XML 43 R30.htm IDEA: XBRL DOCUMENT v3.22.4
Fair value measurements (Tables)
 12 Months Ended
Dec. 31, 2022
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): 
 Fair Value as of December 31, 2022
 Level 1Level 2Level 3Total
Assets:    
Securitized residential mortgage loans$— $— $3,707,146 $3,707,146 
Residential mortgage loans (1)— 754 420,697 421,451 
Non-Agency RMBS (2)— 9,678 9,859 19,537 
Non-Agency RMBS Interest Only— — 5,058 5,058 
Agency Interest Only— 19,124 — 19,124 
Derivative assets (3)— 18,401 98 18,499 
Cash equivalents (4)442 — — 442 
AG Arc (5)— — 39,680 39,680 
Total Assets Measured at Fair Value$442 $47,957 $4,182,538 $4,230,937 
Liabilities:
Securitized debt$— $— $(3,262,352)$(3,262,352)
Derivative liabilities— — (9)(9)
Total Liabilities Measured at Fair Value$— $— $(3,262,361)$(3,262,361)
Fair value as of December 31, 2021
Level 1Level 2Level 3Total
Assets:
Securitized residential mortgage loans$— $— $1,158,134 $1,158,134 
Residential mortgage loans— 915 1,476,057 1,476,972 
Non-Agency RMBS (2)— — 15,362 15,362 
Non-Agency RMBS Interest Only— — 3,395 3,395 
30 Year Fixed Rate Agency RMBS— 495,713 — 495,713 
Derivative assets (3)— 19,781 — 19,781 
AG Arc (5)— — 53,435 53,435 
Total Assets Measured at Fair Value$— $516,409 $2,706,383 $3,222,792 
Liabilities:
Securitized debt$— $— $(999,215)$(999,215)
Derivative liabilities (3)— (897)(79)(976)
Total Liabilities Measured at Fair Value$— $(897)$(999,294)$(1,000,191)
(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 "Other assets" 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.
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:
Year Ended December 31, 2022 (in thousands)
 Residential
Mortgage
Loans (1)		Non-Agency
RMBS		Non-Agency
RMBS Interest Only		Derivative assets (2)AG ArcSecuritized
debt		Derivative liabilities (2)
Beginning balance$2,634,191 $15,362 $3,395 $— $53,435 $(999,215)$(79)
Purchases2,557,440 — — — — — — 
Issuances of Securitized Debt— — — — — (3,040,283)— 
Capital distributions— — — — (6,053)— — 
Proceeds from sales(53,767)— — — — — — 
Principal repayments(464,332)(664)— (2,700)— 379,979 16,044 
Total net gains/(losses) (3)
Included in net income(545,689)(4,839)1,663 2,798(7,702)397,167 (15,974)
Ending Balance$4,127,843 $9,859 $5,058 $98 $39,680 $(3,262,352)$(9)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2022 (4)
$(542,629)$(4,740)$1,663 $98 $(7,702)$397,167 $(9)
(1)Includes Securitized residential mortgage loans and Residential mortgage loans held for sale.
(2)Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets.
(3)Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Net unrealized gain/(loss)$(148,010)
Net realized gain/(loss)(16,864)
Equity in earnings/(loss) from affiliates(7,702)
Total$(172,576)
(4)Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Net unrealized gain/(loss)$(148,450)
Equity in earnings/(loss) from affiliates(7,702)
Total$(156,152)
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 ArcSecuritized
debt		Derivative liabilities (2)
Beginning balance$433,307 $3,100 $— $125,508 $3,158 $45,341 $(355,159)$— 
Transfers (3):
Transfers out of level 3— (1,499)— — — — — — 
Purchases2,463,685 14,657 3,778 5,100 — — — — 
Issuances of Securitized Debt— — — — — — (811,455)— 
Capital distributions— — — — — (893)— — 
Proceeds from sales(138,304)— — (74,342)(2,364)— — — 
Principal repayments (147,710)(899)— (70,232)— — 163,922 — 
Total net gains/(losses) (4)
Included in net income23,213 3 (383)13,966 (794)8,987 3,477 (79)
Ending Balance$2,634,191 $15,362 $3,395 $— $— $53,435 $(999,215)$(79)
Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2021 (5)
$18,437 $3 $(383)$— $— $8,987 $3,477 $(79)
(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:
Net unrealized gain/(loss)$38,606 
Net realized gain/(loss)797 
Equity in earnings/(loss) from affiliates8,987 
Total$48,390 
(5)Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Net unrealized gain/(loss)$21,455 
Equity in earnings/(loss) from affiliates8,987 
Total$30,442 
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. 
Asset ClassFair Value at December 31, 2022 (in thousands)Valuation TechniqueUnobservable InputRange
(Weighted Average) (1)
Yield
4.75% - 7.32% (6.40%)
Securitized Residential Mortgage Loans$3,707,146 Discounted Cash FlowsProjected Collateral Prepayments
4.81% - 10.19% (6.44%)
Projected Collateral Losses
0.05% - 1.40% (0.22%)
Projected Collateral Severities
-4.16% - 20.00% (15.40%)
Yield
6.29% - 9.82% (7.16%)
Residential Mortgage Loans (2)$418,023 Discounted Cash FlowProjected Collateral Prepayments
1.38% - 31.28% (16.37%)
Projected Collateral Losses
0.00% - 14.44% (0.48%)
Projected Collateral Severities
-2.64% - 10.19% (9.99%)
$2,674 Consensus PricingBroker Quotes
93.46 - 107.05 (101.11)
Yield
7.18% - 11.93% (9.22%)
Non-Agency RMBS$9,859 Discounted Cash FlowProjected Collateral Prepayments
8.14% - 8.14% (8.14%)
Projected Collateral Losses
0.18% - 0.18% (0.18%)
Projected Collateral Severities
10.00% - 10.00% (10.00%)
Yield
10.00% - 14.00% (13.25%)
Non-Agency RMBS Interest Only$5,058 Discounted Cash FlowProjected Collateral Prepayments
8.14% - 8.14% (8.14%)
Projected Collateral Losses
0.18% - 0.18% (0.18%)
Projected Collateral Severities
10.00% - 10.00% (10.00%)
Yield
6.69% - 7.68% (7.54%)
Derivative Assets (3)$98 Discounted Cash FlowProjected Collateral Prepayments
12.63% - 34.19% (26.71%)
Projected Collateral Losses
0.01% - 0.96% (0.39%)
Projected Collateral Severities
10.00% - 10.00% (10.00%)
Pull through Percentages
55.00% - 100.00% (72.78%)
AG Arc$39,680 Comparable MultipleBook Value Multiple
0.94x - 0.94x (0.94x)
Liability ClassFair Value at December 31, 2022 (in thousands)Valuation TechniqueUnobservable InputRange
(Weighted Average)
Yield
5.25% - 15.00% (6.07%)
Securitized Debt$(3,262,352)Discounted Cash FlowProjected Collateral Prepayments
4.81% - 10.19% (6.36%)
Projected Collateral Losses
0.05% - 1.40% (0.19%)
Projected Collateral Severities
-4.16% - 20.00% (15.81%)
Yield
7.29% - 7.61% (7.36%)
Derivative Liabilities (3)$(9)Discounted Cash FlowProjected Collateral Prepayments
21.51% - 31.31% (27.92%)
Projected Collateral Losses
0.01% - 0.46% (0.16%)
Projected Collateral Severities
10.00% - 10.00% (10.00%)
Pull Through Percentages
100.00% - 100.00% (100.00%)
(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.
Asset ClassFair Value at December 31, 2021 (in thousands)Valuation TechniqueUnobservable InputRange
(Weighted Average) (1)
Yield
2.26% - 13.00% (3.12%)
Securitized Residential Mortgage Loans$1,158,134 Discounted Cash FlowProjected Collateral Prepayments
4.75% - 11.05% (9.51%)
Projected Collateral Losses
0.38% - 4.40% (0.83%)
Projected Collateral Severities
-18.08% - 29.11% (10.10%)
Yield
2.77% - 7.50% (3.37%)
Residential Mortgage Loans$1,465,523 Discounted Cash FlowProjected Collateral Prepayments
0.00% - 25.89% (15.28%)
Projected Collateral Losses
0.00% - 15.37% (0.30%)
Projected Collateral Severities
-14.86% - 10.00% (9.97%)
$4,405 Consensus PricingBroker Quotes
88.57 - 112.89 (102.59)
$6,129 Recent TransactionCost
N/A
Yield
3.42% - 15.00% (5.32%)
Non-Agency RMBS$15,362 Discounted Cash FlowProjected Collateral Prepayments
5.70% - 12.99% (12.63%)
Projected Collateral Losses
0.23% - 2.66% (0.35%)
Projected Collateral Severities
-43.98% - 10.00% (7.32%)
Yield
10.00% - 12.50% (12.10%)
Non-Agency RMBS Interest Only$3,395 Discounted Cash FlowProjected Collateral Prepayments
12.99% - 12.99% (12.99%)
Projected Collateral Losses
0.23% - 0.23% (0.23%)
Projected Collateral Severities
10.00% - 10.00% (10.00%)
AG Arc$53,435 Comparable MultipleBook Value Multiple
1.06x - 1.06x (1.06x)
Liability ClassFair Value at December 31, 2021 (in thousands)Valuation TechniqueUnobservable InputRange
(Weighted Average)
Yield
1.56% - 4.49% (2.15%)
Securitized Debt$(999,215)Discounted Cash FlowProjected Collateral Prepayments
5.86% - 11.05% (9.66%)
Projected Collateral Losses
0.38% - 2.93% (0.83%)
Projected Collateral Severities
6.36% - 12.89% (10.15%)
Yield
3.02% - 3.11% (3.03%)
Derivative Liabilities (2)$(79)Discounted Cash FlowProjected Collateral Prepayments
14.08% - 15.14% (14.23%)
Projected Collateral Losses
0.15% - 0.20% (0.15%)
Projected Collateral Severities
10.00% - 10.00% (10.00%)
Pull Through Percentages
90.00% - 95.00% (90.69%)
(1)Amounts are weighted based on fair value.
(2)Derivative liabilities are included in the "Other liabilities" line item on the consolidated balance sheets.