881) |
Investments in debt and equity of affiliates | (2,066) | (6,914) |
Proceeds from sale of residential mortgage loans | 53,259 | 139,908 |
Proceeds from sale of real estate securities | 526,813 | 893,505 |
Proceeds from sale of commercial loans | 0 | 74,579 |
Principal repayments on residential mortgage loans | 464,332 | 147,710 |
Principal repayments on real estate securities | 21,058 | 67,848 |
Principal repayments on commercial loans | 0 | 70,232 |
Distributions received in excess of income from investments in debt and equity of affiliates | 16,575 | 85,145 |
Net settlement of interest rate swaps and other instruments | 118,972 | 22,323 |
Net settlement of TBAs | 2,789 | 1,384 |
Cash flows provided by other investing activities | 2,878 | 6,745 |
Cash flows used in other investing activities | (2,781) | 0 |
Net cash provided by (used in) investing activities | (1,490,351) | (1,899,691) |
Cash Flows from Financing Activities | ||
Net proceeds from issuance of common stock | 0 | 93,134 |
Repurchase of common stock | (18,217) | (3,555) |
Net borrowings under (repayments of) financing arrangements | (1,156,556) | 1,213,696 |
Deferred financing costs paid | (317) | (977) |
Repayments of secured debt | 0 | (10,000) |
Proceeds from issuance of securitized debt | 3,050,232 | 812,540 |
Principal repayments on securitized debt | (379,998) | (163,922) |
Net collateral received from (paid to) derivative counterparty | 9,026 | 0 |
Dividends paid on common stock | (19,421) | (10,782) |
Dividends paid on preferred stock | (18,344) | (18,840) |
Net cash provided by (used in) financing activities | 1,466,405 | 1,911,294 |
Net change in cash and cash equivalents, and restricted cash | (1,426) | 37,901 |
Cash and cash equivalents, and restricted cash, Beginning of Year | 100,229 | 62,318 |
Effect of exchange rate changes on cash | 0 | 10 |
Cash and cash equivalents, and restricted cash, End of Year | 98,803 | 100,229 |
Supplemental disclosure of cash flow information: | ||
Cash paid for interest on financing arrangements | 102,502 | 24,219 |
Cash paid for excise and income tax | 183 | 16 |
Supplemental disclosure of non-cash financing and investing activities: | ||
Common stock dividends declared but not paid | 3,846 | 5,021 |
Exchange Offers (Note 11) | 0 | 18,006 |
Holdback receivable on sale of excess MSRs | 0 | 75 |
Transfer from residential mortgage loans to other assets | $ 3,084 | $ 2,753 |
Consolidated Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands |
Dec. 31, 2022 |
Dec. 31, 2021 |
Dec. 31, 2020 |
---|---|---|---|
Statement of Cash Flows [Abstract] | |||
Cash and cash equivalents | $ 84,621 | $ 68,079 | |
Restricted cash | 14,182 | 32,150 | |
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows | $ 98,803 | $ 100,229 | $ 62,318 |
Organization |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Organization | Organization AG Mortgage Investment Trust, Inc. (the "Company") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S. mortgage market. The Company’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. The Company obtains its assets through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which it owns an approximate 44.6% interest, and through other third-party origination partners. The Company’s assets, excluding its ownership in Arc Home, include Residential Investments and Agency RMBS. Currently, its Residential Investments primarily consist of newly originated Non-Agency Loans and Agency-Eligible Loans. The Company may invest in other types of residential mortgage loans and other mortgage related assets. The Company also invests in Residential Investments through its unconsolidated ownership interests in affiliates which are included in the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets. The Company's asset classes are primarily comprised of the following:
(1)These investments are included in the "Securitized residential mortgage loans, at fair value," "Residential mortgage loans, at fair value," and "Residential mortgage loans held for sale, at fair value" line items on the consolidated balance sheets. (2)These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets. The Company conducts its business through one reportable segment, Loans and Securities, which reflects how the Company manages its business and analyzes and reports its results of operations. The Company was incorporated in the state of Maryland on March 1, 2011 and commenced operations in July 2011. 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 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. The Manager has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement. 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 |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of significant accounting policies | Summary of significant accounting policies The accompanying 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 all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split which was effected following the close of business on July 22, 2021. For the year ended December 31, 2021, the Company reclassified $9.8 million and $3.6 million of other operating expenses into the "Non-investment related expenses" and "Investment related expenses" line items on the consolidated statement of operations, respectively. For the year ended December 31, 2021, the Company reclassified $3.2 million of servicing fees into the "Investment related expenses" line item on the consolidated statement of operations. In the opinion of management, all adjustments considered necessary for a fair presentation for the annual period of the Company’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. 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. Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with the provisions of Accounting Standards Codification ("ASC") 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party 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: •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 assets and liabilities in active markets. •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. Transfers between levels are assumed to occur at the beginning of the reporting period. Accounting for loans Investments in loans are recorded in accordance with ASC 310-10, "Receivables" and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. Loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met. Loans held-for-sale are accounted for under ASC 948-310, "Financial services—mortgage banking." Loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets in the "Residential mortgage loans held for sale" line item. Estimated costs incurred to sell the loans are included within the fair value of the loans held for sale. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. 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 loan activities will be recorded in a similar manner. As such, loans are recorded at fair value on the consolidated balance sheets and any periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25. Purchases and sales of loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies. At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. 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 for purposes of this determination. 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 Company accrues interest income on its loan portfolio. Loans are typically moved to non-accrual status and income recognition is suspended if the loan becomes 90 days or more delinquent. A loan is written off when it is no longer realizable and/or legally discharged. Accounting for real estate securities Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities" or ASC 325-40, "Beneficial Interests in Securitized Financial Assets." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio. 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. Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." Purchases and sales of real estate securities are recorded on the trade date. Investments in debt and equity of affiliates The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method in accordance with ASC 323, "Investments – Equity Method and Joint Ventures." Substantially all of the Company’s investments held through affiliated entities are comprised of real estate securities, loans and its interest in AG Arc LLC. Certain entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825; as such, the Company will treat these financial instruments and financing arrangements consistently with this election. Arc Home On December 9, 2015, the Company, alongside private funds managed by Angelo Gordon, through AG Arc LLC, one of the Company’s indirect affiliates ("AG Arc"), formed Arc Home. The Company has an approximate 44.6% interest in AG Arc. Arc Home originates residential mortgage loans and retains the mortgage servicing rights associated with certain loans it originates. Arc Home is led by an external management team. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary. As a result, income or losses recognized by the Company from its investment in AG Arc are recorded in "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes. From time to time, the Company acquires newly originated residential mortgage loans from Arc Home. In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc. In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains or losses. During the years ended December 31, 2022 and 2021, the Company eliminated intra- entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company, as detailed below (in thousands).
Additionally, the Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis. See the "Accounting for derivative financial instruments - Forward purchase commitments" policy below and Note 10 for additional detail. MATH On August 29, 2017, the Company, alongside private funds managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy. The Company has an approximate 44.6% interest in MATH. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans. MATT made an election to be treated as a real estate investment trust beginning with the 2018 tax year. As of December 31, 2022, MATT only holds retained tranches from past securitizations which continue to pay down and the Company does not expect to acquire additional investments within this equity method investment. LOTS On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS"). The Company has an approximate 47.5% and 50.0% interest in LOT SP I LLC and LOT SP II LLC, respectively. LOTS were formed to originate first mortgage loans to third-party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing"). The LOTS investments continue to pay down and the Company does not expect to originate new loans within this equity method investment. Investment consolidation An entity is a variable interest entity ("VIE") if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10, "Consolidation" 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 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. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances. 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. The Company enters into securitization transactions collateralized by its Non-Agency Loans ("Non-Agency VIEs"), Agency-Eligible Loans ("Agency-Eligible VIEs"), and re- and non-performing loans ("RPL/NPL VIEs") (collectively, "Residential Mortgage Loan VIEs"), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations. Based on the evaluations of each VIE, the Company may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Residential Mortgage Loan VIEs. 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 activities will be recorded in a similar manner. The Company applied the guidance under ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Residential Mortgage Loan VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Residential Mortgage Loan VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Residential Mortgage Loan VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs. Transfers of financial assets 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, "Transfers and Servicing" 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 value. 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 "Securitized residential mortgage loans, at fair value" 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." 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 may include cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. As of December 31, 2022, the Company held $84.6 million of cash and cash equivalents, of which $0.4 million were cash equivalents. As of December 31, 2021, the Company held $68.1 million of cash and cash equivalents, none of which were 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 changes in cash held by the Company as collateral are included in cash flows from financing activities on the consolidated statement of cash flows. "Other liabilities" does not include variation margin received on centrally cleared derivatives. Refer to the "Accounting for derivative financial instruments" policy below for additional 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 any changes in principal payments due to the Company are included in the 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, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts. Restricted cash is not available to the Company for general corporate purposes. 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 also includes variation margin pledged on centrally cleared derivatives. Refer to the "Accounting for derivative financial instruments" policy below for additional detail. Financing arrangements The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements primarily include repurchase agreements, but may also include revolving facilities. Repurchase agreements 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 loans or securities 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 loans or securities 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. If the fair value of pledged assets declines due to changes in market conditions, 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 financing arrangements represents 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 order to meet these obligations. If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to the Company in the form of securities or cash or post additional collateral to the Company. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of December 31, 2022 and 2021, the Company had met all margin call requirements. Accounting for derivative financial instruments Derivative contracts 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 with corresponding changes in fair 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. 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. As of December 31, 2022 and 2021, the Company did not have any interest rate derivatives designated as hedges for accounting purposes. 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 "Net unrealized gain/(loss)." Variation margin 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, 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. 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, 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. The daily receipt or payment is included as a settlement of the derivative in cash flows from investing activities on the consolidated statement of cash flows. 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. Forward purchase commitments The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price. Actual loan purchases are contingent upon successful loan closings. The counterparties deliver the committed loans on either a mandatory basis or best-efforts basis. These commitments to purchase mortgage loans are classified as derivatives and are therefore recorded at fair value on the consolidated balance sheets, with corresponding changes in fair value recognized in the consolidated statement of operations. Derivatives with a positive fair value to the Company are reported as assets and derivatives with a negative fair value to the Company are reported as liabilities. Earnings/(Loss) per share In accordance with 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 using 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. Potential dilutive shares are excluded from the calculation if they have an anti-dilutive effect in the period. Interest income recognition Interest income on the Company’s loan and securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans or 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 loans and securities accounted for under the fair value option in accordance with ASC 825, "Financial Instruments." As such, premiums and discounts are amortized or accreted into interest income over the lives of the loans or 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. For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, 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 retrospectively through the reporting date. Similarly, the Company also reassesses the cash flows on at least a quarterly basis for loans and securities, including Non-Agency Loans, Agency-Eligible Loans, Non-Agency RMBS, and interest-only securities. 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. For loan and security 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 aggregates 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 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 (the "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 (the "nonaccretable difference") not be recognized as an adjustment of yield. Subsequent changes in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life. Realized gains and losses Realized gains or losses on sales of loans, securities, and derivatives are included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The cost of loans, securities, and derivatives sold is calculated using a first in, first out ("FIFO") basis. Realized gains and losses are recorded in earnings at the time of disposition. Manager compensation The management agreement, as amended, provides for payment to the Manager of a management fee, an incentive fee, and reimbursements of certain expenses incurred by the Manager or its affiliates on behalf of the Company. The management fee, incentive fee, and reimbursements are accrued and expensed during the period for which they are earned or for which the expenses are incurred, respectively. The management fee is included in the "Management fee to affiliate" line item and the reimbursements are included in the "Non-investment related expenses," "Investment related expenses," and "Transaction related expenses" line items on the consolidated statement of operations. The Manager waived the annual incentive fee with respect to the fiscal years ending December 31, 2021 and December 31, 2022, and the annual incentive fee will first be payable with respect to the fiscal year ending December 31, 2023. For a more detailed discussion on the fees payable under the management agreement, see Note 10. Transaction related expenses The Company incurs transaction related expenses associated with purchasing and securitizing residential mortgage loans. In accordance with ASC 825 "Financial Instruments," nonrefundable fees and costs associated with originating or acquiring loans that are carried at fair value shall be recognized in earnings as incurred. Transaction related expenses are accrued and expensed during the period in which they are incurred and are included in the "Transaction related expenses" line item on the consolidated statement of operations. Income taxes The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company generally will 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. 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. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other subsidiaries as TRSs. In general, a TRS is utilized to hold assets and engage in activities that the Company cannot hold or engage in directly. Generally, a TRS 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) which may 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’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. 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 9 for further details. Reverse stock split On July 12, 2021, the Company announced that its Board of Directors approved a one-for-three reverse stock split of the Company's outstanding shares of common stock. The reverse stock split was effected following the close of business on July 22, 2021 (the "Effective Time"). At the Effective Time, every three issued and outstanding shares of the Company’s common stock were combined into one share of the Company’s common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. All per share amounts and common shares outstanding for all periods presented in the consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's reverse stock split, where applicable. See Note 11 for further details. Dividends on Preferred Stock Holders of the Company’s 8.25% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") are entitled to receive cumulative cash dividends at a rate of 8.25%, 8.00% and 8.000% per annum, respectively, of the $25.00 per share liquidation preference for each series. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR (or as replaced by the existing LIBOR cessation fallback language) plus a spread of 6.476% per annum. If the Company’s Board of Directors does not declare a dividend in a given period, an accrual is not recorded on the balance sheet. However, undeclared preferred stock dividends are reflected in earnings per share as discussed in ASC 260-10-45-11. Preferred stock dividends that are not declared accumulate and are added to the liquidation preference as of the scheduled payment date for the respective series of the preferred stock. The undeclared and unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its common stock. See Note 11 for further detail on the Company’s Preferred Stock. Offering costs The Company has incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings, and exchanges. 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. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings. Recent accounting pronouncements In March 2020, FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting and may be elected over time as reference rate reform activities occur. This ASU is effective as of March 12, 2020 and was amended by ASU 2022-06 to sunset on December 31, 2024. The ASU applies to all entities that have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued. However, it cannot be applied to contract modifications that occur after December 31, 2024. With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date. The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance. The Manager has an established cross-functional team that focuses on evaluating exposure to LIBOR and monitoring regulatory updates to assess the potential impact to the portfolios under management from the cessation set to occur on June 30, 2023 and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates. As of December 31, 2022, the Company is continuing to assess the impact of the LIBOR transition and does not expect the transition or the adoption of ASU 2020-04 to have a material impact on the consolidated financial statements. The Company's primary exposure to LIBOR includes certain financing arrangements and the Series C Preferred Stock. The Company's financing arrangements either have provisions in place that provide for an alternative to LIBOR upon its phase-out or contain maturities that occur prior to the phase out of LIBOR on June 30, 2023. In addition, the Company has begun amending terms of certain financing arrangements, where necessary, to transition or direct the transition to an alternative benchmark. The Company does not currently intend to amend the Series C Preferred Stock to change the existing LIBOR cessation fallback language.
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans | Loans Residential mortgage loans The table below details information regarding the Company’s residential mortgage loan portfolio as of December 31, 2022 and 2021 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses).
(1)This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgage loans, periodic payments of principal, and prepayments of principal. (2)Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets. (3)Includes fair value of $46.8 million and $18.2 million of Non-Agency Loans and Agency-Eligible Loans, respectively, classified as held for sale and presented in the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets. Subsequent to year end, these loans were sold. Refer to Note 14 for additional detail. The following tables present information regarding credit quality of the Company's residential mortgage loans ($ in thousands).
(1)Loan count, weighted average, and aging data excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. (2)Amounts are weighted based on unpaid principal balance. (3)As of December 31, 2022, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $31.4 million and $33.7 million, respectively. As of December 31, 2021, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $47.4 million and $29.0 million, respectively. (4)Weighted average current FICO excludes borrowers where FICO scores were not available. Data is as of November 30, 2022 and November 30, 2021, respectively. During the year ended December 31, 2022, the Company purchased Non-Agency Loans and Agency-Eligible Loans, as detailed below (in thousands). A portion of these loans were purchased from Arc Home. See Note 10 for more detail.
During the years ended December 31, 2022 and 2021, the Company sold Non-Agency, Agency-Eligible Loans, and Re- and Non-Performing Loans, as detailed below ($ in thousands).
(1)The Non-Agency Loans sold during the year ended December 31, 2021 were sold into an unconsolidated securitization trust. Certain senior tranches in the securitization were sold to third-parties with the Company retaining the subordinate tranches, which are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets. The Company participated in this securitization alongside a private fund under the management of Angelo Gordon. See Note 10 for more detail. The Company’s residential mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the United States. The following is a summary of the geographic concentration of credit risk as of December 31, 2022 and 2021 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio.
(1)Excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. The following is a summary of the changes in the accretable portion of the discount for the Company’s securitized re-performing and non-performing loan portfolios for the years ended December 31, 2022 and 2021, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands).
Variable interest entities The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of December 31, 2022 and 2021 ($ in thousands):
(1)This is based on projected life. Typically, actual maturities 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)The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Residential Mortgage Loan VIEs. (3)As of December 31, 2022 and 2021, the Company had outstanding financing arrangements of $232.1 million and $71.3 million, respectively, collateralized by certain of the Company's retained interests in the Residential Mortgage Loan VIEs. See Note 6 for more detail regarding the Company's financing arrangements. Commercial loans As of December 31, 2022 and 2021, the Company did not hold any commercial loans. During the first quarter of 2021, the Company sold two commercial loans for total proceeds of $74.3 million, recording realized losses of $2.9 million. During the third quarter of 2021, the Company's two remaining commercial loans were repaid in full for total proceeds of $74.1 million, recording realized gains of $0.4 million. In connection with the repayment of one of these loans, the Company received $3.0 million of deferred interest for the 12-month period following a loan modification entered into with the borrower during the fourth quarter of 2020.
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Real Estate Securities |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Real Estate Securities | Real Estate Securities The following tables detail the Company’s real estate securities portfolio as of December 31, 2022 and 2021 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses).
(1)Equity residual investments with a zero coupon rate are excluded from this calculation. (2)Comprised of Non-QM securities and Non-QM interest-only securities retained from a rated Non-QM Loan securitization the Company participated in alongside a private fund under the management of Angelo Gordon. Upon evaluating its investment in the VIE, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trust. In addition, the Company determined the sale of the residential mortgage loans into the securitization qualified for sale accounting and derecognized the loans from its consolidated balance sheets. The Company has a 40.9% interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust. The Company has no obligation to provide any other explicit or implicit support to the securitization trust. The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of December 31, 2022 and 2021 ($ in thousands):
(1)This is based on projected life. Typically, actual maturities 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 securities with a zero coupon rate are excluded from this calculation. During the years ended December 31, 2022 and 2021, the Company sold real estate securities, as summarized below ($ in thousands).
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair value measurements | Fair value measurements The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2022 and 2021 (in thousands):
(1)Includes Residential mortgage loans held for sale. (2)Non-Agency RMBS is comprised of Non-Agency, Agency-Eligible, and Re/Non-Performing Securities. (3)As of December 31, 2022, the Company applied a reduction in fair value of $17.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. As of December 31, 2021, the Company applied a reduction in fair value of $19.6 million and $0.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. Derivative assets and liabilities are included in the " " and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives. (4)Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents. (5)Refer to Note 2 for more information on the Company's accounting policies with regard to AG Arc. The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. The valuation of the Company’s residential mortgage loans, securitized debt relating to the Residential Mortgage Loan VIEs, certain securities, and forward purchase commitments is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing. Third-party pricing 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. 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. The Company also considers 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 residential mortgage loans, securitized debt, and forward purchase commitments include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, recovery rates, reperformance rates, timeline to liquidation, and, for forward purchase commitments, pull-through rates. The Company and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value. Because of the inherent uncertainty of such valuation, the fair value established for mortgage loans, securitized debt, and forward purchase commitments held by the Company may differ from the fair value that would have been established if a ready market existed for these mortgage loans. Fair values for the Company’s securities and derivatives may be based upon prices obtained from third-party pricing services or broker quotations. The valuation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices, 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. The Company's investment in Arc Home is evaluated on a periodic basis using a market approach. In applying the market approach, fair value is determined by multiplying Arc Home's book value by a relevant valuation multiple observed based on a range of comparable public entities or transactions, adjusted by management as appropriate for differences between the investment and the referenced comparables. The evaluation also considers the underlying financial performance of Arc Home, general economic conditions, and relevant trends within the mortgage banking industry. Changes in the market environment and other events that may occur over the life of these investments may cause the gains or losses ultimately realized to be different than the valuations currently estimated. The significant unobservable inputs used in the fair value measurement of the Company’s loans and securities are yields, 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. The significant unobservable input used in the fair value measurement of the Company’s investment in Arc Home is the book value multiple. Significant increases (decreases) in the multiple applied would result in a significantly higher (lower) fair value measurement. The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the years ended December 31, 2022 and 2021. Refer to the tables below for details on transfers between the Level 3 and Level 2 categories under ASC 820 during the year ended December 31, 2021. The Company did not have any transfers between the Levels 3 and 2 of the fair value hierarchy during the year ended December 31, 2022. 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)Includes Securitized residential mortgage loans and Residential mortgage loans held for sale. (2)Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets. (3)Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(4)Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(1)Includes Securitized residential mortgage loans (2)Derivative liabilities are included in the "Other liabilities" line item on the consolidated balance sheets. (3)Transfers are assumed to occur at the beginning of the period. For the year ended December 31, 2021, the Company transferred one Non-Agency RMBS into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (4)Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(5)Unrealized 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)Amounts are weighted based on fair value. (2)Includes Residential mortgage loans held for sale. (3)Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets.
(1)Amounts are weighted based on fair value. (2)Derivative liabilities are included in the "Other liabilities" line item on the consolidated balance sheets.
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Financing |
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Disclosure of Repurchase Agreements [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financing | Financing The following table presents a summary of the Company's financing as of December 31, 2022 and 2021 ($ in thousands).
(1)The Company also had $3.4 million and $5.0 million of cash pledged under repurchase agreements as of December 31, 2022 and 2021, respectively. (2)Under the terms of the Company’s financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. (3)Amounts pledged as collateral under Securitized residential mortgage loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Residential Mortgage Loan VIEs. (4)The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $2.6 billion on facilities used to finance Non-Agency and Agency-Eligible Loans. (5)The funding cost includes deferred financing costs. The weighted average stated rate on the Residential mortgage loans repurchase agreements was 6.12% as of December 31, 2022. (6)The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Residential Mortgage Loan VIEs. The following table presents contractual maturity information about the Company's borrowings under financing arrangements as of December 31, 2022 (in thousands). Securitized debt is excluded from the below table as it does not have a contractual maturity.
Counterparties The Company had outstanding financing arrangements with six and five counterparties as of December 31, 2022 and 2021, respectively. The following table presents information as of December 31, 2022 and 2021 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).
Financial Covenants 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 and liquidity, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of December 31, 2022, the Company is in compliance with all of its financial covenants.
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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 related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of December 31, 2022 and 2021 (in thousands):
(1)Refer to Note 10 for more information (2)Represents the portion of the purchase price on certain Non-Agency and Agency-Eligible Loans that had not yet settled as of December 31, 2021. Derivatives The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location as of December 31, 2022 and 2021 (in thousands).
(1)As of December 31, 2022 and 2021, no derivatives held by the Company were designated as hedges for accounting purposes. (2)As of December 31, 2022, the Company applied a reduction in fair value of $17.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. As of December 31, 2021, the Company applied a reduction in fair value of $19.6 million and $0.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. The following table summarizes information related to derivatives and other instruments (in thousands):
(1)As of December 31, 2022, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 2.77%, a weighted average receive-variable rate of 4.30%, and a weighted average years to maturity of 4.77 years. As of December 31, 2021, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 0.85%, a weighted average receive-variable rate of 0.15%, and a weighted average years to maturity of 5.51 years. Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of December 31, 2022 and 2021, if applicable. The Company has not offset or netted any derivatives or other instruments with any financial instruments or cash collateral posted or received. 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 must post collateral. As of December 31, 2022, the Company's restricted cash balance included $9.6 million of collateral related to certain derivatives, of which $1.3 million represents cash collateral posted by the Company and $8.3 million represents amounts related to variation margin. As of December 31, 2021, the Company's restricted cash balance included $25.7 million of collateral related to certain derivatives, of which $7.0 million represents cash collateral posted by the Company and $18.7 million represents amounts related to variation margin. The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands):
TBAs The following table presents information about the Company’s TBAs for the years ended December 31, 2022 and 2021 (in thousands):
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Earnings per share |
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Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings per share | Earnings per share Following the close of business on July 22, 2021, the Company effected a one-for-three reverse stock split of its outstanding shares of common stock. All per share amounts and common shares outstanding for all applicable periods presented in the consolidated financial statements have been adjusted on a retroactive basis to reflect the Company’s one-for-three reverse stock split. Refer to Note 2 and Note 11 for additional information. The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the years ended December 31, 2022 and 2021 (in thousands, except per share data):
Dividends The following tables detail the Company's common stock dividends declared during the years ended December 31, 2022 and 2021:
The following tables detail the Company's preferred stock dividends declared and paid during the years ended December 31, 2022 and 2021:
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Income taxes |
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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. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise, or business taxes. Excise tax represents a non-deductible 4% 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. For the years ended December 31, 2022 and 2021, the Company did not recognize any excise tax. As of December 31, 2022 and 2021, the Company had federal net operating loss ("NOL") carryforwards of $2.1 million and $2.1 million, respectively, that can be used to offset future taxable ordinary income and reduce its REIT distribution requirements. These NOLs do not have an expiration date and can be carried forward indefinitely. As of December 31, 2022 and 2021, the Company had estimated net capital loss ("NCL") carryforwards of $294.8 million and $246.8 million, respectively, the majority of which were generated during the COVID-19 pandemic. The NCL carryforwards can be utilized to offset future net gains from the sale of capital assets. These NCL carryforwards have an expiration date of 5 years of which the majority will expire in 2025. Taxable REIT Subsidiaries The Company elected to treat certain domestic subsidiaries as TRSs. 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. Currently, the Company has wholly owned domestic TRSs that are taxable as corporations and subject to U.S. federal, state and local income tax on net income at the applicable corporate rates. The federal statutory rate for the years ended December 31, 2022 and 2021 was 21%. The Company’s effective tax rate differs from its combined U.S. federal, state and local corporate statutory tax rate primarily due to income earned at the REIT, which is not subject to tax, due to the deduction for qualifying distributions made by the Company, and any change in the valuation allowance as disclosed in further detail below. For the year ended December 31, 2022, the Company recorded $0.2 million of current income tax expense attributable to its TRSs which is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations. The Company did not record any income tax expense for the year ended December 31, 2021. Deferred income taxes reflect the net tax effects of temporary differences between the carrying amount of assets and liabilities for financial reporting and tax reporting purposes at the TRS level. The following table discloses the components of the Company’s deferred tax assets and deferred tax liabilities, if applicable, as of December 31, 2022 and 2021 (in thousands).
(1)Capital loss carryforwards expire between 2026 and 2027. For the years ended December 31, 2022 and 2021, the Company’s TRSs had an estimated gross NOL carryforward of $128.4 million and $31.1 million, respectively. This includes NOL carryforwards generated prior to 2018 of $7.8 million which will expire between 2033 and 2037. The remaining net operating losses can be carried forward indefinitely. In assessing the realizability of deferred tax assets, the Company considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during periods in which temporary differences become deductible. The Company concluded it is more likely than not the deferred tax asset will not be realized and established a valuation allowance of $30.2 million and $6.8 million for the years ended December 31, 2022 and 2021, respectively. Uncertain Income Tax Positions 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 December 31, 2022. The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. There are no ongoing U.S. federal, state or local tax examinations related to the Company. 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.
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Related party transactions |
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Related party transactions | Related party transactions Manager 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. 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 has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the Company’s management agreement. Below is a description of the fees and reimbursements provided in the 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. The below table details the management fees incurred during the years ended December 31, 2022 and 2021 (in thousands).
As of December 31, 2022 and 2021, the Company recorded management fees payable of $2.1 million and $1.8 million, respectively. The management fee payable is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets. Incentive fee In connection with the common stock offering in November 2021, including the Manager's purchase of 700,000 shares in the offering, on November 22, 2021, the Company and the Manager executed an amendment (the "Third Amendment") to the management agreement, pursuant to which the Company will pay the Manager an annual incentive fee in addition to the base management fee. Pursuant to the Third Amendment, the Manager waived the annual incentive fee with respect to the fiscal years ending December 31, 2021 and December 31, 2022, and the annual incentive fee will first be payable with respect to the fiscal year ending December 31, 2023. The annual incentive fee with respect to each applicable fiscal year will be equal to 15% of the amount by which the Company's cumulative adjusted net income from the date of the Third Amendment exceeds the cumulative hurdle amount, which represents an 8% return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) the Company's adjusted book value (calculated in the manner described in the Company's public filings) as of October 31, 2021, (ii) $80.0 million, and (iii) the gross proceeds of any subsequent public or private common stock offerings by the Company. The annual incentive fee will be payable in cash, or, at the option of the Company's Board of Directors, shares of common stock or a combination of cash and shares. In addition, pursuant to the Third Amendment, the term of the management agreement was extended until June 30, 2023, unless earlier terminated in accordance with its terms. Thereafter, the management agreement will continue to renew automatically each year for an additional one-year period, unless the Company or the Manager exercise its respective termination rights. All other terms and conditions of the management agreement continued without change. Termination fee 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 by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee 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 December 31, 2022 and 2021, 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. The below table details the expense reimbursement incurred during the years ended December 31, 2022 and 2021 (in thousands).
(1)For the years ended December 31, 2022 and December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $1.5 million and $0.8 million, respectively. As of December 31, 2022 and 2021, the Company recorded a reimbursement payable to the Manager or its affiliates of $1.3 million and $2.1 million, respectively. The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets. Restricted stock grants Equity Incentive Plans Effective on April 15, 2020 upon the approval of the Company's stockholders at its 2020 annual meeting of stockholders, the 2020 Equity Incentive Plan provides for a maximum of 666,666 shares of common stock to be issued. The maximum number of shares of common stock granted during a single fiscal year to any non-employee director, taken together with any cash fees paid to such non-employee director during any fiscal year, shall not exceed $300,000 in total value (calculating the value of any such awards based on the grant date fair value). As of December 31, 2022, 551,945 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan. Since inception of the 2020 Equity Incentive Plan and through December 31, 2022, the Company has granted an aggregate of 114,721 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested. Manager Equity Incentive Plans Following approval of the Company's stockholders at its 2021 annual meeting of stockholders, the AG Mortgage Investment Trust, Inc. 2021 Manager Equity Incentive Plan (the "2021 Manager Plan") became effective on April 7, 2021 and provides for a maximum of 573,425 shares of common stock that may be subject to awards thereunder to the Manager. As of December 31, 2022, there were no shares or awards issued under the 2021 Manager Plan. Restricted Stock Awards The following table presents information with respect to the Company’s restricted stock for the years ended December 31, 2022 and 2021:
(1)The grant date fair value of restricted stock awards was established as the average of the high and low prices of the Company's common stock at the grant date. On December 31, 2022, the Company had no unrecognized compensation expense related to restricted stock. Equity based compensation of $0.3 million and $0.3 million was expensed during the years ended December 31, 2022 and 2021, respectively. The expense represents the grant date fair value of the restricted stock vested. Director compensation As of December 31, 2022, the Company's Board of Directors consisted of four independent directors. The annual base director's fee for each independent director is $150,000, $70,000 of which is payable on a quarterly basis in cash and $80,000 of which is payable on a quarterly basis in shares of 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 common 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 their service as an independent member of the Company’s board. In addition to the annual base director's fee, the lead independent director receives an annual fee of $25,000, the chair of the Audit Committee receives an annual fee of $25,000, and the chairs of the Compensation and Nominating and Corporate Governance Committees each receive an annual fee of $10,000. Effective October 1, 2022, the role of lead independent director was retired and replaced with the role of non-executive chair of the Board. The non-executive chair of the Board receives an annual fee of $60,000, of which $30,000 is payable in cash and $30,000 is payable in shares of restricted common stock. Investments in debt and equity of affiliates The Company invests in credit sensitive residential 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. The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of December 31, 2022 and 2021 and the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2022 and 2021 (in thousands).
(1)As of December 31, 2022, MATT only holds retained tranches from past securitizations which continue to pay down and the Company does not expect to acquire additional investments within this equity method investment. (2)Land Related Financing continues to pay down and the Company does not expect to originate new loans within this equity method investment. Transactions with affiliates Transactions with Red Creek Asset Management LLC In connection with the Company’s investments in residential mortgage loans, the Company engages asset managers to provide advisory, consultation, asset management and other services. 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 mortgage loans. The Company pays the Asset Manager asset management fees which are assessed periodically by a third-party valuation firm. The below table details the fees paid by the Company to the Asset Manager during the years ended December 31, 2022 and 2021 (in thousands).
The Company recorded asset management fees payable of $0.2 million and $0.2 million as of December 31, 2022 and 2021, respectively. Asset management fees payable are included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets. Transactions with Arc Home Arc Home may sell loans to the Company, third-parties, or affiliates of the Manager. The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and private funds under the management of Angelo Gordon during the years ended December 31, 2022 and 2021 (in thousands).
As of December 31, 2022, the Company recorded a $0.5 million receivable from Arc Home related to certain loans purchased from Arc Home which was recorded within the "Other assets" line item on the consolidated balance sheets. 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, previously entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs, all of which were sold during 2021. In July 2021, the Company, alongside private funds under the management of Angelo Gordon, sold its remaining Agency Excess MSRs to Arc Home for total proceeds of $9.9 million. The portfolio had a total unpaid principal balance of $2.0 billion. The Company's share of the total proceeds was $2.7 million, representing its approximate 45% ownership interest. Arc Home subsequently sold its MSR portfolio to a third party. The Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis. Actual loan purchases are contingent upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives. See Note 7 and Note 12 for more detail. During the year ended December 31, 2022, the Company determined that certain loans that it had previously committed to purchase from Arc Home would be sold to third parties. The Company net settled its commitment to purchase these loans with Arc Home for $0.8 million, which represented the difference between the Company's committed price and the ultimate sale price, inclusive of costs to sell the loans. The settlement of these derivatives were recorded within the "Net realized gain/(loss)" and "Transaction related expenses" line items on the consolidated statement of operations. Securitization Transactions In May 2021, 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 value of $171.4 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 value of $25.7 million as of June 30, 2021. In November 2021, the Company, alongside a private fund under the management of Angelo Gordon, participated in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $225.9 million were securitized. Upon evaluating its investment in the VIE, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trust. In addition, the Company determined the sale of the residential mortgage loans into the securitization qualified for sale accounting and derecognized the loans from its consolidated balance sheets. Certain senior tranches in the securitization were sold to third-parties with the Company and the private fund under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $44.0 million as of December 31, 2021. The Company has a 40.9% interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust. These retained subordinate tranches are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets. Transactions under the Company's Affiliated Transaction Policy The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager ($ in millions). The transactions were executed in accordance with the Company's Affiliated Transaction Policy. Refer to the "Transactions with Arc Home" section above for additional information related to transactions with Arc Home, which are excluded from the table below.
(1)As of the transaction date. (2)The affiliate submitted an offer to purchase the securities from the Company in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution. (3)Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy. (4)The Company purchased the real estate securities through one of its unconsolidated affiliated entities. (5)MATT exercised its call rights on two securitization trusts in which it held interests in the subordinate tranches. Upon exercising its call rights and acquiring the remaining residential mortgage loans within the trusts, MATT sold the loans to the Company and a private fund under the management of Angelo Gordon in accordance with the Company’s Affiliated Transactions Policy. As of the date of the transaction, the residential mortgage loans sold to the private fund had a total fair value of $183.6 million.
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Equity [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity | Equity Reverse stock split On July 12, 2021, the Company announced that its Board of Directors approved a one-for-three reverse stock split of its outstanding shares of common stock. The reverse stock split was effected following the close of business on July 22, 2021. At the Effective Time, every three issued and outstanding shares of the Company’s common stock were converted into one share of the Company’s common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time. As a result, the number of common shares outstanding was reduced from 48,510,978 immediately prior to the Effective Time to 16,170,312. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. All per share amounts and common shares outstanding for all applicable periods presented in the consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split. Stock repurchase programs On November 3, 2015, the Company’s Board of Directors authorized a stock repurchase program to repurchase up to $25.0 million of the Company's outstanding common stock (the "2015 Repurchase Program"). As of June 30, 2022, the $25.0 million maximum repurchase amount authorized under the 2015 Repurchase Program was fully utilized. The table below details the Company's share repurchases under the 2015 Repurchase Program during the years ended December 31, 2022 and 2021:
(1)Based on trade date. (2)Includes brokerage commissions and clearing fees. On August 3, 2022, the Company's Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $15.0 million of the Company’s outstanding common stock on substantially the same terms as the 2015 Repurchase Program. The 2022 Repurchase Program does not have an expiration date and permits the Company to repurchase its shares through various methods, including open market repurchases, privately negotiated block transactions and Rule 10b5-1 plans. The Company may repurchase shares of its common stock from time to time in compliance with SEC regulations and other legal requirements. The extent to which the Company repurchases its shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by the Company’s management, as well as the limits of the 2022 Repurchase Program and the Company's liquidity and business strategy. The 2022 Repurchase Program does not obligate the Company to acquire any particular amount of shares and may be modified or discontinued at any time. As of December 31, 2022, approximately $7.8 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program. The table below details the Company's share repurchases under the 2022 Repurchase Program during the year ended December 31, 2022:
(1)Based on trade date. (2)Includes brokerage commissions and clearing fees. On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $20.0 million. No share repurchases under the Preferred Repurchase Program have been made since its authorization. Shares of stock repurchased by the Company under any repurchase program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its stock as required by Maryland law. 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. Equity distribution agreements The Company has 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 under the Securities Act of 1933. For the year ended December 31, 2022, the Company did not issue any shares of common stock under the Equity Distribution Agreements. For the year ended December 31, 2021, the Company issued 1.0 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $13.1 million. Since inception of the program, the Company has issued approximately 2.2 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $48.3 million. Shelf registration statement On May 7, 2021, the Company filed a new shelf registration statement, registering up to $1.0 billion of its securities, including capital stock (the "2021 Registration Statement"). The 2021 Registration Statement became effective on May 26, 2021 and will expire on May 28, 2024. Upon effectiveness of the 2021 Registration Statement, the Company's previous registration statement filed in 2018 was terminated. Common stock offering On November 22, 2021, the Company completed a public offering of 7.0 million shares of its common stock and subsequently issued an additional 1.1 million shares pursuant to the underwriters' exercise of their over-allotment option at a price of $9.98 per share. Net proceeds to the Company from the offering were approximately $80.0 million, after deducting offering expenses. Preferred stock The Company is authorized to designate and issue up to 50.0 million shares of preferred stock, par value $0.01 per share, in one or more classes or series. As of December 31, 2022 and 2021, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding. The following table includes a summary of preferred stock issued and outstanding as of December 31, 2022 ($ and shares in thousands):
(1)The Company's Preferred Stock has a liquidation preference of $25.00 per share. (2)Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption. Shares of the Company’s Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option. Shares of the Company's Series C Preferred Stock may be redeemable earlier than the optional redemption date under certain circumstances intended to preserve its qualification as a REIT for Federal income tax purposes. (3)The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000% per annum of the $25.00 per share liquidation preference. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR (or as replaced by the existing LIBOR cessation fallback language) plus a spread of 6.476% per annum. (4)Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December and holders are entitled to receive cumulative cash dividends at the respective stated rate per annum before holders of common stock are entitled to receive any cash dividends. The Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, holders of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock voting together as a single class with the holders of all other classes or series of its preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of any series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed. Exchange offers The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares during 2021. The Company did not complete any exchange offers during 2022. Subsequent to each transaction, the Preferred Stock exchanged pursuant to the exchange agreement was reclassified as authorized but unissued shares of preferred stock without designation as to class or series ($ in thousands).
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Commitments and Contingencies |
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies | Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. As of December 31, 2022, the Company was not involved in any material legal proceedings. The below table details the Company's outstanding commitments as of December 31, 2022 (in thousands):
(1)The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of December 31, 2022. Refer to Note 10 "Transactions with affiliates" for more information. (2)Refer to Note 2 and Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH. (3)Subsequent to December 31, 2022, the Company's commitment on MATT Non-QM Loans was removed.
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Investments in unconsolidated equity method affiliates |
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Equity Method Investments and Joint Ventures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in unconsolidated equity method affiliates | Investments in unconsolidated equity method affiliates The following table details the summarized balance sheets for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2022 and 2021 (in thousands):
(1)The Company has an approximate 44.6% interest in AG Arc. (2)The Company has an approximate 44.6% interest in MATH. (3)The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. (4)Arc Home, as an issuer, has the unilateral right to repurchase Ginnie Mae pool loans it has previously sold or loans in pools it acquired in an MSR purchase (generally loans that are more than 90 days past due). When Arc Home determines there is more than a trivial benefit to repurchase the loans, it records the loans on its consolidated balance sheets as an asset and a corresponding liability. As of December 31, 2022 and December 31, 2021, Other assets and Other liabilities included loans eligible to be repurchased in the amount of $36.7 million and $49.8 million, respectively The following table details the summarized statements of operations for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method for the years ended December 31, 2022 and 2021 (in thousands):
(1)The Company has an approximate 44.6% interest in AG Arc. The Company's equity in earnings/(loss) from AG Arc does not include $6.0 million and $5.3 million of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company for the years ended December 31, 2022 and 2021, respectively. Refer to Note 2 for more information on this accounting policy. (2)The Company has an approximate 44.6% interest in MATH. (3)The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. (4)"Other income/(loss), net" at AG Arc includes servicing revenue. Refer to Note 2 and Note 10 for more detail on the Company’s investments in unconsolidated equity method affiliates.
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Subsequent Events |
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Dec. 31, 2022 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events The Company repurchased 0.1 million shares of common stock for $0.5 million, representing a weighted average cost of $5.66 per share. The Company sold Non-Agency Loans for gross proceeds of $46.9 million and Agency-Eligible Loans for gross proceeds of $18.5 million. These loans were recorded within the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of December 31, 2022. The Company executed a rated Non-Agency securitization, in which loans with a total unpaid principal balance of $271.2 million were securitized. The securitization converted recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls. The Company announced that on February 16, 2023 its Board of Directors declared first quarter 2023 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $0.51563, $0.50 and $0.50 per share, respectively. The dividends will be paid on March 17, 2023 to holders of record on February 28, 2023.
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Summary of significant accounting policies (Policies) |
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Dec. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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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Valuation of financial instruments | Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with the provisions of Accounting Standards Codification ("ASC") 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party 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: •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 assets and liabilities in active markets. •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. Transfers between levels are assumed to occur at the beginning of the reporting period.
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Accounting for loans | Accounting for loans Investments in loans are recorded in accordance with ASC 310-10, "Receivables" and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. Loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met. Loans held-for-sale are accounted for under ASC 948-310, "Financial services—mortgage banking." Loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets in the "Residential mortgage loans held for sale" line item. Estimated costs incurred to sell the loans are included within the fair value of the loans held for sale. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. 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 loan activities will be recorded in a similar manner. As such, loans are recorded at fair value on the consolidated balance sheets and any periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25. Purchases and sales of loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies. At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. 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 for purposes of this determination. 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 Company accrues interest income on its loan portfolio. Loans are typically moved to non-accrual status and income recognition is suspended if the loan becomes 90 days or more delinquent. A loan is written off when it is no longer realizable and/or legally discharged.
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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" or ASC 325-40, "Beneficial Interests in Securitized Financial Assets." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio. 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. Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." Purchases and sales of real estate securities are recorded on the trade date.
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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 in accordance with ASC 323, "Investments – Equity Method and Joint Ventures." Substantially all of the Company’s investments held through affiliated entities are comprised of real estate securities, loans and its interest in AG Arc LLC. Certain entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825; as such, the Company will treat these financial instruments and financing arrangements consistently with this election. Arc Home On December 9, 2015, the Company, alongside private funds managed by Angelo Gordon, through AG Arc LLC, one of the Company’s indirect affiliates ("AG Arc"), formed Arc Home. The Company has an approximate 44.6% interest in AG Arc. Arc Home originates residential mortgage loans and retains the mortgage servicing rights associated with certain loans it originates. Arc Home is led by an external management team. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary. As a result, income or losses recognized by the Company from its investment in AG Arc are recorded in "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes. From time to time, the Company acquires newly originated residential mortgage loans from Arc Home. In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc. In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains or losses. During the years ended December 31, 2022 and 2021, the Company eliminated intra- entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company, as detailed below (in thousands).
Additionally, the Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis. See the "Accounting for derivative financial instruments - Forward purchase commitments" policy below and Note 10 for additional detail. MATH On August 29, 2017, the Company, alongside private funds managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy. The Company has an approximate 44.6% interest in MATH. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans. MATT made an election to be treated as a real estate investment trust beginning with the 2018 tax year. As of December 31, 2022, MATT only holds retained tranches from past securitizations which continue to pay down and the Company does not expect to acquire additional investments within this equity method investment. LOTS On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS"). The Company has an approximate 47.5% and 50.0% interest in LOT SP I LLC and LOT SP II LLC, respectively. LOTS were formed to originate first mortgage loans to third-party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing"). The LOTS investments continue to pay down and the Company does not expect to originate new loans within this equity method investment.
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Investment consolidation and transfers of financial assets | Investment consolidation An entity is a variable interest entity ("VIE") if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10, "Consolidation" 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 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. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances. 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. The Company enters into securitization transactions collateralized by its Non-Agency Loans ("Non-Agency VIEs"), Agency-Eligible Loans ("Agency-Eligible VIEs"), and re- and non-performing loans ("RPL/NPL VIEs") (collectively, "Residential Mortgage Loan VIEs"), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations. Based on the evaluations of each VIE, the Company may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Residential Mortgage Loan VIEs. 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 activities will be recorded in a similar manner. The Company applied the guidance under ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Residential Mortgage Loan VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Residential Mortgage Loan VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Residential Mortgage Loan VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs. Transfers of financial assets 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, "Transfers and Servicing" 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 value. 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 "Securitized residential mortgage loans, at fair value" 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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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 may include cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. As of December 31, 2022, the Company held $84.6 million of cash and cash equivalents, of which $0.4 million were cash equivalents. As of December 31, 2021, the Company held $68.1 million of cash and cash equivalents, none of which were 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 changes in cash held by the Company as collateral are included in cash flows from financing activities on the consolidated statement of cash flows. "Other liabilities" does not include variation margin received on centrally cleared derivatives. Refer to the "Accounting for derivative financial instruments" policy below for additional 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 any changes in principal payments due to the Company are included in the cash flows from operating activities on the consolidated statement of cash flows.
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Restricted cash | Restricted cashRestricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts. Restricted cash is not available to the Company for general corporate purposes. 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. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financing arrangements | Financing arrangements The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements primarily include repurchase agreements, but may also include revolving facilities. Repurchase agreements 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 loans or securities 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 loans or securities 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. If the fair value of pledged assets declines due to changes in market conditions, 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 financing arrangements represents 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 order to meet these obligations. If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to the Company in the form of securities or cash or post additional collateral to the Company. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of December 31, 2022 and 2021, the Company had met all margin call requirements.
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Accounting for derivative financial instruments | Accounting for derivative financial instruments Derivative contracts 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 with corresponding changes in fair 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. 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. As of December 31, 2022 and 2021, the Company did not have any interest rate derivatives designated as hedges for accounting purposes. 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 "Net unrealized gain/(loss)." Variation margin 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, 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. 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, 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. The daily receipt or payment is included as a settlement of the derivative in cash flows from investing activities on the consolidated statement of cash flows. 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. Forward purchase commitments The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price. Actual loan purchases are contingent upon successful loan closings. The counterparties deliver the committed loans on either a mandatory basis or best-efforts basis. These commitments to purchase mortgage loans are classified as derivatives and are therefore recorded at fair value on the consolidated balance sheets, with corresponding changes in fair value recognized in the consolidated statement of operations. Derivatives with a positive fair value to the Company are reported as assets and derivatives with a negative fair value to the Company are reported as liabilities.
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Earnings/(Loss) per share | Earnings/(Loss) per share In accordance with 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 using 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. Potential dilutive shares are excluded from the calculation if they have an anti-dilutive effect in the period.
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Interest income recognition | Interest income recognition Interest income on the Company’s loan and securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans or 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 loans and securities accounted for under the fair value option in accordance with ASC 825, "Financial Instruments." As such, premiums and discounts are amortized or accreted into interest income over the lives of the loans or 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. For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, 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 retrospectively through the reporting date. Similarly, the Company also reassesses the cash flows on at least a quarterly basis for loans and securities, including Non-Agency Loans, Agency-Eligible Loans, Non-Agency RMBS, and interest-only securities. 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. |
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Manager compensation | Manager compensation |
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Transaction related expenses | Transaction related expensesThe Company incurs transaction related expenses associated with purchasing and securitizing residential mortgage loans. In accordance with ASC 825 "Financial Instruments," nonrefundable fees and costs associated with originating or acquiring loans that are carried at fair value shall be recognized in earnings as incurred. Transaction related expenses are accrued and expensed during the period in which they are incurred and are included in the "Transaction related expenses" line item on the consolidated statement of operations. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income taxes | Income taxes The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company generally will 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. 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. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other subsidiaries as TRSs. In general, a TRS is utilized to hold assets and engage in activities that the Company cannot hold or engage in directly. Generally, a TRS 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) which may 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’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. 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 9 for further details.
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Dividends on Preferred Stock | Dividends on Preferred Stock Holders of the Company’s 8.25% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") are entitled to receive cumulative cash dividends at a rate of 8.25%, 8.00% and 8.000% per annum, respectively, of the $25.00 per share liquidation preference for each series. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR (or as replaced by the existing LIBOR cessation fallback language) plus a spread of 6.476% per annum. If the Company’s Board of Directors does not declare a dividend in a given period, an accrual is not recorded on the balance sheet. However, undeclared preferred stock dividends are reflected in earnings per share as discussed in ASC 260-10-45-11. Preferred stock dividends that are not declared accumulate and are added to the liquidation preference as of the scheduled payment date for the respective series of the preferred stock. The undeclared and unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its common stock. See Note 11 for further detail on the Company’s Preferred Stock. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offering costs | Offering costs The Company has incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings, and exchanges. 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. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings.
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Recent accounting pronouncements | Recent accounting pronouncements In March 2020, FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting and may be elected over time as reference rate reform activities occur. This ASU is effective as of March 12, 2020 and was amended by ASU 2022-06 to sunset on December 31, 2024. The ASU applies to all entities that have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued. However, it cannot be applied to contract modifications that occur after December 31, 2024. With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date. The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance. The Manager has an established cross-functional team that focuses on evaluating exposure to LIBOR and monitoring regulatory updates to assess the potential impact to the portfolios under management from the cessation set to occur on June 30, 2023 and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates. As of December 31, 2022, the Company is continuing to assess the impact of the LIBOR transition and does not expect the transition or the adoption of ASU 2020-04 to have a material impact on the consolidated financial statements. The Company's primary exposure to LIBOR includes certain financing arrangements and the Series C Preferred Stock. The Company's financing arrangements either have provisions in place that provide for an alternative to LIBOR upon its phase-out or contain maturities that occur prior to the phase out of LIBOR on June 30, 2023. In addition, the Company has begun amending terms of certain financing arrangements, where necessary, to transition or direct the transition to an alternative benchmark. The Company does not currently intend to amend the Series C Preferred Stock to change the existing LIBOR cessation fallback language.
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Organization (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Investment Groups | The Company's asset classes are primarily comprised of the following:
(1)These investments are included in the "Securitized residential mortgage loans, at fair value," "Residential mortgage loans, at fair value," and "Residential mortgage loans held for sale, at fair value" line items on the consolidated balance sheets. (2)These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets.
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Summary of significant accounting policies (Tables) |
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Dec. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Investments in Debt and Equity of Affiliates | During the years ended December 31, 2022 and 2021, the Company eliminated intra- entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company, as detailed below (in thousands).
The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of December 31, 2022 and 2021 and the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2022 and 2021 (in thousands).
(1)As of December 31, 2022, MATT only holds retained tranches from past securitizations which continue to pay down and the Company does not expect to acquire additional investments within this equity method investment. (2)Land Related Financing continues to pay down and the Company does not expect to originate new loans within this equity method investment.
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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 table below details information regarding the Company’s residential mortgage loan portfolio as of December 31, 2022 and 2021 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses).
(1)This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgage loans, periodic payments of principal, and prepayments of principal. (2)Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets. (3)Includes fair value of $46.8 million and $18.2 million of Non-Agency Loans and Agency-Eligible Loans, respectively, classified as held for sale and presented in the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets. Subsequent to year end, these loans were sold. Refer to Note 14 for additional detail. During the year ended December 31, 2022, the Company purchased Non-Agency Loans and Agency-Eligible Loans, as detailed below (in thousands). A portion of these loans were purchased from Arc Home. See Note 10 for more detail.
During the years ended December 31, 2022 and 2021, the Company sold Non-Agency, Agency-Eligible Loans, and Re- and Non-Performing Loans, as detailed below ($ in thousands).
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Summary of Credit Quality Information on Residential Mortgage Loans | The following tables present information regarding credit quality of the Company's residential mortgage loans ($ in thousands).
(1)Loan count, weighted average, and aging data excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. (2)Amounts are weighted based on unpaid principal balance. (3)As of December 31, 2022, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $31.4 million and $33.7 million, respectively. As of December 31, 2021, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $47.4 million and $29.0 million, respectively. (4)Weighted average current FICO excludes borrowers where FICO scores were not available. Data is as of November 30, 2022 and November 30, 2021, respectively.
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Schedule of Certain Concentrations of Credit Risk Within the Company's Mortgage Loan Portfolio | December 31, 2022 and 2021 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio.
(1)Excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.
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Schedule of Changes in the Accretable Portion of Discounts | The following is a summary of the changes in the accretable portion of the discount for the Company’s securitized re-performing and non-performing loan portfolios for the years ended December 31, 2022 and 2021, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands).
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Schedule of Variable Interest Entities | The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of December 31, 2022 and 2021 ($ in thousands):
(1)This is based on projected life. Typically, actual maturities 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)The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Residential Mortgage Loan VIEs. (3)As of December 31, 2022 and 2021, the Company had outstanding financing arrangements of $232.1 million and $71.3 million, respectively, collateralized by certain of the Company's retained interests in the Residential Mortgage Loan VIEs. See Note 6 for more detail regarding the Company's financing arrangements.
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Real Estate Securities (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Real Estate Securities Portfolio | The following tables detail the Company’s real estate securities portfolio as of December 31, 2022 and 2021 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses).
(1)Equity residual investments with a zero coupon rate are excluded from this calculation. (2)Comprised of Non-QM securities and Non-QM interest-only securities retained from a rated Non-QM Loan securitization the Company participated in alongside a private fund under the management of Angelo Gordon. Upon evaluating its investment in the VIE, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trust. In addition, the Company determined the sale of the residential mortgage loans into the securitization qualified for sale accounting and derecognized the loans from its consolidated balance sheets. The Company has a 40.9% interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust. The Company has no obligation to provide any other explicit or implicit support to the securitization trust. During the years ended December 31, 2022 and 2021, the Company sold real estate securities, as summarized below ($ in thousands).
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Schedule of Weighted Average Life of Real Estate Securities | The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of December 31, 2022 and 2021 ($ in thousands):
(1)This is based on projected life. Typically, actual maturities 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 securities with a zero coupon rate are excluded from this calculation.
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Fair value measurements (Tables) |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Financial Instruments Measured at Fair Value | The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2022 and 2021 (in thousands):
(1)Includes Residential mortgage loans held for sale. (2)Non-Agency RMBS is comprised of Non-Agency, Agency-Eligible, and Re/Non-Performing Securities. (3)As of December 31, 2022, the Company applied a reduction in fair value of $17.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. As of December 31, 2021, the Company applied a reduction in fair value of $19.6 million and $0.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. Derivative assets and liabilities are included in the " " and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives. (4)Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents. (5)Refer to Note 2 for more information on the Company's accounting policies with regard to AG Arc. The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825.
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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)Includes Securitized residential mortgage loans and Residential mortgage loans held for sale. (2)Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets. (3)Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(4)Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(1)Includes Securitized residential mortgage loans (2)Derivative liabilities are included in the "Other liabilities" line item on the consolidated balance sheets. (3)Transfers are assumed to occur at the beginning of the period. For the year ended December 31, 2021, the Company transferred one Non-Agency RMBS into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. (4)Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
(5)Unrealized 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)Amounts are weighted based on fair value. (2)Includes Residential mortgage loans held for sale. (3)Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets.
(1)Amounts are weighted based on fair value. (2)Derivative liabilities are included in the "Other liabilities" line item on the consolidated balance sheets.
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Financing (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Disclosure of Repurchase Agreements [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Financing Arrangements | The following table presents a summary of the Company's financing as of December 31, 2022 and 2021 ($ in thousands).
(1)The Company also had $3.4 million and $5.0 million of cash pledged under repurchase agreements as of December 31, 2022 and 2021, respectively. (2)Under the terms of the Company’s financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. (3)Amounts pledged as collateral under Securitized residential mortgage loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Residential Mortgage Loan VIEs. (4)The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $2.6 billion on facilities used to finance Non-Agency and Agency-Eligible Loans. (5)The funding cost includes deferred financing costs. The weighted average stated rate on the Residential mortgage loans repurchase agreements was 6.12% as of December 31, 2022. (6)The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Residential Mortgage Loan VIEs.
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Schedule of Total Borrowings Under Repurchase Agreements | The following table presents contractual maturity information about the Company's borrowings under financing arrangements as of December 31, 2022 (in thousands). Securitized debt is excluded from the below table as it does not have a contractual maturity.
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Schedule of Repurchase Agreement Counterparty | The following table presents information as of December 31, 2022 and 2021 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).
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Other assets and liabilities (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Other Assets and Other Liabilities | The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of December 31, 2022 and 2021 (in thousands):
(1)Refer to Note 10 for more information (2)Represents the portion of the purchase price on certain Non-Agency and Agency-Eligible Loans that had not yet settled as of December 31, 2021.
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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 as of December 31, 2022 and 2021 (in thousands).
(1)As of December 31, 2022 and 2021, no derivatives held by the Company were designated as hedges for accounting purposes. (2)As of December 31, 2022, the Company applied a reduction in fair value of $17.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. As of December 31, 2021, the Company applied a reduction in fair value of $19.6 million and $0.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively.
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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 to be Announced Securities Activity | The following table presents information about the Company’s TBAs for the years ended December 31, 2022 and 2021 (in thousands):
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Earnings per share (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Basic and Diluted Earnings Per Share | The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the years ended December 31, 2022 and 2021 (in thousands, except per share data):
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Schedule of Dividends Declared and Paid | The following tables detail the Company's common stock dividends declared during the years ended December 31, 2022 and 2021:
The following tables detail the Company's preferred stock dividends declared and paid during the years ended December 31, 2022 and 2021:
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Income taxes (Tables) |
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Income Tax Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Deferred Tax Assets and Liabilities | The following table discloses the components of the Company’s deferred tax assets and deferred tax liabilities, if applicable, as of December 31, 2022 and 2021 (in thousands).
(1)Capital loss carryforwards expire between 2026 and 2027.
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Related party transactions (Tables) |
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Related Party Transactions [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Related Party Transactions | The below table details the management fees incurred during the years ended December 31, 2022 and 2021 (in thousands).
The below table details the expense reimbursement incurred during the years ended December 31, 2022 and 2021 (in thousands).
(1)For the years ended December 31, 2022 and December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $1.5 million and $0.8 million, respectively. The below table details the fees paid by the Company to the Asset Manager during the years ended December 31, 2022 and 2021 (in thousands).
The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager ($ in millions). The transactions were executed in accordance with the Company's Affiliated Transaction Policy. Refer to the "Transactions with Arc Home" section above for additional information related to transactions with Arc Home, which are excluded from the table below.
(1)As of the transaction date. (2)The affiliate submitted an offer to purchase the securities from the Company in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution. (3)Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy. (4)The Company purchased the real estate securities through one of its unconsolidated affiliated entities. (5)MATT exercised its call rights on two securitization trusts in which it held interests in the subordinate tranches. Upon exercising its call rights and acquiring the remaining residential mortgage loans within the trusts, MATT sold the loans to the Company and a private fund under the management of Angelo Gordon in accordance with the Company’s Affiliated Transactions Policy. As of the date of the transaction, the residential mortgage loans sold to the private fund had a total fair value of $183.6 million.
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Schedule of Nonvested Restricted Stock and Restricted Stock Units Activity | The following table presents information with respect to the Company’s restricted stock for the years ended December 31, 2022 and 2021:
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Schedule of Investments in Debt and Equity of Affiliates | During the years ended December 31, 2022 and 2021, the Company eliminated intra- entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company, as detailed below (in thousands).
The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of December 31, 2022 and 2021 and the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2022 and 2021 (in thousands).
(1)As of December 31, 2022, MATT only holds retained tranches from past securitizations which continue to pay down and the Company does not expect to acquire additional investments within this equity method investment. (2)Land Related Financing continues to pay down and the Company does not expect to originate new loans within this equity method investment.
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Equity (Tables) |
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Equity [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Stock | The table below details the Company's share repurchases under the 2015 Repurchase Program during the years ended December 31, 2022 and 2021:
(1)Based on trade date. (2)Includes brokerage commissions and clearing fees. The table below details the Company's share repurchases under the 2022 Repurchase Program during the year ended December 31, 2022:
(1)Based on trade date. (2)Includes brokerage commissions and clearing fees. The following table includes a summary of preferred stock issued and outstanding as of December 31, 2022 ($ and shares in thousands):
(1)The Company's Preferred Stock has a liquidation preference of $25.00 per share. (2)Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption. Shares of the Company’s Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option. Shares of the Company's Series C Preferred Stock may be redeemable earlier than the optional redemption date under certain circumstances intended to preserve its qualification as a REIT for Federal income tax purposes. (3)The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000% per annum of the $25.00 per share liquidation preference. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR (or as replaced by the existing LIBOR cessation fallback language) plus a spread of 6.476% per annum. (4)Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December and holders are entitled to receive cumulative cash dividends at the respective stated rate per annum before holders of common stock are entitled to receive any cash dividends. The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares during 2021. The Company did not complete any exchange offers during 2022. Subsequent to each transaction, the Preferred Stock exchanged pursuant to the exchange agreement was reclassified as authorized but unissued shares of preferred stock without designation as to class or series ($ in thousands).
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Commitments and Contingencies (Tables) |
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Outstanding Commitments | The below table details the Company's outstanding commitments as of December 31, 2022 (in thousands):
(1)The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of December 31, 2022. Refer to Note 10 "Transactions with affiliates" for more information. (2)Refer to Note 2 and Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH. (3)Subsequent to December 31, 2022, the Company's commitment on MATT Non-QM Loans was removed.
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Investments in unconsolidated equity method affiliates (Tables) |
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Equity Method Investments and Joint Ventures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Equity Method Investments | The following table details the summarized balance sheets for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2022 and 2021 (in thousands):
(1)The Company has an approximate 44.6% interest in AG Arc. (2)The Company has an approximate 44.6% interest in MATH. (3)The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. (4)Arc Home, as an issuer, has the unilateral right to repurchase Ginnie Mae pool loans it has previously sold or loans in pools it acquired in an MSR purchase (generally loans that are more than 90 days past due). When Arc Home determines there is more than a trivial benefit to repurchase the loans, it records the loans on its consolidated balance sheets as an asset and a corresponding liability. As of December 31, 2022 and December 31, 2021, Other assets and Other liabilities included loans eligible to be repurchased in the amount of $36.7 million and $49.8 million, respectively The following table details the summarized statements of operations for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method for the years ended December 31, 2022 and 2021 (in thousands):
(1)The Company has an approximate 44.6% interest in AG Arc. The Company's equity in earnings/(loss) from AG Arc does not include $6.0 million and $5.3 million of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company for the years ended December 31, 2022 and 2021, respectively. Refer to Note 2 for more information on this accounting policy. (2)The Company has an approximate 44.6% interest in MATH. (3)The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. (4)"Other income/(loss), net" at AG Arc includes servicing revenue.
|
Organization - Narrative (Details) - segment |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2022 |
Nov. 30, 2021 |
Jul. 30, 2021 |
|
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||
Loan securitization, ownership interest | 40.90% | 45.00% | |
Number of reportable segments | 1 | ||
ARC Home LLC | |||
Collaborative Arrangement and Arrangement Other than Collaborative [Line Items] | |||
Loan securitization, ownership interest | 44.60% |
Summary of significant accounting policies - Narrative (Details) |
12 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Jul. 22, 2021 |
Jul. 12, 2021 |
Dec. 31, 2022
USD ($)
$ / shares
|
Dec. 31, 2021
USD ($)
|
Nov. 30, 2021 |
Jul. 30, 2021 |
|||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Reverse stock split ratio | 0.3333 | 0.3333 | ||||||
Non-investment related expenses | [1] | $ 9,292,000 | $ 9,745,000 | |||||
Investment related expenses | [1] | 9,198,000 | 6,800,000 | |||||
Loan securitization, ownership interest | 40.90% | 45.00% | ||||||
Cash and cash equivalents | 84,621,000 | 68,079,000 | ||||||
Cash equivalents | $ 442,000 | 0 | ||||||
Dividend percentage | 8.00% | |||||||
Reclassification of Other Operating Expenses into Non-Investment Related Expenses | ||||||||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Non-investment related expenses | 9,800,000 | |||||||
Other operating expenses reclassification | 9,800,000 | |||||||
Reclassification of Other Operating Expenses into Investment Related Expenses | ||||||||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Other operating expenses reclassification | 3,600,000 | |||||||
Investment related expenses | 3,600,000 | |||||||
Reclassification of Servicing Fees into Investment Related Expenses | ||||||||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Investment related expenses | 3,200,000 | |||||||
Servicing fees reclassification | $ 3,200,000 | |||||||
LOTS I | ||||||||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Loan securitization, ownership interest | 47.50% | |||||||
LOTS II | ||||||||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Loan securitization, ownership interest | 50.00% | |||||||
ARC Home LLC | ||||||||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Loan securitization, ownership interest | 44.60% | |||||||
MATH | ||||||||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Other operating expenses reclassification | $ (647,000) | |||||||
Loan securitization, ownership interest | 44.60% | |||||||
Cash and cash equivalents | $ 5,518,000 | |||||||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Dividend percentage | 8.25% | |||||||
8.00% Series B Cumulative Redeemable Preferred Stock | ||||||||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Dividend percentage | 8.00% | |||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Dividend percentage | 8.00% | |||||||
Liquidation preference (in dollars per share) | $ / shares | $ 25.00 | |||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | London Interbank Offered Rate (LIBOR) | ||||||||
Investments in and Advances to Affiliates [Line Items] | ||||||||
Dividend percentage | 6.476% | |||||||
|
Summary of significant accounting policies - Schedule of investments in debt and equity of affiliates (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Consolidation, Eliminations | ARC Home LLC | ||
Investments in and Advances to Affiliates [Line Items] | ||
Gross profit | $ 6,032 | $ 5,306 |
Loans - Summary of company's residential mortgage loan portfolio (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair Value | $ 421,451 | $ 1,476,972 |
Loans held-for-sale, fair value | 64,984 | 0 |
Residential Mortgage | Securitized residential mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Fair Value | 3,707,146 | 1,158,134 |
Residential Portfolio Segment | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 4,624,856 | 2,578,993 |
Premium (Discount) | 16,710 | 27,918 |
Amortized Cost | 4,641,566 | 2,606,911 |
Gross Unrealized Gains | 6,749 | 34,122 |
Gross Unrealized Losses | (519,718) | (5,927) |
Fair Value | $ 4,128,597 | $ 2,635,106 |
Weighted Average Coupon | 4.80% | 4.50% |
Weighted Average Yield | 4.93% | 4.06% |
Weighted Average Life (Years) | 9 years 6 months 3 days | 5 years 5 months 19 days |
Residential Portfolio Segment | Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 458,471 | $ 1,423,242 |
Premium (Discount) | (9,884) | 42,150 |
Amortized Cost | 448,587 | 1,465,392 |
Gross Unrealized Gains | 4,777 | 13,387 |
Gross Unrealized Losses | (31,913) | (1,807) |
Fair Value | $ 421,451 | $ 1,476,972 |
Weighted Average Coupon | 5.43% | 4.41% |
Weighted Average Yield | 6.13% | 3.69% |
Weighted Average Life (Years) | 5 years 11 months 15 days | 5 years 6 months 18 days |
Residential Portfolio Segment | Residential Mortgage | Securitized residential mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 4,166,385 | $ 1,155,751 |
Premium (Discount) | 26,594 | (14,232) |
Amortized Cost | 4,192,979 | 1,141,519 |
Gross Unrealized Gains | 1,972 | 20,735 |
Gross Unrealized Losses | (487,805) | (4,120) |
Fair Value | $ 3,707,146 | $ 1,158,134 |
Weighted Average Coupon | 4.73% | 4.61% |
Weighted Average Yield | 4.80% | 4.53% |
Weighted Average Life (Years) | 9 years 10 months 24 days | 5 years 4 months 13 days |
Residential Portfolio Segment | Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 406,294 | $ 987,290 |
Premium (Discount) | (7,902) | 35,647 |
Amortized Cost | 398,392 | 1,022,937 |
Gross Unrealized Gains | 2,775 | 9,336 |
Gross Unrealized Losses | (30,006) | (1,458) |
Fair Value | $ 371,161 | $ 1,030,815 |
Weighted Average Coupon | 5.36% | 4.75% |
Weighted Average Yield | 5.54% | 3.76% |
Weighted Average Life (Years) | 6 years 1 month 20 days | 5 years 3 days |
Loans held-for-sale, fair value | $ 46,800 | |
Residential Portfolio Segment | Non-Agency Loans | Securitized residential mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 2,596,843 | $ 777,828 |
Premium (Discount) | 64,740 | 30,739 |
Amortized Cost | 2,661,583 | 808,567 |
Gross Unrealized Gains | 0 | 5,821 |
Gross Unrealized Losses | (306,835) | (1,005) |
Fair Value | $ 2,354,748 | $ 813,383 |
Weighted Average Coupon | 5.19% | 5.13% |
Weighted Average Yield | 4.91% | 3.96% |
Weighted Average Life (Years) | 10 years 3 months 3 days | 4 years 6 months |
Residential Portfolio Segment | Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 48,657 | $ 429,424 |
Premium (Discount) | 18 | 10,039 |
Amortized Cost | 48,675 | 439,463 |
Gross Unrealized Gains | 94 | 1,723 |
Gross Unrealized Losses | (1,907) | (349) |
Fair Value | $ 46,862 | $ 440,837 |
Weighted Average Coupon | 6.00% | 3.64% |
Weighted Average Yield | 5.99% | 3.19% |
Weighted Average Life (Years) | 4 years 8 months 23 days | 6 years 10 months 2 days |
Loans held-for-sale, fair value | $ 18,200 | |
Residential Portfolio Segment | Agency-Eligible Loans | Securitized residential mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,244,422 | |
Premium (Discount) | (1,164) | |
Amortized Cost | 1,243,258 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | (161,805) | |
Fair Value | $ 1,081,453 | |
Weighted Average Coupon | 4.04% | |
Weighted Average Yield | 4.07% | |
Weighted Average Life (Years) | 10 years 29 days | |
Residential Portfolio Segment | Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 3,520 | $ 6,528 |
Premium (Discount) | (2,000) | (3,536) |
Amortized Cost | 1,520 | 2,992 |
Gross Unrealized Gains | 1,908 | 2,328 |
Gross Unrealized Losses | 0 | 0 |
Fair Value | $ 3,428 | $ 5,320 |
Weighted Average Yield | 72.78% | 31.18% |
Weighted Average Life (Years) | 1 year 10 months 13 days | 2 years 2 months 26 days |
Residential Portfolio Segment | Re- and Non-Performing Loans | Securitized residential mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 325,120 | $ 377,923 |
Premium (Discount) | (36,982) | (44,971) |
Amortized Cost | 288,138 | 332,952 |
Gross Unrealized Gains | 1,972 | 14,914 |
Gross Unrealized Losses | (19,165) | (3,115) |
Fair Value | $ 270,945 | $ 344,751 |
Weighted Average Coupon | 3.68% | 3.55% |
Weighted Average Yield | 6.66% | 5.90% |
Weighted Average Life (Years) | 6 years 3 months 29 days | 7 years 2 months 1 day |
Loans - Summary of credit quality information on residential mortgage loans (Details) - Residential Portfolio Segment $ in Thousands |
Dec. 31, 2022
USD ($)
loan
|
Dec. 31, 2021
USD ($)
loan
|
---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 4,624,856 | $ 2,578,993 |
Loan count | loan | 12,027 | 7,327 |
Weighted Average, Original LTV Ratio | 69.29% | 69.76% |
Weighted Average, Current FICO | 731 | 723 |
Mortgage loans 90+ days delinquent | $ 31,400 | $ 47,400 |
Mortgage loans in process of foreclosure | 33,700 | 29,000 |
Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 4,456,826 | 2,417,332 |
30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 71,843 | 55,400 |
60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 21,002 | 14,990 |
90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 71,665 | 84,743 |
Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 458,471 | $ 1,423,242 |
Loan count | loan | 793 | 3,225 |
Weighted Average, Original LTV Ratio | 71.19% | 68.19% |
Weighted Average, Current FICO | 735 | 742 |
Residential Mortgage | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 446,954 | $ 1,393,504 |
Residential Mortgage | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 5,706 | 12,931 |
Residential Mortgage | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,404 | 1,630 |
Residential Mortgage | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 887 | 8,649 |
Residential Mortgage | Securitized residential mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 4,166,385 | $ 1,155,751 |
Loan count | loan | 11,234 | 4,102 |
Weighted Average, Original LTV Ratio | 69.09% | 71.68% |
Weighted Average, Current FICO | 731 | 697 |
Residential Mortgage | Securitized residential mortgage loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 4,009,872 | $ 1,023,828 |
Residential Mortgage | Securitized residential mortgage loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 66,137 | 42,469 |
Residential Mortgage | Securitized residential mortgage loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 19,598 | 13,360 |
Residential Mortgage | Securitized residential mortgage loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 70,778 | 76,094 |
Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 406,294 | $ 987,290 |
Loan count | loan | 655 | 1,886 |
Weighted Average, Original LTV Ratio | 71.22% | 69.39% |
Weighted Average, Current FICO | 734 | 737 |
Non-Agency Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 399,036 | $ 967,910 |
Non-Agency Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 4,967 | 9,101 |
Non-Agency Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 1,404 | 1,630 |
Non-Agency Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 887 | 8,649 |
Non-Agency Loans | Securitized residential mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 2,596,843 | $ 777,828 |
Loan count | loan | 5,169 | 1,562 |
Weighted Average, Original LTV Ratio | 69.13% | 68.03% |
Weighted Average, Current FICO | 730 | 733 |
Non-Agency Loans | Securitized residential mortgage loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 2,550,634 | $ 767,734 |
Non-Agency Loans | Securitized residential mortgage loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 26,210 | 6,495 |
Non-Agency Loans | Securitized residential mortgage loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 8,415 | 1,036 |
Non-Agency Loans | Securitized residential mortgage loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 11,584 | 2,563 |
Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 48,657 | $ 429,424 |
Loan count | loan | 138 | 1,339 |
Weighted Average, Original LTV Ratio | 70.94% | 65.44% |
Weighted Average, Current FICO | 749 | 754 |
Agency-Eligible Loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 47,918 | $ 425,594 |
Agency-Eligible Loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 739 | 3,830 |
Agency-Eligible Loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | 0 |
Agency-Eligible Loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | 0 |
Agency-Eligible Loans | Securitized residential mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 1,244,422 | |
Loan count | loan | 3,839 | |
Weighted Average, Original LTV Ratio | 66.25% | |
Weighted Average, Current FICO | 757 | |
Agency-Eligible Loans | Securitized residential mortgage loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 1,239,114 | |
Agency-Eligible Loans | Securitized residential mortgage loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 5,062 | |
Agency-Eligible Loans | Securitized residential mortgage loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 246 | |
Agency-Eligible Loans | Securitized residential mortgage loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 0 | |
Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 3,520 | 6,528 |
Re- and Non-Performing Loans | Securitized residential mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 325,120 | $ 377,923 |
Loan count | loan | 2,226 | 2,540 |
Weighted Average, Original LTV Ratio | 79.61% | 79.20% |
Weighted Average, Current FICO | 643 | 639 |
Re- and Non-Performing Loans | Securitized residential mortgage loans | Current | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 220,124 | $ 256,094 |
Re- and Non-Performing Loans | Securitized residential mortgage loans | 30-59 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 34,865 | 35,974 |
Re- and Non-Performing Loans | Securitized residential mortgage loans | 60-89 Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | 10,937 | 12,324 |
Re- and Non-Performing Loans | Securitized residential mortgage loans | 90+ Days | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance | $ 59,194 | $ 73,531 |
Loans - Summary of loans purchased (Details) - Residential Portfolio Segment $ in Thousands |
12 Months Ended |
---|---|
Dec. 31, 2022
USD ($)
| |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | $ 2,573,673 |
Fair Value | 2,579,760 |
Non-Agency Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 1,580,547 |
Fair Value | 1,593,026 |
Agency-Eligible Loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Unpaid Principal Balance | 993,126 |
Fair Value | $ 986,734 |
Loans - Summary of loans sold (Details) - Residential Portfolio Segment $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022
USD ($)
loan
|
Dec. 31, 2021
USD ($)
loan
|
|
Non-Agency Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 18 | 150 |
Proceeds | $ 10,049 | $ 91,952 |
Realized Gains | 0 | 0 |
Realized Losses | $ (1,133) | $ (1,304) |
Agency-Eligible Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 150 | |
Proceeds | $ 43,718 | |
Realized Gains | 37 | |
Realized Losses | $ (2,623) | |
Re- and Non-Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 1 | |
Proceeds | $ 1,604 | |
Realized Gains | 626 | |
Realized Losses | $ 0 | |
Re- and Non-Performing Loans | Securitized residential mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Loans | loan | 380 | |
Proceeds | $ 46,352 | |
Realized Gains | 7,601 | |
Realized Losses | $ (769) |
Loans - Summary of concentrations of credit risk (Details) - Residential Portfolio Segment - Geographic Concentration Risk - Accounts Receivable |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
California | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 33.00% | 35.00% |
New York | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 16.00% | 15.00% |
Florida | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 11.00% | 11.00% |
New Jersey | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 6.00% | 6.00% |
Texas | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Concentration risk, percentage | 5.00% | 3.00% |
Loans - Summary of changes in the accretable portion of discounts (Details) - Residential Portfolio Segment - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Changes in the accretable portion | ||
Beginning Balance | $ 46,521 | $ 56,907 |
Accretion | (6,599) | (5,106) |
Reclassifications from/(to) non-accretable difference | 2,615 | 1,044 |
Disposals | (300) | (6,324) |
Ending Balance | $ 42,237 | $ 46,521 |
Loans - Summary of assets and liabilities related to VIEs (Details) - USD ($) $ in Thousands |
12 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
Dec. 31, 2020 |
|||||
Assets | |||||||
Other assets | $ 27,595 | $ 20,900 | |||||
Total Assets | 4,369,778 | 3,362,728 | |||||
Liabilities | |||||||
Securitized debt, at fair value | [1] | 3,262,352 | 999,215 | ||||
Other liabilities | [2] | 19,593 | 10,369 | ||||
Total Liabilities | 3,906,978 | 2,792,348 | |||||
Total Equity | 462,800 | 570,380 | $ 409,705 | ||||
Financing arrangements | $ 621,187 | $ 1,777,743 | |||||
Securitized residential mortgage loans | |||||||
Liabilities | |||||||
Weighted Average Yield | 4.12% | 2.00% | |||||
Weighted Average Life (Year) | 7 years 3 months 3 days | 2 years 8 months 15 days | |||||
Securitized residential mortgage loans | Residential Portfolio Segment | |||||||
Assets | |||||||
Securitized residential mortgage loans, at fair value | $ 3,707,146 | $ 1,158,134 | |||||
Restricted cash | 1,194 | 1,467 | |||||
Other assets | 19,064 | 6,457 | |||||
Total Assets | 3,727,404 | 1,166,058 | |||||
Liabilities | |||||||
Securitized debt, at fair value | 3,262,352 | 999,215 | |||||
Other liabilities | 11,342 | 1,482 | |||||
Total Liabilities | 3,273,694 | 1,000,697 | |||||
Total Equity | $ 453,710 | $ 165,361 | |||||
Weighted Average Yield | 4.80% | 4.53% | |||||
Weighted Average Life (Year) | 9 years 10 months 24 days | 5 years 4 months 13 days | |||||
Financing arrangements | $ 232,100 | $ 71,300 | |||||
Securitized residential mortgage loans | Non-Agency Loans | |||||||
Liabilities | |||||||
Weighted Average Yield | 4.31% | 1.63% | |||||
Weighted Average Life (Year) | 6 years 4 months 28 days | 2 years 4 months 9 days | |||||
Securitized residential mortgage loans | Non-Agency Loans | Residential Portfolio Segment | |||||||
Assets | |||||||
Securitized residential mortgage loans, at fair value | $ 2,354,748 | $ 813,383 | |||||
Liabilities | |||||||
Securitized debt, at fair value | $ 2,089,308 | $ 746,970 | |||||
Weighted Average Yield | 4.91% | 3.96% | |||||
Weighted Average Life (Year) | 10 years 3 months 3 days | 4 years 6 months | |||||
Securitized residential mortgage loans | Agency-Eligible Loans | |||||||
Liabilities | |||||||
Weighted Average Yield | 3.90% | 0.00% | |||||
Weighted Average Life (Year) | 9 years 5 months 19 days | ||||||
Securitized residential mortgage loans | Agency-Eligible Loans | Residential Portfolio Segment | |||||||
Assets | |||||||
Securitized residential mortgage loans, at fair value | $ 1,081,453 | $ 0 | |||||
Liabilities | |||||||
Securitized debt, at fair value | $ 989,285 | $ 0 | |||||
Weighted Average Yield | 4.07% | 0.00% | |||||
Weighted Average Life (Year) | 10 years 29 days | ||||||
Securitized residential mortgage loans | Re- and Non-Performing Loans | |||||||
Liabilities | |||||||
Weighted Average Yield | 3.10% | 3.06% | |||||
Weighted Average Life (Year) | 3 years 1 month 17 days | 3 years 9 months | |||||
Securitized residential mortgage loans | Re- and Non-Performing Loans | Residential Portfolio Segment | |||||||
Assets | |||||||
Securitized residential mortgage loans, at fair value | $ 270,945 | $ 344,751 | |||||
Liabilities | |||||||
Securitized debt, at fair value | $ 183,759 | $ 252,245 | |||||
Weighted Average Yield | 6.66% | 5.90% | |||||
Weighted Average Life (Year) | 6 years 3 months 29 days | 7 years 2 months 1 day | |||||
|
Loans - Narrative (Details) - Commercial Portfolio Segment $ in Millions |
3 Months Ended | ||
---|---|---|---|
Sep. 30, 2021
USD ($)
loan
|
Mar. 31, 2021
USD ($)
loan
|
Dec. 31, 2020
USD ($)
|
|
Gain (Loss) on Securities [Line Items] | |||
Number of Loans | loan | 2 | ||
Proceeds from sale of loans | $ 74.1 | $ 74.3 | |
Realized loss on sale of loan | $ 2.9 | ||
Number of loans repaid | loan | 2 | ||
Realized Gains | $ 0.4 | ||
Proceeds from interest | $ 3.0 |
Real Estate Securities - Summary of real estate securities portfolio (Details) - USD ($) $ in Thousands |
Dec. 31, 2022 |
Dec. 31, 2021 |
Nov. 30, 2021 |
Jul. 30, 2021 |
---|---|---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||||
Current Face | $ 267,533 | $ 666,179 | ||
Premium / (Discount) | (220,086) | (144,980) | ||
Amortized Cost | 47,447 | 521,199 | ||
Gross Unrealized Gains | 2,276 | 90 | ||
Gross Unrealized Losses | (6,004) | (6,819) | ||
Fair Value | $ 43,719 | $ 514,470 | ||
Weighted Average Coupon | 2.37% | 1.99% | ||
Weighted Average Yield | 10.20% | 1.96% | ||
Loan securitization, ownership interest | 40.90% | 45.00% | ||
Residential Portfolio Segment | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Current Face | $ 140,177 | $ 175,744 | ||
Premium / (Discount) | (112,501) | (156,907) | ||
Amortized Cost | 27,676 | 18,837 | ||
Gross Unrealized Gains | 2,248 | 90 | ||
Gross Unrealized Losses | (5,329) | (170) | ||
Fair Value | $ 24,595 | $ 18,757 | ||
Weighted Average Coupon | 1.62% | 1.02% | ||
Weighted Average Yield | 12.26% | 6.73% | ||
Agency-Eligible Securities | Residential Portfolio Segment | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Current Face | $ 16,819 | |||
Premium / (Discount) | (6,674) | |||
Amortized Cost | 10,145 | |||
Gross Unrealized Gains | 28 | |||
Gross Unrealized Losses | (495) | |||
Fair Value | $ 9,678 | |||
Weighted Average Coupon | 3.22% | |||
Weighted Average Yield | 8.47% | |||
Non-Agency Securities | Residential Portfolio Segment | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Current Face | $ 14,894 | $ 14,894 | ||
Premium / (Discount) | (201) | (236) | ||
Amortized Cost | 14,693 | 14,658 | ||
Gross Unrealized Gains | 0 | 0 | ||
Gross Unrealized Losses | (4,834) | (58) | ||
Fair Value | $ 9,859 | $ 14,600 | ||
Weighted Average Coupon | 4.34% | 4.36% | ||
Weighted Average Yield | 4.60% | 4.74% | ||
Non-Agency RMBS Interest Only | Residential Portfolio Segment | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Current Face | $ 108,464 | $ 160,154 | ||
Premium / (Discount) | (105,626) | (156,647) | ||
Amortized Cost | 2,838 | 3,507 | ||
Gross Unrealized Gains | 2,220 | 0 | ||
Gross Unrealized Losses | 0 | (112) | ||
Fair Value | $ 5,058 | $ 3,395 | ||
Weighted Average Coupon | 0.38% | 0.38% | ||
Weighted Average Yield | 34.42% | 10.12% | ||
Re/Non-Performing Securities | Residential Portfolio Segment | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Current Face | $ 696 | |||
Premium / (Discount) | (24) | |||
Amortized Cost | 672 | |||
Gross Unrealized Gains | 90 | |||
Gross Unrealized Losses | 0 | |||
Fair Value | $ 762 | |||
Weighted Average Coupon | 5.25% | |||
Weighted Average Yield | 29.69% | |||
Interest Only | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Current Face | $ 127,356 | |||
Premium / (Discount) | (107,585) | |||
Amortized Cost | 19,771 | |||
Gross Unrealized Gains | 28 | |||
Gross Unrealized Losses | (675) | |||
Fair Value | $ 19,124 | |||
Weighted Average Coupon | 2.87% | |||
Weighted Average Yield | 7.54% | |||
30 Year Fixed Rate | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Current Face | $ 490,435 | |||
Premium / (Discount) | 11,927 | |||
Amortized Cost | 502,362 | |||
Gross Unrealized Gains | 0 | |||
Gross Unrealized Losses | (6,649) | |||
Fair Value | $ 495,713 | |||
Weighted Average Coupon | 2.18% | |||
Weighted Average Yield | 1.78% |
Real Estate Securities - Summary of weighted average life of real estate securities (Details) - USD ($) $ in Thousands |
Dec. 31, 2022 |
Dec. 31, 2021 |
---|---|---|
Non-Agency RMBS | ||
Fair Value | ||
Less than or equal to one year | $ 543 | |
Greater than one year and less than or equal to five years | $ 5,058 | 18,214 |
Greater than five years and less than or equal to ten years | 0 | 0 |
Greater than ten years | 19,537 | 0 |
Total as of December 31, 2022 | 24,595 | 18,757 |
Amortized Cost | ||
Less than or equal to one year | 511 | |
Greater than one year and less than or equal to five years | 2,838 | 18,326 |
Greater than five years and less than or equal to ten years | 0 | 0 |
Greater than ten years | 24,838 | 0 |
Total as of December 31, 2022 | $ 27,676 | $ 18,837 |
Weighted Average Coupon | ||
Less than or equal to one year | 5.25% | |
Greater than one year and less than or equal to five years | 0.38% | 1.00% |
Greater than five years and less than or equal to ten years | 0.00% | 0.00% |
Greater than ten years | 3.75% | 0.00% |
Total as of December 31, 2022 | 1.62% | 1.02% |
Agency RMBS | ||
Fair Value | ||
Less than or equal to one year | $ 0 | |
Greater than one year and less than or equal to five years | $ 0 | 0 |
Greater than five years and less than or equal to ten years | 19,124 | 474,104 |
Greater than ten years | 0 | 21,609 |
Total as of December 31, 2022 | 19,124 | 495,713 |
Amortized Cost | ||
Less than or equal to one year | 0 | |
Greater than one year and less than or equal to five years | 0 | 0 |
Greater than five years and less than or equal to ten years | 19,771 | 480,204 |
Greater than ten years | 0 | 22,158 |
Total as of December 31, 2022 | $ 19,771 | $ 502,362 |
Weighted Average Coupon | ||
Less than or equal to one year | 0.00% | |
Greater than one year and less than or equal to five years | 0.00% | 0.00% |
Greater than five years and less than or equal to ten years | 2.87% | 2.19% |
Greater than ten years | 0.00% | 2.00% |
Total as of December 31, 2022 | 2.87% | 2.18% |
Real Estate Securities - Sale of Real Estate Securities (Details) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022
USD ($)
security
|
Dec. 31, 2021
USD ($)
security
|
|
Debt Securities, Available-for-sale [Line Items] | ||
Proceeds from sale of real estate securities | $ 526,813 | $ 893,505 |
Settled Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Number of Securities | security | 18 | 77 |
Proceeds from sale of real estate securities | $ 526,258 | $ 892,501 |
Realized Gains | 736 | 16,488 |
Realized Losses | $ (35,240) | $ (22,834) |
Fair value measurements - Summary of financial instruments measured at fair value (Details) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Assets: | ||
Derivative assets | $ 18,499,000 | $ 19,781,000 |
Cash equivalents | 442,000 | 0 |
AG Arc | 39,680,000 | 53,435,000 |
Total Assets Measured at Fair Value | 4,230,937,000 | 3,222,792,000 |
Liabilities: | ||
Securitized debt | (3,262,352,000) | (999,215,000) |
Derivative liabilities | (9,000) | (976,000) |
Total Liabilities Measured at Fair Value | $ (3,262,361,000) | $ (1,000,191,000) |
Derivative Asset, Statement of Financial Position [Extensible Enumeration] | Other assets | Other assets |
Residential Mortgage | ||
Assets: | ||
Residential mortgage loans | $ 421,451,000 | $ 1,476,972,000 |
Residential Mortgage | Securitized residential mortgage loans | ||
Assets: | ||
Residential mortgage loans | 3,707,146,000 | 1,158,134,000 |
Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 19,537,000 | 15,362,000 |
Non-Agency RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 5,058,000 | 3,395,000 |
Agency Interest Only | ||
Assets: | ||
Debt securities, available for sale | 19,124,000 | |
30 Year Fixed Rate Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 495,713,000 | |
Interest Rate Swaps | ||
Liabilities: | ||
Derivative asset, reduction in fair value related to variation margin | 17,300,000 | 19,600,000 |
Derivative liability, reduction in fair value related to variation margin | 900,000 | |
Level 1 | ||
Assets: | ||
Derivative assets | 0 | 0 |
Cash equivalents | 442,000 | |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 442,000 | 0 |
Liabilities: | ||
Securitized debt | 0 | 0 |
Derivative liabilities | 0 | 0 |
Total Liabilities Measured at Fair Value | 0 | 0 |
Level 1 | Residential Mortgage | ||
Assets: | ||
Residential mortgage loans | 0 | 0 |
Level 1 | Residential Mortgage | Securitized residential mortgage loans | ||
Assets: | ||
Residential mortgage loans | 0 | 0 |
Level 1 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | Non-Agency RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 1 | Agency Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 1 | 30 Year Fixed Rate Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 0 | |
Level 2 | ||
Assets: | ||
Derivative assets | 18,401,000 | 19,781,000 |
Cash equivalents | 0 | |
AG Arc | 0 | 0 |
Total Assets Measured at Fair Value | 47,957,000 | 516,409,000 |
Liabilities: | ||
Securitized debt | 0 | 0 |
Derivative liabilities | 0 | (897,000) |
Total Liabilities Measured at Fair Value | 0 | (897,000) |
Level 2 | Residential Mortgage | ||
Assets: | ||
Residential mortgage loans | 754,000 | 915,000 |
Level 2 | Residential Mortgage | Securitized residential mortgage loans | ||
Assets: | ||
Residential mortgage loans | 0 | 0 |
Level 2 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 9,678,000 | 0 |
Level 2 | Non-Agency RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 0 | 0 |
Level 2 | Agency Interest Only | ||
Assets: | ||
Debt securities, available for sale | 19,124,000 | |
Level 2 | 30 Year Fixed Rate Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 495,713,000 | |
Level 3 | ||
Assets: | ||
Derivative assets | 98,000 | 0 |
Cash equivalents | 0 | |
AG Arc | 39,680,000 | 53,435,000 |
Total Assets Measured at Fair Value | 4,182,538,000 | 2,706,383,000 |
Liabilities: | ||
Securitized debt | (3,262,352,000) | (999,215,000) |
Derivative liabilities | (9,000) | (79,000) |
Total Liabilities Measured at Fair Value | (3,262,361,000) | (999,294,000) |
Level 3 | Residential Mortgage | ||
Assets: | ||
Residential mortgage loans | 420,697,000 | 1,476,057,000 |
Level 3 | Residential Mortgage | Securitized residential mortgage loans | ||
Assets: | ||
Residential mortgage loans | 3,707,146,000 | 1,158,134,000 |
Level 3 | Non-Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | 9,859,000 | 15,362,000 |
Level 3 | Non-Agency RMBS Interest Only | ||
Assets: | ||
Debt securities, available for sale | 5,058,000 | 3,395,000 |
Level 3 | Agency Interest Only | ||
Assets: | ||
Debt securities, available for sale | $ 0 | |
Level 3 | 30 Year Fixed Rate Agency RMBS | ||
Assets: | ||
Debt securities, available for sale | $ 0 |
Fair value measurements - Summary of assets measured on a recurring basis (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Total net gains/(losses) | ||
Included in net income | $ (172,576) | $ 48,390 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (156,152) | 30,442 |
Level 3 | Securitized debt | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | (999,215) | (355,159) |
Transfers out of level 3 | 0 | |
Purchases | 0 | 0 |
Issuances of Securitized Debt | (3,040,283) | (811,455) |
Capital distributions | 0 | 0 |
Proceeds from sales | 0 | 0 |
Principal repayments | 379,979 | 163,922 |
Total net gains/(losses) | ||
Included in net income | 397,167 | 3,477 |
Ending Balance | (3,262,352) | (999,215) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 397,167 | 3,477 |
Level 3 | Derivative liabilities | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | (79) | 0 |
Transfers out of level 3 | 0 | |
Purchases | 0 | 0 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales | 0 | 0 |
Principal repayments | 16,044 | 0 |
Total net gains/(losses) | ||
Included in net income | (15,974) | (79) |
Ending Balance | (9) | (79) |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (9) | (79) |
Residential Mortgage Loans | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 2,634,191 | 433,307 |
Transfers | ||
Transfers out of level 3 | 0 | |
Purchases | 2,557,440 | 2,463,685 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales | (53,767) | (138,304) |
Principal repayments | (464,332) | (147,710) |
Total net gains/(losses) | ||
Included in net income | (545,689) | 23,213 |
Ending Balance | 4,127,843 | 2,634,191 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (542,629) | 18,437 |
Non-Agency RMBS | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 15,362 | 3,100 |
Transfers | ||
Transfers out of level 3 | (1,499) | |
Purchases | 0 | 14,657 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales | 0 | 0 |
Principal repayments | (664) | (899) |
Total net gains/(losses) | ||
Included in net income | (4,839) | 3 |
Ending Balance | 9,859 | 15,362 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | (4,740) | 3 |
Non-Agency RMBS Interest Only | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 3,395 | 0 |
Transfers | ||
Transfers out of level 3 | 0 | |
Purchases | 0 | 3,778 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | 0 | 0 |
Proceeds from sales | 0 | 0 |
Principal repayments | 0 | 0 |
Total net gains/(losses) | ||
Included in net income | 1,663 | (383) |
Ending Balance | 5,058 | 3,395 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 1,663 | (383) |
Derivative assets | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 0 | |
Transfers | ||
Purchases | 0 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales | 0 | |
Principal repayments | (2,700) | |
Total net gains/(losses) | ||
Included in net income | 2,798 | |
Ending Balance | 98 | 0 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 98 | |
Commercial Loans | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 0 | 125,508 |
Transfers | ||
Transfers out of level 3 | 0 | |
Purchases | 5,100 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales | (74,342) | |
Principal repayments | (70,232) | |
Total net gains/(losses) | ||
Included in net income | 13,966 | |
Ending Balance | 0 | |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
Excess Mortgage Servicing Rights | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 0 | 3,158 |
Transfers | ||
Transfers out of level 3 | 0 | |
Purchases | 0 | |
Issuances of Securitized Debt | 0 | |
Capital distributions | 0 | |
Proceeds from sales | (2,364) | |
Principal repayments | 0 | |
Total net gains/(losses) | ||
Included in net income | (794) | |
Ending Balance | 0 | |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | 0 | |
AG Arc | Level 3 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | 53,435 | 45,341 |
Transfers | ||
Transfers out of level 3 | 0 | |
Purchases | 0 | 0 |
Issuances of Securitized Debt | 0 | 0 |
Capital distributions | (6,053) | (893) |
Proceeds from sales | 0 | 0 |
Principal repayments | 0 | 0 |
Total net gains/(losses) | ||
Included in net income | (7,702) | 8,987 |
Ending Balance | 39,680 | 53,435 |
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held | $ (7,702) | $ 8,987 |
Fair value measurements - Summary of gains/(losses) recorded in the statement of operations (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Equity in earnings/(loss) from affiliates, Net realized gain/(loss), Net unrealized gain/(loss) | Equity in earnings/(loss) from affiliates, Net realized gain/(loss), Net unrealized gain/(loss) |
Gains/(losses) recorded in the consolidated statement of operations | $ (172,576) | $ 48,390 |
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Equity in earnings/(loss) from affiliates, Net unrealized gain/(loss) | Equity in earnings/(loss) from affiliates, Net unrealized gain/(loss) |
Unrealized gains/(losses) recorded in the consolidated statement of operations | $ (156,152) | $ 30,442 |
Net unrealized gain/(loss) | ||
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net unrealized gain/(loss) | Net unrealized gain/(loss) |
Gains/(losses) recorded in the consolidated statement of operations | $ (148,010) | $ 38,606 |
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net unrealized gain/(loss) | Net unrealized gain/(loss) |
Unrealized gains/(losses) recorded in the consolidated statement of operations | $ (148,450) | $ 21,455 |
Net realized gain/(loss) | ||
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net realized gain/(loss) | Net realized gain/(loss) |
Gains/(losses) recorded in the consolidated statement of operations | $ (16,864) | $ 797 |
Equity in earnings/(loss) from affiliates | ||
Condensed Income Statements, Captions [Line Items] | ||
Fair Value, Asset, Recurring Basis, Unobservable Input Reconciliation, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Equity in earnings/(loss) from affiliates | Equity in earnings/(loss) from affiliates |
Gains/(losses) recorded in the consolidated statement of operations | $ (7,702) | $ 8,987 |
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Equity in earnings/(loss) from affiliates | Equity in earnings/(loss) from affiliates |
Unrealized gains/(losses) recorded in the consolidated statement of operations | $ (7,702) | $ 8,987 |
Fair value measurements - Summary of valuation techniques (Details) $ in Thousands |
Dec. 31, 2022
USD ($)
$ / shares
|
Dec. 31, 2021
USD ($)
|
---|---|---|
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 43,719 | $ 514,470 |
Derivative Asset | 18,499 | 19,781 |
Derivative Liability | (9) | (92) |
Residential Mortgage Loans | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | 64,984 | 0 |
Level 3 | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative Asset | 98 | 0 |
Level 3 | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative Asset | 98 | |
Derivative Liability | $ (9) | $ (79) |
Level 3 | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0669 | |
Derivative liability, measurement input | 0.0729 | 0.0302 |
Level 3 | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0768 | |
Derivative liability, measurement input | 0.0761 | 0.0311 |
Level 3 | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0754 | |
Derivative liability, measurement input | 0.0736 | 0.0303 |
Level 3 | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1263 | |
Derivative liability, measurement input | 0.2151 | 0.1408 |
Level 3 | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.3419 | |
Derivative liability, measurement input | 0.3131 | 0.1514 |
Level 3 | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.2671 | |
Derivative liability, measurement input | 0.2792 | 0.1423 |
Level 3 | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0001 | |
Derivative liability, measurement input | 0.0001 | 0.0015 |
Level 3 | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0096 | |
Derivative liability, measurement input | 0.0046 | 0.0020 |
Level 3 | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.0039 | |
Derivative liability, measurement input | 0.0016 | 0.0015 |
Level 3 | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1000 | |
Derivative liability, measurement input | 0.1000 | 0.1000 |
Level 3 | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1000 | |
Derivative liability, measurement input | 0.1000 | 0.1000 |
Level 3 | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.1000 | |
Derivative liability, measurement input | 0.1000 | 0.1000 |
Level 3 | Pull Through Percentages | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.5500 | |
Derivative liability, measurement input | 1.0000 | 0.9000 |
Level 3 | Pull Through Percentages | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 1.0000 | |
Derivative liability, measurement input | 1.0000 | 0.9500 |
Level 3 | Pull Through Percentages | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Derivative asset, measurement input | 0.7278 | |
Derivative liability, measurement input | 1.0000 | 0.9069 |
Level 3 | Securitized Residential Mortgage Loans | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 3,707,146 | $ 1,158,134 |
Level 3 | Securitized Residential Mortgage Loans | Yield | Minimum | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0475 | 0.0226 |
Level 3 | Securitized Residential Mortgage Loans | Yield | Maximum | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0732 | 0.1300 |
Level 3 | Securitized Residential Mortgage Loans | Yield | Weighted Average | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0640 | 0.0312 |
Level 3 | Securitized Residential Mortgage Loans | Projected Collateral Prepayments | Minimum | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0481 | 0.0475 |
Level 3 | Securitized Residential Mortgage Loans | Projected Collateral Prepayments | Maximum | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1019 | 0.1105 |
Level 3 | Securitized Residential Mortgage Loans | Projected Collateral Prepayments | Weighted Average | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0644 | 0.0951 |
Level 3 | Securitized Residential Mortgage Loans | Projected Collateral Losses | Minimum | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0005 | 0.0038 |
Level 3 | Securitized Residential Mortgage Loans | Projected Collateral Losses | Maximum | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0140 | 0.0440 |
Level 3 | Securitized Residential Mortgage Loans | Projected Collateral Losses | Weighted Average | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0022 | 0.0083 |
Level 3 | Securitized Residential Mortgage Loans | Projected Collateral Severities | Minimum | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.0416) | (0.1808) |
Level 3 | Securitized Residential Mortgage Loans | Projected Collateral Severities | Maximum | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.2000 | 0.2911 |
Level 3 | Securitized Residential Mortgage Loans | Projected Collateral Severities | Weighted Average | Securitized residential mortgage loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1540 | 0.1010 |
Level 3 | Residential Mortgage Loans | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 418,023 | $ 1,465,523 |
Level 3 | Residential Mortgage Loans | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 2,674 | 4,405 |
Level 3 | Residential Mortgage Loans | Recent Transaction | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 6,129 | |
Level 3 | Residential Mortgage Loans | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0629 | 0.0277 |
Level 3 | Residential Mortgage Loans | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0982 | 0.0750 |
Level 3 | Residential Mortgage Loans | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0716 | 0.0337 |
Level 3 | Residential Mortgage Loans | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0138 | 0.0000 |
Level 3 | Residential Mortgage Loans | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.3128 | 0.2589 |
Level 3 | Residential Mortgage Loans | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1637 | 0.1528 |
Level 3 | Residential Mortgage Loans | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0000 | 0.0000 |
Level 3 | Residential Mortgage Loans | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1444 | 0.1537 |
Level 3 | Residential Mortgage Loans | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0048 | 0.0030 |
Level 3 | Residential Mortgage Loans | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | (0.0264) | (0.1486) |
Level 3 | Residential Mortgage Loans | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.1019 | 0.1000 |
Level 3 | Residential Mortgage Loans | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.0999 | 0.0997 |
Level 3 | Residential Mortgage Loans | Broker Quotes | Minimum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 93.46 | 88.57 |
Level 3 | Residential Mortgage Loans | Broker Quotes | Maximum | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 107.05 | 112.89 |
Level 3 | Residential Mortgage Loans | Broker Quotes | Weighted Average | Consensus Pricing | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 101.11 | 102.59 |
Level 3 | Non-Agency RMBS | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair Value | $ 9,859 | $ 15,362 |
Level 3 | Non-Agency RMBS | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0718 | 0.0342 |
Level 3 | Non-Agency RMBS | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1193 | 0.1500 |
Level 3 | Non-Agency RMBS | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0922 | 0.0532 |
Level 3 | Non-Agency RMBS | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0814 | 0.0570 |
Level 3 | Non-Agency RMBS | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0814 | 0.1299 |
Level 3 | Non-Agency RMBS | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0814 | 0.1263 |
Level 3 | Non-Agency RMBS | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0018 | 0.0023 |
Level 3 | Non-Agency RMBS | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0018 | 0.0266 |
Level 3 | Non-Agency RMBS | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.0018 | 0.0035 |
Level 3 | Non-Agency RMBS | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1000 | (0.4398) |
Level 3 | Non-Agency RMBS | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1000 | 0.1000 |
Level 3 | Non-Agency RMBS | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, measurement input | 0.1000 | 0.0732 |
Level 3 | Non-Agency RMBS Interest Only | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, fair value | $ 5,058 | $ 3,395 |
Level 3 | Non-Agency RMBS Interest Only | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1000 | 0.1000 |
Level 3 | Non-Agency RMBS Interest Only | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1400 | 0.1250 |
Level 3 | Non-Agency RMBS Interest Only | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1325 | 0.1210 |
Level 3 | Non-Agency RMBS Interest Only | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0814 | 0.1299 |
Level 3 | Non-Agency RMBS Interest Only | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0814 | 0.1299 |
Level 3 | Non-Agency RMBS Interest Only | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0814 | 0.1299 |
Level 3 | Non-Agency RMBS Interest Only | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0018 | 0.0023 |
Level 3 | Non-Agency RMBS Interest Only | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0018 | 0.0023 |
Level 3 | Non-Agency RMBS Interest Only | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.0018 | 0.0023 |
Level 3 | Non-Agency RMBS Interest Only | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1000 | 0.1000 |
Level 3 | Non-Agency RMBS Interest Only | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1000 | 0.1000 |
Level 3 | Non-Agency RMBS Interest Only | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Debt securities, interest only, measurement input | 0.1000 | 0.1000 |
Level 3 | AG Arc | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, fair value | $ 39,680 | $ 53,435 |
Level 3 | AG Arc | Book Value Multiple | Minimum | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.94 | 1.06 |
Level 3 | AG Arc | Book Value Multiple | Maximum | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.94 | 1.06 |
Level 3 | AG Arc | Book Value Multiple | Weighted Average | Comparable Multiple | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Loans held-for-sale, measurement input | 0.94 | 1.06 |
Level 3 | Securitized debt | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, fair value | $ (3,262,352) | $ (999,215) |
Level 3 | Securitized debt | Yield | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0525 | 0.0156 |
Level 3 | Securitized debt | Yield | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1500 | 0.0449 |
Level 3 | Securitized debt | Yield | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0607 | 0.0215 |
Level 3 | Securitized debt | Projected Collateral Prepayments | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0481 | 0.0586 |
Level 3 | Securitized debt | Projected Collateral Prepayments | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1019 | 0.1105 |
Level 3 | Securitized debt | Projected Collateral Prepayments | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0636 | 0.0966 |
Level 3 | Securitized debt | Projected Collateral Losses | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0005 | 0.0038 |
Level 3 | Securitized debt | Projected Collateral Losses | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0140 | 0.0293 |
Level 3 | Securitized debt | Projected Collateral Losses | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.0019 | 0.0083 |
Level 3 | Securitized debt | Projected Collateral Severities | Minimum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | (0.0416) | 0.0636 |
Level 3 | Securitized debt | Projected Collateral Severities | Maximum | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.2000 | 0.1289 |
Level 3 | Securitized debt | Projected Collateral Severities | Weighted Average | Discounted Cash Flow | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Long-term debt, measurement input | 0.1581 | 0.1015 |
Financing - Summary of financing arrangements (Details) - USD ($) $ in Thousands |
12 Months Ended | |||
---|---|---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|||
Repurchase Agreements [Abstract] | ||||
Current Face | $ 4,490,780 | |||
Carrying Value | $ 3,883,539 | $ 2,776,958 | ||
Weighted Average Funding Cost | 4.44% | |||
Weighted Average Life (in years) | 6 years 3 months 18 days | |||
Cash pledged (i.e., restricted cash) under repurchase agreements | $ 3,400 | 5,000 | ||
Asset Pledged as Collateral | ||||
Repurchase Agreements [Abstract] | ||||
Collateral Fair Value | 883,643 | |||
Securitized residential mortgage loans | ||||
Repurchase Agreements [Abstract] | ||||
Current Face | 3,869,593 | |||
Carrying Value | $ 3,262,352 | 999,215 | ||
Weighted Average Funding Cost | 4.12% | |||
Weighted Average Life (in years) | 7 years 3 months 3 days | |||
Total Financing Arrangements | ||||
Repurchase Agreements [Abstract] | ||||
Current Face | $ 621,187 | |||
Carrying Value | $ 621,187 | 1,777,743 | ||
Weighted Average Funding Cost | 6.12% | |||
Weighted Average Life (in years) | 3 months 14 days | |||
Total Financing Arrangements | Asset Pledged as Collateral | ||||
Repurchase Agreements [Abstract] | ||||
Collateral Fair Value | $ 883,643 | |||
Residential Mortgage | ||||
Repurchase Agreements [Abstract] | ||||
Current Face | 360,241 | |||
Carrying Value | $ 360,241 | 1,286,287 | ||
Weighted Average Funding Cost | 6.21% | |||
Weighted Average Life (in years) | 5 months 8 days | |||
Collateral Fair Value | $ 356,467 | 1,476,972 | ||
Debt interest rate | 6.12% | |||
Residential Mortgage | Asset Pledged as Collateral | ||||
Repurchase Agreements [Abstract] | ||||
Collateral Fair Value | $ 418,023 | |||
Residential Mortgage | Securitized residential mortgage loans | ||||
Repurchase Agreements [Abstract] | ||||
Current Face | 232,088 | |||
Carrying Value | $ 232,088 | 71,308 | ||
Weighted Average Funding Cost | 6.11% | |||
Weighted Average Life (in years) | 1 month 9 days | |||
Collateral Fair Value | [1] | $ 3,707,146 | 1,158,134 | |
Residential Mortgage | Securitized residential mortgage loans | Asset Pledged as Collateral | ||||
Repurchase Agreements [Abstract] | ||||
Collateral Fair Value | 423,967 | |||
Non-Agency RMBS | ||||
Repurchase Agreements [Abstract] | ||||
Current Face | 14,695 | |||
Carrying Value | $ 14,695 | 10,213 | ||
Weighted Average Funding Cost | 5.75% | |||
Weighted Average Life (in years) | 29 days | |||
Non-Agency RMBS | Asset Pledged as Collateral | ||||
Repurchase Agreements [Abstract] | ||||
Collateral Fair Value | $ 24,595 | |||
Agency RMBS | ||||
Repurchase Agreements [Abstract] | ||||
Current Face | 14,163 | |||
Carrying Value | $ 14,163 | $ 409,935 | ||
Weighted Average Funding Cost | 4.54% | |||
Weighted Average Life (in years) | 3 days | |||
Agency RMBS | Asset Pledged as Collateral | ||||
Repurchase Agreements [Abstract] | ||||
Collateral Fair Value | $ 17,058 | |||
Non-Agency Loans | Counterparty One and Two | ||||
Repurchase Agreements [Abstract] | ||||
Line of credit facility, maximum borrowing capacity | $ 2,600,000 | |||
|
Financing - Summary of repurchase agreements (Details) - USD ($) $ in Thousands |
Dec. 31, 2022 |
Dec. 31, 2021 |
---|---|---|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 3,883,539 | $ 2,776,958 |
Securitized residential mortgage loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 3,262,352 | 999,215 |
Residential Mortgage Loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 360,241 | 1,286,287 |
Residential Mortgage Loans | Securitized residential mortgage loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 232,088 | 71,308 |
Residential Mortgage Loans | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Residential Mortgage Loans | Within 30 Days | Securitized residential mortgage loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 144,488 | |
Residential Mortgage Loans | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 162,508 | |
Residential Mortgage Loans | Over 30 Days to 3 Months | Securitized residential mortgage loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 87,600 | |
Residential Mortgage Loans | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 165,979 | |
Residential Mortgage Loans | Over 3 Months to 12 Months | Securitized residential mortgage loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Residential Mortgage Loans | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 31,754 | |
Residential Mortgage Loans | Over 12 Months | Securitized residential mortgage loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Non-Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 14,695 | 10,213 |
Non-Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 10,859 | |
Non-Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 3,836 | |
Non-Agency RMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Non-Agency RMBS | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 14,163 | 409,935 |
Agency RMBS | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 14,163 | |
Agency RMBS | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Agency RMBS | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Agency RMBS | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 0 | |
Total Financing Arrangements | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 621,187 | $ 1,777,743 |
Total Financing Arrangements | Within 30 Days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 169,510 | |
Total Financing Arrangements | Over 30 Days to 3 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 253,944 | |
Total Financing Arrangements | Over 3 Months to 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 165,979 | |
Total Financing Arrangements | Over 12 Months | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 31,754 |
Financing - Narrative (Details) - counterparty |
Dec. 31, 2022 |
Dec. 31, 2021 |
---|---|---|
Disclosure of Repurchase Agreements [Abstract] | ||
Number of counterparties with outstanding debt | 6 | 5 |
Financing - Summary of repurchase agreement counterparty (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Credit Suisse AG, Cayman Islands Branch | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 130,587 | $ 129,526 |
Weighted Average Maturity (days) | 71 days | 101 days |
Percentage of Stockholders' Equity | 28.20% | 22.70% |
Barclays Capital Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 81,445 | $ 89,230 |
Weighted Average Maturity (days) | 113 days | 23 days |
Percentage of Stockholders' Equity | 17.60% | 15.60% |
BofA Securities, Inc. | ||
Repurchase Agreement Counterparty [Line Items] | ||
Stockholders' Equity at Risk | $ 36,193 | $ 33,153 |
Weighted Average Maturity (days) | 93 days | 317 days |
Percentage of Stockholders' Equity | 7.80% | 5.80% |
Other assets and liabilities - Summary of other assets and liabilities (Details) - USD ($) $ in Thousands |
Dec. 31, 2022 |
Dec. 31, 2021 |
||
---|---|---|---|---|
Other assets | ||||
Interest receivable | $ 20,593 | $ 14,263 | ||
Derivative assets, at fair value | 1,218 | 231 | ||
Other assets | 4,983 | 4,519 | ||
Due from broker | 801 | 1,887 | ||
Total Other assets | 27,595 | 20,900 | ||
Other liabilities | ||||
Due to affiliates | 3,652 | 4,106 | ||
Interest payable | 14,114 | 2,925 | ||
Derivative liabilities, at fair value | 9 | 92 | ||
Purchase price payable on loans | 0 | 87 | ||
Accrued expenses | 1,811 | 2,169 | ||
Due to broker | 7 | 990 | ||
Total Other liabilities | [1] | $ 19,593 | $ 10,369 | |
|
Other assets and liabilities - Summary of Company's derivatives and other instruments and their balance sheet location (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Pay Fix/Receive Float Interest Rate Swap Agreements | ||
Derivatives, Fair Value [Line Items] | ||
Other assets | $ 470 | $ 231 |
Derivative asset, reduction related to variation margin | 17,300 | 19,600 |
Derivative liability, reduction related to variation margin | 900 | |
Short TBAs | ||
Derivatives, Fair Value [Line Items] | ||
Other assets | 650 | 0 |
Short TBAs | Short | ||
Derivatives, Fair Value [Line Items] | ||
Other liabilities | 0 | (13) |
Forward Purchase Commitments | ||
Derivatives, Fair Value [Line Items] | ||
Other assets | 98 | 0 |
Other liabilities | $ (9) | $ (79) |
Other assets and liabilities - Summary of information related to derivatives and other instruments (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Derivative [Line Items] | ||
Derivative pay interest rate | 2.77% | 0.85% |
Derivative receivable interest rate | 4.30% | 0.15% |
Derivative, remaining maturity | 4 years 9 months 7 days | 5 years 6 months 3 days |
Long | Interest Rate Swaps | USD | ||
Derivative [Line Items] | ||
Derivative, notional amount | $ 335,000 | $ 888,500 |
Long | Forward Purchase Commitments | USD | ||
Derivative [Line Items] | ||
Derivative, notional amount | 8,006 | 25,292 |
Short | Short TBAs | USD | ||
Derivative [Line Items] | ||
Derivative, notional amount | $ 40,000 | $ 385,963 |
Other assets and liabilities - Narrative (Details) - USD ($) $ in Millions |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Cash as collateral for certain derivatives | $ 9.6 | $ 25.7 |
Cash posted as collateral by company | 1.3 | 7.0 |
Cash pledged as collateral against derivatives related to variation margin | $ 8.3 | $ 18.7 |
Other assets and liabilities - Summary of gains/(losses) related to derivatives and other instruments (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net unrealized gain/(loss) | $ (2,124) | $ 19,137 |
Included within Net realized gain/(loss) | 118,827 | 6,106 |
Total income/(loss) | 116,703 | 25,243 |
TBA | Short | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net unrealized gain/(loss) | 663 | (13) |
Included within Net realized gain/(loss) | 13,578 | 1,383 |
TBA | Long | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net realized gain/(loss) | (10,789) | 0 |
Forward Purchase Commitments | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net unrealized gain/(loss) | 168 | (79) |
Included within Net realized gain/(loss) | (13,344) | 0 |
Other | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net unrealized gain/(loss) | 0 | 64 |
Included within Net realized gain/(loss) | 0 | (165) |
Interest Rate Swaps | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Included within Net unrealized gain/(loss) | (2,955) | 19,165 |
Included within Net realized gain/(loss) | $ 129,382 | $ 4,888 |
Other assets and liabilities - Summary of TBAs (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
To Be Announced Securities [Roll Forward] | ||
Receivable/(Payable) from/to Broker | $ 801 | $ 1,887 |
Derivative Asset | 18,499 | 19,781 |
Derivative Liability | (9) | (92) |
TBA | Long | ||
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | 0 | |
Buys or Covers | 1,650,000 | |
Sales or Shorts | (1,650,000) | |
Ending Notional Amount | 0 | 0 |
Fair Value as of Period End | 0 | |
Receivable/(Payable) from/to Broker | 0 | |
Derivative Asset | 0 | |
Derivative Liability | 0 | |
TBA | Short | ||
To Be Announced Securities [Roll Forward] | ||
Beginning Notional Amount | (385,963) | 0 |
Buys or Covers | 1,320,852 | 1,390,550 |
Sales or Shorts | (974,889) | (1,776,513) |
Ending Notional Amount | (40,000) | (385,963) |
Fair Value as of Period End | (38,556) | (394,225) |
Receivable/(Payable) from/to Broker | 39,206 | 394,212 |
Derivative Asset | 650 | 0 |
Derivative Liability | $ 0 | $ (13) |
Earnings per share - Narrative (Details) |
Jul. 22, 2021 |
Jul. 12, 2021 |
---|---|---|
Earnings Per Share [Abstract] | ||
Reverse stock split ratio | 0.3333 | 0.3333 |
Earnings per share - Summary of earnings per share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands |
12 Months Ended | |||
---|---|---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|||
Numerator: | ||||
Net Income/(Loss) | $ (53,100) | $ 104,186 | ||
Gain on Exchange Offers, net (Note 11) | 0 | 472 | ||
Dividends on preferred stock | (18,344) | (18,785) | ||
Net Income/(Loss) Available to Common Stockholders | $ (71,444) | $ 85,873 | ||
Denominator: | ||||
Basic weighted average common shares outstanding (in shares) | [1] | 22,890 | 16,234 | |
Diluted weighted average common shares outstanding (in shares) | [1] | 22,890 | 16,234 | |
Earnings/(Loss) Per Share | ||||
Basic (in dollars per share) | [1] | $ (3.12) | $ 5.29 | |
Diluted (in dollars per share) | [1] | $ (3.12) | $ 5.29 | |
|
Earnings per share - Summary of common stock dividends (Details) - $ / shares |
12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Dec. 19, 2022 |
Sep. 15, 2022 |
Jun. 15, 2022 |
Mar. 18, 2022 |
Dec. 15, 2021 |
Sep. 15, 2021 |
Jun. 15, 2021 |
Mar. 22, 2021 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Earnings Per Share [Abstract] | ||||||||||
Dividends declared per share (in dollars per share) | $ 0.18 | $ 0.21 | $ 0.21 | $ 0.21 | $ 0.21 | $ 0.21 | $ 0.21 | $ 0.18 | $ 0.81 | $ 0.81 |
Earnings per share - Summary of preferred stock dividends (Details) - $ / shares |
12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2022 |
Nov. 03, 2022 |
Aug. 03, 2022 |
May 02, 2022 |
Feb. 18, 2022 |
Dec. 31, 2021 |
Nov. 05, 2021 |
Jul. 30, 2021 |
May 17, 2021 |
Feb. 16, 2021 |
|
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||
Dividend percentage | 8.00% | |||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||
Dividend percentage | 8.25% | |||||||||
Dividend per share (in dollars per share) | $ 2.06252 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 2.06252 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 |
8.00% Series B Cumulative Redeemable Preferred Stock | ||||||||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||
Dividend percentage | 8.00% | |||||||||
Dividend per share (in dollars per share) | $ 2.00 | 0.50 | 0.50 | 0.50 | 0.50 | 2.00 | 0.50 | 0.50 | 0.50 | 0.50 |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ||||||||||
Dividend percentage | 8.00% | |||||||||
Dividend per share (in dollars per share) | $ 2.00 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | $ 2.00 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 |
Income taxes - Narrative (Details) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Operating Loss Carryforwards [Line Items] | ||
Excise tax expense | $ 0 | $ 0 |
Operating loss carryforwards | 2,100,000 | 2,100,000 |
Net capital loss carryforwards | 294,800,000 | 246,800,000 |
Income tax expense | 200,000 | 0 |
Operating loss carryforward subject to expiration | 7,800,000 | |
Valuation allowance | 30,239,000 | 6,765,000 |
Subsidiaries | ||
Operating Loss Carryforwards [Line Items] | ||
Operating loss carryforwards | $ 128,400,000 | $ 31,100,000 |
Income taxes - Schedule of Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Thousands |
Dec. 31, 2022 |
Dec. 31, 2021 |
---|---|---|
Income Tax Disclosure [Abstract] | ||
Net operating loss carryforwards | $ 26,961 | $ 6,526 |
Capital loss carryforwards | 298 | 14 |
GAAP/tax basis differences | 2,980 | 225 |
Total deferred tax assets | 30,239 | 6,765 |
Less: valuation allowance | (30,239) | (6,765) |
Net deferred tax assets | $ 0 | $ 0 |
Related party transactions - Narrative (Details) |
1 Months Ended | 12 Months Ended | 33 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Oct. 01, 2022
USD ($)
|
Nov. 22, 2021
USD ($)
shares
|
Apr. 07, 2021
shares
|
Jan. 01, 2021
USD ($)
|
Apr. 15, 2020
shares
|
Jul. 30, 2021
USD ($)
|
Dec. 31, 2022
USD ($)
director
shares
|
Dec. 31, 2021
USD ($)
shares
|
Dec. 31, 2022
USD ($)
director
shares
|
Nov. 30, 2021
USD ($)
|
Jun. 30, 2021
USD ($)
|
May 31, 2021
USD ($)
|
|
Related Party Transaction [Line Items] | ||||||||||||
Management agreement, renewal term | 1 year | |||||||||||
Management fee percentage | 1.50% | 1.50% | ||||||||||
Management fee payable | $ 2,100,000 | $ 1,800,000 | $ 2,100,000 | |||||||||
Common stock sold in public offering (in shares) | shares | 7,000,000 | |||||||||||
Number of independent directors | director | 4 | 4 | ||||||||||
Director's fee | $ 150,000 | |||||||||||
Directors fees paid in cash | 70,000 | |||||||||||
Directors fees paid in common stock | $ 80,000 | |||||||||||
Loan securitization, ownership interest | 45.00% | 40.90% | ||||||||||
Agency Excess MSRs | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Proceeds from sale of Excess MSRs | $ 9,900,000 | |||||||||||
Principal amount outstanding of Excess MSRs | 2,000,000,000 | |||||||||||
Agency Excess MSRs | ARC Home LLC | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Loan purchase commitment settlement | $ 800,000 | |||||||||||
AG Mortgage Investment Trust, Inc. | Agency Excess MSRs | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Proceeds from sale of Excess MSRs | $ 2,700,000 | |||||||||||
Incentive Fee to Manager | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Renewal period | 1 year | |||||||||||
Incentive Fee to Manager | Limited Liability Company | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Annual incentive fee | 15.00% | |||||||||||
Cumulative hurdle percentage | 8.00% | |||||||||||
Equity hurdle base amount | $ 80,000,000 | |||||||||||
Termination Fee with Manager | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Termination fee multiplier | 3 | |||||||||||
Termination fee multiplier, measurement period | 24 months | |||||||||||
Reimbursement to Manager | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Amount due to related party | $ 1,300,000 | 2,100,000 | $ 1,300,000 | |||||||||
Transactions with Red Creek Asset Management LLC | Affiliated Entity | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Management fee payable | 200,000 | 200,000 | 200,000 | |||||||||
Residential Mortgage | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Loans receivable | 421,451,000 | 1,476,972,000 | 421,451,000 | |||||||||
Residential Mortgage | ARC Home LLC | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Loans receivable | $ 500,000 | 500,000 | ||||||||||
Non-QM Loans | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Loan securitization, fair value | $ 225,900,000 | $ 25,700,000 | $ 171,400,000 | |||||||||
Senior Tranches | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Loan securitization, fair value | $ 44,000,000 | |||||||||||
Restricted Stock | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 47,367 | 27,247 | ||||||||||
Unrecognized compensation cost | $ 0 | $ 0 | ||||||||||
Capitalized equity based compensation expense | $ 300,000 | $ 300,000 | ||||||||||
Manager Equity Incentive Plan | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Shares of common stock company can award (in shares) | shares | 666,666 | |||||||||||
Shares available to be awarded under equity incentive plans (in shares) | shares | 551,945 | 551,945 | ||||||||||
2021 Equity Incentive Plan | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Shares of common stock company can award (in shares) | shares | 573,425 | |||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 0 | |||||||||||
Manager | Incentive Fee to Manager | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Common stock sold in public offering (in shares) | shares | 700,000 | |||||||||||
Director | 2020 Equity Incentive Plan | Restricted Stock | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Shares of restricted common stock under equity incentive plans (in shares) | shares | 114,721 | |||||||||||
Lead Director | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Additional annual fees | $ 25,000 | |||||||||||
Audit Committee Chairman | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Additional annual fees | 25,000 | |||||||||||
Compensation And Nomination Committee Chairman | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Additional annual fees | 10,000 | |||||||||||
Corporate Governance Committee Chairman | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Additional annual fees | 10,000 | |||||||||||
Non-Executive Chair | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Director's fee | $ 60,000 | |||||||||||
Directors fees paid in cash | 30,000 | |||||||||||
Directors fees paid in common stock | $ 30,000 | |||||||||||
Maximum | Manager Equity Incentive Plan | ||||||||||||
Related Party Transaction [Line Items] | ||||||||||||
Value of shares granted in fiscal year | $ 300,000 |
Related party transactions - Management fee to affiliate (Details) - USD ($) $ in Thousands |
12 Months Ended | |||
---|---|---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|||
Related Party Transactions [Abstract] | ||||
Management fee to affiliate | [1] | $ 8,096 | $ 6,814 | |
|
Related party transactions - Expense reimbursement to manager or its affiliates (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Expense reimbursements to Manager or its affiliates | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | $ 8,158 | $ 6,320 |
Expense reimbursements to Manager or its affiliates | Non-investment related expenses | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | 4,646 | 4,322 |
Expense reimbursements to Manager or its affiliates | Investment related expenses | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | 755 | 1,157 |
Expense reimbursements to Manager or its affiliates | Transaction related expenses | ||
Related Party Transaction [Line Items] | ||
Expense reimbursements to Manager or its affiliates | 2,757 | 841 |
Reimbursement to Manager Waived | ||
Related Party Transaction [Line Items] | ||
Amount of related party transaction | $ 1,500 | $ 800 |
Related party transactions - Schedule of restricted stock awards and restricted stock units activity (Details) - Restricted Stock - $ / shares |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Shares of Restricted Stock | ||
Unvested at beginning of year (in shares) | 0 | 0 |
Granted (in shares) | 47,367 | 27,247 |
Vested (in shares) | (47,367) | (27,247) |
Forfeited (in shares) | 0 | 0 |
Unvested at end of year (in shares) | 0 | 0 |
Weighted Average Grant Date Fair Value | ||
Outstanding at beginning of year (in dollars per share) | $ 0 | $ 0 |
Granted (in dollars per share) | 6.75 | 11.26 |
Vested (in dollars per share) | 6.75 | 11.26 |
Forfeited (in dollars per share) | 0 | 0 |
Outstanding at end of year (in dollars per share) | $ 0 | $ 0 |
Related party transactions - Schedule of investments in debt and equity of affiliates (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Related Party Transaction [Line Items] | ||
Net Income/(Loss) | $ (10,258) | $ 31,889 |
AG Arc | ||
Related Party Transaction [Line Items] | ||
Net Income/(Loss) | (13,734) | 3,681 |
Residential investments - Fair value / Net income /(loss) | ||
Related Party Transaction [Line Items] | ||
Net Income/(Loss) | 3,476 | 28,208 |
Non-QM Loans | ||
Related Party Transaction [Line Items] | ||
Net Income/(Loss) | 1,261 | 12,594 |
Land Related Financing | ||
Related Party Transaction [Line Items] | ||
Net Income/(Loss) | 1,621 | 2,455 |
Re/Non-Performing Loans | ||
Related Party Transaction [Line Items] | ||
Net Income/(Loss) | 594 | 13,191 |
Other | ||
Related Party Transaction [Line Items] | ||
Net Income/(Loss) | 0 | (32) |
Assets | ||
Related Party Transaction [Line Items] | ||
Investments, assets | 92,579 | 129,159 |
Cash and Other assets/(liabilities) | 3,290 | 3,698 |
Assets | AG Arc | ||
Related Party Transaction [Line Items] | ||
Investments, assets | 39,680 | 53,435 |
Assets | Residential investments - Fair value / Net income /(loss) | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 49,609 | 72,026 |
Assets | Non-QM Loans | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 31,067 | 45,837 |
Assets | Land Related Financing | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 10,688 | 16,891 |
Assets | Re/Non-Performing Loans | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 7,854 | 9,298 |
Assets | Other | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 0 |
Liabilities | ||
Related Party Transaction [Line Items] | ||
Investments, liabilities | (21,515) | (37,136) |
Cash and Other assets/(liabilities) | (700) | (1,127) |
Liabilities | AG Arc | ||
Related Party Transaction [Line Items] | ||
Investments, liabilities | 0 | 0 |
Liabilities | Residential investments - Fair value / Net income /(loss) | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | (20,815) | (36,009) |
Liabilities | Non-QM Loans | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | (16,409) | (30,471) |
Liabilities | Land Related Financing | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 0 |
Liabilities | Re/Non-Performing Loans | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | (4,406) | (5,538) |
Liabilities | Other | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | 0 | 0 |
Equity | ||
Related Party Transaction [Line Items] | ||
Investments, equity | 71,064 | 92,023 |
Cash and Other assets/(liabilities) | (2,590) | (2,571) |
Equity | AG Arc | ||
Related Party Transaction [Line Items] | ||
Investments, equity | 39,680 | 53,435 |
Equity | Residential investments - Fair value / Net income /(loss) | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | (28,794) | (36,017) |
Equity | Non-QM Loans | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | (14,658) | (15,366) |
Equity | Land Related Financing | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | (10,688) | (16,891) |
Equity | Re/Non-Performing Loans | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | (3,448) | (3,760) |
Equity | Other | ||
Related Party Transaction [Line Items] | ||
Real Estate Securities, Excess MSRs and Loans, at fair value | $ 0 | $ 0 |
Related party transactions - Asset management fees paid (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Transactions with Red Creek Asset Management LLC | ||
Related Party Transaction [Line Items] | ||
Fees paid to asset manager | $ 2,742 | $ 2,167 |
Related party transactions - Summary of loans sold (Details) - Residential Mortgage - AG Arc - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Residential mortgage loans sold by Arc Home to the Company | ||
Related Party Transaction [Line Items] | ||
Balance of loans with unpaid principal sold | $ 1,086,937 | $ 812,557 |
Residential mortgage loans sold by Arc Home to private funds under the management of Angelo Gordon | ||
Related Party Transaction [Line Items] | ||
Balance of loans with unpaid principal sold | $ 212,341 | $ 613,283 |
Related party transactions - Summary of affiliated transactions (Details) $ in Thousands |
1 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Nov. 30, 2021
USD ($)
trust
|
Dec. 31, 2022
USD ($)
|
Dec. 31, 2021
USD ($)
|
Oct. 31, 2021
USD ($)
|
Jul. 30, 2021
USD ($)
|
Apr. 30, 2021
USD ($)
|
Mar. 31, 2021
USD ($)
|
|
Related Party Transaction [Line Items] | |||||||
The Company's Investments in debt and equity of affiliates | $ 71,064 | $ 92,023 | |||||
March 2021 Selling Affiliate | |||||||
Related Party Transaction [Line Items] | |||||||
The Company's Investments in debt and equity of affiliates | $ 6,900 | ||||||
April 2021 Selling Affiliates | |||||||
Related Party Transaction [Line Items] | |||||||
The Company's Investments in debt and equity of affiliates | $ 16,800 | ||||||
July 2021 Selling Affiliate | |||||||
Related Party Transaction [Line Items] | |||||||
The Company's Investments in debt and equity of affiliates | $ 17,600 | ||||||
October 2021 Acquiring Affiliate | |||||||
Related Party Transaction [Line Items] | |||||||
The Company's Investments in debt and equity of affiliates | $ 3,500 | ||||||
November 2021 Acquiring Affiliate | |||||||
Related Party Transaction [Line Items] | |||||||
The Company's Investments in debt and equity of affiliates | $ 181,800 | ||||||
Call right options exercised | trust | 2 | ||||||
November 2021 Acquiring Affiliate | Private Fund | |||||||
Related Party Transaction [Line Items] | |||||||
Proceeds from sale of loans | $ 183,600 |
Equity - Narrative (Details) |
1 Months Ended | 12 Months Ended | 22 Months Ended | 68 Months Ended | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Nov. 22, 2021
USD ($)
$ / shares
shares
|
Jul. 22, 2021
shares
|
Jul. 12, 2021 |
May 05, 2017
USD ($)
|
Dec. 30, 2022
USD ($)
shares
|
Nov. 30, 2022
USD ($)
shares
|
Oct. 31, 2022
USD ($)
shares
|
Sep. 30, 2022
USD ($)
shares
|
Aug. 31, 2022
USD ($)
shares
|
Jun. 30, 2022
USD ($)
shares
|
May 31, 2022
USD ($)
shares
|
Oct. 31, 2021
USD ($)
shares
|
Sep. 30, 2021
USD ($)
shares
|
Aug. 31, 2021
USD ($)
shares
|
Dec. 31, 2022
USD ($)
period
director
$ / shares
shares
|
Dec. 31, 2021
USD ($)
shares
|
Dec. 31, 2022
USD ($)
period
$ / shares
shares
|
Dec. 31, 2022
USD ($)
period
$ / shares
shares
|
Aug. 03, 2022
USD ($)
|
Jul. 23, 2021
shares
|
May 07, 2021
USD ($)
|
Feb. 22, 2021
USD ($)
|
Nov. 03, 2015
USD ($)
|
|
Class of Stock [Line Items] | |||||||||||||||||||||||
Reverse stock split ratio | 0.3333 | 0.3333 | |||||||||||||||||||||
Common stock, shares outstanding (in shares) | 48,510,978 | 21,284,000 | 23,908,000 | 21,284,000 | 21,284,000 | 16,170,312 | |||||||||||||||||
Net proceeds from issuance of common stock | $ | $ 93,134,000 | ||||||||||||||||||||||
Securities and capital available for issuance | $ | $ 1,000,000,000 | ||||||||||||||||||||||
Common stock sold in public offering (in shares) | 7,000,000 | ||||||||||||||||||||||
Common stock, shares issued (in shares) | 1,100,000 | ||||||||||||||||||||||
Share price (in dollars per share) | $ / shares | $ 9.98 | ||||||||||||||||||||||
Proceeds from offering | $ | $ 80,000,000 | ||||||||||||||||||||||
Value of preferred shares authorized | $ | $ 50,000,000 | $ 50,000,000 | $ 50,000,000 | ||||||||||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 9,120,000 | 9,120,000 | 9,120,000 | ||||||||||||||||||||
Quarterly periods required to grant preferred stock voting rights | period | 6 | 6 | 6 | ||||||||||||||||||||
Number of directors | director | 2 | ||||||||||||||||||||||
Percent of votes needed to pass | 6667.00% | 6667.00% | 6667.00% | ||||||||||||||||||||
2015 Repurchase Program | |||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 25,000,000 | $ 25,000,000 | |||||||||||||||||||||
Value of common stock remained authorized for future share repurchases | $ | $ 0 | $ 5,560,574 | $ 11,043,506 | $ 11,751,409 | $ 12,980,553 | $ 0 | $ 11,043,506 | $ 0 | $ 0 | ||||||||||||||
Shares repurchased (in shares) | 736,536 | 697,315 | 61,104 | 107,885 | 150,870 | 1,433,851 | 319,859 | ||||||||||||||||
2022 Repurchase Program | |||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 15,000,000 | ||||||||||||||||||||||
Value of common stock remained authorized for future share repurchases | $ | $ 7,817,003 | $ 10,393,064 | $ 12,340,308 | $ 12,660,645 | $ 13,512,601 | $ 7,817,003 | $ 7,817,003 | 7,817,003 | |||||||||||||||
Shares repurchased (in shares) | 430,233 | 348,507 | 74,187 | 163,006 | 221,581 | 1,237,514 | |||||||||||||||||
Preferred Repurchase Program | |||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||
Authorized amount for stock repurchase | $ | $ 20,000,000 | ||||||||||||||||||||||
Shares repurchased (in shares) | 0 | ||||||||||||||||||||||
Sale Agents | |||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||
Net proceeds from issuance of common stock | $ | $ 100,000,000 | $ 13,100,000 | $ 48,300,000 | ||||||||||||||||||||
Net proceeds from issuance of stock (in shares) | 0 | 1,000,000 | 2,200,000 | ||||||||||||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | |||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 1,663,000 | 1,663,000 | 1,663,000 | ||||||||||||||||||||
Preferred stock, shares issued (in shares) | 1,700,000 | 1,700,000 | 1,700,000 | ||||||||||||||||||||
8.00% Series B Cumulative Redeemable Preferred Stock | |||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 3,728,000 | 3,728,000 | 3,728,000 | ||||||||||||||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 3,700,000 | 3,700,000 | ||||||||||||||||||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | |||||||||||||||||||||||
Class of Stock [Line Items] | |||||||||||||||||||||||
Preferred stock, shares outstanding (in shares) | 3,729,000 | 3,729,000 | 3,729,000 | ||||||||||||||||||||
Preferred stock, shares issued (in shares) | 3,700,000 | 3,700,000 | 3,700,000 |
Equity - Schedule of Stock Repurchase Programs (Details) - USD ($) |
1 Months Ended | 12 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 30, 2022 |
Nov. 30, 2022 |
Oct. 31, 2022 |
Sep. 30, 2022 |
Aug. 31, 2022 |
Jun. 30, 2022 |
May 31, 2022 |
Oct. 31, 2021 |
Sep. 30, 2021 |
Aug. 31, 2021 |
Dec. 31, 2022 |
Dec. 31, 2021 |
|
2015 Repurchase Program | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Total Number of Shares Purchased (in shares) | 736,536 | 697,315 | 61,104 | 107,885 | 150,870 | 1,433,851 | 319,859 | |||||
Weighted Average Price Paid per Share (in dollars per share) | $ 7.55 | $ 7.86 | $ 11.59 | $ 11.39 | $ 10.72 | $ 7.70 | $ 11.11 | |||||
Total Number of Shares Purchased as Part of Publicly Announced Program (in shares) | 736,536 | 697,315 | 61,104 | 107,885 | 150,870 | 1,433,851 | 319,859 | |||||
Value of common stock remained authorized for future share repurchases | $ 0 | $ 5,560,574 | $ 11,043,506 | $ 11,751,409 | $ 12,980,553 | $ 0 | $ 11,043,506 | |||||
2022 Repurchase Program | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Total Number of Shares Purchased (in shares) | 430,233 | 348,507 | 74,187 | 163,006 | 221,581 | 1,237,514 | ||||||
Weighted Average Price Paid per Share (in dollars per share) | $ 5.99 | $ 5.59 | $ 4.32 | $ 5.23 | $ 6.71 | $ 5.81 | ||||||
Total Number of Shares Purchased as Part of Publicly Announced Program (in shares) | 430,233 | 348,507 | 74,187 | 163,006 | 221,581 | 1,237,514 | ||||||
Value of common stock remained authorized for future share repurchases | $ 7,817,003 | $ 10,393,064 | $ 12,340,308 | $ 12,660,645 | $ 13,512,601 | $ 7,817,003 |
Equity - Schedule of Preferred Stock (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
|
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 9,120 | |
Carrying Value | $ 220,472 | $ 220,472 |
Aggregate liquidation preference | $ 227,991 | $ 227,991 |
Dividend percentage | 8.00% | |
8.25% Series A Cumulative Redeemable Preferred Stock | ||
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 1,663 | |
Carrying Value | $ 40,110 | |
Aggregate liquidation preference | $ 41,580 | |
Dividend percentage | 8.25% | |
8.00% Series B Cumulative Redeemable Preferred Stock | ||
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 3,728 | |
Carrying Value | $ 90,187 | |
Aggregate liquidation preference | $ 93,191 | |
Dividend percentage | 8.00% | |
Redemption price (in dollars per share) | $ 25.00 | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||
Class of Stock [Line Items] | ||
Preferred stock, shares outstanding (in shares) | 3,729 | |
Carrying Value | $ 90,175 | |
Aggregate liquidation preference | $ 93,220 | |
Dividend percentage | 8.00% | |
Liquidation preference (in dollars per share) | $ 25.00 | |
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | London Interbank Offered Rate (LIBOR) | ||
Class of Stock [Line Items] | ||
Dividend percentage | 6.476% |
Equity - Summary of Exchange Offers (Details) - USD ($) $ in Thousands |
12 Months Ended | |||||
---|---|---|---|---|---|---|
Jun. 14, 2021 |
Mar. 17, 2021 |
Dec. 31, 2021 |
||||
Class of Stock [Line Items] | ||||||
Total Preferred Stock Par Value | $ (10) | |||||
Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Total Preferred Stock Par Value | $ 6,022 | $ 12,598 | $ (18,006) | |||
Common Stock | ||||||
Class of Stock [Line Items] | ||||||
Exchange offers (in shares) | 429,802 | 937,462 | 1,368,000 | [1] | ||
Total Preferred Stock Par Value | [1] | $ 14 | ||||
8.25% Series A Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Exchange offers (in shares) | 0 | 153,325 | ||||
8.00% Series B Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Exchange offers (in shares) | 86,478 | 350,609 | ||||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Exchange offers (in shares) | 154,383 | 0 | ||||
|
Commitments and Contingencies - Schedule of outstanding commitments (Details) $ in Thousands |
12 Months Ended |
---|---|
Dec. 31, 2022
USD ($)
| |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | $ 37,415 |
Funded Commitment | 10,688 |
Remaining Commitment | 26,727 |
MATH | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 15,607 |
Funded Commitment | 0 |
Remaining Commitment | 15,607 |
Non-Agency and Agency-Eligible Loans | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 8,062 |
Funded Commitment | 0 |
Remaining Commitment | 8,062 |
Land Related Financing | |
Long-term Purchase Commitment [Line Items] | |
Total Commitment | 13,746 |
Funded Commitment | 10,688 |
Remaining Commitment | $ 3,058 |
Investments in unconsolidated equity method affiliates - Schedule of Equity Method Investments (Details) - USD ($) $ in Thousands |
Dec. 31, 2022 |
Dec. 31, 2021 |
Nov. 30, 2021 |
Jul. 30, 2021 |
||
---|---|---|---|---|---|---|
Assets | ||||||
Cash and cash equivalents | $ 84,621 | $ 68,079 | ||||
Other assets | 27,595 | 20,900 | ||||
Total Assets | 4,369,778 | 3,362,728 | ||||
Liabilities | ||||||
Financing arrangements | 621,187 | 1,777,743 | ||||
Other liabilities | [1] | 19,593 | 10,369 | |||
Total Liabilities | 3,906,978 | 2,792,348 | ||||
Total Members' Equity | ||||||
Total Liabilities & Stockholders' Equity | 4,369,778 | 3,362,728 | ||||
The Company's Investments in debt and equity of affiliates | 71,064 | 92,023 | ||||
Loan securitization, ownership interest | 40.90% | 45.00% | ||||
Carrying Value | $ 3,883,539 | 2,776,958 | ||||
LOTS I | ||||||
Total Members' Equity | ||||||
Loan securitization, ownership interest | 47.50% | |||||
LOTS II | ||||||
Total Members' Equity | ||||||
Loan securitization, ownership interest | 50.00% | |||||
AG Arc | ||||||
Total Members' Equity | ||||||
The Company's Investments in debt and equity of affiliates | $ 39,680 | |||||
Non-QM Loans | ||||||
Total Members' Equity | ||||||
The Company's Investments in debt and equity of affiliates | 17,544 | |||||
Land Related Financing | ||||||
Total Members' Equity | ||||||
The Company's Investments in debt and equity of affiliates | 10,242 | |||||
Other | ||||||
Total Members' Equity | ||||||
The Company's Investments in debt and equity of affiliates | 3,598 | |||||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | ||||||
Assets | ||||||
Loans and real estate securities, at fair value | 174,858 | 559,397 | ||||
Mortgage servicing rights, at fair value | 91,569 | 67,859 | ||||
Cash and cash equivalents | 27,127 | 34,794 | ||||
Restricted cash | 459 | 1,970 | ||||
Other assets | 46,607 | 76,676 | ||||
Total Assets | 340,620 | 740,696 | ||||
Liabilities | ||||||
Financing arrangements | 120,010 | 448,342 | ||||
Other liabilities | 54,031 | 78,245 | ||||
Total Liabilities | 174,041 | 526,587 | ||||
Total Members' Equity | ||||||
Total Member's equity | 166,579 | 214,109 | ||||
Total Liabilities & Stockholders' Equity | 340,620 | 740,696 | ||||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | Other Assets | ||||||
Total Members' Equity | ||||||
Carrying Value | 36,700 | 49,800 | ||||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | Other Liabilities | ||||||
Total Members' Equity | ||||||
Carrying Value | 36,700 | $ 49,800 | ||||
AG Arc | ||||||
Assets | ||||||
Loans and real estate securities, at fair value | 48,641 | |||||
Mortgage servicing rights, at fair value | 91,569 | |||||
Cash and cash equivalents | 20,821 | |||||
Restricted cash | 349 | |||||
Other assets | 45,182 | |||||
Total Assets | 206,562 | |||||
Liabilities | ||||||
Financing arrangements | 63,764 | |||||
Other liabilities | 53,818 | |||||
Total Liabilities | 117,582 | |||||
Total Members' Equity | ||||||
Total Member's equity | 88,980 | |||||
Total Liabilities & Stockholders' Equity | $ 206,562 | |||||
Loan securitization, ownership interest | 44.60% | |||||
Non-QM Loans | ||||||
Assets | ||||||
Loans and real estate securities, at fair value | $ 69,672 | |||||
Mortgage servicing rights, at fair value | 0 | |||||
Cash and cash equivalents | 5,518 | |||||
Restricted cash | 0 | |||||
Other assets | 1,070 | |||||
Total Assets | 76,260 | |||||
Liabilities | ||||||
Financing arrangements | 36,800 | |||||
Other liabilities | 32 | |||||
Total Liabilities | 36,832 | |||||
Total Members' Equity | ||||||
Total Member's equity | 39,428 | |||||
Total Liabilities & Stockholders' Equity | $ 76,260 | |||||
Loan securitization, ownership interest | 44.60% | |||||
Land Related Financing | ||||||
Assets | ||||||
Loans and real estate securities, at fair value | $ 21,881 | |||||
Mortgage servicing rights, at fair value | 0 | |||||
Cash and cash equivalents | 137 | |||||
Restricted cash | 0 | |||||
Other assets | 278 | |||||
Total Assets | 22,296 | |||||
Liabilities | ||||||
Financing arrangements | 0 | |||||
Other liabilities | 0 | |||||
Total Liabilities | 0 | |||||
Total Members' Equity | ||||||
Total Member's equity | 22,296 | |||||
Total Liabilities & Stockholders' Equity | 22,296 | |||||
Other | ||||||
Assets | ||||||
Loans and real estate securities, at fair value | 34,664 | |||||
Mortgage servicing rights, at fair value | 0 | |||||
Cash and cash equivalents | 651 | |||||
Restricted cash | 110 | |||||
Other assets | 77 | |||||
Total Assets | 35,502 | |||||
Liabilities | ||||||
Financing arrangements | 19,446 | |||||
Other liabilities | 181 | |||||
Total Liabilities | 19,627 | |||||
Total Members' Equity | ||||||
Total Member's equity | 15,875 | |||||
Total Liabilities & Stockholders' Equity | $ 35,502 | |||||
|
Investments in unconsolidated equity method affiliates - Summarized Statements of Operations (Details) - USD ($) $ in Thousands |
12 Months Ended | |||
---|---|---|---|---|
Dec. 31, 2022 |
Dec. 31, 2021 |
Nov. 30, 2021 |
Jul. 30, 2021 |
|
Schedule of Equity Method Investments [Line Items] | ||||
Interest income | $ 180,303 | $ 70,662 | ||
Interest expense | 118,918 | 27,250 | ||
Total Net Interest Income | 61,385 | 43,412 | ||
Net realized gain/(loss) | 81,389 | 1,698 | ||
Net unrealized gain/(loss) | (137,634) | 62,699 | ||
Other income/(loss), net | 0 | 37 | ||
Total Other Income/(Loss) | (61,167) | 59,572 | ||
Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments | (53,100) | 104,186 | ||
Equity in earnings/(loss) from affiliates | $ (10,258) | 31,889 | ||
Loan securitization, ownership interest | 40.90% | 45.00% | ||
LOTS I | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Loan securitization, ownership interest | 47.50% | |||
LOTS II | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Loan securitization, ownership interest | 50.00% | |||
AG Arc | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Equity in earnings/(loss) from affiliates | $ (13,734) | |||
AG Arc | ARC Home LLC | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Equity in earnings/(loss) from affiliates | 6,000 | 5,300 | ||
Non-QM Loans | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Equity in earnings/(loss) from affiliates | 1,261 | |||
Land Related Financing | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Equity in earnings/(loss) from affiliates | 1,621 | |||
Other | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Equity in earnings/(loss) from affiliates | 594 | |||
Equity Method Investment, Nonconsolidated Investee or Group of Investees | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Interest income | 27,958 | 76,509 | ||
Interest expense | 11,912 | 18,012 | ||
Total Net Interest Income | 16,046 | 58,497 | ||
Net realized gain/(loss) | 22,897 | 44,050 | ||
Net unrealized gain/(loss) | (11,434) | 41,138 | ||
Other income/(loss), net | 22,404 | 28,183 | ||
Total Other Income/(Loss) | 33,867 | 113,371 | ||
Expenses | 58,544 | 85,603 | ||
Net Income/(Loss) | (8,631) | 86,265 | ||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 0 | 610 | ||
Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments | (8,631) | $ 86,875 | ||
AG Arc | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Interest income | 11,126 | |||
Interest expense | 8,754 | |||
Total Net Interest Income | 2,372 | |||
Net realized gain/(loss) | 25,664 | |||
Net unrealized gain/(loss) | (10,343) | |||
Other income/(loss), net | 22,401 | |||
Total Other Income/(Loss) | 37,722 | |||
Expenses | 57,424 | |||
Net Income/(Loss) | (17,330) | |||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 0 | |||
Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments | $ (17,330) | |||
Loan securitization, ownership interest | 44.60% | |||
Non-QM Loans | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Interest income | $ 8,248 | |||
Interest expense | 2,357 | |||
Total Net Interest Income | 5,891 | |||
Net realized gain/(loss) | (2,655) | |||
Net unrealized gain/(loss) | 242 | |||
Other income/(loss), net | 0 | |||
Total Other Income/(Loss) | (2,413) | |||
Expenses | 647 | |||
Net Income/(Loss) | 2,831 | |||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 0 | |||
Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments | $ 2,831 | |||
Loan securitization, ownership interest | 44.60% | |||
Land Related Financing | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Interest income | $ 3,726 | |||
Interest expense | 0 | |||
Total Net Interest Income | 3,726 | |||
Net realized gain/(loss) | 0 | |||
Net unrealized gain/(loss) | 0 | |||
Other income/(loss), net | 0 | |||
Total Other Income/(Loss) | 0 | |||
Expenses | 402 | |||
Net Income/(Loss) | 3,324 | |||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 0 | |||
Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments | 3,324 | |||
Other | ||||
Schedule of Equity Method Investments [Line Items] | ||||
Interest income | 4,858 | |||
Interest expense | 801 | |||
Total Net Interest Income | 4,057 | |||
Net realized gain/(loss) | (112) | |||
Net unrealized gain/(loss) | (1,333) | |||
Other income/(loss), net | 3 | |||
Total Other Income/(Loss) | (1,442) | |||
Expenses | 71 | |||
Net Income/(Loss) | 2,544 | |||
Net Income/(Loss) Attributable to Noncontrolling Preferred Interests | 0 | |||
Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments | $ 2,544 |
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands, shares in Millions |
2 Months Ended | 12 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Feb. 27, 2023 |
Dec. 31, 2022 |
Dec. 31, 2021 |
Feb. 16, 2023 |
Nov. 03, 2022 |
Aug. 03, 2022 |
May 02, 2022 |
Feb. 18, 2022 |
Nov. 05, 2021 |
Jul. 30, 2021 |
May 17, 2021 |
Feb. 16, 2021 |
|
Residential Portfolio Segment | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Unpaid Principal Balance | $ 4,624,856 | $ 2,578,993 | ||||||||||
Non-Agency Loans | Residential Portfolio Segment | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Proceeds from sale of loans | 10,049 | 91,952 | ||||||||||
Unpaid Principal Balance | 406,294 | 987,290 | ||||||||||
Agency-Eligible Loans | Residential Portfolio Segment | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Proceeds from sale of loans | 43,718 | |||||||||||
Unpaid Principal Balance | 48,657 | 429,424 | ||||||||||
Securitized residential mortgage loans | Non-Agency Loans | Residential Portfolio Segment | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Unpaid Principal Balance | 2,596,843 | $ 777,828 | ||||||||||
Securitized residential mortgage loans | Agency-Eligible Loans | Residential Portfolio Segment | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Unpaid Principal Balance | $ 1,244,422 | |||||||||||
8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividend per share (in dollars per share) | $ 2.06252 | $ 2.06252 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | $ 0.51563 | ||
Series B Cumulative Reedmable Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividend per share (in dollars per share) | 2.00 | 2.00 | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | 0.50 | ||
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividend per share (in dollars per share) | $ 2.00 | $ 2.00 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | $ 0.50 | ||
Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Shares repurchased (in shares) | 0.1 | |||||||||||
Stock repurchased value | $ 500 | |||||||||||
Weighted average cost (in dollars per share) | $ 5.66 | |||||||||||
Subsequent Event | Non-Agency Loans | Residential Portfolio Segment | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Proceeds from sale of loans | $ 46,900 | |||||||||||
Subsequent Event | Agency-Eligible Loans | Residential Portfolio Segment | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Proceeds from sale of loans | 18,500 | |||||||||||
Subsequent Event | Securitized residential mortgage loans | Non-Agency Loans | Residential Portfolio Segment | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Unpaid Principal Balance | $ 271,200 | |||||||||||
Subsequent Event | 8.25% Series A Cumulative Redeemable Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividend per share (in dollars per share) | $ 0.51563 | |||||||||||
Subsequent Event | Series B Cumulative Reedmable Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividend per share (in dollars per share) | 0.50 | |||||||||||
Subsequent Event | 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Dividend per share (in dollars per share) | $ 0.50 |
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