WESTERN ASSET MORTGAGE CAPITAL CORP, 10-Q filed on 5/11/2020
Quarterly Report
v3.20.1
Document and Entity Information - shares
3 Months Ended
Mar. 31, 2020
May 05, 2020
Document and Entity Information    
Entity Registrant Name Western Asset Mortgage Capital Corp  
Entity Central Index Key 0001465885  
Document Type 10-Q  
Document Period End Date Mar. 31, 2020  
Amendment Flag false  
Current Fiscal Year End Date --12-31  
Entity Current Reporting Status Yes  
Entity Filer Category Accelerated Filer  
Entity Small Business false  
Entity Emerging Growth Company false  
Entity Shell Company false  
Entity Common Stock, Shares Outstanding   53,423,876
Document Fiscal Year Focus 2020  
Document Fiscal Period Focus Q1  
v3.20.1
Consolidated Balance Sheets - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Assets:    
Cash and cash equivalents $ 10,342 $ 31,331
Restricted cash 33,229 52,948
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively) 1,309,795 1,375,860
Residential Bridge Loans ($26,050 and $33,269 at fair value and $27,571 and $34,897 pledged as collateral, respectively) 28,634 36,419
Securitized commercial loans, at fair value 477,131 909,040
Commercial Loans, at fair value ($320,308 and $350,213 pledged as collateral, at fair value, respectively) 320,308 370,213
Receivable under reverse repurchase agreements 24,826 0
Investment related receivable ($41,214 and $0 pledged as collateral, respectively) 72,826 19,931
Interest receivable 14,805 19,413
Due from counterparties 117,670 98,947
Derivative assets, at fair value 33,675 5,111
Other assets 5,697 4,509
Total assets 3,203,583 5,160,971
Liabilities:    
Repurchase agreements, net 1,553,715 2,824,801
Convertible senior unsecured notes, net 197,984 197,299
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively) 1,139,121 1,477,454
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively) 6,429 15,001
Due to counterparties 24,811 709
Derivative liability, at fair value 43,967 6,370
Accounts payable and accrued expenses 6,307 3,188
Payable to affiliate 3,237 2,148
Dividend payable 0 16,592
Other liabilities 45,779 52,948
Total liabilities 3,021,350 4,596,510
Commitments and contingencies
Stockholders’ Equity:    
Common stock: $0.01 par value, 500,000,000 shares authorized, 53,423,876 and 53,523,876 outstanding, respectively 535 535
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding 0 0
Treasury stock, at cost, 100,000 and 0 shares held, respectively (578) 0
Additional paid-in capital 889,392 889,227
Retained earnings (accumulated deficit) (707,158) (325,301)
Total Stockholders’ Equity 182,191 564,461
Non-controlling interest 42 0
Total Equity 182,233 564,461
Total Liabilities and Equity 3,203,583 5,160,971
VIE    
Assets:    
Cash and cash equivalents 4,542 7,589
Restricted cash 33,229 52,948
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively) 1,309,795 1,375,860
Securitized commercial loans, at fair value 477,131 909,040
Commercial Loans, at fair value ($320,308 and $350,213 pledged as collateral, at fair value, respectively) 71,684 90,788
Investment related receivable ($41,214 and $0 pledged as collateral, respectively) 24,738 19,138
Interest receivable 10,226 10,829
Other assets 101 90
Total assets 1,959,017 2,501,179
Liabilities:    
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively) 1,139,121 1,477,454
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively) 3,215 3,886
Accounts payable and accrued expenses 128 185
Other liabilities 33,229 52,948
Total liabilities 1,175,693 1,534,473
Agency MBS    
Assets:    
Securities, at fair value 430,628 1,795,255
Non-Agency MBS    
Assets:    
Securities, at fair value 276,606 361,833
Other securities    
Assets:    
Securities, at fair value $ 47,411 $ 80,161
v3.20.1
Consolidated Balance Sheets (Parenthetical) - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Fair value of residential whole-loans pledged as collateral $ 1,309,795 $ 1,375,860
Residential bridge loan, at fair value 26,050 33,269
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively) 27,571 34,897
MBS pledged for borrowings under repurchase agreements 27,571 34,897
Commercial Loans, at fair value 320,308 350,213
Investment related receivable, pledged as collateral 41,214 0
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively) 1,139,121 1,477,454
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively) $ 6,429 $ 15,001
Common stock, par value (in dollars per share) $ 0.01 $ 0.01
Common stock, shares authorized (in shares) 500,000,000 500,000,000
Common stock, shares outstanding (in shares) 53,423,876 53,523,876
Preferred stock, par value (in dollars per share) $ 0.01 $ 0.01
Preferred stock, shares authorized (in shares) 100,000,000 100,000,000
Preferred stock, shares outstanding (in shares) 0 0
Treasury stock, shares held (in shares) 100,000,000 0
Agency MBS    
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars) $ 430,628 $ 1,756,917
Non-Agency MBS    
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars) 265,647 292,613
Other securities    
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars) 47,307 80,031
VIE    
Fair value of residential whole-loans pledged as collateral 1,309,795 1,375,860
Residential bridge loan, at fair value 24,987 31,748
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively) 27,571 34,897
MBS pledged for borrowings under repurchase agreements 27,571 34,897
Commercial Loans, at fair value 71,684 90,788
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively) 1,139,121 1,477,454
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively) 3,215 3,886
Affiliated Entity    
Securitized debt, at fair value 396,824 681,643
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively) 53,527 142,905
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively) $ 536 $ 647
v3.20.1
Consolidated Statements of Operations - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Net Interest Income    
Interest income $ 54,846 $ 52,033
Interest expense (includes $2,164 and $2,338 on securitized debt held by affiliates, respectively) 36,105 36,400
Net Interest Income 18,741 15,633
Other Income (Loss)    
Realized gain (loss) on investments, net 89,186 (5,105)
Other than temporary impairment 0 (1,232)
Unrealized gain (loss), net (296,111) 50,781
Gain (loss) on derivative instruments, net (189,691) (27,148)
Other, net 461 236
Other Income (Loss) (396,155) 17,532
Expenses    
Management fee to affiliate 1,039 1,735
Other operating expenses 1,000 1,598
General and administrative expenses:    
Compensation expense 662 544
Professional fees 1,480 1,215
Other general and administrative expenses 353 185
Total general and administrative expenses 2,495 1,944
Total Expenses 4,534 5,277
Income (loss) before income taxes (381,948) 27,888
Income tax (benefit) provision (93) 12
Net income (loss) (381,855) 27,876
Net income attributable to non-controlling interest 2 0
Net income (loss) $ (381,857) $ 27,876
Net income (loss) per Common Share — Basic (in dollars per share) $ (7.15) $ 0.58
Net income (loss) per Common Share — Diluted (in dollars per share) $ (7.15) $ 0.58
v3.20.1
Consolidated Statements of Operations (Parenthetical) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Interest expense (includes $2,164 and $2,338 on securitized debt held by affiliates, respectively) $ 36,105 $ 36,400
Affiliated Entity    
Interest expense (includes $2,164 and $2,338 on securitized debt held by affiliates, respectively) $ 2,164 $ 2,338
v3.20.1
Consolidated Statements of Changes in Stockholders' Equity - USD ($)
$ in Thousands
Total
Common Stock Outstanding
Additional  Paid-In Capital
Retained  Earnings  (Accumulated Deficit)
Treasury Stock
Parent
Non-Controlling Interest
Beginning balance at Dec. 31, 2018 $ 503,009 $ 481 $ 833,810 $ (331,282) $ 0 $ 503,009 $ 0
Beginning balance (in shares) at Dec. 31, 2018   48,116,379          
Increase (Decrease) in Stockholders' Equity              
Grants of restricted stock (shares)   108,000          
Grants of restricted stock 0 $ 1 (1)        
Vesting of restricted stock 70   70     70  
Net income (loss) 27,876     27,876   27,876  
Dividends declared on common stock (14,949)   36 (14,985)   (14,949)  
Ending balance at Mar. 31, 2019 516,006 $ 482 833,915 (318,391) 0 516,006 0
Ending balance (in shares) at Mar. 31, 2019   48,224,379          
Beginning balance at Dec. 31, 2019 564,461 $ 535 889,227 (325,301) 0 564,461 0
Beginning balance (in shares) at Dec. 31, 2019   53,523,876          
Increase (Decrease) in Stockholders' Equity              
Proceeds from non-controlling interest, net of offering costs 42           42
Vesting of restricted stock 165   165     165  
Treasury stock (in shares)   (100,000)          
Treasury Stock (578)       (578) (578)  
Net income (loss) (381,855)     (381,857)   (381,857) 2
Dividends declared on non-controlling interest (2)           (2)
Ending balance at Mar. 31, 2020 $ 182,233 $ 535 $ 889,392 $ (707,158) $ (578) $ 182,191 $ 42
Ending balance (in shares) at Mar. 31, 2020   53,423,876          
v3.20.1
Consolidated Statements of Cash Flows - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Cash flows from operating activities:    
Net income (loss) $ (381,855) $ 27,876
Adjustments to reconcile net income (loss) to net cash used in operating activities:    
Premium amortization and (discount accretion), net 1,837 357
Amortization of deferred financing costs 646 192
Amortization of discount on convertible senior notes 273 137
Restricted stock amortization 165 70
Interest payments and basis recovered on MAC interest rate swaps 202 337
Premium on purchase of Residential Whole Loans (3,858) (4,882)
Premium on purchase of securitized commercial loans 0 (3,769)
Unrealized (gain) loss, net 296,111 (50,781)
Realized loss on sale of real estate owned ("REO") 267 0
Unrealized (gain) loss on derivative instruments, net 8,807 (11,313)
Other than temporary impairment 0 1,232
Realized (gain) loss on investments, net (89,453) 5,105
Loss on derivatives, net 135 4,889
Changes in operating assets and liabilities:    
Decrease in interest receivable 4,608 1,295
(Increase) decrease in other assets (1,583) 1,219
(Decrease) increase in interest payable (8,572) 1,788
Increase in accounts payable and accrued expenses 3,119 356
Increase (decrease) in payable to affiliate 1,089 (401)
Net cash used in operating activities (168,062) (26,293)
Cash flows from investing activities:    
Purchase of securities (320,997) (24,175)
Proceeds from sale of securities 1,685,381 215,710
Proceeds from sale of REO 1,347 0
Principal repayments and basis recovered on securities 25,454 17,347
Purchase of Residential Whole Loans (109,481) (244,317)
Principal repayments on Residential Whole Loans 77,217 28,293
Purchase of commercial loans 0 (121,188)
Principal repayments on commercial loans 37,638 165
Purchase of securitized commercial loans 0 (900,000)
Principal repayments on securitized commercial loans 154,702 988,714
Principal repayments on Residential Bridge Loans 6,372 80,006
Premium for credit default swaps, net (566) (367)
Net settlements of TBAs 883 0
(Payments on) Proceeds from termination of futures, net 0 (4,503)
Interest payments and basis recovered on MAC interest rate swaps (202) (337)
Due from counterparties (4,120) 0
Payments made on reverse repurchase agreements, net (24,826) 0
Net cash provided by investing activities 1,528,802 35,348
Cash flows from financing activities:    
Payment of offering costs (3) (174)
Repurchase of common stock (578) 0
Proceeds from offering to non-controlling interest, net of offering costs 42 0
Proceeds from repurchase agreement borrowings 5,786,714 5,764,802
Repayments of repurchase agreement borrowings (7,057,810) (5,667,038)
Proceeds from other liabilities 12,549 0
Proceeds from securitized debt 92,828 838,469
Repayments of securitized debt (208,379) (937,805)
Due from counterparties, net (14,603) 1,602
Due to counterparties, net 24,102 3,576
Increase in other liabilities (19,720) 15,369
Dividends paid on common stock (16,590) (14,915)
Net cash (used in) provided by financing activities (1,401,448) 3,886
Net (decrease) increase in cash, cash equivalents and restricted cash (40,708) 12,941
Cash, cash equivalents and restricted cash, beginning of period 84,279 77,795
Cash, cash equivalents and restricted cash, end of period 43,571 90,736
Supplemental disclosure of operating cash flow information:    
Interest paid 43,800 35,519
Supplemental disclosure of non-cash financing/investing activities:    
Securities sold, not settled 47,475 0
Assets of deconsolidated VIE 150,804 0
Liabilities of deconsolidated VIE 143,952 0
Mortgage-backed securities recorded upon deconsolidation 6,852 0
Net unsettled TBAs 612 0
Dividends to non-controlling interest, not paid 0 2
Principal payments of Residential Whole Loans, not settled 22,181 10,546
Principal payments of Residential Bridge Loans, not settled 2,557 22,014
Other assets - Transfer of Bridge Loans to REO 489 0
Total cash, cash equivalents and restricted cash shown in the Consolidated Statements of Cash Flows $ 43,571 $ 90,736
v3.20.1
Organization
3 Months Ended
Mar. 31, 2020
Organization, Consolidation and Presentation of Financial Statements [Abstract]  
Organization Organization
 
Western Asset Mortgage Capital Corporation, a Delaware corporation, and its subsidiaries (the “Company”), commenced operations in May 2012. The Company invests in, finances and manages a diversified portfolio of real estate related securities, Whole Loans and other financial assets.  The Company’s portfolio is comprised of Agency CMBS, Agency RMBS, Non-Agency RMBS, Non-Agency CMBS, Non-Qualified Residential Whole Loans ("Non-QM"), Conforming Residential Whole Loans, Residential Bridge Loans and Commercial Loans. In addition, and to a significantly lesser extent, the Company has invested in other securities including certain Agency obligations that are not technically MBS as well as certain Non U.S. CMBS and in asset-backed securities (“ABS”) investments secured by a portfolio of private student loans.  The Company’s investment strategy is based on Western Asset Management Company, LLC’s (the “Manager”) perspective of which mix of portfolio assets it believes provides the Company with the best risk-reward opportunities at any given time.  The Manager will vary the allocation among various asset classes subject to maintaining the Company’s qualification as a REIT and maintaining its exemption from the Investment Company Act of 1940, as amended (the “1940 Act”).  These restrictions limit the Company’s ability to invest in non-qualifying MBS, non-real estate assets and/or assets which are not secured by real estate.  Accordingly, the Company’s portfolio will continue to be principally invested in qualifying MBS, Whole Loans and other real estate related assets.
 
The Company is externally managed by the Manager, an investment advisor registered with the Securities and Exchange Commission (“SEC”).  The Manager is a wholly-owned subsidiary of Legg Mason, Inc. ("Legg Mason") The Company operates and has elected to be taxed as a real estate investment trust or “REIT” commencing with its taxable year ended December 31, 2012. On February 18, 2020, Franklin Resources, Inc. (“Franklin”) and Legg Mason announced that they had entered into an agreement under which Franklin would acquire Legg Mason and its affiliates, including Western Asset Management Company, LLC.  The transaction is expected to close in the third quarter of 2020 and is subject to customary closing conditions.  Upon completion of the transaction Western Asset Management Company, LLC would become a wholly owned subsidiary of Franklin.
v3.20.1
Basis of Presentation and Summary of Significant Accounting Policies
3 Months Ended
Mar. 31, 2020
Accounting Policies [Abstract]  
Basis of Presentation and Summary of Significant Accounting Policies Basis of Presentation and Summary of Significant Accounting Policies
 
Basis of Presentation and Consolidation
 
The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended March 31, 2020, are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in
conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2019, filed with the SEC on March 6, 2020.
 
The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries and variable interest entities (“VIEs”) in which it is considered the primary beneficiary.  All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation.

Variable Interest Entities
 
VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the 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 of the VIE that could potentially be significant to the VIE.
 
To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers is deemed to have the power to direct the activities of a VIE.
 
To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company.
 
In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed.  If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed.  If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. 
 
Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required.
 
Use of Estimates
 
The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods.  Actual results could differ from those estimates.

Impact of the COVID-19 Pandemic

The outbreak of COVID-19, which the World Health Organization has designated a pandemic, has created unprecedented market disruption and dislocation across fixed income markets. The conditions caused by the pandemic created an extreme lack of liquidity in mortgage markets, combined with forced selling led to swift and dramatic price declines. The
illiquidity was exacerbated by inadequate demand for MBS among primary dealers due to balance sheet constraints. The significant decline in value of the Company's investment portfolio resulted in substantial margin calls from its repurchase agreement counterparties. In order to satisfy the margin calls, the Company sold a significant portion of its investments resulting in a material adverse impact on book value, earnings and financial position.


The full impact of COVID-19 on the mortgage REIT industry, the credit markets and consequently on the Company’s financial condition and results of operations is uncertain and cannot be predicted at the current time as it depends on several factors beyond the control of the Company including, but not limited to (i) the uncertainty around the severity, duration and spread of the outbreak, (ii) the effectiveness of the United States public health response, (iii) the pandemic’s impact on the U.S. and global economies, (iv) the timing, scope and effectiveness of additional governmental responses to the pandemic, including the availability of a treatment or vaccination for COVID-19, (v) the impact of government interventions, and (vi) the negative impact on our borrowers, asset values and cost of capital.

Significant Accounting Policies

        There have been no changes to our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2019, other than the the below new accounting policy.
 
As of January 1, 2020, the Company has adopted ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments or CECL in the first quarter of 2020. The standard significantly changes how entities measure credit losses for most financial assets and certain other instruments that are not measured at fair value through the income statement. The standard replaced the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. Because the Company elected the Fair Value Option on most of its investments, an allowance is recorded rather than reduce the carrying amount, as was done under the “other than temporary impairment model”. The difference between the amortized cost basis and the fair value are recorded in the “Unrealized, gain (loss), net”. The Company performs both qualitative and quantitative analysis factors to determine if a credit loss exist. The qualitative analysis includes assessing the security’s collateral, industry, geographic area, credit enhancement, payment structure, and credit rating. Solely for the purposes of calculating interest income the Company maintains a “shadow allowance” used for determining accretable basis. Subsequent declines in expected cash flows do not create yield adjustments and subsequent improvements in cash flows would first reduce the “shadow allowance” and then be treated as prospective yield adjustments. The “shadow allowance” is an operational account for the purposes of determining and calculating accretable yield and would not be recorded in the Company’s financial statements.
Recently adopted accounting pronouncements

DescriptionAdoption DateEffect on Financial Statements
In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans. In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." This update was issued related to ASU 2016-13 to increase the stakeholders' awareness of the amendments to scope and transition and effective date requirements and to expedite the improvements. In November 2019, the FASB issued ASU 2019-11, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." The amendments in this update clarify or address stakeholders' specific issues about certain aspects of the amendments in Update 2016-13.First quarter 2020.The adoption of this standard did not have a material impact on its consolidated financial statements.
In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits.First quarter 2020.The adoption of this standard did not have a material impact on its consolidated financial statements.
In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments." The amendments in this update represent changes to clarify, correct errors in, or improve the Codification. The amendments should make the Codification easier to understand and easier to apply by eliminating inconsistencies and providing clarification.First quarter 2020.The adoption of this standard did not have a material impact on its consolidated financial statements.
In May 2019, the FASB issued ASU 2019-05, "Financial Instruments-Credit Losses (Topic 326)." The amendments in this Update provide entities that have certain instruments within the scope of Subtopic 326-20 with an option to irrevocably elect the fair value option in the Subtopic 825-10, Financial Instruments-Overall, upon adoption of Topic 326. An entity that elects the fair value option should subsequently apply the guidance in Subtopic 820-10, Fair Value Measurement-Overall, and 825-10.First quarter 2020.The adoption of this standard did not have a material impact on its consolidated financial statements.

Recently issued accounting pronouncements
DescriptionEffective DateEffect on Financial Statements
In January 2020, the FASB issued ASU 2020-01, “Investments-Equity Securities (Topic 321), Investment-Equity Method and Joint Ventures (Topic 323, and Derivatives and Hedging (Topic 815).” The amendments in this Update clarify the interaction of the accounting for equity securities under Topic 321 and investments accounted for under the equity method of accounting in Topic 323 and the accounting for certain forward contracts and purchase options accounted for under Topic 815.First quarter 2021.The Company is evaluating the impact this
standard may have on its consolidated
financial statements.
In March 2020, the FASB issued ASU 2020-04, “Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The amendments in this Update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this Update apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform.
March 12, 2020 through December 31, 2022The Company is evaluating the impact this
standard may have on its consolidated
financial statements.
v3.20.1
Fair Value of Financial Instruments
3 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value of Financial Instruments Fair Value of Financial Instruments
 
The following tables present the Company’s financial instruments carried at fair value as of March 31, 2020 and December 31, 2019, based upon the valuation hierarchy (dollars in thousands):
 
 March 31, 2020
 Fair Value
 Level ILevel IILevel IIITotal
Assets            
Agency CMBS$—  $413,394  $—  $413,394  
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
—  2,792  —  2,792  
Agency RMBS Interest-Only Strips—  —  9,952  9,952  
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
—  —  4,490  4,490  
Subtotal Agency MBS—  416,186  14,442  430,628  
Non-Agency CMBS—  243,444  6,865  250,309  
Non-Agency RMBS—  —  21,123  21,123  
Non-Agency RMBS Interest-Only Strips
—  —  5,174  5,174  
Subtotal Non-Agency MBS—  243,444  33,162  276,606  
Other securities—  40,040  7,371  47,411  
Total mortgage-backed securities and other securities—  699,670  54,975  754,645  
Residential Whole Loans—  —  1,309,795  1,309,795  
Residential Bridge Loans—  —  26,050  26,050  
Securitized commercial loans—  —  477,131  477,131  
Commercial Loans—  —  320,308  320,308  
Derivative assets—  33,675  —  33,675  
Total Assets$—  $733,345  $2,188,259  $2,921,604  
Liabilities    
Derivative liabilities$—  $43,967  $—  $43,967  
Securitized debt—  396,663  161  396,824  
Total Liabilities$—  $440,630  $161  $440,791  
 December 31, 2019
 Fair Value
 Level ILevel IILevel IIITotal
Assets    
Agency CMBS$—  $1,435,477  $—  $1,435,477  
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
—  3,092  —  3,092  
Agency RMBS—  340,771  —  340,771  
Agency RMBS Interest-Only Strips—  —  10,343  10,343  
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
—  —  5,572  5,572  
Subtotal Agency MBS—  1,779,340  15,915  1,795,255  
Non-Agency CMBS—  316,019  —  316,019  
Non-Agency RMBS—  —  38,131  38,131  
Non-Agency RMBS Interest-Only Strips
—  —  7,683  7,683  
Subtotal Non-Agency MBS—  316,019  45,814  361,833  
Other securities—  62,965  17,196  80,161  
Total mortgage-backed securities and other securities—  2,158,324  78,925  2,237,249  
Residential Whole Loans—  —  1,375,860  1,375,860  
Residential Bridge Loans—  —  33,269  33,269  
Securitized commercial loan—  —  370,213  370,213  
Commercial Loans—  —  909,040  909,040  
Derivative assets—  5,111  —  5,111  
Total Assets$—  $2,163,435  $2,767,307  $4,930,742  
Liabilities    
Derivative liabilities$—  $6,370  $—  $6,370  
Securitized debt—  680,586  1,057  681,643  
Total Liabilities$—  $686,956  $1,057  $688,013  
 
When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company will use independent pricing services and if the independent pricing service cannot price a particular asset or liability, the Company will obtain third party broker quotes.  The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the third party broker quotes by comparing the broker quotes for reasonableness to alternate sources when available.  If independent pricing services or third party broker quotes, are not available, the Company determines the fair value of the securities using valuation techniques that use, when possible, current market-based or independently sourced market parameters, such as interest rates and when applicable, estimates of prepayments and credit losses.

In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity ("CFE"), under GAAP and the Company has elected the fair value option for the securitized debt, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE’s financial assets or financial liabilities, whichever is more observable.
Mortgage-backed securities and other securities
 
In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Agency CMBS, given the amount of available observable market data, generally are classified in Level II.  For newly issued Agency CMBS securities that have not settled at period end and do not have a CUSIP yet, the Company utilizes a broker quote due to lack of observable market data. Accordingly these securities are classified in Level III. For Agency IOs, Non-Agency RMBS, CMBS and other securities, to determine whether a security should be a Level II, the securities are grouped by security type and the Manager reviews the internal trade history, for the quarter, for each security type. If there is sufficient trade data above a predetermined threshold of a security type, the Manager determines it has sufficient observable market data and the security will be categorized as a Level II; otherwise, the security is classified as a Level III.
 
Values for the Company’s securities are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments, and are designed to produce a pricing process that is responsive to market conditions. Depending on the type of asset and the underlying collateral, the primary inputs to the model include yields for TBAs, Agency RMBS, the U.S. Treasury market and floating rate indices such as LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. When the third party pricing service cannot adequately price a particular security, the Company utilizes a broker’s quote which is reviewed for reasonableness by the Manager’s pricing group.

Residential Whole Loans and Residential Bridge Loans
 
Values for the Company's Non-QM Residential Whole Loans and Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Residential Whole Loans and Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, delinquencies and fair value of the collateral for collateral dependent loans. The assumption made by the independent third party pricing service includes the market discount rate, yield, default assumption and loss severity. Other inputs and assumptions relevant to the pricing of Residential Whole Loans include FICO scores and prepayment speeds.
As of December 31, 2019, the values for the Conforming Residential Whole Loan Portfolio were based on a third party pricing service valuation model that assigns a loan value using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. As of March 31, 2020, the values for the confirming loans were based on a prices from pool of conforming residential whole loans that traded in April 2020. In addition to pricing the underlying mortgages, the third party pricing service uses a service release premium valuation representing the sale of the right to service the mortgages. Together, the TBA price and service release premium price form the "All-In" price for these mortgages.

The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the company. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III.

Commercial Loans

        Values for the Company's Commercial Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Company's Commercial Loans. The assumptions made by the independent third party pricing vendor include a market discount rate, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions. Due to the inherent uncertainty of such valuation, the fair
values established for commercial loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's commercial loans are classified as a Level III.
 

Securitized commercial loans
 
Values for the Company’s securitized commercial loans are based on the CFE valuation methodology.  Since there is an extremely limited market for the securitized commercial loans, the Company determined the securitized debt is more actively traded and therefore was more observable.  Due to the inherent uncertainty of the securitized commercial loan's valuation, the Company classifies its securitized commercial loans as Level III.

Securitized debt

Values for the Company's securitized debt are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined volume threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III.

Derivatives
 
Values for the Company's derivatives are based upon prices from third party pricing services, whose pricing is subject to review by the Manager’s pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, its currency derivatives, such as swaps and forwards and credit derivatives such as total return swaps, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. No credit valuation adjustment was made in determining the fair value of interest rate derivatives and/or futures contracts for the periods ended March 31, 2020 and December 31, 2019.

Third Party Pricing Data Review
 
The Company performs quarterly reviews of the independent third party pricing data. These reviews may include a review of the valuation methodology used by third party valuation specialists and review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices, utilizing the Manager’s pricing group.  The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations.  If the price change or difference cannot be corroborated, the Manager’s pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted.  To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price.
The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 Fair Value at  Range
March 31, 2020Valuation TechniqueUnobservable InputMinimumMaximumWeighted Average
   
Residential Whole-Loans(2)
1,161,199  Discounted Cash Flow  Yield4.7 %8.9 %6.6 %
Weighted Average Life1.26.62.5
Residential Bridge Loans26,050  Discounted Cash Flow  Yield8.5 %26.3 %
(1)
11.6 %
Weighted Average Life0.21.80.8
Commercial Loans320,308  Discounted Cash Flow  Yield6.5 %14.9 %9.4 %
Weighted Average Life1.22.71.4

 Fair Value at  Range
December 31, 2019Valuation TechniqueUnobservable InputMinimumMaximumWeighted Average
   
Residential Whole-Loans(2)
1,200,566  Discounted Cash Flow  Yield3.4 %7.0 %3.7 %
Weighted Average Life1.47.83.0
Residential Bridge Loans33,269  Discounted Cash Flow  Yield7.5 %27.0 %
(1)
9.8 %
Weighted Average Life0.31.80.8
Commercial Loans370,213  Discounted Cash Flow  Yield4.7 %10.9 %7.5 %
Weighted Average Life0.42.91.6

(1)  Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge Loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher yield to maturity, some of which are greater than 100%.
(2) As of March 31, 2020, excludes $148.6 million of conforming residential whole loans, which were valued based on prices from a pool of conformning residential loans that traded in April 2020. As of December 31, 2019, excludes $175.3 million of Conforming Residential Whole Loans, which were valued using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. As of December 31, 2019, the TBA prices used for valuing the conforming loans range from $101.39 to $107.63.

The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value:
 Three months ended March 31, 2020
$ in thousandsAgency MBSNon-Agency MBSOther SecuritiesResidential 
Whole Loans
Residential
Bridge Loans
Commercial LoansSecuritized 
commercial 
loans
Securitized debt
Beginning balance$15,915  $45,814  $17,196  $1,375,860  $33,269  $370,213  $909,040  $1,057  
Transfers into Level III from Level II—  —  —  —  —  —  —  —  
Transfers from Level III into Level II—  —  (6,482) —  —  —  —  —  
Purchases—  —  —  111,486  —  —  —  —  
Sales and settlements—  (12,702) —  —  —  —  —  —  
Transfers to REO—  —  —  —  (489) —  —  —  
VIE deconsolidation—  6,852  —  —  —  —  (150,804) —  
Principal repayments—  (320) (153) (80,361) (6,408) (37,638) (154,701) —  
Total net gains / losses included in net income
Realized gains/(losses), net on assets—  (16) —  —  (85) —  —  —  
Unrealized gains/(losses), net on assets(1)
(534) (5,835) (3,120) (96,160) (218) (12,462) (127,171) —  
Unrealized (gains)/losses, net on liabilities(2)
—  —  —  —  —  —  —  (377) 
Premium and discount amortization, net
(939) (631) (70) (1,030) (19) 195  767  (519) 
Ending balance$14,442  $33,162  $7,371  $1,309,795  $26,050  $320,308  $477,131  $161  
Unrealized gains/(losses), net on assets held at the end of the period(1)
$(534) $(5,605) $(1,770) $(94,347) $(417) $(12,460) $(68,013) $—  
Unrealized gains/(losses), net on liabilities held at the end of the period(2)
$—  $—  $—  $—  $—  $—  $—  $377  
Three months ended March 31, 2019
$ in thousandsAgency MBSNon-Agency MBSOther SecuritiesResidential 
Whole Loans
Residential
Bridge Loans
Commercial LoansSecuritized 
commercial 
loan
Securitized debt
Beginning balance$19,837  $50,555  $8,951  $1,041,885  $211,999  $216,123  $1,013,511  $2,286  
Transfers into Level III from Level II—  —  8,386  —  —  —  —  —  
Transfers from Level III into Level II—  —  —  —  —  —  —  —  
Purchases—  —  —  248,105  —  121,189  903,770  —  
Sales and settlements—  —  —  —  —  —  —  3,769  
Principal repayments—  (252) —  (28,532) (66,612) (165) (988,714) —  
Total net gains / losses included in net income
0   
Realized gains/(losses), net on assets—  —  —  —  (87) —  —  —  
Other than temporary impairment(25) (241) —  —  —  —  —  —  
Unrealized gains/(losses), net on assets(1)
387  (1,193) 121  5,886  (780) 223  1,349  —  
Unrealized (gains)/losses, net on liabilities(2)
—  —  —  —  —  —  —  (1,970) 
Premium and discount amortization, net
(1,091) (477) (78) (181) (350) 208  (442) (316) 
Ending balance$19,108  $48,392  $17,380  $1,267,163  $144,170  $337,578  $929,474  $3,769  
Unrealized gains/(losses), net on assets held at the end of the period(1)
$387  $(1,193) $121  $6,108  $(780) $223  $1,377  $—  
Unrealized gains/(losses), net on liabilities held at the end of the period(2)
$—  $—  $—  $—  $—  $—  $—  $(28) 


(1)Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.
(2)Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.
Transfers between hierarchy levels for the three months ended March 31, 2020 and March 31, 2019 were based on the availability of sufficient observable inputs. Movements from Level II to Level III was based on the back-testing of historical sales transactions performed by the Manager, which did not provide sufficient observable data to meet Level II versus Level III criteria, resulting in the movement from Level II to Level III. Movements from Level III to Level II was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager, which provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between either Level I and Level II or Level I and Level III for the three months ended March 31, 2020 and March 31, 2019.
 
Other Fair Value Disclosures
 
Certain Residential Bridge Loans, repurchase agreement borrowings, convertible senior unsecured notes and securitized debt are not carried at fair value in the consolidated financial statements. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value as of March 31, 2020 and December 31, 2019 in the consolidated financial statements (dollars in thousands):
March 31, 2020December 31, 2019
Carrying Value Estimated Fair ValueCarrying Value Estimated Fair Value
Assets
Residential Bridge Loans
$2,584  $2,575  $3,150  $3,148  
Total$2,584  $2,575  $3,150  $3,148  
Liabilities
Borrowings under repurchase agreements
$1,553,715  $1,358,436  $2,824,801  $2,829,093  
Convertible senior unsecured notes
197,984  65,801  197,299  209,172  
Securitized debt(1)
747,371  709,366  801,109  810,914  
Total$2,499,070  $2,133,603  $3,823,209  $3,849,179  

(1) Carrying value excludes $5.1 million and $5.3 million of deferred financing costs as of March 31, 2020 and December 31, 2019, respectively.

"Due from counterparties" and "Due to counterparties" in the Company’s Consolidated Balance Sheets are reflected at cost which approximates fair value.
 
Residential Bridge Loans

Values for the Company's Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in loan valuation, utilizing a discounted cash flow valuation model that is calibrated to recent loan trade execution. Their valuation methodology incorporates commonly used market pricing methods, which include the inputs considered most significant to the determination of fair value of the Residential Bridge Loans. The key loan inputs include loan balance, interest rate, loan to value, FICO score, debt to income ratio and delinquencies. The assumption made by the independent third party pricing service includes the market discount rate, prepayment, default assumption and loss severity. The Company reviews the analysis provided by pricing service as well as the key assumptions made available to the Company. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company's loans are classified as Level III.

Borrowings under repurchase agreements

The fair values of the borrowings under repurchase agreements are based on a net present value technique. This method discounts future estimated cash flows using rates the Company determined best estimates current market interest rates that would be offered for loans with similar characteristics and credit quality. The use of different market assumptions or estimation methodologies could have a material effect on the fair value amounts. This fair value measurement is based on observable inputs, and as such, are classified as Level II.

Convertible senior unsecured notes

The fair value of the convertible senior unsecured notes is based on quoted market prices. Accordingly, the Company's convertible senior unsecured notes are classified as Level I.
Securitized debt
 
Values for the Company's securitized debt, related to the securitization of a portion of its Residential Whole Loans, are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates market information and commonly used market pricing methods, which include actual trades and quoted prices for similar or identical instruments. In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Since the securitized debt represents traded debt securities, the Manager's pricing team reviews the trade activity during the quarter for each security to determine the appropriate level within the fair value hierarchy. If there is sufficient trade data above a predetermined threshold, the Manager determines it has sufficient observable market data and the debt security will be categorized as a Level II. If there is not sufficient observable market data the debt security will be categorized as a Level III. At March 31, 2020, there was not sufficient observable market data for the debt to be classified as a Level II, accordingly it was classified as a Level III.
v3.20.1
Mortgage-Backed Securities and other securities
3 Months Ended
Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]  
Mortgage-Backed Securities and other securities Mortgage-Backed Securities and other securities
 
The following tables present certain information about the Company’s investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020 
 Principal
Balance
Unamortized
Premium
(Discount),
net
Amortized
Cost
Unrealized
Gain
Unrealized
Loss
Estimated
Fair Value
Net
Weighted
Average
Coupon 
 
Agency CMBS$369,843  $17,323  $387,166  $26,228  $—  $413,394  3.1 %
Agency CMBS Interest-Only Strips accounted for as derivatives(1) (2)
N/AN/AN/AN/AN/A2,792  0.4 %
Subtotal Agency CMBS369,843  17,323  387,166  26,228  —  416,186  2.3 %
Agency RMBS Interest-Only Strips (1)(2)
N/AN/A8,102  2,165  (315) 9,952  3.1 %
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)
N/AN/AN/AN/AN/A4,490  2.9 %
Subtotal Agency RMBS—  —  8,102  2,165  (315) 14,442  3.0 %
Total Agency MBS369,843  17,323  395,268  28,393  (315) 430,628  2.5 %
Non-Agency RMBS39,261  (15,462) 23,799  302  (2,978) 21,123  4.6 %
Non-Agency RMBS Interest- Only Strips (1)
N/A N/A 7,229   (2,061) 5,174  0.5 %
Subtotal Non-Agency RMBS39,261  (15,462) 31,028  308  (5,039) 26,297  0.9 %
Non-Agency CMBS336,816  (32,685) 304,131  48  (53,870) 250,309  5.3 %
Total Non-Agency MBS376,077  (48,147) 335,159  356  (58,909) 276,606  2.8 %
Other securities (3)
76,482  (8,660) 77,258  —  (29,847) 47,411  6.5 %
Total$822,402  $(39,484) $807,685  $28,749  $(89,071) $754,645  2.8 %
 December 31, 2019 
 Principal
Balance
Unamortized
Premium
(Discount),
net
Discount 
Designated as
Credit Reserve
and OTTI
Amortized
Cost
Unrealized
Gain
Unrealized
Loss
Estimated
Fair Value
Net
Weighted
Average
Coupon 
 
Agency CMBS$1,347,929  $26,514  $—  $1,374,443  $66,832  $(5,798) $1,435,477  3.4 %  
Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2)
N/AN/AN/AN/AN/AN/A3,092  0.4 %  
Subtotal Agency CMBS1,347,929  26,514  —  1,374,443  66,832  (5,798) 1,438,569  3.1 %
Agency RMBS327,814  5,473  —  333,287  7,484  —  340,771  3.5 %  
Agency RMBS Interest-Only Strips (1)
N/AN/AN/A$8,661  $1,820  $(138) $10,343  2.8 %  
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)
N/AN/AN/AN/AN/AN/A5,572  3.0 %  
Subtotal Agency RMBS327,814  5,473  —  341,948  9,304  (138) 356,686  3.3 %  
Total Agency MBS1,675,743  31,987  —  1,716,391  76,136  (5,936) 1,795,255  3.1 %
Non-Agency RMBS52,767  4,492  (20,256) 37,003  1,388  (260) 38,131  4.8 %  
Non-Agency RMBS Interest- Only Strips (1)
N/A N/A  N/A 7,705  636  (658) 7,683  0.6 %  
Subtotal Non-Agency RMBS52,767  4,492  (20,256) 44,708  2,024  (918) 45,814  1.0 %
Non-Agency CMBS354,458  (17,909) (22,016) 314,533  6,359  (4,873) 316,019  5.1 %  
Total Non-Agency MBS407,225  (13,417) (42,272) 359,241  8,383  (5,791) 361,833  2.7 %
Other securities (3)
71,896  (2,437) (6,203) 73,975  6,392  (206) 80,161  6.7 %  
Total$2,154,864  $16,133  $(48,475) $2,149,607  $90,911  $(11,933) $2,237,249  3.1 %

(1) IOs and IIOs have no principal balances and bear interest based on a notional balance.  The notional balance is used solely to determine interest distributions on interest-only class of securities.  At March 31, 2020, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $114.5 million, $420.8 million, $60.8 million and $158.6 million, respectively.  At December 31, 2019, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $121.7 million, $442.4 million, $64.8 million, and $160.2 million, respectively.
(2)  Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.
(3)  Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $9.4 million and $10.7 million, as of March 31, 2020 and December 31, 2019, respectively.
As of March 31, 2020 and December 31, 2019 the weighted average expected remaining term of the MBS and other securities investment portfolio was 8.4 years and 7.9 years, respectively.

Prior to to the adoption of ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” on January 1, 2020, the Company recorded Other Than Temporary Impairment ("OTTI") when the credit quality of the underlying collateral of the beneficial interest deteriorates and or the scheduled payments are faster than previously projected. Accordingly, as of January 1, 2020, a credit loss adjustment, if any, would be reflected in the fair value of these securities and are no longer reported as OTTI in the Consolidated Statements of Operations.

The following table presents the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three months ended March 31, 2019 (dollars in thousands):
 
 Three months ended March 31, 2019
 Discount Designated as
Credit Reserve and
OTTI
Accretable  Discount(1)
Amortizable  Premium(1)
Balance at beginning of period$(53,523) $(29,465) $14,928  
Accretion of discount—  1,277  —  
Amortization of premium—  —  (481) 
Realized credit losses3,001  —  —  
Purchases—  —  —  
Sales2,694  —  (523) 
Net impairment losses recognized in earnings(966) —  —  
Transfers/release of credit reserve(2)
(1,293) 556  737  
Balance at end of period$(50,087) $(27,632) $14,661  

 
(1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security.
(2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium.
The following tables present the fair value and contractual maturities of the Company’s investment securities at March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020
 < or equal to 10
years
> 10 years and < or
equal to 20 years
> 20 years and < or
equal to 30 years
> 30 yearsTotal
Agency CMBS$68,875  $344,519  $—  $—  $413,394  
Agency CMBS Interest-Only Strips, accounted for as derivatives
—  —  —  2,792  2,792  
Agency RMBS Interest-Only Strips1,965  1,924  6,063  —  9,952  
Agency RMBS Interest-Only Strips accounted for as derivatives
545  3,192  753  —  4,490  
Subtotal Agency71,385  349,635  6,816  2,792  430,628  
Non-Agency CMBS69,336  116,300  63,839  834  250,309  
Non-Agency RMBS—  —  7,732  13,391  21,123  
Non-Agency RMBS Interest- Only Strips—  —  744  4,430  5,174  
Subtotal Non-Agency69,336  116,300  72,315  18,655  276,606  
Other securities13,168  10,937  13,126  10,180  47,411  
Total$153,889  $476,872  $92,257  $31,627  $754,645  

 December 31, 2019
 < or equal to 10 
years
> 10 years and < or 
equal to 20 years
> 20 years and < or 
equal to 30 years
> 30 yearsTotal
Agency CMBS$973,189  $462,288  $—  $—  $1,435,477  
Agency CMBS Interest-Only Strips, accounted for as derivatives
—  —  —  3,092  3,092  
Agency RMBS—  —  340,771  —  340,771  
Agency RMBS Interest-Only Strips2,413  1,966  5,964  —  10,343  
Agency RMBS Interest-Only Strips accounted for as derivatives
669  3,893  1,010  —  5,572  
Subtotal Agency976,271  468,147  347,745  3,092  1,795,255  
Non-Agency CMBS89,782  125,282  92,610  8,345  316,019  
Non-Agency RMBS—  —  8,966  29,165  38,131  
Non-Agency RMBS Interest- Only Strips—  —  1,716  5,967  7,683  
Subtotal Non-Agency89,782  125,282  103,292  43,477  361,833  
Other securities25,824  31,823  2,768  19,746  80,161  
Total$1,091,877  $625,252  $453,805  $66,315  $2,237,249  
 
The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2020 and December 31, 2019 (dollars in thousands):
 March 31, 2020
 Less than 12 Months12 Months or MoreTotal
Fair ValueUnrealized
Losses
Number 
of
Securities
Fair ValueUnrealized
Losses
Number 
of
Securities
Fair ValueUnrealized
Losses
Number 
of
Securities
Agency RMBS Interest-Only Strips$731  $(72)  $1,496  $(243)  $2,227  $(315) 10  
Subtotal Agency731  (72)  1,496  (243)  2,227  (315) 10  
Non-Agency CMBS218,447  (51,052) 40  17,146  (2,818)  235,593  (53,870) 45  
Non-Agency RMBS18,993  (2,978)  —  —  —  18,993  (2,978)  
Non-Agency RMBS Interest-Only Strips4,728  (2,061)  —  —  —  4,728  (2,061)  
Subtotal Non-Agency242,168  (56,091) 48  17,146  (2,818)  259,314  (58,909) 53  
Other securities47,411  (29,847) 16  —  —  —  47,411  (29,847) 16  
Total$290,310  $(86,010) 67  $18,642  $(3,061) 12  $308,952  $(89,071) 79  
 
 December 31, 2019
 Less than 12 Months12 Months or MoreTotal
Fair ValueUnrealized
Losses
Number 
of
Securities
Fair ValueUnrealized
Losses
Number 
of
Securities
Fair ValueUnrealized
Losses
Number 
of
Securities
Agency CMBS$214,084  $(5,798) 16  $—  $—  —  $214,084  $(5,798) 16  
Agency RMBS Interest-Only Strips1,376  (43)  1,828  (95)  3,204  (138) 11  
Subtotal Agency215,460  (5,841) 20  1,828  (95)  217,288  (5,936) 27  
Non-Agency CMBS171,650  (4,302) 31  18,069  (571)  189,719  (4,873) 35  
Non-Agency RMBS13,214  (260)  —  —  —  13,214  (260)  
Non-Agency RMBS Interest-Only Strips1,716  (658)  —  —  —  1,716  (658)  
Subtotal Non-Agency186,580  (5,220) 33  18,069  (571)  204,649  (5,791) 37  
Other securities10,512  (206)  —  —  —  10,512  (206)  
Total$412,552  $(11,267) 55  $19,897  $(666) 11  $432,449  $(11,933) 66  
        
The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands):
 
 Three months ended March 31, 2019
Agency RMBS(1)
$25  
Non-Agency CMBS966  
Non-Agency RMBS241  
Total$1,232  

(1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that we had the intent to sell at the end of the period, if applicable.
The following tables present components of interest income on the Company’s MBS and other securities for the three months ended March 31, 2020 and March 31, 2019, respectively (dollars in thousands):
 
 For the three months ended March 31, 2020For the three months ended March 31, 2019
Coupon
Interest
Net (Premium Amortization/Amortization Basis) Discount AmortizationInterest
Income
Coupon
Interest
Net (Premium Amortization/Amortization Basis) Discount AmortizationInterest
Income
Agency CMBS$10,923  $(588) $10,335  $10,989  $(56) $10,933  
Agency RMBS2,756  (842) 1,914  871  (655) 216  
Non-Agency CMBS4,797  968  5,765  3,111  924  4,035  
Non-Agency RMBS1,151  (641) 510  1,207  (477) 730  
Other securities2,805  (1,464) 1,341  2,889  (1,591) 1,298  
Total$22,432  $(2,567) $19,865  $19,067  $(1,855) $17,212  

 
The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three months ended March 31, 2020 and March 31, 2019, respectively (dollars in thousands):
 
 For the three months ended March 31, 2020For the three months ended March 31, 2019
 ProceedsGross GainsGross LossesNet Gain  (Loss)ProceedsGross GainsGross LossesNet Gain (Loss)
Agency CMBS$1,259,032  $94,307  $(6,454) $87,853  $206,710  $—  $(4,189) $(4,189) 
Agency RMBS391,436  10,420  (38) 10,382  —  —  —  —  
Non-Agency CMBS51,940   (8,802) (8,801) 9,000  —  (829) (829) 
Non-Agency RMBS12,702  —  (16) (16) —  —  —  —  
Other securities17,746  113  —  113  —  —  —  —  
Total  $1,732,856  $104,841  $(15,310) $89,531  $215,710  $—  $(5,018) $(5,018) 

 

Unconsolidated CMBS VIEs

The Company’s economic interests held in unconsolidated CMBS VIEs are limited in nature to those of a passive holder of CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts. The Company evaluates its CMBS holdings, for potential consolidation of the securitized trust, in which it owns the most subordinate tranche or a portion of the controlling class. As of March 31, 2020 and December 31, 2019, the Company held eight and ten variable interests in unconsolidated CMBS VIEs, respectively, in which it either owned the most subordinate class or a portion of the controlling class. The Company determined it was not the primary beneficiary and accordingly, the CMBS VIEs were not consolidated in the Company’s consolidated financial statements. As of March 31, 2020 and December 31, 2019, the Company’s maximum exposure to loss from these variable interests did not exceed the carrying value of these investments of $74.6 million and $117.7 million, respectively. These investments are classified in "Non-Agency mortgage-backed securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of March 31, 2020 and December 31, 2019, the Company did not guarantee any obligations of unconsolidated entities or enter into any commitment or intent to provide funding to any such entities.
v3.20.1
Residential Whole-Loans and Bridge Loans
3 Months Ended
Mar. 31, 2020
Variable Interest Entities  
Residential Whole-Loans and Bridge Loans Residential Whole Loans and Bridge Loans
 
Residential Whole-Loan Trust
 
The consolidated financial statements include the consolidation of Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") since it met the definition of a VIE and the Company determined that it was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the
right to receive benefits from the trust that could potentially be significant to the trust.  RMI 2015 Trust has issued a trust certificate that is wholly-owned by the Company and represents the entire beneficial interest in pools of Non-QM Residential Whole Loans held by the trust. As of March 31, 2020 and December 31, 2019, the Company financed the trust certificate with $285.4 million and $209.9 million, respectively, on long-term financing facilities which automatically roll until such time as they are terminated or until certain conditions of default. The financing liability is held outside the trust. The Company classifies the underlying Residential Whole Loans owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation.

        In August 2018, the Company formed Revolving Mortgage Investment Trust 2018-RCR ("RCR Trust") to acquire Conforming Residential Whole Loans. The Company determined that RCR Trust was a VIE and that the Company was the primary beneficiary of the trust because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of March 31, 2020 and December 31, 2019, the Company financed the trust certificate with $155.5 million and $164.3 million, respectively, of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying conforming mortgages owned by the trust in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

        In September 2018, the Company formed Revolving Mortgage Investment Trust 2018-RNR ("RNR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RNR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of March 31, 2020 and December 31, 2019, the Company's trust certificate was financed with $23.3 million and $8.1 million, respectively, of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

In May 2019, the Company completed a residential mortgage-backed securitization comprised of a portion of its Residential Whole Loan portfolio. During the securitization, RMI 2015 Trust and RNR Trust collectively transferred $945.5 million of Non-QM Residential Whole Loans, to a wholly-owned subsidiary of the Company, Arroyo Mortgage Trust 2019-2 ("Arroyo Trust"). The Company issued $919.0 million of mortgage-backed notes and retained all the subordinate and residual debt securities ("Owner Certificates"), which includes the required the 5% eligible risk retention. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company determined that Arroyo Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in the design of the trust and the Company has significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the Arroyo Trust that could potentially be significant to the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany Owner Certificates in consolidation.

        In November 2019, the Company formed Revolving Mortgage Investment Trust 2019-RBR ("RBR Trust") to acquire Non-QM Residential Whole Loans. The Company determined that RBR Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of March 31, 2020 and December 31, 2019, the Company's trust certificate was financed with $91.4 million and $91.7 million of repurchase agreements, which is a liability held outside the trust. The Company classifies the underlying Non-QM Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

Residential Bridge Loan Trust

        In February 2017, The Company formed Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI 2017 Trust") and acquired the trust certificate, which represents the entire beneficial interest in pools of Residential Bridge Loans and certain Residential Whole Loans held by the trust. Residential Bridge Loans are mortgage loans secured by residences, typically short-
term. The Company determined that RMI Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust, has oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of March 31, 2020 and December 31, 2019, the Company financed the trust certificate with $26.5 million and $32.1 million, respectively, of repurchase agreement borrowings, which is a liability held outside the trust. The Company classifies both the underlying Residential Bridge Loans carried at amortized cost and the Residential Bridge Loans that it elected the fair value option in "Residential Bridge Loans" and the Residential Whole Loans in "Residential Whole Loans, at fair value" in the Consolidated Balance Sheets. The Company has eliminated the intercompany trust certificate in consolidation.

Consolidated Residential Whole-Loan and Residential Bridge Loan Trusts
 
The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment.  The five consolidated Residential Whole-Loan trusts collectively hold 3,534 Residential Whole Loans and the consolidated Bridge Loan Trust holds 51 Residential Bridge Loans and nine Residential Whole Loans as of March 31, 2020. 

The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020December 31, 2019
Cash and cash equivalents$4,542  $1,811  
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)1,309,795  1,375,860  
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)27,571  34,897  
Investment related receivable24,738  19,138  
Interest receivable8,517  7,840  
Other assets101  90  
Total assets$1,375,264  $1,439,636  
Securitized debt, net$742,297  $795,811  
Interest payable2,210  2,367  
Accounts payable and accrued expenses122  173  
Total liabilities$744,629  $798,351  

The Company’s risk with respect to its investment in each residential loan trust is limited to its direct ownership in the trust. The Residential Whole Loans, Residential Bridge Loans and Commercial Loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The Company is not contractually required and has not provided any additional financial support to the trusts for the three months ended March 31, 2020 and March 31, 2019. 

The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 Residential Whole Loans, at Fair Value
Residential Bridge Loans, at Fair Value(1)
Residential Bridge Loans, at Amortized Cost(1)
 March 31, 2020December 31, 2019March 31, 2020December 31, 2019March 31, 2020December 31, 2019
Principal balance$1,352,778  $1,325,443  $27,059  $34,041  $2,591  $3,155  
Unamortized premium30,983  28,588  52  79    
Unamortized discount(2,662) (2,839) (7) (13) (10) (11) 
Amortized cost1,381,099  1,351,192  27,104  34,107  2,584  3,150  
Gross unrealized gains227  26,363   10  N/A  N/A  
Gross unrealized losses(71,531) (1,695) (1,057) (848) N/A  N/A  
Fair value$1,309,795  $1,375,860  $26,050  $33,269  N/A  N/A  

 (1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets.

Residential Whole Loans

The Residential Whole Loans have low LTV's and are comprised of 2,963 Non-QM adjustable rate mortgages, 571 conforming fixed rate mortgages and nine investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole Loan investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands):
 
March 31, 2020
   Weighted Average
Current Coupon RateNumber of LoansPrincipal
 Balance
Original LTV
Original 
FICO Score(1)
Expected 
Life (years)(2)
Contractual 
Maturity 
(years)
Coupon 
Rate
3.01 – 4.00%52  $17,940  62.7 %734  2.828.13.9 %
4.01– 5.00%1,716  588,582  61.8 %746  2.328.54.8 %
5.01 – 6.00%1,707  723,264  62.2 %736  2.628.15.4 %
6.01 – 7.00%66  22,477  58.2 %724  3.526.86.2 %
7.01 - 8.00% 515  73.2 %753  4.028.47.1 %
Total3,543  $1,352,778  62.0 %740  2.528.25.1 %

(1)The original FICO score is not available for 282 loans with a principal balance of approximately $94.4 million at March 31, 2020. The Company has excluded these loans from the weighted average computations.
(2)Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust.
 
December 31, 2019
   Weighted Average
Current Coupon RateNumber of LoansPrincipal 
Balance
Original LTV
Original 
FICO Score(1)
Expected 
Life (years)(2)
Contractual 
Maturity 
(years)
Coupon 
Rate
3.01 – 4.00%53  $17,284  61.7 %  736  2.428.03.9 %  
4.01– 5.00%1,689  557,144  61.4 %  744  2.828.54.8 %  
5.01 – 6.00%1,682  713,397  62.0 %  736  3.028.35.4 %  
6.01 – 7.00%103  37,102  54.1 %  727  3.825.36.2 %  
7.01 - 8.00% 516  73.2 %  753  4.728.67.1 %  
Total3,529  $1,325,443  61.5 %  739  3.028.35.2 %  
(1)The original FICO score is not available for 286 loans with a principal balance of approximately $94.6 million at December 31, 2019. The Company has excluded these loans from the weighted average computations.
(2)Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust.

The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at March 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands):

March 31, 2020December 31, 2019
StateState ConcentrationPrincipal BalanceStateState ConcentrationPrincipal Balance
California66.5 %$899,344  California  66.1 %$875,738  
New York15.9 %214,658  New York  16.2 %214,141  
Georgia3.1 %42,506  Georgia  3.4 %45,189  
Florida2.8 %38,154  Florida  2.8 %36,641  
New Jersey2.2 %29,367  New Jersey  2.3 %30,450  
Other9.5 %128,749  Other  9.2 %123,284  
Total100.0 %$1,352,778  Total  100.0 %$1,325,443  



Residential Bridge Loans

The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands):
 
March 31, 2020
c  Weighted Average
Current Coupon RateNumber of LoansPrincipal
Balance
Original LTV
Contractual
Maturity
(months)(1)
Coupon
Rate
7.01 – 9.00%26$17,823  67.4 %4.18.4 %
9.01 – 11.00%228,711  75.2 %4.310.2 %
11.01 – 13.00%62,167  64.3 %2.011.7 %
17.01 – 19.00%2949  75.0 %0.018.0 %
Total56$29,650  69.7 %4.19.5 %

December 31, 2019
   Weighted Average
Current Coupon RateNumber of LoansPrincipal
Balance
Original LTV
Contractual
Maturity
(months)(1)
Coupon
Rate
9.01 – 11.00%36$22,409  70.2 %  5.88.4 %  
11.01 – 13.00%289,972  74.0 %  5.610.1 %  
13.01 – 15.00%92,741  63.1 %  2.011.7 %  
15.01 – 17.00%11,125  75.0 %  0.013.5 %  
17.01 – 19.00%2949  75.0 %  0.018.0 %  
Total7637,196  71.0 %5.69.5 %

(1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero.
The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at March 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands):
  
March 31, 2020December 31, 2019
StateConcentrationPrincipal BalanceStateConcentrationPrincipal Balance
California49.2 %$14,598  California50.4 %$18,763  
New York14.6 %4,323  Washington13.1 %4,863  
Washington12.6 %3,748  New York12.1 %4,518  
Florida10.5 %3,128  Florida8.9 %3,296  
New Jersey3.4 %1,004  New Jersey3.8 %1,424  
Other9.7 %2,849  Other11.7 %4,332  
Total100.0 %$29,650  Total100.0 %$37,196  
        
Non-performing Loans

The following table presents the aging of the Residential Whole Loans and Bridge Loans as of March 31, 2020 (dollars in thousands):

Residential Whole LoansBridge Loans
No of LoansPrincipalFair ValueNo of LoansPrincipal
Fair Value (1)
Current3,462  $1,313,975  $1,272,791  20  $13,124  $13,071  
1-30 days53  22,403  21,522   4,154  4,095  
31-60 days11  5,559  5,357   2,468  2,427  
61-90 days 3,779  3,550   973  926  
90+ days13  7,062  6,575  21  8,931  8,115  
Total3,543  $1,352,778  $1,309,795  56  $29,650  $28,634  

(1) Includes $2.6 million loans carried at amortized cost.

COVID-19 has materially disrupted business operations, resulting in significantly higher levels of unemployment or underemployment. As a result, the Company expects some of its Residential Whole Loan borrowers will experience financial hardship, making it difficult to meet their payment obligations to the Company, leading to requests for forbearance and higher levels of delinquency and potentially defaults. The Company maintains a strong relationship with its servicers and has utilized these relationships to address the potential impacts of COVID-19 pandemic on the Company's Non-QM loans. As of April 30, 2020, the Company had 265 Non-QM loans in forbearance.

Residential Whole Loans

        As of March 31, 2020, there were 13 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $7.1 million and a fair value of $6.6 million. These nonperforming loans represent approximately 0.5% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 62.3%.

As of December 31, 2019, there were 12 Residential Whole Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $7.1 million and a fair value of approximately $6.7 million. These nonperforming loans represent approximately 0.5% of the total outstanding principal balance. These loans are collateral dependent with a weighted average original LTV of 62.1%.
No allowance for credit losses or credit loss expense was recorded as of and for the three months ended March 31, 2020 and March 31, 2019, since the adjustment for credit losses, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent.

Residential Bridge Loans

        As of March 31, 2020, there was one Residential Bridge Loan carried at amortized cost in non-accrual status with an unpaid principal balance of approximately $124 thousand and 20 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of approximately $8.8 million and a fair value of $8.0 million. These nonperforming loans represent approximately 30.1% of the total outstanding Bridge Loans principal balance of $29.7 million. These loans are collateral dependent with a weighted average original LTV of 70.9%.

As of December 31, 2019, there were 27 Residential Bridge Loans carried at fair value in non-accrual status with an unpaid principal balance of $12.1 million and a fair value of $11.4 million. These nonperforming loans represented approximately 32.6 % of the total outstanding Bridge Loans principal balance of $37.2 million. These loans are collateral dependent with a weighted average original LTV of 72.1%.

The Company concluded that an allowance for credit losses was not necessary for loans carried at amortized costs as of and for the three months ended March 31, 2020 and March 31, 2019 since the fair value of the collateral balance less the cost to sell was in excess of the outstanding principal and interest balances. For loans carried at fair value, no allowance for credit losses or credit loss expense was recorded as of and for the three months ended March 31, 2020 and March 31, 2019 since the adjustment for credit losses, if any, would be reflected in the fair value of these loans. The Company stopped accruing interest income for these loan when they became contractually 90 days delinquent.

        As of March 31, 2020, the Company had real estate owned ("REO") properties with an aggregate carrying value of $2.9 million related to foreclosed Bridge Loans. The REO properties are held for sale and accordingly carried at the lower of cost or fair value less cost to sell. The REO properties are classified in "Other assets" in the Consolidated Balance Sheets.
v3.20.1
Commercial Loans
3 Months Ended
Mar. 31, 2020
Noncontrolling Interest [Abstract]  
Commercial Loans Commercial Loans
Securitized Commercial Loans
        
        Securitized commercial loans is comprised of commercial loans from consolidated third party sponsored CMBS VIE's. At March 31, 2020, the Company had variable interests in two CMBS VIEs, CMSC Trust 2015 - Longhouse MZ and RETL 2019-RVP, that it determined it was the primary beneficiary and was required to consolidate. The commercial loans that serve as collateral for the securitized debt issued by these VIE's can only be used to settle the securitized debt. Refer to Note 7 - "Financings" for details on the associated securitized debt. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment.
 
CMSC Trust 2015 - Longhouse MZ
 
In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CMSC Trust 2015 - Longhouse MZ (“CMSC Trust”), with an outstanding balance of $13.4 million and a fair value of $13.3 million at March 31, 2020. The Company determined that CMSC Trust was a VIE and that the Company was the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that the Company believes could potentially be significant to the trust. As the primary beneficiary, the Company was required to consolidate CMSC Trust and accordingly its investment in CMSC Trust was eliminated in consolidation. The CMSC Trust holds a $23.9 million mezzanine loan collateralized by interests in commercial real estate.  The mezzanine loan serves as collateral for the $23.9 million of trust certificates issued. Refer to Note 7 - "Financings" for details on the associated securitized debt.

RETL 2019-RVP
RETL 2018 was refinanced with a new securitization RETL 2019-RVP ("RETL 2019 Trust") in March 2019. The Company acquired a $65.3 million interest in the trust certificates issued by the RETL 2019 Trust, including $45.3 million which represents the 5% eligible risk retention certificate. The Company determined that RETL 2019 Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company together with other related party entities own more than 50% of the controlling class. As the primary beneficiary, the Company consolidated RETL 2019 Trust and its investment in the trust certificates (HRR class and a portion of the C class) of RETL 2019 Trust were eliminated in the consolidation. The RETL 2019 Trust holds a commercial loan collateralized by first mortgages, deeds of trusts and interests in commercial real estate. The outstanding principal balance on this commercial loan is $519.7 million as of March 31, 2020. The loan's stated maturity date is March 15, 2021 (subject to the borrower's option to extend the initial stated maturity date for two successive one-year terms) and bears an interest rate of one month LIBOR plus 2.30%.

MRCD 2019-PRKC Mortgage Trust

In December 2019, the Company acquired a $161.4 million interest in the trust certificates issued by the MRCD 2019-PRKC Mortgage Trust ("MRCD Trust"), including $10.5 million which represents the initial controlling class (HRR class). The Company determined that MRCD Trust was a VIE and that the Company was also the primary beneficiary because the Manager was involved in certain aspects of the design of the trust and the Company owns the controlling class. As the primary beneficiary, the Company consolidated MRCD Trust and its investment in the trust certificates (HRR class and a portion of the A class) of MRCD Trust were eliminated in the consolidation.

On March 24, 2020, the Company sold its investments in the A Class certificates of the MRCD Trust. Shortly after the sale, the Company entered into an agreement to irrevocably assign the controlling rights and appointed one of the buyers as the new Directing Holder. As a result, the assets and liabilities of the MRCD Trust were deconsolidated, since the Company no longer has the power to direct the activities that significantly impact the economic performance of the MRCD Trust.

MRCD qualified as a CFE under GAAP and the Company measured both the financial assets and financial liabilities using the fair value of the financial liabilities, since it was more observable. The Company recognized an unrealized loss of $43.7 million in earnings, related to the periodic change in fair value of MRCD's assets and liabilities in March 2020 and prior to deconsolidation. Also, the Company retained the HRR certificates, which were measured at fair value at the date of deconsolidation and is included in the "Non-Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets.

Commercial Loans

        In January 2019, WMC CRE LLC ("CRE LLC"), a wholly-owned subsidiary of the Company, and WMC CRE Mezzanine Loan Subsidiary LCC ("CRE Mezz"), a wholly-owned subsidiary of CRE LLC, were formed for the purpose of acquiring commercial loans.

        The following table presents the commercial loans held by CRE LLC and CRE Mezz as of March 31, 2020 (dollars in thousands):
LoanAcquisition DateLoan TypePrincipal BalanceFair ValueOriginal LTVInterest RateMaturity DateExtension OptionCollateral
CRE 2June 2018Interest-Only First Mortgage30,000  28,779  65%1-Month LIBOR plus 4.5%6/9/2020One-Year ExtensionHotel
CRE 4June 2019Principal & Interest First Mortgage50,000  48,665  75%1-Month LIBOR plus 4.75%1/11/2022Two One-Year ExtensionsNursing Facilities
CRE 5August 2019Interest-Only Mezzanine loan90,000  85,763  58%1-Month LIBOR plus 9.25%6/29/2021Two-Year First Extension and One-Year Second ExtensionEntertainment and Retail
CRE 6September 2019Interest-Only First Mortgage40,000  38,402  63%1-Month LIBOR plus 3.02%8/6/2021Two One-Year ExtensionsRetail
CRE 7December 2019Interest-Only First Mortgage24,535  23,251  62%1-Month LIBOR plus 3.75%11/6/2021Three One-Year ExtensionsHotel
CRE 8December 2019Interest-Only First Mortgage13,207  12,516  62%1-Month LIBOR plus 3.75%11/6/2021Three One-Year ExtensionsHotel
CRE 9December 2019Interest-Only First Mortgage7,259  6,879  62%1-Month LIBOR plus 3.75%11/6/2021Three One-Year ExtensionsHotel
CRE 10December 2019Interest-Only First Mortgage4,425  4,369  79%1-Month LIBOR plus 4.85%12/6/2022NoneAssisted Living
$259,426  $248,624  

Commercial Loan Trust

        In March 2018, the Company formed the Revolving Small Balance Commercial Trust 2018-1 ("RSBC Trust") to acquire commercial real estate mortgage loans. The Company determined that the wholly-owned RSBC Trust was a VIE and that the Company was the primary beneficiary because it was involved in the design of the trust and holds significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of March 31, 2020, the Company financed the trust certificate with $47.5 million of repurchase agreements, which is a liability held outside the trust.

        The following table presents the commercial real estate loans held by RSBC Trust as of March 31, 2020 (dollars in thousands):

LoanAcquisition DateLoan TypePrincipal BalanceFair ValueLTVInterest RateMaturity DateExtension OptionCollateral
SBC 1July 2018Interest-Only First Mortgage$45,188  $44,314  74%
One-Month LIBOR plus 4.25% (1)
7/1/2020Two One-Year ExtensionsNursing Facilities
SBC 4January 2019Interest-Only First Mortgage13,600  13,275  84%
One-Month LIBOR plus 4.0% (2)
12/1/2021One-Year ExtensionApartment Complex
SBC 5January 2019Interest-Only First Mortgage14,362  14,095  49%One-Month LIBOR plus 4.1%7/1/2021NoneNursing Facilities
$73,150  $71,684  

(1) Subject to LIBOR floor of 1.25%.
(2) Subject to LIBOR floor of 2%.

Consolidated Securitized Commercial Loan Trusts and Commercial Loan Trust
 
The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment.  The three consolidated trusts, CMSC Trust, RETL 2019 Trust and RSBC Trust collectively hold five commercial loans as of March 31, 2020. 
The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020December 31, 2019
Cash$—  $5,778  
Restricted cash33,229  52,948  
Securitized commercial loans, at fair value477,131  909,040  
Commercial Loans, at fair value71,684  90,788  
Interest receivable1,709  2,989  
Total assets$583,753  $1,061,543  
Securitized debt, at fair value$396,824  $681,643  
Interest payable1,005  1,519  
Accounts payable and accrued expenses 12  
Other liabilities33,229  52,948  
Total liabilities$431,064  $736,122  

The Company’s risk with respect to its investment in each commercial loan trust is limited to its direct ownership in the trust. The commercial loans held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The assets of a consolidated trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the trusts for the three months ended March 31, 2020 and March 31, 2019. 

The following table presents the components of the carrying value of the commercial real estate loans as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 CMSC Trust Securitized Commercial Loan,
at Fair Value
RETL Trust Securitized Commercial Loan, at Fair ValueRSBC Trust Commercial Loans, at Fair ValueCommercial Loans, at Fair Value
 March 31, 2020December 31, 2019March 31, 2020December 31, 2019March 31, 2020December 31, 2019March 31, 2020December 31, 2019
Principal balance$23,943  $24,048  $519,735  $674,331  $73,150  $90,788  $259,426  $279,425  
Unamortized premium—  —  1,189  1,836  —  —  —  —  
Unamortized discount—  —  —  —  (110) (215) (203) (294) 
Amortized cost23,943  24,048  520,924  676,167  73,040  90,573  259,223  279,131  
Gross unrealized gains—   —  269  —  215  —  294  
Gross unrealized losses(147) —  (67,589) —  (1,356) —  (10,599) —  
Fair value$23,796  $24,057  $453,335  $676,436  $71,684  $90,788  $248,624  $279,425  

Non-Performing Commercial Loans

The following table presents the aging of the Commercial Loans as of March 31, 2020 (dollars in thousands):
Commercial Loans
No of LoansPrincipalFair Value
Current11$332,576  $320,308  
1-30 days—  —  —  
31-60 days—  —  —  
61-90 days—  —  —  
90+ days—  —  —  
Total11$332,576  $320,308  
The impact of COVID-19 pandemic has adversely impacted a broad range of industries in which the commercial loan borrowers operate and could impair their ability to fulfill their financial obligations to the Company, most significantly hospitality and retail asset. The Company believes its CRE loan sponsors are well capitalized and generally committed to supporting the assets collateralizing its loans. The low average LTV of the Company's commercial loan portfolio of 65.5% as of March 31, 2020 reflects significant equity value that the sponsors are motivated to protect through the COVID-19 disruption. As of April 30, 2020, the Company' had one borrower with a total loan principal balance of $30.0 million request forbearance for one month with an option for further extensions based on the circumstances and upon the Company's approval.
v3.20.1
Financings
3 Months Ended
Mar. 31, 2020
Debt Disclosure [Abstract]  
Financings Financings
Repurchase Agreements

The Company has primarily financed its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to six months.  The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets.  Under the repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires 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, and is referred to as a margin call.  The inability of the Company to post adequate collateral for a margin call by a counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. 

The market disruptions surrounding COVID-19 resulted in the decline of our asset values making, it challenging to obtain repurchase agreement financing with favorable terms or at all. The Company's repurchase agreement counterparties have increased borrowing rates and increased haircuts. The Company expects to continue to expand and diversify its financing sources as an alternative to short term repurchase agreements with daily margin requirements, reducing its exposure to margin volatility.

Certain of the repurchase agreements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company’s portfolio. For the reporting period ended March 31, 2020, the Company breached certain financial statement covenants in repurchase agreements with two counterparties with borrowings outstanding as of May 5, 2020. Both counterparties have waived the breaches until August 1, 2020. In addition, the Company would have been in breach of certain covenants in another seven repurchase agreements with borrowings outstanding as of March 31, 2020, but with respect to those seven agreements, the Company has either modified the covenants or paid off the repurchase agreement borrowings in full.

As of March 31, 2020, the Company had borrowings under 19 of its master repurchase agreements. The following table summarizes certain characteristics of the Company’s repurchase agreements at March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020December 31, 2019
Securities PledgedRepurchase Agreement BorrowingsWeighted Average Interest Rate on Borrowings Outstanding at  end of periodWeighted Average Remaining Maturity (days)Repurchase Agreement BorrowingsWeighted Average Interest Rate on Borrowings Outstanding at end of periodWeighted Average Remaining Maturity (days)
Short Term Borrowings:
Agency CMBS$437,577  1.38 %27$1,352,248  2.05 %  26
Agency RMBS11,852  2.35 %21348,274  1.99 %  52
Non-Agency CMBS214,972  3.04 %24190,390  3.05 %  35
Non-Agency RMBS20,148  3.09 %830,481  3.56 %  9
Residential Whole Loans (1)
272,458  2.99 %129266,294  3.14 %202
Residential Bridge Loans (1)
24,222  3.79 %2829,869  3.93 %  28
Commercial Loans (1)
47,547  3.90 %2862,746  4.04 %  28
Securitized commercial loans (1)
32,803  2.76 %29116,087  3.93 %  49
Other securities53,244  3.15 %2856,762  3.23 %  34
Subtotal1,114,823  2.42 %512,453,151  2.44 %51
Long Term Borrowings:
Residential Whole Loans (1) (2)
285,409  2.67 %1004209,878  3.55 %1358
Commercial Loans (2)
153,549  2.73 %503161,848  3.88 %  590
Subtotal438,958  2.70 %829371,726  3.70 %1024
Repurchase agreements borrowings$1,553,781  2.50 %271$2,824,877  2.61 %179
Less unamortized debt issuance costs66  N/A  N/A76  N/A  N/A
Repurchase agreements borrowings, net$1,553,715  2.50 %271$2,824,801  2.61 %179

(1)Repurchase agreement borrowings on loans owned are through trust certificates.  The trust certificates are eliminated upon consolidation.
(2)Certain Residential Whole Loans and Commercial Loans were financed under two new longer term repurchase agreements. The Company entered into a $700.0 million residential and $200.0 million commercial facility. These facilities automatically roll until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral.

   At March 31, 2020 and December 31, 2019, repurchase agreements collateralized by investments had the following remaining maturities:
 
(dollars in thousands)March 31, 2020December 31, 2019
1 to 29 days695,385  1,480,286  
30 to 59 days244,810  552,786  
60 to 89 days37,699  255,814  
Greater than or equal to 90 days575,887  535,991  
Total$1,553,781  $2,824,877  
At March 31, 2020, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands):
 March 31, 2020
CounterpartyAmount of  Collateral at Risk, at fair valueWeighted Average Remaining Maturity (days)Percentage of  Stockholders’  Equity
Credit Suisse AG, Cayman Islands Branch$143,835  78278.9 %
Barclays Capital Inc. 42,491  2423.3 %
Nomura Securities International, Inc. 31,848  2817.5 %
JP Morgan Securities LLC29,526  2316.2 %

Collateral for Borrowings under Repurchase Agreements

The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020December 31, 2019
 Assets PledgedAccrued Interest Assets Pledged and Accrued InterestAssets PledgedAccrued Interest Assets Pledged and Accrued Interest
Assets pledged for borrowings under repurchase agreements:   
Agency CMBS, at fair value$457,400  $1,036  $458,436  $1,400,230  $3,916  $1,404,146  
Agency RMBS, at fair value14,442  354  14,796  356,687  1,336  358,023  
Non-Agency CMBS, at fair value239,351  1,085  240,436  246,797  951  247,748  
Non-Agency RMBS, at fair value26,296  336  26,632  45,816  414  46,230  
Residential Whole Loans, at fair value(1)
576,769  4,732  581,501  529,495  3,704  533,199  
Residential Bridge Loans(1)
27,571  359  27,930  34,897  471  35,368  
Commercial Loans, at fair value(1)
320,308  1,723  322,031  350,213  1,855  352,068  
Securitized commercial loans, at fair value (1)
39,649  127  39,776  171,640  674  172,314  
Other securities, at fair value47,307  136  47,443  80,031  128  80,159  
Cash (2)
90,540  —  90,540  43,499  —  43,499  
Total$1,839,633  $9,888  $1,849,521  $3,259,305  $13,449  $3,272,754  

(1)Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation.
(2)Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets.

A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At March 31, 2020 and December 31, 2019, investments held by counterparties as security for repurchase agreements totaled approximately $1.7 billion and $3.2 billion, respectively. Cash collateral held by counterparties at March 31, 2020 and December 31, 2019 was approximately $90.5 million and $43.5 million, respectively.  Cash posted by repurchase agreement counterparties at March 31, 2020 and December 31, 2019, was approximately $8.6 million and $709 thousand, respectively.  In addition, at March 31, 2020 and December 31, 2019, the Company held securities with a fair value of $1.8 million and $0, respectively, received as collateral from its repurchase agreement counterparties to satisfy margin requirements.  The Company has the ability to repledge collateral received from its repurchase counterparties.

Convertible Senior Unsecured Notes

        At March 31, 2020, the Company had $205.0 million aggregate principal amount of 6.75% convertible senior unsecured notes outstanding through three issuances. Interest on the notes is paid semiannually. The notes are convertible into,
at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the agreement. The initial conversion rate was 83.1947 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $12.02 per share of common stock. The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by us except during the final three months prior to maturity. 
        
Securitized Debt

CMSC Trust 2015 - Longhouse MZ

CMSC Trust issued $25.0 million in commercial pass-through certificates. The outstanding principal balance of the trust certificates was $23.9 million at March 31, 2020, with a fair value of $23.8 million. The trust certificates bear a fixed interest rate of 8.9% and mature on July 6, 2020. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic change in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net."

The Company owns $13.4 million of the trust certificates which was eliminated in consolidation and the remaining $10.5 million is held by related parties and is carried at a fair value of $10.5 million and recorded in "Securitized debt, net" in the Consolidated Balance Sheets. The securitized debt of the CMSC Trust can only be settled with the commercial loan, with an outstanding principal balance of $23.9 million at March 31, 2020, that serves as collateral for the securitized debt and is non-recourse to the Company.

RETL 2019 Trust

The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at March 31, 2020 (dollars in thousands):
 
ClassesPrincipal BalanceCoupon Fair Value Contractual Maturity
Class A$64,835  1.9%$59,246  3/15/2021
Class B101,200  2.3%87,781  3/15/2021
Class C308,400  2.8%265,490  3/15/2021
Class HRR45,300  9.2%40,658  3/15/2021
Class X-CP(1)
N/A  2.8%130  4/15/2020
Class X-EXT(1)
N/A  N/A31  3/15/2021
$519,735  $453,336  

(1) Class X-CP and Class X-EXT are interest-only classes with an initial notional balance of $308.4 million each.

At March 31, 2020, the Company owned some of the class C certificates with a fair value $26.3 million and the entire class of HRR certificates principal, which are eliminated in consolidation and the remaining RETL debt with a fair value of $386.4 million is recorded in "Securitized debt, net" in the Consolidated Balance Sheets. Of the remaining outstanding principal balance of $443.9 million, excluding the interest-only debt securities, $49.6 million is owned by related parties and $394.2 million is owned by third parties. The securitized debt of the RETL 2019 Trust can only be settled with the commercial loan with an outstanding principal balance of approximately $519.7 million at March 31, 2020, that serves as collateral for the securitized debt and is non-recourse to the Company. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt and accordingly the periodic change in fair value are recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net."

Arroyo Trust
In May 2019, the Company completed a residential mortgage-backed securitization comprised of $945.5 million of Non-QM Residential Whole Loans, issuing $919.0 million of mortgage-backed notes. The Company did not elect the fair value option for these notes and accordingly they are recorded at their principal balance less unamortized deferred financing cost and classified in "Securitized debt, net" in the Consolidated Balance Sheets. The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates at March 31, 2020 (dollars in thousands):
 
ClassesPrincipal BalanceCoupon Carrying ValueContractual Maturity
Offered Notes:
Class A-1$634,467  3.3%$634,464  4/25/2049
Class A-233,996  3.5%33,995  4/25/2049
Class A-353,859  3.8%53,857  4/25/2049
Class M-125,055  4.8%25,055  4/25/2049
Subtotal$747,377  $747,371  
Less: Unamortized Deferred Financing CostsN/A  5,074  
Total$747,377  $742,297  
The Company retained the non-offered securities in the securitization, which include the class B, Class A-IO-S and Class XS certificates. These non-offered securities are eliminated in the consolidation. The securitized debt of the Arroyo Trust can only be settled with the residential loans that serve as collateral for the securitized debt and is non-recourse to the Company. At March 31, 2020, Residential Whole Loans, with an outstanding principal balance of approximately $756.7 million, serve as collateral for the Arroyo Trust's securitized debt. The Company may redeem the offered notes on or after the earlier of (i) the three-year anniversary of the closing date or ii) the date on which the aggregate collateral balance is 20% of the original principal balance. The notes are redeemable at their face value plus accrued interest.
v3.20.1
Derivative Instruments
3 Months Ended
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments Derivative Instruments
On March 3, 2020, the Federal Open Market Committee reduced the target federal funds rate by 50 basis points to 1.00% to 1.25%. This rate was further reduced to a target range of 0.0% to 0.25% on March 16, 2020. These reductions in interest rates and other effects of the COVID-19 outbreak caused volatility in interest rates. As a result, we received significant margin calls on our interest rate swap positions. In this very low interest rate environment the Company's interest rate swaps were no longer effective. In March 2020, the Company terminated fixed-pay interest rate swaps with a notional value of approximately $3.1 billion and variable-pay interest rate with a notional value of approximately $1.9 billion to reduce hedging costs and associated margin volatility.

The Company’s derivatives may include interest rate swaps, swaptions, options, futures contracts, TBAs, Agency and Non-Agency Interest-Only Strips that are classified as derivatives, credit default swaps and total return swaps.
 
The following table summarizes the Company’s derivative instruments at March 31, 2020 and December 31, 2019 (dollars in thousands):
   March 31, 2020December 31, 2019
Derivative InstrumentAccounting DesignationConsolidated Balance Sheets LocationNotional AmountFair ValueNotional AmountFair Value
Interest rate swaps, assetNon-HedgeDerivative assets, at fair value$—  $—  $2,701,000  $3,017  
Swaptions, assetNon-HedgeDerivative assets, at fair value50,000  195  —  —  
Credit default swaps, assetNon-HedgeDerivative assets, at fair value47,260  15,557  60,100  948  
TBA securities, assetNon-HedgeDerivative assets, at fair value778,200  17,923  1,000,000  1,146  
Total derivative instruments, assets   33,675  5,111  
Interest rate swaps, liabilityNon-HedgeDerivative liability, at fair value—  —  1,255,000  (501) 
Swaptions, liabilityNon-HedgeDerivative liability, at fair value255,000  (14) —  —  
Credit default swaps, liabilityNon-HedgeDerivative liability, at fair value97,260  (22,106) 90,900  (3,795) 
TBA securities, liabilityNon-HedgeDerivative liability, at fair value778,200  (21,847) 1,000,000  (2,074) 
Total derivative instruments, liabilities    (43,967) (6,370) 
Total derivative instruments, net   $(10,292) $(1,259) 

        
The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three months ended March 31, 2020 and March 31, 2019 (dollars in thousands):
 
Realized Gain (Loss), net
DescriptionOther Settlements / ExpirationsVariation Margin SettlementReturn (Recovery) of BasisMark-to-Market
Contractual interest income (expense), net(1)
Total
Three months ended March 31, 2020
Interest rate swaps$(262) $(179,759) $262  $(2,515) $(1,395) $(183,669) 
Interest rate swaptions—  —  —  181  —  181  
Interest-Only Strips— accounted for as derivatives
—  —  (545) (839) 636  (748) 
Credit default swaps(1,315) —  —  (2,638) —  (3,953) 
TBAs1,494  —  —  (2,996) —  (1,502) 
Total$(83) $(179,759) $(283) $(8,807) $(759) $(189,691) 
Three months ended March 31, 2019
Interest rate swaps$(3) $(37,838) $1,528  $7,090  $2,755  $(26,468) 
Interest-Only Strips— accounted for as derivatives
—  —  (595) (59) 784  130  
Futures contracts(4,503) —  —  4,657  —  154  
Credit default swap(589) —  —  (375) —  (964) 
Total$(5,095) $(37,838) $933  $11,313  $3,539  $(27,148) 
At March 31, 2020 and December 31, 2019, the Company had cash pledged as collateral for derivatives of approximately $27.1 million and $55.4 million, respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. The Company received cash of approximately $16.3 million and $0 as collateral against derivatives at March 31, 2020 and December 31, 2019, respectively, which is reported in "Due to counterparties" in the Consolidated Balance Sheets.

Interest rate swaps and interest rate swaptions
 
The Company enters into interest rate swaps and interest rate swaptions to mitigate its exposure to higher short-term interest rates in connection with its repurchase agreements.  Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount.  Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps and interest rate swaptions to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. Interest rate swaptions provide the Company the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future.  The Company generally enters into MAC (Market Agreed Coupon) interest rate swaps in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap.  Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements as previously described.
 
The Company has not elected to account for its interest rate swaps as “hedges” under GAAP, accordingly the change in fair value of the interest rate swaps not designated in hedging relationships are recorded together with periodic net interest settlement amounts in "Gain (loss) on derivatives instruments, net" in the Consolidated Statements of Operations.
 
Interest Rate Swaps

The Company did not have any interest rate swaps in its holdings at March 31, 2020. The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of December 31, 2019 (dollars in thousands):
 
 December 31, 2019
Fixed Pay Interest Rate Swap Remaining TermNotional AmountAverage Fixed Pay RateAverage Floating Receive RateAverage Maturity (Years)
1 year or less$200,000  1.8 %  1.9 %  0.4
Greater than 3 years and less than 5 years622,400  2.6 %  1.9 %  4.1
Greater than 5 years1,728,600  2.1 %  2.0 %  8.9
Total$2,551,000  2.2 %  2.0 %  7.1

 December 31, 2019
Variable Pay Interest Rate Swap Remaining TermNotional AmountAverage 
Variable Pay Rate
Average Fixed Receive RateAverage Maturity (Years)
Greater than 1 year and less than 3 years$810,000  2.0 %  2.0 %  1.6
Greater than 3 years and less than 5 years550,000  1.9 %  1.6 %  5.0
Greater than 5 years45,000  1.9 %  2.3 %  19.5
Total$1,405,000  2.0 %  1.9 %  3.5


Interest Rate Swaptions
The following table summarizes the swaptions held by the Company as of March 31, 2020 (dollars in thousands):

March 31, 2020
OptionsUnderlying-Swap
Fixed Pay Rate for Underlying SwapFair ValueWeighted Average Months Until Option ExpirationNotional AmountWeighted Average Swap Term (Years)
1.76 - 2.00%$195  4$50,000  30.0
Total$195  4$50,000  30.0


March 31, 2020
OptionsUnderlying-Swap
Variable Pay Rate for Underlying SwapFair ValueWeighted Average Months Until Option ExpirationNotional AmountWeighted Average Swap Term (Years)
1.26 - 1.50%$(14) 4$255,000  5.0
Total$(14) 4$255,000  5.0

As of December 31, 2019, the Company did not have any swaptions in its derivative holdings.

Futures Contracts
 
From time to time, the Company may enter into Eurodollar, Volatility Index, and U.S. Treasury futures. As of March 31, 2020 and December 31, 2019, the Company had no open futures contracts. 

To-Be-Announced Securities

        The Company purchased or sold TBAs during the three months ended March 31, 2020 and the year ended December 31, 2019.The following is a summary of the Company's TBA positions as of March 31, 2020 and December 31, 2019, reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands):

March 31, 2020December 31, 2019
Notional
Amount
Fair
Value
Notional
Amount
Fair
Value
Purchase contracts, asset$778,200  $17,923  $1,000,000  $1,146  
Sale contracts, liability(778,200) (21,847) (1,000,000) (2,074) 
TBA securities, net$—  $(3,924) $—  $(928) 

        The following table presents additional information about the Company's contracts to purchase and sell TBAs for the three months ended March 31, 2020 (dollars in thousands):

Notional AmountSettlement, Termination,Notional Amount
December 31, 2019AdditionsExpiration or ExerciseMarch 31, 2020
Purchase of TBAs$1,000,000  $4,478,800  $(4,700,600) $778,200  
Sale of TBAs$1,000,000  $4,478,800  $(4,700,600) $778,200  
Interest-Only Strips
 
The Company also invests in Interest-Only Strips. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as an MBS investment in the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, along with any interest received.  The carrying value of these Interest-Only Strips is included in "Agency mortgage-backed securities, at fair value" in the Consolidated Balance Sheets.
 
Credit Default Swaps
        The Company entered into credit default swaps and, in the future, may continue to enter into these types of credit derivatives. Under these instruments, the buyer makes a monthly premium payment over the term of the contract in exchange for the seller making a payment for losses of the reference securities, upon the occurrence of a specified credit event.
v3.20.1
Offsetting Assets and Liabilities
3 Months Ended
Mar. 31, 2020
Offsetting [Abstract]  
Offsetting Assets and Liabilities Offsetting Assets and Liabilities
 
The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at March 31, 2020 and December 31, 2019 (dollars in thousands):
  
March 31, 2020
 Gross 
Amounts
Gross 
Amounts 
Offset in the Consolidated
Balance 
Sheets 
Net Amounts
of Assets 
presented in 
the Consolidated
Balance 
Sheets
Gross Amounts Not Offset in
the Consolidated Balance
Sheets
Net Amount

Description
Financial 
Instruments(1)
Cash 
Collateral (1)
Derivative Assets and Receivable under Reverse Repurchase Agreements
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
$7,282  $—  $7,282  $(7,282) $—  $—  
Derivative asset, at fair value33,675  —  33,675  (18,429) (14,809) 437  
Receivable under reverse repurchase agreements24,826  —  24,826  (20,767) —  4,059  
Total assets$65,783  $—  $65,783  $(46,478) $(14,809) $4,496  
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)
$43,967  $—  $43,967  $(18,429) $(25,538) $—  
Repurchase Agreements(3)
1,553,715  —  1,553,715  (1,534,454) (13,162) 6,099  
Total liabilities$1,597,682  $—  $1,597,682  $(1,552,883) $(38,700) $6,099  


(1)Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions.
(2)Cash collateral pledged against the Company’s derivative counterparties was approximately $27.1 million as of March 31, 2020.
(3)The carrying value of investments pledged against the Company’s repurchase agreements was approximately $1.7 billion as of March 31, 2020.
 
December 31, 2019
 Gross 
Amounts
Gross 
Amounts 
Offset in the Consolidated
Balance 
Sheets 
Net Amounts
of Assets 
presented in 
the Consolidated
Balance 
Sheets
Gross Amounts Not Offset in
the Consolidated Balance
Sheets
Net Amount
Financial 
Instruments(1)
Cash 
Collateral (1)
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
$8,665  $—  $8,665  $(8,665) $—  $—  
Derivative asset, at fair value(2)
5,111  —  5,111  (2,576) —  2,535  
Total derivative assets$13,776  $—  $13,776  $(11,241) $—  $2,535  
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)
$6,370  $—  $6,370  $(2,576) $(2,819) $975  
Repurchase Agreements(4)
2,824,801  —  2,824,801  (2,824,801) —  —  
Total derivative liability$2,831,171  $—  $2,831,171  $(2,827,377) $(2,819) $975  


(1)Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions.
(2)Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts.
(3)Cash collateral pledged against the Company’s derivative counterparties was approximately $55.4 million as of December 31, 2019.
(4)The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.2 billion as of December 31, 2019.

Certain of the Company’s repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of set-off in the event of default or in the event of a bankruptcy of either party to the transaction.
v3.20.1
Related Party Transactions
3 Months Ended
Mar. 31, 2020
Related Party Transactions [Abstract]  
Related Party Transactions Related Party Transactions
 
Management Agreement
 
In connection with the Company’s initial public offering ("IPO") in May 2012, the Company entered into a management agreement (the “Management Agreement”) with the Manager, which describes the services to be provided by the Manager and compensation for such services.  The Manager is responsible for managing the Company’s operations, including: (i) performing all of its day-to-day functions; (ii) determining investment criteria in conjunction with the Board of Directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of the Company’s Board of Directors. Pursuant to the terms of the Management Agreement, the Manager is paid a management fee equal to 1.50% per annum of the Company’s stockholders’ equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. For purposes of calculating the management fee, “stockholders’ equity” means the sum of the net proceeds from any issuances of the Company’s equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings, calculated in accordance with GAAP, at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid for repurchases of the Company’s shares of common stock, excluding any unrealized gains or losses on our investments and derivatives and other non-cash items (excluding OTTI) that have impacted stockholders' equity as reported in the Company’s consolidated 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. However, if the
Company’s stockholders’ equity for any given quarter is negative based on the calculation described above, the Manager will not be entitled to receive any management fee for that quarter.

In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse the Manager for the compensation paid to the Company’s chief financial officer, controller and their staff. Expense reimbursements to the Manager are made in cash on a regular basis. The Company’s reimbursement obligation is not subject to any dollar limitation. Because the Manager’s personnel perform certain legal, accounting, due diligence tasks and other services that outside professionals or outside consultants otherwise would perform, the Manager may be paid or reimbursed for the documented cost of performing such tasks, provided that such costs and reimbursements are in amounts which are no greater than those which would be payable to outside professionals or consultants engaged to perform such services pursuant to agreements negotiated on an arm’s-length basis.
 
The Management Agreement may be amended, supplemented or modified by agreement between the Company and the Manager. The Management Agreement expires on May 16, 2020.  It is automatically renewed for one-year terms on each May 15th unless previously terminated as described below. The Company’s independent directors review the Manager’s performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company’s independent directors, based upon: (i) the Manager’s unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company’s determination that any fees payable to the Manager are not fair, subject to the Manager’s right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company’s independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination.

The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company’s Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company’s independent directors, which is defined as: (i) the Manager’s continued material breach of any provision of the Management Agreement (including the Manager’s failure to comply with the Company’s investment guidelines); (ii) the Manager’s fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager’s gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager.
  For the three months ended March 31, 2020 and March 31, 2019, the Company incurred approximately $1.0 million and approximately $1.7 million in management fees, respectively. The Manager waived the management fee for March 2020 and April 2020 because of the unprecedented market disruption and dislocation across fixed income markets surrounding the uncertainty related to the COVID-19 pandemic. Future waivers, if any, will be at the Manager's discretion.
In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company as defined in the Management Agreement.  For the three months ended March 31, 2020 and March 31, 2019, the Company recorded expenses included in general and administrative expenses totaling approximately $221 thousand and approximately $215 thousand, respectively, related to reimbursable employee costs. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense, are typically included in the Company’s general and administrative expenses in the Consolidated Statements of Operations.  At March 31, 2020 and December 31, 2019, approximately $3.0 million and approximately $2.0 million, respectively, for management fees incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets.  In addition, at March 31, 2020 and December 31, 2019, approximately $232 thousand and approximately $181 thousand, respectively, of reimbursable costs incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets.
v3.20.1
Share-Based Payments
3 Months Ended
Mar. 31, 2020
Share-based Payment Arrangement, Noncash Expense [Abstract]  
Share-Based Payments Share-Based Payments
 
In conjunction with the Company’s IPO and concurrent private placement, the Company’s Board of Directors approved the Western Asset Mortgage Capital Corporation Equity Plan (the “Equity Plan”) and the Western Asset Manager
Equity Plan (the “Manager Equity Plan” and collectively the “Equity Incentive Plans”). The Equity Incentive Plans include provisions for grants of restricted common stock and other equity-based awards to the Manager, its employees and employees of its affiliates and to the Company’s directors, officers and employees. The Company can issue up to 3.0% of the total number of issued and outstanding shares of its common stock (on a fully diluted basis) at the time of each award (other than any shares previously issued or subject to awards made pursuant to one of the Company’s Equity Incentive Plans) under these Equity Incentive Plans. Upon the completion of the Company's most recent secondary public offerings, the number of shares of common stock available under the Equity Incentive Plans increased to 1,582,594. Approximately 895,177 shares have been issued under the Equity Plans with 687,417 shares available for issuance, as of March 31, 2020.

Under the Equity Plan, the Company made the following grants during the three months ended March 31, 2020 and the year ended December 31, 2019:

On March 28, 2019, the Company granted 108,000 shares of restricted common stock to the Manager under the Manager Equity Plan. One-third of the shares vested on March 28, 2020, one-third will vest on March 28, 2021 and the remaining one-third will vest on March 28, 2022.

On June 6, 2019, the Company granted a total of 28,780 shares (7,195 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares will vest in full on June 6, 2020, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company’s Director Deferred Fee Plan (the “Director Deferred Fee Plan”). The Director Deferred Fee Plan permits eligible members of the Company's board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director.

During the three months ended March 31, 2020 and March 31, 2019, 36,000 and zero restricted common shares vested, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan. The Company recognized stock-based compensation expense of approximately $165 thousand and approximately $70 thousand for the three months ended March 31, 2020 and March 31, 2019, respectively. In addition, the Company had unamortized compensation expense of $803 thousand and $968 thousand for equity awards at March 31, 2020 and December 31, 2019, respectively.
 
All restricted common shares granted, other than those whose issuance has been deferred pursuant to the Director Deferred Fee Plan, possess all incidents of ownership, including the right to receive dividends and distributions currently, and the right to vote.  Dividend equivalent payments otherwise allocable to restricted common shares under the Company's Director Deferred Fee Plan are deemed to purchase additional phantom shares of the Company’s common stock that are credited to each participant’s deferral account.  The award agreements include restrictions whereby the restricted shares cannot be sold, assigned, transferred, pledged, hypothecated or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted shares awarded when vested, subject to the grantee’s continuing to provide services to the Company as of the vesting date.  Unvested restricted shares and rights to dividends thereon are forfeited upon termination of the grantee.
 
The following is a summary of restricted common stock vesting dates as of March 31, 2020 and December 31, 2019, including shares whose issuance has been deferred under the Director Deferred Fee Plan: 
 March 31, 2020December 31, 2019
Vesting DateShares VestingShares Vesting
March 2020—  36,000  
June 202031,480  30,592  
March 202136,000  36,000  
March 202236,000  36,000  
 103,480  138,592  
The following table presents information with respect to the Company’s restricted stock for the three months ended March 31, 2020, including shares whose issuance has been deferred under the Director Deferred Fee Plan:
 
March 31, 2020March 31, 2019
 Shares of 
Restricted Stock
Weighted Average 
Grant Date Fair 
Value (1)
Shares of 
Restricted Stock
Weighted Average 
Grant Date Fair 
Value (1)
Outstanding at beginning of period894,289  $15.76  753,973  $16.77  
Granted (2)
888  10.67  108,888  10.50  
Cancelled/forfeited—  —  —  —  
Outstanding at end of period895,177  15.75  862,861  15.98  
Unvested at end of period103,480  $10.29  136,364  $10.56  

(1)The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date.
(2)Includes 888 and 888 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the three months ended March 31, 2020 and March 31, 2019, respectively.
v3.20.1
Stockholders' Equity
3 Months Ended
Mar. 31, 2020
Stockholders' Equity Note [Abstract]  
Stockholders' Equity Stockholders’ Equity
At-The-Market Program
        In April 2017, the Company entered into an equity distribution agreement with JMP Securities LLC under which the Company may offer and sell up to $100.0 million shares of common stock in an At-The-Market equity offering. The Company did not sell any shares under this agreement during the three months ended March 31, 2020.
Stock Repurchase Program 

On December 19, 2019, the Board of Directors of the Company reauthorized its repurchase program of up to 2,700,000 shares of its common stock through December 31, 2021. The previous reauthorization announced on December 21, 2017 of the Company's repurchase program of up to 2,100,000 shares of its common stock expired on December 31, 2019.  Purchases made pursuant to the program will be made in the open market, in privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rules 10b5-1 and 10b-18 of the Securities and Exchange Act of 1934, as amended. The authorization does not obligate the Company to acquire any particular amount of common shares and the program may be suspended or discontinued at the Company’s discretion without prior notice. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. During the three months ended March 31, 2020, the Company repurchased 100,000 shares of common stock pursuant to the authorization. The repurchased stock was not retired and will be accounted for as treasury stock.
 
Dividends
 
To preserve liquidity, the Company announced on March 27, 2020 that it was suspending its first quarter common stock dividend given extraordinary market volatility driven by uncertainty surrounding the COVID-19 pandemic.

The following table presents cash dividends declared and paid by the Company on its common stock:
 
Declaration DateRecord DatePayment DateAmount per ShareTax Characterization
2020   
March 27, 2020N/AN/A$—  N/A
2019
December 19, 2019December 30, 2019January 24, 2020$0.31   Ordinary income
September 19, 2019September 30, 2019October 25, 2019$0.31  Ordinary income
June 20, 2019July 1, 2019July 26, 2019$0.31  Ordinary income
March 21, 2019April 1, 2019April 26, 2019$0.31  Ordinary income
v3.20.1
Net Income per Common Share
3 Months Ended
Mar. 31, 2020
Earnings Per Share [Abstract]  
Net Income per Common Share Net Income per Common Share
 
The table below presents basic and diluted net income per share of common stock using the two-class method for the three months ended March 31, 2020 and March 31, 2019 (dollars, other than shares and per share amounts, in thousands):
 
 For the three months ended March 31, 2020For the three months ended March 31, 2019
Numerator:
  
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share
$(381,857) $27,876  
Less:  
Dividends and undistributed earnings allocated to participating securities
—  70  
Net income (loss) allocable to common stockholders — basic and diluted
$(381,857) $27,806  
Denominator:
  
Weighted average common shares outstanding for basic earnings per share
53,402,623  48,116,379  
Weighted average common shares outstanding for diluted earnings per share
53,402,623  48,116,379  
Basic earnings (loss) per common share$(7.15) $0.58  
Diluted earnings (loss) per common share$(7.15) $0.58  
 
For the three months ended March 31, 2020 and March 31, 2019, the Company excluded the effects of the convertible senior unsecured notes from the computation of diluted earnings per share since the average market value per share of the Company’s common stock was below the exercise price of the convertible senior unsecured notes. For the three months ended March 31, 2019, the Company excluded the effects of the warrants from the computation of diluted earnings per share since the average market value per share of the Company’s common stock was below the exercise price of the warrants.
v3.20.1
Income Taxes
3 Months Ended
Mar. 31, 2020
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 satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income and stock ownership tests.
 
Based on the Company’s analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of March 31, 2020.  The Company files U.S. federal and state income tax returns.  As of March 31, 2020, U.S. federal tax returns filed by the Company for 2018, 2017 and 2016 and state tax returns filed for 2018, 2017, 2016 and 2015 are open for examination pursuant to relevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company’s policy is to classify them as a component of its provision for income taxes.
 
Income Tax Provision

Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more taxable REIT subsidiaries ("TRS"). Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. During the three months ended March 31, 2020 and March 31, 2019, the Company recorded a federal and state tax benefit of $93 thousand and tax provision of $12 thousand, respectively, which is recorded in "Income tax (benefit) provision" in the Consolidated Statements of Operations.

Deferred Tax Asset

As of March 31, 2020 and December 31, 2019, the Company recorded a deferred tax asset of approximately $10.6 million and $8.5 million, respectively, relating to capital loss carryforward and temporary differences as a result of the timing of income recognition of certain investments held in the TRS. The capital loss carryforwards may only be recognized to the extent of capital gains. There is uncertainty as to the TRS ability to recognize capital gains in the future. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized and has recorded a valuation allowance of $10.6 million and $8.5 million as of March 31, 2020 and December 31, 2019, respectively.

In addition, the REIT generated net operating losses ("NOLs") during the three months ended March 31, 2020 and the year ended December 31, 2017, related to its interest rate swap terminations, and for its California return a portion of the NOL's is apportioned to the TRS. The TRS also generated NOLs during the three months ended March 31, 2020. The Company recorded a deferred tax asset relating to the NOLs of $23.4 million and $6.0 million in the REIT and $8.8 million and $1.3 million in the TRS as of March 31, 2020 and December 31, 2019, respectively. The TRS can carryback the NOLs generated during the three months ended March 31, 2020 to each of the five preceding years and the NOLs generated during the year ended December 31, 2017 can be carried back to each of the two preceding years to request a refund for taxes paid. As of March 31, 2020 and December 31, 2019, the Company has concluded it is more likely than not the deferred tax asset relating to the NOLs will not be realized, with the exception of the TRS carryback to 2015, and has recorded a combined valuation allowance of $32.2 million and $6.9 million, respectively. The Company also recorded a deferred federal tax liability of $85 thousand as of December 31, 2019 in anticipation of the receipt of the state tax refund as a result of the carryback of the California NOL. The state tax refund was received during the three months ended March 31, 2020.

Effective Tax Rate

The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to its valuation allowance and the deduction of dividends distributions to be paid under Code Section 857(a).
v3.20.1
Contingencies
3 Months Ended
Mar. 31, 2020
Commitments and Contingencies Disclosure [Abstract]  
Contingencies Contingencies
 
From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at March 31, 2020.
v3.20.1
Subsequent Events
3 Months Ended
Mar. 31, 2020
Subsequent Events [Abstract]  
Subsequent Events Subsequent Events
Financing Arrangements

On April 21, 2020, Western Asset Mortgage Capital Corporation (the “Company”) entered into amendments with respect to certain of its loan warehouse facilities. These amendments mainly served to convert an existing residential whole loan
facility into a term facility by removing any mark to market margin requirements, and to consolidate the Company’s Non-Qualified Mortgage loans, which were previously financed by three separate, unaffiliated counterparties, into a single facility.

The target advance rate under the amended and restated facility will be approximately 84% of the aggregate unpaid principal balance of the loans. The term of the facility is 18 months from the date of the amendment and all principal payments and income generated by the loans during the term of the facility will be used to incrementally repay all obligations thereunder. Upon the securitization or sale by the Company of any whole loan subject to this amended and restated facility, the counterparty will be entitled to receive an exit fee of 0.50% as well as 30% of all realized and projected cash flow on any whole loans above such counterparty’s amortized basis.

The counterparty will have full recourse to the Company and any relevant subsidiary for obligations incurred under this amended and restated whole loan facility. Amendments were also effected to the existing residential whole loan facility and two other facilities held by the same counterparty group to provide such group with cross-collateralization and cross-default benefits across these three facilities. Upon any default, income from loans sold under any of these three facilities will be applied to repay obligations incurred under all three facilities, in an agreed-upon order of priority. The amendments also provide for a uniform set of financial covenants with respect to equity, leverage and liquidity requirements across the three facilities held by this counterparty group.

The Company’s aggregate borrowings from this counterparty group with respect to its residential whole loans are approximately $385 million and the market value of such loans is approximately $430 million.

On May 4, 2020, the Company supplemented one of its existing securities repurchase facilities to confirm terms pursuant to which it will consolidate most of its CMBS and RMBS assets, which are currently financed by multiple counterparties, into a single term facility with limited mark to market margin requirements, as described below. Pursuant to this confirmation, a margin deficit will not occur until such time as the loan to value ratio surpasses a certain threshold (the “LTV Trigger”), on a weighted average basis per asset type, calculated on a portfolio level. If this threshold is reached, the Company may elect to provide cash margin or sell certain assets to the extent necessary to lower the ratio. The term of this facility is 12 months, subject to extensions at the counterparty’s option. All interest income generated by the assets during the term of the facility will be paid to the Company no less often than monthly, with a price differential based on three-month LIBOR plus 5.00% payable to the counterparty quarterly in arrears. Half of all income generated by principal repayments on the underlying assets will be applied to repay the obligations owed to the counterparty, with the remainder paid to the Company, unless the LTV Trigger has occurred, in which case all principal payments will be applied to repay the obligations.

The counterparty has a right of first refusal upon any repurchase by the Company of any asset subject to this confirmation, provided the Company may request the counterparty to solicit third party dealer bids with respect to such sale. All asset sale proceeds less 50% of any excess proceeds over the counterparty’s amortized basis will be applied to repay the obligations owed to the counterparty, with the remainder paid to the Company, unless the LTV Trigger has occurred, in which case all asset sale proceeds will be applied to repay the obligations. Customary bank financing breakage fees are also payable upon the sale of the underlying assets. The confirmation also provides for a certain minimum level of shareholders’ equity and cash, respectively.

The aggregate financing provided by the counterparty with respect to the assets covered under this confirmation is approximately $108.8 million and the market value of such assets is approximately $182.7 million.  

Investment and Leverage

As of April 30, 2020, the Company further reduced repurchase agreement financings by selling approximately $370.3 million Agency MBS, $65.3 million in Non-Agency MBS, $148.6 million in conforming whole loans, and $18.2 million in other securities.
v3.20.1
Basis of Presentation and Summary of Significant Accounting Policies (Policies)
3 Months Ended
Mar. 31, 2020
Accounting Policies [Abstract]  
Basis of Presentation and Consolidation
Basis of Presentation and Consolidation
 
The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended March 31, 2020, are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in
conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2019, filed with the SEC on March 6, 2020.
 
The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries and variable interest entities (“VIEs”) in which it is considered the primary beneficiary.  All intercompany amounts between the Company and its subsidiaries and consolidated VIEs have been eliminated in consolidation.
Variable Interest Entities
Variable Interest Entities
 
VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the 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 of the VIE that could potentially be significant to the VIE.
 
To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes: first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers is deemed to have the power to direct the activities of a VIE.
 
To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company.
 
In instances where the Company and its related parties have variable interests in a VIE, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed.  If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed.  If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group as a whole meets these two criteria, the determination of primary beneficiary within the related party group requires significant judgment. The analysis is based upon qualitative as well as quantitative factors, such as the relationship of the VIE to each of the members of the related-party group, as well as the significance of the VIE's activities to those members, with the objective of determining which party is most closely associated with the VIE. 
 
Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required.
Use of Estimates
Use of Estimates
 
The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods.  Actual results could differ from those estimates.
Recently adopted accounting pronouncements
Recently adopted accounting pronouncements

DescriptionAdoption DateEffect on Financial Statements
In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans. In November 2018, the FASB issued ASU 2018-19, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." This update was issued related to ASU 2016-13 to increase the stakeholders' awareness of the amendments to scope and transition and effective date requirements and to expedite the improvements. In November 2019, the FASB issued ASU 2019-11, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses." The amendments in this update clarify or address stakeholders' specific issues about certain aspects of the amendments in Update 2016-13.First quarter 2020.The adoption of this standard did not have a material impact on its consolidated financial statements.
In August 2018, the FASB issued ASU 2018-13, "Fair Value Measurement (Topic 820), Disclosure Framework-Changes to the Disclosure Requirements for Fair Value Measurement." The amendments in this update modify the disclosure requirements on fair value measurements including the consideration of costs and benefits.First quarter 2020.The adoption of this standard did not have a material impact on its consolidated financial statements.
In April 2019, the FASB issued ASU 2019-04, "Codification Improvements to Topic 326, Financial Instruments-Credit Losses, Topic 815, Derivatives and Hedging, and Topic 825, Financial Instruments." The amendments in this update represent changes to clarify, correct errors in, or improve the Codification. The amendments should make the Codification easier to understand and easier to apply by eliminating inconsistencies and providing clarification.First quarter 2020.The adoption of this standard did not have a material impact on its consolidated financial statements.
In May 2019, the FASB issued ASU 2019-05, "Financial Instruments-Credit Losses (Topic 326)." The amendments in this Update provide entities that have certain instruments within the scope of Subtopic 326-20 with an option to irrevocably elect the fair value option in the Subtopic 825-10, Financial Instruments-Overall, upon adoption of Topic 326. An entity that elects the fair value option should subsequently apply the guidance in Subtopic 820-10, Fair Value Measurement-Overall, and 825-10.First quarter 2020.The adoption of this standard did not have a material impact on its consolidated financial statements.

Recently issued accounting pronouncements
DescriptionEffective DateEffect on Financial Statements
In January 2020, the FASB issued ASU 2020-01, “Investments-Equity Securities (Topic 321), Investment-Equity Method and Joint Ventures (Topic 323, and Derivatives and Hedging (Topic 815).” The amendments in this Update clarify the interaction of the accounting for equity securities under Topic 321 and investments accounted for under the equity method of accounting in Topic 323 and the accounting for certain forward contracts and purchase options accounted for under Topic 815.First quarter 2021.The Company is evaluating the impact this
standard may have on its consolidated
financial statements.
In March 2020, the FASB issued ASU 2020-04, “Reference Rate Reform (Topic 848), Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” The amendments in this Update provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments in this Update apply only to contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform.
March 12, 2020 through December 31, 2022The Company is evaluating the impact this
standard may have on its consolidated
financial statements.
v3.20.1
Fair Value of Financial Instruments (Tables)
3 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Schedule of the entity's financial instruments carried at fair value based upon the valuation hierarchy
The following tables present the Company’s financial instruments carried at fair value as of March 31, 2020 and December 31, 2019, based upon the valuation hierarchy (dollars in thousands):
 
 March 31, 2020
 Fair Value
 Level ILevel IILevel IIITotal
Assets            
Agency CMBS$—  $413,394  $—  $413,394  
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
—  2,792  —  2,792  
Agency RMBS Interest-Only Strips—  —  9,952  9,952  
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
—  —  4,490  4,490  
Subtotal Agency MBS—  416,186  14,442  430,628  
Non-Agency CMBS—  243,444  6,865  250,309  
Non-Agency RMBS—  —  21,123  21,123  
Non-Agency RMBS Interest-Only Strips
—  —  5,174  5,174  
Subtotal Non-Agency MBS—  243,444  33,162  276,606  
Other securities—  40,040  7,371  47,411  
Total mortgage-backed securities and other securities—  699,670  54,975  754,645  
Residential Whole Loans—  —  1,309,795  1,309,795  
Residential Bridge Loans—  —  26,050  26,050  
Securitized commercial loans—  —  477,131  477,131  
Commercial Loans—  —  320,308  320,308  
Derivative assets—  33,675  —  33,675  
Total Assets$—  $733,345  $2,188,259  $2,921,604  
Liabilities    
Derivative liabilities$—  $43,967  $—  $43,967  
Securitized debt—  396,663  161  396,824  
Total Liabilities$—  $440,630  $161  $440,791  
 December 31, 2019
 Fair Value
 Level ILevel IILevel IIITotal
Assets    
Agency CMBS$—  $1,435,477  $—  $1,435,477  
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS
—  3,092  —  3,092  
Agency RMBS—  340,771  —  340,771  
Agency RMBS Interest-Only Strips—  —  10,343  10,343  
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS
—  —  5,572  5,572  
Subtotal Agency MBS—  1,779,340  15,915  1,795,255  
Non-Agency CMBS—  316,019  —  316,019  
Non-Agency RMBS—  —  38,131  38,131  
Non-Agency RMBS Interest-Only Strips
—  —  7,683  7,683  
Subtotal Non-Agency MBS—  316,019  45,814  361,833  
Other securities—  62,965  17,196  80,161  
Total mortgage-backed securities and other securities—  2,158,324  78,925  2,237,249  
Residential Whole Loans—  —  1,375,860  1,375,860  
Residential Bridge Loans—  —  33,269  33,269  
Securitized commercial loan—  —  370,213  370,213  
Commercial Loans—  —  909,040  909,040  
Derivative assets—  5,111  —  5,111  
Total Assets$—  $2,163,435  $2,767,307  $4,930,742  
Liabilities    
Derivative liabilities$—  $6,370  $—  $6,370  
Securitized debt—  680,586  1,057  681,643  
Total Liabilities$—  $686,956  $1,057  $688,013  
Summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments The following tables present a summary of the available quantitative information about the significant unobservable inputs used in the fair value measurement of financial instruments for which the Company has utilized Level III inputs to determine fair value as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 Fair Value at  Range
March 31, 2020Valuation TechniqueUnobservable InputMinimumMaximumWeighted Average
   
Residential Whole-Loans(2)
1,161,199  Discounted Cash Flow  Yield4.7 %8.9 %6.6 %
Weighted Average Life1.26.62.5
Residential Bridge Loans26,050  Discounted Cash Flow  Yield8.5 %26.3 %
(1)
11.6 %
Weighted Average Life0.21.80.8
Commercial Loans320,308  Discounted Cash Flow  Yield6.5 %14.9 %9.4 %
Weighted Average Life1.22.71.4

 Fair Value at  Range
December 31, 2019Valuation TechniqueUnobservable InputMinimumMaximumWeighted Average
   
Residential Whole-Loans(2)
1,200,566  Discounted Cash Flow  Yield3.4 %7.0 %3.7 %
Weighted Average Life1.47.83.0
Residential Bridge Loans33,269  Discounted Cash Flow  Yield7.5 %27.0 %
(1)
9.8 %
Weighted Average Life0.31.80.8
Commercial Loans370,213  Discounted Cash Flow  Yield4.7 %10.9 %7.5 %
Weighted Average Life0.42.91.6

(1)  Yield to maturity is the total return on the loan expressed as an annual rate. Delinquent Bridge Loans that are nearing maturity and with fair value that is significantly less than the principal amount have a higher yield to maturity, some of which are greater than 100%.
(2) As of March 31, 2020, excludes $148.6 million of conforming residential whole loans, which were valued based on prices from a pool of conformning residential loans that traded in April 2020. As of December 31, 2019, excludes $175.3 million of Conforming Residential Whole Loans, which were valued using TBA prices, adjusted for delivery to Fannie Mae using Fannie Mae's loan-level price adjustment matrix. As of December 31, 2019, the TBA prices used for valuing the conforming loans range from $101.39 to $107.63.
Schedule of additional information about the entity's financial instruments, which are measured at fair value on a recurring basis for which the entity has utilized Level III inputs to determine fair value The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value:
 Three months ended March 31, 2020
$ in thousandsAgency MBSNon-Agency MBSOther SecuritiesResidential 
Whole Loans
Residential
Bridge Loans
Commercial LoansSecuritized 
commercial 
loans
Securitized debt
Beginning balance$15,915  $45,814  $17,196  $1,375,860  $33,269  $370,213  $909,040  $1,057  
Transfers into Level III from Level II—  —  —  —  —  —  —  —  
Transfers from Level III into Level II—  —  (6,482) —  —  —  —  —  
Purchases—  —  —  111,486  —  —  —  —  
Sales and settlements—  (12,702) —  —  —  —  —  —  
Transfers to REO—  —  —  —  (489) —  —  —  
VIE deconsolidation—  6,852  —  —  —  —  (150,804) —  
Principal repayments—  (320) (153) (80,361) (6,408) (37,638) (154,701) —  
Total net gains / losses included in net income
Realized gains/(losses), net on assets—  (16) —  —  (85) —  —  —  
Unrealized gains/(losses), net on assets(1)
(534) (5,835) (3,120) (96,160) (218) (12,462) (127,171) —  
Unrealized (gains)/losses, net on liabilities(2)
—  —  —  —  —  —  —  (377) 
Premium and discount amortization, net
(939) (631) (70) (1,030) (19) 195  767  (519) 
Ending balance$14,442  $33,162  $7,371  $1,309,795  $26,050  $320,308  $477,131  $161  
Unrealized gains/(losses), net on assets held at the end of the period(1)
$(534) $(5,605) $(1,770) $(94,347) $(417) $(12,460) $(68,013) $—  
Unrealized gains/(losses), net on liabilities held at the end of the period(2)
$—  $—  $—  $—  $—  $—  $—  $377  
Three months ended March 31, 2019
$ in thousandsAgency MBSNon-Agency MBSOther SecuritiesResidential 
Whole Loans
Residential
Bridge Loans
Commercial LoansSecuritized 
commercial 
loan
Securitized debt
Beginning balance$19,837  $50,555  $8,951  $1,041,885  $211,999  $216,123  $1,013,511  $2,286  
Transfers into Level III from Level II—  —  8,386  —  —  —  —  —  
Transfers from Level III into Level II—  —  —  —  —  —  —  —  
Purchases—  —  —  248,105  —  121,189  903,770  —  
Sales and settlements—  —  —  —  —  —  —  3,769  
Principal repayments—  (252) —  (28,532) (66,612) (165) (988,714) —  
Total net gains / losses included in net income
0   
Realized gains/(losses), net on assets—  —  —  —  (87) —  —  —  
Other than temporary impairment(25) (241) —  —  —  —  —  —  
Unrealized gains/(losses), net on assets(1)
387  (1,193) 121  5,886  (780) 223  1,349  —  
Unrealized (gains)/losses, net on liabilities(2)
—  —  —  —  —  —  —  (1,970) 
Premium and discount amortization, net
(1,091) (477) (78) (181) (350) 208  (442) (316) 
Ending balance$19,108  $48,392  $17,380  $1,267,163  $144,170  $337,578  $929,474  $3,769  
Unrealized gains/(losses), net on assets held at the end of the period(1)
$387  $(1,193) $121  $6,108  $(780) $223  $1,377  $—  
Unrealized gains/(losses), net on liabilities held at the end of the period(2)
$—  $—  $—  $—  $—  $—  $—  $(28) 


(1)Gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.
(2)Gains and losses on securitized debt are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations.
Schedule of fair value, by balance sheet grouping The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value as of March 31, 2020 and December 31, 2019 in the consolidated financial statements (dollars in thousands):
March 31, 2020December 31, 2019
Carrying Value Estimated Fair ValueCarrying Value Estimated Fair Value
Assets
Residential Bridge Loans
$2,584  $2,575  $3,150  $3,148  
Total$2,584  $2,575  $3,150  $3,148  
Liabilities
Borrowings under repurchase agreements
$1,553,715  $1,358,436  $2,824,801  $2,829,093  
Convertible senior unsecured notes
197,984  65,801  197,299  209,172  
Securitized debt(1)
747,371  709,366  801,109  810,914  
Total$2,499,070  $2,133,603  $3,823,209  $3,849,179  

(1) Carrying value excludes $5.1 million and $5.3 million of deferred financing costs as of March 31, 2020 and December 31, 2019, respectively.
v3.20.1
Mortgage-Backed Securities and other securities (Tables)
3 Months Ended
Mar. 31, 2020
Investments, Debt and Equity Securities [Abstract]  
Summary of certain information about the Company's investment portfolio
The following tables present certain information about the Company’s investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020 
 Principal
Balance
Unamortized
Premium
(Discount),
net
Amortized
Cost
Unrealized
Gain
Unrealized
Loss
Estimated
Fair Value
Net
Weighted
Average
Coupon 
 
Agency CMBS$369,843  $17,323  $387,166  $26,228  $—  $413,394  3.1 %
Agency CMBS Interest-Only Strips accounted for as derivatives(1) (2)
N/AN/AN/AN/AN/A2,792  0.4 %
Subtotal Agency CMBS369,843  17,323  387,166  26,228  —  416,186  2.3 %
Agency RMBS Interest-Only Strips (1)(2)
N/AN/A8,102  2,165  (315) 9,952  3.1 %
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)
N/AN/AN/AN/AN/A4,490  2.9 %
Subtotal Agency RMBS—  —  8,102  2,165  (315) 14,442  3.0 %
Total Agency MBS369,843  17,323  395,268  28,393  (315) 430,628  2.5 %
Non-Agency RMBS39,261  (15,462) 23,799  302  (2,978) 21,123  4.6 %
Non-Agency RMBS Interest- Only Strips (1)
N/A N/A 7,229   (2,061) 5,174  0.5 %
Subtotal Non-Agency RMBS39,261  (15,462) 31,028  308  (5,039) 26,297  0.9 %
Non-Agency CMBS336,816  (32,685) 304,131  48  (53,870) 250,309  5.3 %
Total Non-Agency MBS376,077  (48,147) 335,159  356  (58,909) 276,606  2.8 %
Other securities (3)
76,482  (8,660) 77,258  —  (29,847) 47,411  6.5 %
Total$822,402  $(39,484) $807,685  $28,749  $(89,071) $754,645  2.8 %
 December 31, 2019 
 Principal
Balance
Unamortized
Premium
(Discount),
net
Discount 
Designated as
Credit Reserve
and OTTI
Amortized
Cost
Unrealized
Gain
Unrealized
Loss
Estimated
Fair Value
Net
Weighted
Average
Coupon 
 
Agency CMBS$1,347,929  $26,514  $—  $1,374,443  $66,832  $(5,798) $1,435,477  3.4 %  
Agency CMBS Interest-Only Strips accounted for as derivatives (1) (2)
N/AN/AN/AN/AN/AN/A3,092  0.4 %  
Subtotal Agency CMBS1,347,929  26,514  —  1,374,443  66,832  (5,798) 1,438,569  3.1 %
Agency RMBS327,814  5,473  —  333,287  7,484  —  340,771  3.5 %  
Agency RMBS Interest-Only Strips (1)
N/AN/AN/A$8,661  $1,820  $(138) $10,343  2.8 %  
Agency RMBS Interest-Only Strips, accounted for as derivatives (1) (2)
N/AN/AN/AN/AN/AN/A5,572  3.0 %  
Subtotal Agency RMBS327,814  5,473  —  341,948  9,304  (138) 356,686  3.3 %  
Total Agency MBS1,675,743  31,987  —  1,716,391  76,136  (5,936) 1,795,255  3.1 %
Non-Agency RMBS52,767  4,492  (20,256) 37,003  1,388  (260) 38,131  4.8 %  
Non-Agency RMBS Interest- Only Strips (1)
N/A N/A  N/A 7,705  636  (658) 7,683  0.6 %  
Subtotal Non-Agency RMBS52,767  4,492  (20,256) 44,708  2,024  (918) 45,814  1.0 %
Non-Agency CMBS354,458  (17,909) (22,016) 314,533  6,359  (4,873) 316,019  5.1 %  
Total Non-Agency MBS407,225  (13,417) (42,272) 359,241  8,383  (5,791) 361,833  2.7 %
Other securities (3)
71,896  (2,437) (6,203) 73,975  6,392  (206) 80,161  6.7 %  
Total$2,154,864  $16,133  $(48,475) $2,149,607  $90,911  $(11,933) $2,237,249  3.1 %

(1) IOs and IIOs have no principal balances and bear interest based on a notional balance.  The notional balance is used solely to determine interest distributions on interest-only class of securities.  At March 31, 2020, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $114.5 million, $420.8 million, $60.8 million and $158.6 million, respectively.  At December 31, 2019, the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs, accounted for as derivatives was $121.7 million, $442.4 million, $64.8 million, and $160.2 million, respectively.
(2)  Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations.
(3)  Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $9.4 million and $10.7 million, as of March 31, 2020 and December 31, 2019, respectively.
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities
The following table presents the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three months ended March 31, 2019 (dollars in thousands):
 
 Three months ended March 31, 2019
 Discount Designated as
Credit Reserve and
OTTI
Accretable  Discount(1)
Amortizable  Premium(1)
Balance at beginning of period$(53,523) $(29,465) $14,928  
Accretion of discount—  1,277  —  
Amortization of premium—  —  (481) 
Realized credit losses3,001  —  —  
Purchases—  —  —  
Sales2,694  —  (523) 
Net impairment losses recognized in earnings(966) —  —  
Transfers/release of credit reserve(2)
(1,293) 556  737  
Balance at end of period$(50,087) $(27,632) $14,661  

 
(1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security.
(2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium.
Schedule of the fair value and contractual maturities of the Company's investment securities
The following tables present the fair value and contractual maturities of the Company’s investment securities at March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020
 < or equal to 10
years
> 10 years and < or
equal to 20 years
> 20 years and < or
equal to 30 years
> 30 yearsTotal
Agency CMBS$68,875  $344,519  $—  $—  $413,394  
Agency CMBS Interest-Only Strips, accounted for as derivatives
—  —  —  2,792  2,792  
Agency RMBS Interest-Only Strips1,965  1,924  6,063  —  9,952  
Agency RMBS Interest-Only Strips accounted for as derivatives
545  3,192  753  —  4,490  
Subtotal Agency71,385  349,635  6,816  2,792  430,628  
Non-Agency CMBS69,336  116,300  63,839  834  250,309  
Non-Agency RMBS—  —  7,732  13,391  21,123  
Non-Agency RMBS Interest- Only Strips—  —  744  4,430  5,174  
Subtotal Non-Agency69,336  116,300  72,315  18,655  276,606  
Other securities13,168  10,937  13,126  10,180  47,411  
Total$153,889  $476,872  $92,257  $31,627  $754,645  

 December 31, 2019
 < or equal to 10 
years
> 10 years and < or 
equal to 20 years
> 20 years and < or 
equal to 30 years
> 30 yearsTotal
Agency CMBS$973,189  $462,288  $—  $—  $1,435,477  
Agency CMBS Interest-Only Strips, accounted for as derivatives
—  —  —  3,092  3,092  
Agency RMBS—  —  340,771  —  340,771  
Agency RMBS Interest-Only Strips2,413  1,966  5,964  —  10,343  
Agency RMBS Interest-Only Strips accounted for as derivatives
669  3,893  1,010  —  5,572  
Subtotal Agency976,271  468,147  347,745  3,092  1,795,255  
Non-Agency CMBS89,782  125,282  92,610  8,345  316,019  
Non-Agency RMBS—  —  8,966  29,165  38,131  
Non-Agency RMBS Interest- Only Strips—  —  1,716  5,967  7,683  
Subtotal Non-Agency89,782  125,282  103,292  43,477  361,833  
Other securities25,824  31,823  2,768  19,746  80,161  
Total$1,091,877  $625,252  $453,805  $66,315  $2,237,249  
Schedule of gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position
The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at March 31, 2020 and December 31, 2019 (dollars in thousands):
 March 31, 2020
 Less than 12 Months12 Months or MoreTotal
Fair ValueUnrealized
Losses
Number 
of
Securities
Fair ValueUnrealized
Losses
Number 
of
Securities
Fair ValueUnrealized
Losses
Number 
of
Securities
Agency RMBS Interest-Only Strips$731  $(72)  $1,496  $(243)  $2,227  $(315) 10  
Subtotal Agency731  (72)  1,496  (243)  2,227  (315) 10  
Non-Agency CMBS218,447  (51,052) 40  17,146  (2,818)  235,593  (53,870) 45  
Non-Agency RMBS18,993  (2,978)  —  —  —  18,993  (2,978)  
Non-Agency RMBS Interest-Only Strips4,728  (2,061)  —  —  —  4,728  (2,061)  
Subtotal Non-Agency242,168  (56,091) 48  17,146  (2,818)  259,314  (58,909) 53  
Other securities47,411  (29,847) 16  —  —  —  47,411  (29,847) 16  
Total$290,310  $(86,010) 67  $18,642  $(3,061) 12  $308,952  $(89,071) 79  
 
 December 31, 2019
 Less than 12 Months12 Months or MoreTotal
Fair ValueUnrealized
Losses
Number 
of
Securities
Fair ValueUnrealized
Losses
Number 
of
Securities
Fair ValueUnrealized
Losses
Number 
of
Securities
Agency CMBS$214,084  $(5,798) 16  $—  $—  —  $214,084  $(5,798) 16  
Agency RMBS Interest-Only Strips1,376  (43)  1,828  (95)  3,204  (138) 11  
Subtotal Agency215,460  (5,841) 20  1,828  (95)  217,288  (5,936) 27  
Non-Agency CMBS171,650  (4,302) 31  18,069  (571)  189,719  (4,873) 35  
Non-Agency RMBS13,214  (260)  —  —  —  13,214  (260)  
Non-Agency RMBS Interest-Only Strips1,716  (658)  —  —  —  1,716  (658)  
Subtotal Non-Agency186,580  (5,220) 33  18,069  (571)  204,649  (5,791) 37  
Other securities10,512  (206)  —  —  —  10,512  (206)  
Total$412,552  $(11,267) 55  $19,897  $(666) 11  $432,449  $(11,933) 66  
Schedule of other-than-temporary impairments the Company recorded on its securities portfolio
The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands):
 
 Three months ended March 31, 2019
Agency RMBS(1)
$25  
Non-Agency CMBS966  
Non-Agency RMBS241  
Total$1,232  

(1) Other-than-temporary impairment on Agency RMBS includes impairments on Agency RMBS IOs and unrealized loss on Agency RMBS securities that we had the intent to sell at the end of the period, if applicable.
Summary of the components of interest income on the Company's MBS and other securities
The following tables present components of interest income on the Company’s MBS and other securities for the three months ended March 31, 2020 and March 31, 2019, respectively (dollars in thousands):
 
 For the three months ended March 31, 2020For the three months ended March 31, 2019
Coupon
Interest
Net (Premium Amortization/Amortization Basis) Discount AmortizationInterest
Income
Coupon
Interest
Net (Premium Amortization/Amortization Basis) Discount AmortizationInterest
Income
Agency CMBS$10,923  $(588) $10,335  $10,989  $(56) $10,933  
Agency RMBS2,756  (842) 1,914  871  (655) 216  
Non-Agency CMBS4,797  968  5,765  3,111  924  4,035  
Non-Agency RMBS1,151  (641) 510  1,207  (477) 730  
Other securities2,805  (1,464) 1,341  2,889  (1,591) 1,298  
Total$22,432  $(2,567) $19,865  $19,067  $(1,855) $17,212  

 
Schedule of sales and realized gain (loss) of the Company's MBS and other securities
The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities for the three months ended March 31, 2020 and March 31, 2019, respectively (dollars in thousands):
 
 For the three months ended March 31, 2020For the three months ended March 31, 2019
 ProceedsGross GainsGross LossesNet Gain  (Loss)ProceedsGross GainsGross LossesNet Gain (Loss)
Agency CMBS$1,259,032  $94,307  $(6,454) $87,853  $206,710  $—  $(4,189) $(4,189) 
Agency RMBS391,436  10,420  (38) 10,382  —  —  —  —  
Non-Agency CMBS51,940   (8,802) (8,801) 9,000  —  (829) (829) 
Non-Agency RMBS12,702  —  (16) (16) —  —  —  —  
Other securities17,746  113  —  113  —  —  —  —  
Total  $1,732,856  $104,841  $(15,310) $89,531  $215,710  $—  $(5,018) $(5,018) 

 
v3.20.1
Residential Whole-Loans and Bridge Loans - (Tables)
3 Months Ended
Mar. 31, 2020
Variable Interest Entities  
Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets
The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020December 31, 2019
Cash and cash equivalents$4,542  $1,811  
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)1,309,795  1,375,860  
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)27,571  34,897  
Investment related receivable24,738  19,138  
Interest receivable8,517  7,840  
Other assets101  90  
Total assets$1,375,264  $1,439,636  
Securitized debt, net$742,297  $795,811  
Interest payable2,210  2,367  
Accounts payable and accrued expenses122  173  
Total liabilities$744,629  $798,351  
The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020December 31, 2019
Cash$—  $5,778  
Restricted cash33,229  52,948  
Securitized commercial loans, at fair value477,131  909,040  
Commercial Loans, at fair value71,684  90,788  
Interest receivable1,709  2,989  
Total assets$583,753  $1,061,543  
Securitized debt, at fair value$396,824  $681,643  
Interest payable1,005  1,519  
Accounts payable and accrued expenses 12  
Other liabilities33,229  52,948  
Total liabilities$431,064  $736,122  
Schedule of components of the carrying value of Residential Whole-Loans and securitized commercial loan
The following table presents the components of the carrying value of Residential Whole Loans and Residential Bridge Loans as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 Residential Whole Loans, at Fair Value
Residential Bridge Loans, at Fair Value(1)
Residential Bridge Loans, at Amortized Cost(1)
 March 31, 2020December 31, 2019March 31, 2020December 31, 2019March 31, 2020December 31, 2019
Principal balance$1,352,778  $1,325,443  $27,059  $34,041  $2,591  $3,155  
Unamortized premium30,983  28,588  52  79    
Unamortized discount(2,662) (2,839) (7) (13) (10) (11) 
Amortized cost1,381,099  1,351,192  27,104  34,107  2,584  3,150  
Gross unrealized gains227  26,363   10  N/A  N/A  
Gross unrealized losses(71,531) (1,695) (1,057) (848) N/A  N/A  
Fair value$1,309,795  $1,375,860  $26,050  $33,269  N/A  N/A  

 (1) These loans are classified in "Residential Bridge Loans" in the Consolidated Balance Sheets.
Schedule of certain information about the Residential Whole-Loans investment portfolio
The Residential Whole Loans have low LTV's and are comprised of 2,963 Non-QM adjustable rate mortgages, 571 conforming fixed rate mortgages and nine investor fixed rate mortgages. The following tables present certain information about the Company’s Residential Whole Loan investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands):
 
March 31, 2020
   Weighted Average
Current Coupon RateNumber of LoansPrincipal
 Balance
Original LTV
Original 
FICO Score(1)
Expected 
Life (years)(2)
Contractual 
Maturity 
(years)
Coupon 
Rate
3.01 – 4.00%52  $17,940  62.7 %734  2.828.13.9 %
4.01– 5.00%1,716  588,582  61.8 %746  2.328.54.8 %
5.01 – 6.00%1,707  723,264  62.2 %736  2.628.15.4 %
6.01 – 7.00%66  22,477  58.2 %724  3.526.86.2 %
7.01 - 8.00% 515  73.2 %753  4.028.47.1 %
Total3,543  $1,352,778  62.0 %740  2.528.25.1 %

(1)The original FICO score is not available for 282 loans with a principal balance of approximately $94.4 million at March 31, 2020. The Company has excluded these loans from the weighted average computations.
(2)Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust.
 
December 31, 2019
   Weighted Average
Current Coupon RateNumber of LoansPrincipal 
Balance
Original LTV
Original 
FICO Score(1)
Expected 
Life (years)(2)
Contractual 
Maturity 
(years)
Coupon 
Rate
3.01 – 4.00%53  $17,284  61.7 %  736  2.428.03.9 %  
4.01– 5.00%1,689  557,144  61.4 %  744  2.828.54.8 %  
5.01 – 6.00%1,682  713,397  62.0 %  736  3.028.35.4 %  
6.01 – 7.00%103  37,102  54.1 %  727  3.825.36.2 %  
7.01 - 8.00% 516  73.2 %  753  4.728.67.1 %  
Total3,529  $1,325,443  61.5 %  739  3.028.35.2 %  
(1)The original FICO score is not available for 286 loans with a principal balance of approximately $94.6 million at December 31, 2019. The Company has excluded these loans from the weighted average computations.
(2)Excludes the expected lives of the conforming Residential Whole Loans held by RCR Trust.
Schedule of the U.S. states concentration and principal balance of collateral securing residential whole-loans
The following table presents the various states across the United States in which the collateral securing the Company’s Residential Whole Loans at March 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands):

March 31, 2020December 31, 2019
StateState ConcentrationPrincipal BalanceStateState ConcentrationPrincipal Balance
California66.5 %$899,344  California  66.1 %$875,738  
New York15.9 %214,658  New York  16.2 %214,141  
Georgia3.1 %42,506  Georgia  3.4 %45,189  
Florida2.8 %38,154  Florida  2.8 %36,641  
New Jersey2.2 %29,367  New Jersey  2.3 %30,450  
Other9.5 %128,749  Other  9.2 %123,284  
Total100.0 %$1,352,778  Total  100.0 %$1,325,443  
Schedule of residential bridge loans
The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following tables present certain information about the Company’s Residential Bridge Loan investment portfolio at March 31, 2020 and December 31, 2019 (dollars in thousands):
 
March 31, 2020
c  Weighted Average
Current Coupon RateNumber of LoansPrincipal
Balance
Original LTV
Contractual
Maturity
(months)(1)
Coupon
Rate
7.01 – 9.00%26$17,823  67.4 %4.18.4 %
9.01 – 11.00%228,711  75.2 %4.310.2 %
11.01 – 13.00%62,167  64.3 %2.011.7 %
17.01 – 19.00%2949  75.0 %0.018.0 %
Total56$29,650  69.7 %4.19.5 %

December 31, 2019
   Weighted Average
Current Coupon RateNumber of LoansPrincipal
Balance
Original LTV
Contractual
Maturity
(months)(1)
Coupon
Rate
9.01 – 11.00%36$22,409  70.2 %  5.88.4 %  
11.01 – 13.00%289,972  74.0 %  5.610.1 %  
13.01 – 15.00%92,741  63.1 %  2.011.7 %  
15.01 – 17.00%11,125  75.0 %  0.013.5 %  
17.01 – 19.00%2949  75.0 %  0.018.0 %  
Total7637,196  71.0 %5.69.5 %

(1) Non-performing loans that are past their maturity date are excluded from the calculation of the weighted average contractual maturity. The weighted average contractual maturity for these loans is zero.
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans
The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at March 31, 2020 and December 31, 2019, based on principal balance, is located (dollars in thousands):
  
March 31, 2020December 31, 2019
StateConcentrationPrincipal BalanceStateConcentrationPrincipal Balance
California49.2 %$14,598  California50.4 %$18,763  
New York14.6 %4,323  Washington13.1 %4,863  
Washington12.6 %3,748  New York12.1 %4,518  
Florida10.5 %3,128  Florida8.9 %3,296  
New Jersey3.4 %1,004  New Jersey3.8 %1,424  
Other9.7 %2,849  Other11.7 %4,332  
Total100.0 %$29,650  Total100.0 %$37,196  
Financing Receivable, Past Due
The following table presents the aging of the Residential Whole Loans and Bridge Loans as of March 31, 2020 (dollars in thousands):

Residential Whole LoansBridge Loans
No of LoansPrincipalFair ValueNo of LoansPrincipal
Fair Value (1)
Current3,462  $1,313,975  $1,272,791  20  $13,124  $13,071  
1-30 days53  22,403  21,522   4,154  4,095  
31-60 days11  5,559  5,357   2,468  2,427  
61-90 days 3,779  3,550   973  926  
90+ days13  7,062  6,575  21  8,931  8,115  
Total3,543  $1,352,778  $1,309,795  56  $29,650  $28,634  

(1) Includes $2.6 million loans carried at amortized cost.
The following table presents the aging of the Commercial Loans as of March 31, 2020 (dollars in thousands):
Commercial Loans
No of LoansPrincipalFair Value
Current11$332,576  $320,308  
1-30 days—  —  —  
31-60 days—  —  —  
61-90 days—  —  —  
90+ days—  —  —  
Total11$332,576  $320,308  
v3.20.1
Commercial Loans (Tables)
3 Months Ended
Mar. 31, 2020
Noncontrolling Interest [Abstract]  
Schedule of commercial real estate loans held The following table presents the commercial loans held by CRE LLC and CRE Mezz as of March 31, 2020 (dollars in thousands):
LoanAcquisition DateLoan TypePrincipal BalanceFair ValueOriginal LTVInterest RateMaturity DateExtension OptionCollateral
CRE 2June 2018Interest-Only First Mortgage30,000  28,779  65%1-Month LIBOR plus 4.5%6/9/2020One-Year ExtensionHotel
CRE 4June 2019Principal & Interest First Mortgage50,000  48,665  75%1-Month LIBOR plus 4.75%1/11/2022Two One-Year ExtensionsNursing Facilities
CRE 5August 2019Interest-Only Mezzanine loan90,000  85,763  58%1-Month LIBOR plus 9.25%6/29/2021Two-Year First Extension and One-Year Second ExtensionEntertainment and Retail
CRE 6September 2019Interest-Only First Mortgage40,000  38,402  63%1-Month LIBOR plus 3.02%8/6/2021Two One-Year ExtensionsRetail
CRE 7December 2019Interest-Only First Mortgage24,535  23,251  62%1-Month LIBOR plus 3.75%11/6/2021Three One-Year ExtensionsHotel
CRE 8December 2019Interest-Only First Mortgage13,207  12,516  62%1-Month LIBOR plus 3.75%11/6/2021Three One-Year ExtensionsHotel
CRE 9December 2019Interest-Only First Mortgage7,259  6,879  62%1-Month LIBOR plus 3.75%11/6/2021Three One-Year ExtensionsHotel
CRE 10December 2019Interest-Only First Mortgage4,425  4,369  79%1-Month LIBOR plus 4.85%12/6/2022NoneAssisted Living
$259,426  $248,624  
The following table presents the commercial real estate loans held by RSBC Trust as of March 31, 2020 (dollars in thousands):
LoanAcquisition DateLoan TypePrincipal BalanceFair ValueLTVInterest RateMaturity DateExtension OptionCollateral
SBC 1July 2018Interest-Only First Mortgage$45,188  $44,314  74%
One-Month LIBOR plus 4.25% (1)
7/1/2020Two One-Year ExtensionsNursing Facilities
SBC 4January 2019Interest-Only First Mortgage13,600  13,275  84%
One-Month LIBOR plus 4.0% (2)
12/1/2021One-Year ExtensionApartment Complex
SBC 5January 2019Interest-Only First Mortgage14,362  14,095  49%One-Month LIBOR plus 4.1%7/1/2021NoneNursing Facilities
$73,150  $71,684  

(1) Subject to LIBOR floor of 1.25%.
(2) Subject to LIBOR floor of 2%.
Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets
The following table presents a summary of the assets and liabilities of the consolidated residential whole loan trusts and residential bridge loan trust included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020December 31, 2019
Cash and cash equivalents$4,542  $1,811  
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively)1,309,795  1,375,860  
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively)27,571  34,897  
Investment related receivable24,738  19,138  
Interest receivable8,517  7,840  
Other assets101  90  
Total assets$1,375,264  $1,439,636  
Securitized debt, net$742,297  $795,811  
Interest payable2,210  2,367  
Accounts payable and accrued expenses122  173  
Total liabilities$744,629  $798,351  
The following table presents a summary of the assets and liabilities of the three consolidated trusts included in the Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020December 31, 2019
Cash$—  $5,778  
Restricted cash33,229  52,948  
Securitized commercial loans, at fair value477,131  909,040  
Commercial Loans, at fair value71,684  90,788  
Interest receivable1,709  2,989  
Total assets$583,753  $1,061,543  
Securitized debt, at fair value$396,824  $681,643  
Interest payable1,005  1,519  
Accounts payable and accrued expenses 12  
Other liabilities33,229  52,948  
Total liabilities$431,064  $736,122  
Schedule of Carrying Value of the Commercial Real Estate Loans
The following table presents the components of the carrying value of the commercial real estate loans as of March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 CMSC Trust Securitized Commercial Loan,
at Fair Value
RETL Trust Securitized Commercial Loan, at Fair ValueRSBC Trust Commercial Loans, at Fair ValueCommercial Loans, at Fair Value
 March 31, 2020December 31, 2019March 31, 2020December 31, 2019March 31, 2020December 31, 2019March 31, 2020December 31, 2019
Principal balance$23,943  $24,048  $519,735  $674,331  $73,150  $90,788  $259,426  $279,425  
Unamortized premium—  —  1,189  1,836  —  —  —  —  
Unamortized discount—  —  —  —  (110) (215) (203) (294) 
Amortized cost23,943  24,048  520,924  676,167  73,040  90,573  259,223  279,131  
Gross unrealized gains—   —  269  —  215  —  294  
Gross unrealized losses(147) —  (67,589) —  (1,356) —  (10,599) —  
Fair value$23,796  $24,057  $453,335  $676,436  $71,684  $90,788  $248,624  $279,425  
Financing Receivable, Past Due
The following table presents the aging of the Residential Whole Loans and Bridge Loans as of March 31, 2020 (dollars in thousands):

Residential Whole LoansBridge Loans
No of LoansPrincipalFair ValueNo of LoansPrincipal
Fair Value (1)
Current3,462  $1,313,975  $1,272,791  20  $13,124  $13,071  
1-30 days53  22,403  21,522   4,154  4,095  
31-60 days11  5,559  5,357   2,468  2,427  
61-90 days 3,779  3,550   973  926  
90+ days13  7,062  6,575  21  8,931  8,115  
Total3,543  $1,352,778  $1,309,795  56  $29,650  $28,634  

(1) Includes $2.6 million loans carried at amortized cost.
The following table presents the aging of the Commercial Loans as of March 31, 2020 (dollars in thousands):
Commercial Loans
No of LoansPrincipalFair Value
Current11$332,576  $320,308  
1-30 days—  —  —  
31-60 days—  —  —  
61-90 days—  —  —  
90+ days—  —  —  
Total11$332,576  $320,308  
v3.20.1
Financings (Tables)
3 Months Ended
Mar. 31, 2020
Debt Disclosure [Abstract]  
Summary of certain characteristics of the Company's repurchase agreements The following table summarizes certain characteristics of the Company’s repurchase agreements at March 31, 2020 and December 31, 2019 (dollars in thousands): 
 March 31, 2020December 31, 2019
Securities PledgedRepurchase Agreement BorrowingsWeighted Average Interest Rate on Borrowings Outstanding at  end of periodWeighted Average Remaining Maturity (days)Repurchase Agreement BorrowingsWeighted Average Interest Rate on Borrowings Outstanding at end of periodWeighted Average Remaining Maturity (days)
Short Term Borrowings:
Agency CMBS$437,577  1.38 %27$1,352,248  2.05 %  26
Agency RMBS11,852  2.35 %21348,274  1.99 %  52
Non-Agency CMBS214,972  3.04 %24190,390  3.05 %  35
Non-Agency RMBS20,148  3.09 %830,481  3.56 %  9
Residential Whole Loans (1)
272,458  2.99 %129266,294  3.14 %202
Residential Bridge Loans (1)
24,222  3.79 %2829,869  3.93 %  28
Commercial Loans (1)
47,547  3.90 %2862,746  4.04 %  28
Securitized commercial loans (1)
32,803  2.76 %29116,087  3.93 %  49
Other securities53,244  3.15 %2856,762  3.23 %  34
Subtotal1,114,823  2.42 %512,453,151  2.44 %51
Long Term Borrowings:
Residential Whole Loans (1) (2)
285,409  2.67 %1004209,878  3.55 %1358
Commercial Loans (2)
153,549  2.73 %503161,848  3.88 %  590
Subtotal438,958  2.70 %829371,726  3.70 %1024
Repurchase agreements borrowings$1,553,781  2.50 %271$2,824,877  2.61 %179
Less unamortized debt issuance costs66  N/A  N/A76  N/A  N/A
Repurchase agreements borrowings, net$1,553,715  2.50 %271$2,824,801  2.61 %179

(1)Repurchase agreement borrowings on loans owned are through trust certificates.  The trust certificates are eliminated upon consolidation.
(2)Certain Residential Whole Loans and Commercial Loans were financed under two new longer term repurchase agreements. The Company entered into a $700.0 million residential and $200.0 million commercial facility. These facilities automatically roll until such time as they are terminated or until certain conditions of default. The weighted average remaining maturity days was calculated using expected weighted life of the underlying collateral.
Schedule of repurchase agreements collateralized by investments At March 31, 2020 and December 31, 2019, repurchase agreements collateralized by investments had the following remaining maturities:
 
(dollars in thousands)March 31, 2020December 31, 2019
1 to 29 days695,385  1,480,286  
30 to 59 days244,810  552,786  
60 to 89 days37,699  255,814  
Greater than or equal to 90 days575,887  535,991  
Total$1,553,781  $2,824,877  
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty
At March 31, 2020, the following table reflects amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty (dollars in thousands):
 March 31, 2020
CounterpartyAmount of  Collateral at Risk, at fair valueWeighted Average Remaining Maturity (days)Percentage of  Stockholders’  Equity
Credit Suisse AG, Cayman Islands Branch$143,835  78278.9 %
Barclays Capital Inc. 42,491  2423.3 %
Nomura Securities International, Inc. 31,848  2817.5 %
JP Morgan Securities LLC29,526  2316.2 %
Summary of collateral positions, with respect to borrowings under repurchase agreements, securitized debt, derivatives and clearing margin account
The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at March 31, 2020 and December 31, 2019 (dollars in thousands):
 
 March 31, 2020December 31, 2019
 Assets PledgedAccrued Interest Assets Pledged and Accrued InterestAssets PledgedAccrued Interest Assets Pledged and Accrued Interest
Assets pledged for borrowings under repurchase agreements:   
Agency CMBS, at fair value$457,400  $1,036  $458,436  $1,400,230  $3,916  $1,404,146  
Agency RMBS, at fair value14,442  354  14,796  356,687  1,336  358,023  
Non-Agency CMBS, at fair value239,351  1,085  240,436  246,797  951  247,748  
Non-Agency RMBS, at fair value26,296  336  26,632  45,816  414  46,230  
Residential Whole Loans, at fair value(1)
576,769  4,732  581,501  529,495  3,704  533,199  
Residential Bridge Loans(1)
27,571  359  27,930  34,897  471  35,368  
Commercial Loans, at fair value(1)
320,308  1,723  322,031  350,213  1,855  352,068  
Securitized commercial loans, at fair value (1)
39,649  127  39,776  171,640  674  172,314  
Other securities, at fair value47,307  136  47,443  80,031  128  80,159  
Cash (2)
90,540  —  90,540  43,499  —  43,499  
Total$1,839,633  $9,888  $1,849,521  $3,259,305  $13,449  $3,272,754  

(1)Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation.
(2)Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets.
Schedule of commercial mortgage pass-through certificates
The following table summarizes RETL 2019 Trust's commercial mortgage pass-through certificates at March 31, 2020 (dollars in thousands):
 
ClassesPrincipal BalanceCoupon Fair Value Contractual Maturity
Class A$64,835  1.9%$59,246  3/15/2021
Class B101,200  2.3%87,781  3/15/2021
Class C308,400  2.8%265,490  3/15/2021
Class HRR45,300  9.2%40,658  3/15/2021
Class X-CP(1)
N/A  2.8%130  4/15/2020
Class X-EXT(1)
N/A  N/A31  3/15/2021
$519,735  $453,336  

(1) Class X-CP and Class X-EXT are interest-only classes with an initial notional balance of $308.4 million each.
The following table summarizes the issued Arroyo Trust's residential mortgage pass-through certificates at March 31, 2020 (dollars in thousands):
 
ClassesPrincipal BalanceCoupon Carrying ValueContractual Maturity
Offered Notes:
Class A-1$634,467  3.3%$634,464  4/25/2049
Class A-233,996  3.5%33,995  4/25/2049
Class A-353,859  3.8%53,857  4/25/2049
Class M-125,055  4.8%25,055  4/25/2049
Subtotal$747,377  $747,371  
Less: Unamortized Deferred Financing CostsN/A  5,074  
Total$747,377  $742,297  
v3.20.1
Derivative Instruments (Tables)
3 Months Ended
Mar. 31, 2020
Derivative Instruments  
Summary of the entity's derivative instruments
The following table summarizes the Company’s derivative instruments at March 31, 2020 and December 31, 2019 (dollars in thousands):
   March 31, 2020December 31, 2019
Derivative InstrumentAccounting DesignationConsolidated Balance Sheets LocationNotional AmountFair ValueNotional AmountFair Value
Interest rate swaps, assetNon-HedgeDerivative assets, at fair value$—  $—  $2,701,000  $3,017  
Swaptions, assetNon-HedgeDerivative assets, at fair value50,000  195  —  —  
Credit default swaps, assetNon-HedgeDerivative assets, at fair value47,260  15,557  60,100  948  
TBA securities, assetNon-HedgeDerivative assets, at fair value778,200  17,923  1,000,000  1,146  
Total derivative instruments, assets   33,675  5,111  
Interest rate swaps, liabilityNon-HedgeDerivative liability, at fair value—  —  1,255,000  (501) 
Swaptions, liabilityNon-HedgeDerivative liability, at fair value255,000  (14) —  —  
Credit default swaps, liabilityNon-HedgeDerivative liability, at fair value97,260  (22,106) 90,900  (3,795) 
TBA securities, liabilityNon-HedgeDerivative liability, at fair value778,200  (21,847) 1,000,000  (2,074) 
Total derivative instruments, liabilities    (43,967) (6,370) 
Total derivative instruments, net   $(10,292) $(1,259) 
Summary of the effect of entity's derivative instruments reported in gain (loss) on derivative instruments, net on the statements of operations
The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three months ended March 31, 2020 and March 31, 2019 (dollars in thousands):
 
Realized Gain (Loss), net
DescriptionOther Settlements / ExpirationsVariation Margin SettlementReturn (Recovery) of BasisMark-to-Market
Contractual interest income (expense), net(1)
Total
Three months ended March 31, 2020
Interest rate swaps$(262) $(179,759) $262  $(2,515) $(1,395) $(183,669) 
Interest rate swaptions—  —  —  181  —  181  
Interest-Only Strips— accounted for as derivatives
—  —  (545) (839) 636  (748) 
Credit default swaps(1,315) —  —  (2,638) —  (3,953) 
TBAs1,494  —  —  (2,996) —  (1,502) 
Total$(83) $(179,759) $(283) $(8,807) $(759) $(189,691) 
Three months ended March 31, 2019
Interest rate swaps$(3) $(37,838) $1,528  $7,090  $2,755  $(26,468) 
Interest-Only Strips— accounted for as derivatives
—  —  (595) (59) 784  130  
Futures contracts(4,503) —  —  4,657  —  154  
Credit default swap(589) —  —  (375) —  (964) 
Total$(5,095) $(37,838) $933  $11,313  $3,539  $(27,148) 
Summary of interest rate swaps or interest rate swaptions
The Company did not have any interest rate swaps in its holdings at March 31, 2020. The following tables provide additional information on our fixed pay interest rate swaps and the variable pay interest rate swap as of December 31, 2019 (dollars in thousands):
 
 December 31, 2019
Fixed Pay Interest Rate Swap Remaining TermNotional AmountAverage Fixed Pay RateAverage Floating Receive RateAverage Maturity (Years)
1 year or less$200,000  1.8 %  1.9 %  0.4
Greater than 3 years and less than 5 years622,400  2.6 %  1.9 %  4.1
Greater than 5 years1,728,600  2.1 %  2.0 %  8.9
Total$2,551,000  2.2 %  2.0 %  7.1

 December 31, 2019
Variable Pay Interest Rate Swap Remaining TermNotional AmountAverage 
Variable Pay Rate
Average Fixed Receive RateAverage Maturity (Years)
Greater than 1 year and less than 3 years$810,000  2.0 %  2.0 %  1.6
Greater than 3 years and less than 5 years550,000  1.9 %  1.6 %  5.0
Greater than 5 years45,000  1.9 %  2.3 %  19.5
Total$1,405,000  2.0 %  1.9 %  3.5
Schedule of swaptions held
The following table summarizes the swaptions held by the Company as of March 31, 2020 (dollars in thousands):

March 31, 2020
OptionsUnderlying-Swap
Fixed Pay Rate for Underlying SwapFair ValueWeighted Average Months Until Option ExpirationNotional AmountWeighted Average Swap Term (Years)
1.76 - 2.00%$195  4$50,000  30.0
Total$195  4$50,000  30.0


March 31, 2020
OptionsUnderlying-Swap
Variable Pay Rate for Underlying SwapFair ValueWeighted Average Months Until Option ExpirationNotional AmountWeighted Average Swap Term (Years)
1.26 - 1.50%$(14) 4$255,000  5.0
Total$(14) 4$255,000  5.0
Schedule of to be announced securities The Company purchased or sold TBAs during the three months ended March 31, 2020 and the year ended December 31, 2019.The following is a summary of the Company's TBA positions as of March 31, 2020 and December 31, 2019, reported in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands):
March 31, 2020December 31, 2019
Notional
Amount
Fair
Value
Notional
Amount
Fair
Value
Purchase contracts, asset$778,200  $17,923  $1,000,000  $1,146  
Sale contracts, liability(778,200) (21,847) (1,000,000) (2,074) 
TBA securities, net$—  $(3,924) $—  $(928) 
Schedule of additional information about to be announced securities The following table presents additional information about the Company's contracts to purchase and sell TBAs for the three months ended March 31, 2020 (dollars in thousands):
Notional AmountSettlement, Termination,Notional Amount
December 31, 2019AdditionsExpiration or ExerciseMarch 31, 2020
Purchase of TBAs$1,000,000  $4,478,800  $(4,700,600) $778,200  
Sale of TBAs$1,000,000  $4,478,800  $(4,700,600) $778,200  
v3.20.1
Offsetting Assets and Liabilities (Tables)
3 Months Ended
Mar. 31, 2020
Offsetting [Abstract]  
Schedule of gross and net information about the Company's assets subject to master netting arrangements
The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at March 31, 2020 and December 31, 2019 (dollars in thousands):
  
March 31, 2020
 Gross 
Amounts
Gross 
Amounts 
Offset in the Consolidated
Balance 
Sheets 
Net Amounts
of Assets 
presented in 
the Consolidated
Balance 
Sheets
Gross Amounts Not Offset in
the Consolidated Balance
Sheets
Net Amount

Description
Financial 
Instruments(1)
Cash 
Collateral (1)
Derivative Assets and Receivable under Reverse Repurchase Agreements
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
$7,282  $—  $7,282  $(7,282) $—  $—  
Derivative asset, at fair value33,675  —  33,675  (18,429) (14,809) 437  
Receivable under reverse repurchase agreements24,826  —  24,826  (20,767) —  4,059  
Total assets$65,783  $—  $65,783  $(46,478) $(14,809) $4,496  
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)
$43,967  $—  $43,967  $(18,429) $(25,538) $—  
Repurchase Agreements(3)
1,553,715  —  1,553,715  (1,534,454) (13,162) 6,099  
Total liabilities$1,597,682  $—  $1,597,682  $(1,552,883) $(38,700) $6,099  


(1)Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions.
(2)Cash collateral pledged against the Company’s derivative counterparties was approximately $27.1 million as of March 31, 2020.
(3)The carrying value of investments pledged against the Company’s repurchase agreements was approximately $1.7 billion as of March 31, 2020.
 
December 31, 2019
 Gross 
Amounts
Gross 
Amounts 
Offset in the Consolidated
Balance 
Sheets 
Net Amounts
of Assets 
presented in 
the Consolidated
Balance 
Sheets
Gross Amounts Not Offset in
the Consolidated Balance
Sheets
Net Amount
Financial 
Instruments(1)
Cash 
Collateral (1)
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
$8,665  $—  $8,665  $(8,665) $—  $—  
Derivative asset, at fair value(2)
5,111  —  5,111  (2,576) —  2,535  
Total derivative assets$13,776  $—  $13,776  $(11,241) $—  $2,535  
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)
$6,370  $—  $6,370  $(2,576) $(2,819) $975  
Repurchase Agreements(4)
2,824,801  —  2,824,801  (2,824,801) —  —  
Total derivative liability$2,831,171  $—  $2,831,171  $(2,827,377) $(2,819) $975  


(1)Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions.
(2)Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts.
(3)Cash collateral pledged against the Company’s derivative counterparties was approximately $55.4 million as of December 31, 2019.
(4)The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.2 billion as of December 31, 2019.
Schedule of gross and net information about the Company's liabilities subject to master netting arrangements
The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at March 31, 2020 and December 31, 2019 (dollars in thousands):
  
March 31, 2020
 Gross 
Amounts
Gross 
Amounts 
Offset in the Consolidated
Balance 
Sheets 
Net Amounts
of Assets 
presented in 
the Consolidated
Balance 
Sheets
Gross Amounts Not Offset in
the Consolidated Balance
Sheets
Net Amount

Description
Financial 
Instruments(1)
Cash 
Collateral (1)
Derivative Assets and Receivable under Reverse Repurchase Agreements
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
$7,282  $—  $7,282  $(7,282) $—  $—  
Derivative asset, at fair value33,675  —  33,675  (18,429) (14,809) 437  
Receivable under reverse repurchase agreements24,826  —  24,826  (20,767) —  4,059  
Total assets$65,783  $—  $65,783  $(46,478) $(14,809) $4,496  
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)
$43,967  $—  $43,967  $(18,429) $(25,538) $—  
Repurchase Agreements(3)
1,553,715  —  1,553,715  (1,534,454) (13,162) 6,099  
Total liabilities$1,597,682  $—  $1,597,682  $(1,552,883) $(38,700) $6,099  


(1)Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. In addition, the Financial Instruments column includes reverse repurchase agreement receivables that are available to be offset against repurchase agreement liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions.
(2)Cash collateral pledged against the Company’s derivative counterparties was approximately $27.1 million as of March 31, 2020.
(3)The carrying value of investments pledged against the Company’s repurchase agreements was approximately $1.7 billion as of March 31, 2020.
 
December 31, 2019
 Gross 
Amounts
Gross 
Amounts 
Offset in the Consolidated
Balance 
Sheets 
Net Amounts
of Assets 
presented in 
the Consolidated
Balance 
Sheets
Gross Amounts Not Offset in
the Consolidated Balance
Sheets
Net Amount
Financial 
Instruments(1)
Cash 
Collateral (1)
Derivative Assets
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS
$8,665  $—  $8,665  $(8,665) $—  $—  
Derivative asset, at fair value(2)
5,111  —  5,111  (2,576) —  2,535  
Total derivative assets$13,776  $—  $13,776  $(11,241) $—  $2,535  
Derivative Liabilities and Repurchase Agreements
Derivative liability, at fair value(2)(3)
$6,370  $—  $6,370  $(2,576) $(2,819) $975  
Repurchase Agreements(4)
2,824,801  —  2,824,801  (2,824,801) —  —  
Total derivative liability$2,831,171  $—  $2,831,171  $(2,827,377) $(2,819) $975  


(1)Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions.
(2)Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, credit default swaps and futures contracts.
(3)Cash collateral pledged against the Company’s derivative counterparties was approximately $55.4 million as of December 31, 2019.
(4)The carrying value of investments pledged against the Company’s repurchase agreements was approximately $3.2 billion as of December 31, 2019.
v3.20.1
Share-Based Payments (Tables)
3 Months Ended
Mar. 31, 2020
Share-based Payment Arrangement, Noncash Expense [Abstract]  
Summary of restricted common stock vesting dates
The following is a summary of restricted common stock vesting dates as of March 31, 2020 and December 31, 2019, including shares whose issuance has been deferred under the Director Deferred Fee Plan: 
 March 31, 2020December 31, 2019
Vesting DateShares VestingShares Vesting
March 2020—  36,000  
June 202031,480  30,592  
March 202136,000  36,000  
March 202236,000  36,000  
 103,480  138,592  
Schedule of restricted stock activity
The following table presents information with respect to the Company’s restricted stock for the three months ended March 31, 2020, including shares whose issuance has been deferred under the Director Deferred Fee Plan:
 
March 31, 2020March 31, 2019
 Shares of 
Restricted Stock
Weighted Average 
Grant Date Fair 
Value (1)
Shares of 
Restricted Stock
Weighted Average 
Grant Date Fair 
Value (1)
Outstanding at beginning of period894,289  $15.76  753,973  $16.77  
Granted (2)
888  10.67  108,888  10.50  
Cancelled/forfeited—  —  —  —  
Outstanding at end of period895,177  15.75  862,861  15.98  
Unvested at end of period103,480  $10.29  136,364  $10.56  

(1)The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date.
(2)Includes 888 and 888 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan for the three months ended March 31, 2020 and March 31, 2019, respectively.
v3.20.1
Stockholders' Equity (Tables)
3 Months Ended
Mar. 31, 2020
Stockholders' Equity Note [Abstract]  
Schedule of cash dividends declared and paid on common stock
The following table presents cash dividends declared and paid by the Company on its common stock:
 
Declaration DateRecord DatePayment DateAmount per ShareTax Characterization
2020   
March 27, 2020N/AN/A$—  N/A
2019
December 19, 2019December 30, 2019January 24, 2020$0.31   Ordinary income
September 19, 2019September 30, 2019October 25, 2019$0.31  Ordinary income
June 20, 2019July 1, 2019July 26, 2019$0.31  Ordinary income
March 21, 2019April 1, 2019April 26, 2019$0.31  Ordinary income
v3.20.1
Net Income per Common Share (Tables)
3 Months Ended
Mar. 31, 2020
Earnings Per Share [Abstract]  
Schedule of basic and diluted net income (loss) per share of common stock
The table below presents basic and diluted net income per share of common stock using the two-class method for the three months ended March 31, 2020 and March 31, 2019 (dollars, other than shares and per share amounts, in thousands):
 
 For the three months ended March 31, 2020For the three months ended March 31, 2019
Numerator:
  
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share
$(381,857) $27,876  
Less:  
Dividends and undistributed earnings allocated to participating securities
—  70  
Net income (loss) allocable to common stockholders — basic and diluted
$(381,857) $27,806  
Denominator:
  
Weighted average common shares outstanding for basic earnings per share
53,402,623  48,116,379  
Weighted average common shares outstanding for diluted earnings per share
53,402,623  48,116,379  
Basic earnings (loss) per common share$(7.15) $0.58  
Diluted earnings (loss) per common share$(7.15) $0.58  
v3.20.1
Fair Value of Financial Instruments (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Dec. 31, 2019
Assets      
Derivative assets $ 33,675   $ 5,111
Liabilities      
Derivative liabilities 43,967   6,370
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Other than temporary impairment 0 $ (1,232)  
Premium and discount amortization, net (1,837) (357)  
Residential  Whole Loans      
Assets      
Fair value 1,309,795   1,375,860
Commercial Loans      
Assets      
Fair value 320,308    
Agency CMBS      
Assets      
Estimated Fair Value 413,394   1,435,477
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Premium and discount amortization, net (588) (56)  
Agency CMBS Interest-Only Strips, accounted for as derivatives      
Assets      
Estimated Fair Value 2,792   3,092
Subtotal Agency      
Assets      
Estimated Fair Value     340,771
Agency RMBS Interest-Only Strips      
Assets      
Estimated Fair Value 9,952   10,343
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS      
Assets      
Estimated Fair Value 4,490   5,572
Agency MBS      
Assets      
Estimated Fair Value 430,628   1,795,255
Non-Agency CMBS      
Assets      
Estimated Fair Value 250,309   316,019
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Other than temporary impairment   (241)  
Premium and discount amortization, net (641) (477)  
Non-Agency RMBS      
Assets      
Estimated Fair Value 21,123   38,131
Non-Agency RMBS Interest-Only Strips      
Assets      
Estimated Fair Value 5,174   7,683
Subtotal Non-Agency MBS      
Assets      
Estimated Fair Value 276,606   361,833
Other securities      
Assets      
Estimated Fair Value 47,411   80,161
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Premium and discount amortization, net (1,464) (1,591)  
Total      
Assets      
Estimated Fair Value 754,645   2,237,249
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Premium and discount amortization, net (2,567) (1,855)  
Non-Agency MBS      
Assets      
Estimated Fair Value 276,606   361,833
Fair Value, Measurements, Recurring      
Assets      
Derivative assets 33,675   5,111
Total Assets 2,921,604   4,930,742
Liabilities      
Derivative liabilities 43,967   6,370
Securitized debt, at fair value     681,643
Total Liabilities 440,791   688,013
Fair Value, Measurements, Recurring | Securitized debt      
Liabilities      
Securitized debt, at fair value 396,824    
Fair Value, Measurements, Recurring | Residential  Whole Loans      
Assets      
Fair value 1,309,795   1,375,860
Fair Value, Measurements, Recurring | Residential Bridge Loans      
Assets      
Fair value 26,050   33,269
Fair Value, Measurements, Recurring | Commercial Loans      
Assets      
Fair value 320,308   909,040
Fair Value, Measurements, Recurring | Securitized commercial loans      
Assets      
Fair value 477,131   370,213
Fair Value, Measurements, Recurring | Agency CMBS      
Assets      
Estimated Fair Value 413,394   1,435,477
Fair Value, Measurements, Recurring | Agency CMBS Interest-Only Strips, accounted for as derivatives      
Assets      
Estimated Fair Value 2,792   3,092
Fair Value, Measurements, Recurring | Subtotal Agency      
Assets      
Estimated Fair Value     340,771
Fair Value, Measurements, Recurring | Agency RMBS Interest-Only Strips      
Assets      
Estimated Fair Value 9,952   10,343
Fair Value, Measurements, Recurring | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS      
Assets      
Estimated Fair Value 4,490   5,572
Fair Value, Measurements, Recurring | Agency MBS      
Assets      
Estimated Fair Value 430,628   1,795,255
Fair Value, Measurements, Recurring | Non-Agency CMBS      
Assets      
Estimated Fair Value 250,309   316,019
Fair Value, Measurements, Recurring | Non-Agency RMBS      
Assets      
Estimated Fair Value 21,123   38,131
Fair Value, Measurements, Recurring | Non-Agency RMBS Interest-Only Strips      
Assets      
Estimated Fair Value 5,174   7,683
Fair Value, Measurements, Recurring | Subtotal Non-Agency MBS      
Assets      
Estimated Fair Value 276,606   361,833
Fair Value, Measurements, Recurring | Other securities      
Assets      
Estimated Fair Value 47,411   80,161
Fair Value, Measurements, Recurring | Total      
Assets      
Estimated Fair Value 754,645   2,237,249
Fair Value, Measurements, Recurring | Level I      
Assets      
Derivative assets 0   0
Total Assets 0   0
Liabilities      
Derivative liabilities 0   0
Securitized debt, at fair value     0
Total Liabilities 0   0
Fair Value, Measurements, Recurring | Level I | Securitized debt      
Liabilities      
Securitized debt, at fair value 0    
Fair Value, Measurements, Recurring | Level I | Residential  Whole Loans      
Assets      
Fair value 0   0
Fair Value, Measurements, Recurring | Level I | Residential Bridge Loans      
Assets      
Fair value 0   0
Fair Value, Measurements, Recurring | Level I | Commercial Loans      
Assets      
Fair value 0   0
Fair Value, Measurements, Recurring | Level I | Securitized commercial loans      
Assets      
Fair value 0   0
Fair Value, Measurements, Recurring | Level I | Agency CMBS      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level I | Agency CMBS Interest-Only Strips, accounted for as derivatives      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level I | Subtotal Agency      
Assets      
Estimated Fair Value     0
Fair Value, Measurements, Recurring | Level I | Agency RMBS Interest-Only Strips      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level I | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level I | Agency MBS      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level I | Non-Agency CMBS      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level I | Non-Agency RMBS      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level I | Non-Agency RMBS Interest-Only Strips      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level I | Subtotal Non-Agency MBS      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level I | Other securities      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level I | Total      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level II      
Assets      
Derivative assets 33,675   5,111
Total Assets 733,345   2,163,435
Liabilities      
Derivative liabilities 43,967   6,370
Securitized debt, at fair value     680,586
Total Liabilities 440,630   686,956
Fair Value, Measurements, Recurring | Level II | Securitized debt      
Liabilities      
Securitized debt, at fair value 396,663    
Fair Value, Measurements, Recurring | Level II | Residential  Whole Loans      
Assets      
Fair value 0   0
Fair Value, Measurements, Recurring | Level II | Residential Bridge Loans      
Assets      
Fair value 0   0
Fair Value, Measurements, Recurring | Level II | Commercial Loans      
Assets      
Fair value 0   0
Fair Value, Measurements, Recurring | Level II | Securitized commercial loans      
Assets      
Fair value 0   0
Fair Value, Measurements, Recurring | Level II | Agency CMBS      
Assets      
Estimated Fair Value 413,394   1,435,477
Fair Value, Measurements, Recurring | Level II | Agency CMBS Interest-Only Strips, accounted for as derivatives      
Assets      
Estimated Fair Value 2,792   3,092
Fair Value, Measurements, Recurring | Level II | Subtotal Agency      
Assets      
Estimated Fair Value     340,771
Fair Value, Measurements, Recurring | Level II | Agency RMBS Interest-Only Strips      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level II | Agency MBS      
Assets      
Estimated Fair Value 416,186   1,779,340
Fair Value, Measurements, Recurring | Level II | Non-Agency CMBS      
Assets      
Estimated Fair Value 243,444   316,019
Fair Value, Measurements, Recurring | Level II | Non-Agency RMBS      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level II | Non-Agency RMBS Interest-Only Strips      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level II | Subtotal Non-Agency MBS      
Assets      
Estimated Fair Value 243,444   316,019
Fair Value, Measurements, Recurring | Level II | Other securities      
Assets      
Estimated Fair Value 40,040   62,965
Fair Value, Measurements, Recurring | Level II | Total      
Assets      
Estimated Fair Value 699,670   2,158,324
Fair Value, Measurements, Recurring | Level III      
Assets      
Derivative assets 0   0
Total Assets 2,188,259   2,767,307
Liabilities      
Derivative liabilities 0   0
Securitized debt, at fair value     1,057
Total Liabilities 161   1,057
Fair Value, Measurements, Recurring | Level III | Securitized debt      
Liabilities      
Securitized debt, at fair value 161    
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Premium and discount amortization, net (519) (316)  
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Beginning balance 1,057 2,286  
Sales and settlements   (3,769)  
Unrealized (gains)/losses, net on liabilities (377) (1,970)  
Ending balance 161 3,769  
Unrealized gains/(losses), net on assets held at the end of the period 377 (28)  
Fair Value, Measurements, Recurring | Level III | Residential  Whole Loans      
Assets      
Fair value 1,309,795   1,375,860
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Beginning balance 1,375,860 1,041,885  
Purchases 111,486 248,105  
Principal repayments (80,361) (28,532)  
Unrealized gains/(losses), net on assets (96,160) 5,886  
Premium and discount amortization, net (1,030) (181)  
Ending balance 1,309,795 1,267,163  
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Principal repayments (80,361) (28,532)  
Unrealized gains/(losses), net on assets held at the end of the period (94,347) 6,108  
Fair Value, Measurements, Recurring | Level III | Residential Bridge Loans      
Assets      
Fair value 26,050   33,269
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Beginning balance 33,269 211,999  
Purchases   0  
Transfers to REO (489)    
Principal repayments (6,408) (66,612)  
Realized gains/(losses), net on assets (85) (87)  
Unrealized gains/(losses), net on assets (218) (780)  
Premium and discount amortization, net (19) (350)  
Ending balance 26,050 144,170  
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Principal repayments (6,408) (66,612)  
Unrealized gains/(losses), net on assets held at the end of the period (417) (780)  
Fair Value, Measurements, Recurring | Level III | Commercial Loans      
Assets      
Fair value 320,308   909,040
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Beginning balance 370,213 216,123  
Purchases   121,189  
Principal repayments (37,638) (165)  
Unrealized gains/(losses), net on assets (12,462) 223  
Premium and discount amortization, net 195 208  
Ending balance 320,308 337,578  
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Principal repayments (37,638) (165)  
Unrealized gains/(losses), net on assets held at the end of the period (12,460) 223  
Fair Value, Measurements, Recurring | Level III | Securitized commercial loans      
Assets      
Fair value 477,131   370,213
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Beginning balance 909,040 1,013,511  
Purchases   903,770  
VIE deconsolidation (150,804)    
Principal repayments (154,701) (988,714)  
Unrealized gains/(losses), net on assets (127,171) 1,349  
Premium and discount amortization, net 767 (442)  
Ending balance 477,131 929,474  
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Principal repayments (154,701) (988,714)  
Unrealized gains/(losses), net on assets held at the end of the period (68,013) 1,377  
Fair Value, Measurements, Recurring | Level III | Agency CMBS      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level III | Agency CMBS Interest-Only Strips, accounted for as derivatives      
Assets      
Estimated Fair Value 0   0
Fair Value, Measurements, Recurring | Level III | Subtotal Agency      
Assets      
Estimated Fair Value     0
Fair Value, Measurements, Recurring | Level III | Agency RMBS Interest-Only Strips      
Assets      
Estimated Fair Value 9,952   10,343
Fair Value, Measurements, Recurring | Level III | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS      
Assets      
Estimated Fair Value 4,490   5,572
Fair Value, Measurements, Recurring | Level III | Agency MBS      
Assets      
Estimated Fair Value 14,442   15,915
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Beginning balance 15,915 19,837  
Transfers into Level III from Level II   0  
Transfers from Level III into Level II   0  
Purchases   0  
Principal repayments   0  
Other than temporary impairment   (25)  
Unrealized gains/(losses), net on assets (534) 387  
Premium and discount amortization, net (939) (1,091)  
Ending balance 14,442 19,108  
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Principal repayments   0  
Unrealized gains/(losses), net on assets held at the end of the period (534) 387  
Fair Value, Measurements, Recurring | Level III | Non-Agency CMBS      
Assets      
Estimated Fair Value 6,865   0
Fair Value, Measurements, Recurring | Level III | Non-Agency RMBS      
Assets      
Estimated Fair Value 21,123   38,131
Fair Value, Measurements, Recurring | Level III | Non-Agency RMBS Interest-Only Strips      
Assets      
Estimated Fair Value 5,174   7,683
Fair Value, Measurements, Recurring | Level III | Subtotal Non-Agency MBS      
Assets      
Estimated Fair Value 33,162   45,814
Fair Value, Measurements, Recurring | Level III | Other securities      
Assets      
Estimated Fair Value 7,371   17,196
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Beginning balance 17,196 8,951  
Transfers into Level III from Level II   8,386  
Transfers from Level III into Level II (6,482) 0  
Principal repayments (153) 0  
Unrealized gains/(losses), net on assets (3,120) 121  
Premium and discount amortization, net (70) (78)  
Ending balance 7,371 17,380  
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Principal repayments (153) 0  
Unrealized gains/(losses), net on assets held at the end of the period (1,770) 121  
Fair Value, Measurements, Recurring | Level III | Total      
Assets      
Estimated Fair Value 54,975   $ 78,925
Fair Value, Measurements, Recurring | Level III | Non-Agency MBS      
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Beginning balance 45,814 50,555  
Transfers into Level III from Level II   0  
VIE deconsolidation 6,852    
Principal repayments (320) (252)  
Realized gains/(losses), net on assets 16    
Other than temporary impairment   (241)  
Unrealized gains/(losses), net on assets (5,835) (1,193)  
Premium and discount amortization, net (631) (477)  
Ending balance 33,162 48,392  
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value      
Sales and settlements (12,702)    
Principal repayments (320) (252)  
Unrealized gains/(losses), net on assets held at the end of the period $ (5,605) $ (1,193)  
v3.20.1
Fair Value of Financial Instruments - Narrative (Details)
Mar. 31, 2020
USD ($)
Fair Value Disclosures [Abstract]  
Derivative credit risk valuation adjustment, derivative assets $ 0
v3.20.1
Fair Value of Financial Instruments - Summary of quantitative information (Details)
Mar. 31, 2020
USD ($)
Dec. 31, 2019
USD ($)
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Delinquent bridge loans, yield to maturity 100.00%  
Residential  Whole Loans    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value $ 1,309,795,000 $ 1,375,860,000
Residential  Whole Loans | Discounted Cash Flow | Level III    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value 1,161,199,000 1,200,566,000
Residential  Whole Loans | To-Be-Announced Pricing Model (TBA)    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value $ 148,600,000 $ 175.3
Residential  Whole Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, measurement input 0.047 0.034
Residential  Whole Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, term 1 year 2 months 12 days 1 year 4 months 24 days
Residential  Whole Loans | Minimum | To-Be-Announced Pricing Model (TBA)    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value   $ 101.39
Residential  Whole Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, measurement input 0.089 0.070
Residential  Whole Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, term 6 years 7 months 6 days 7 years 9 months 18 days
Residential  Whole Loans | Maximum | To-Be-Announced Pricing Model (TBA)    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value   $ 107.63
Residential  Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, measurement input 0.066 0.037
Residential  Whole Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, term 2 years 6 months 3 years
Residential Bridge Loans | Discounted Cash Flow | Level III    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value $ 26,050,000 $ 33,269,000
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, measurement input 0.085 0.075
Residential Bridge Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, term 2 months 12 days 3 months 18 days
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, measurement input 0.263 0.270
Residential Bridge Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, term 1 year 9 months 18 days 1 year 9 months 18 days
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, measurement input 0.116 0.098
Residential Bridge Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, term 9 months 18 days 9 months 18 days
Commercial Loans    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value $ 320,308,000  
Commercial Loans | Discounted Cash Flow | Level III    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value $ 320,308,000 $ 370,213,000
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, measurement input 0.065 0.047
Commercial Loans | Minimum | Discounted Cash Flow | Level III | Measurement Input, Expected Term    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, term 1 year 2 months 12 days 4 months 24 days
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, measurement input 0.149 0.109
Commercial Loans | Maximum | Discounted Cash Flow | Level III | Measurement Input, Expected Term    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, term 2 years 8 months 12 days 2 years 10 months 24 days
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Discount Rate    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, measurement input 0.094 0.075
Commercial Loans | Weighted Average | Discounted Cash Flow | Level III | Measurement Input, Expected Term    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Loans held-for-sale, term 1 year 4 months 24 days 1 year 7 months 6 days
v3.20.1
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - Fair Value, Measurements, Recurring - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]    
Securitized debt, at fair value   $ 681,643
Total Liabilities $ 440,791 688,013
Carrying Value    
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]    
Residential Bridge Loans 2,584 3,150
Borrowings under repurchase agreements 1,553,715 2,824,801
Convertible senior unsecured notes 197,984 197,299
Securitized debt, at fair value 747,371 801,109
Total Liabilities 2,499,070 3,823,209
Debt issuance costs 5,100 5,300
Estimated Fair Value    
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]    
Residential Bridge Loans 2,575 3,148
Borrowings under repurchase agreements 1,358,436 2,829,093
Convertible senior unsecured notes 65,801 209,172
Securitized debt, at fair value 709,366 810,914
Total Liabilities 2,133,603 3,849,179
Residential Bridge Loans | Carrying Value    
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]    
Residential Bridge Loans 2,584 3,150
Residential Bridge Loans | Estimated Fair Value    
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]    
Residential Bridge Loans $ 2,575 $ 3,148
v3.20.1
Mortgage-Backed Securities and other securities (Details) - USD ($)
3 Months Ended 6 Months Ended
Mar. 31, 2020
Jun. 30, 2019
Dec. 31, 2019
Agency CMBS      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance $ 369,843,000   $ 1,347,929,000
Unamortized Premium (Discount), net 17,323,000   26,514,000
Amortized Cost 387,166,000   1,374,443,000
Unrealized Gain 26,228,000   66,832,000
Unrealized Loss 0   (5,798,000)
Estimated Fair Value $ 413,394,000   $ 1,435,477,000
Net Weighted Average Coupon (as a percent) 3.10%   3.40%
Agency CMBS Interest-Only Strips, accounted for as derivatives      
Debt Securities, Available-for-sale [Line Items]      
Estimated Fair Value $ 2,792,000   $ 3,092,000
Net Weighted Average Coupon (as a percent) 0.40%   0.40%
Notional balance $ 158,600,000    
Subtotal Agency CMBS      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance 369,843,000   $ 1,347,929,000
Unamortized Premium (Discount), net 17,323,000   26,514,000
Amortized Cost 387,166,000   1,374,443,000
Unrealized Gain 26,228,000   66,832,000
Unrealized Loss 0   (5,798,000)
Estimated Fair Value $ 416,186,000   $ 1,438,569,000
Net Weighted Average Coupon (as a percent) 2.30%   3.10%
Subtotal Agency      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance     $ 327,814,000
Unamortized Premium (Discount), net     5,473,000
Amortized Cost     333,287,000
Unrealized Gain     7,484,000
Unrealized Loss     0
Estimated Fair Value     $ 340,771,000
Net Weighted Average Coupon (as a percent)     3.50%
Agency RMBS Interest-Only Strips      
Debt Securities, Available-for-sale [Line Items]      
Amortized Cost $ 8,102,000   $ 8,661,000
Unrealized Gain 2,165,000   1,820,000
Unrealized Loss (315,000)   (138,000)
Estimated Fair Value $ 9,952,000   $ 10,343,000
Net Weighted Average Coupon (as a percent) 3.10%   2.80%
Notional balance $ 114,500,000   $ 121,700,000
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS      
Debt Securities, Available-for-sale [Line Items]      
Estimated Fair Value $ 4,490,000   $ 5,572,000
Net Weighted Average Coupon (as a percent) 2.90%   3.00%
Notional balance $ 60,800,000   $ 64,800,000
Subtotal Agency      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance 0   327,814,000
Unamortized Premium (Discount), net 0   5,473,000
Amortized Cost 8,102,000   341,948,000
Unrealized Gain 2,165,000   9,304,000
Unrealized Loss (315,000)   (138,000)
Estimated Fair Value $ 14,442,000   $ 356,686,000
Net Weighted Average Coupon (as a percent) 3.00%   3.30%
Agency MBS      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance $ 369,843,000   $ 1,675,743,000
Unamortized Premium (Discount), net 17,323,000   31,987,000
Amortized Cost 395,268,000   1,716,391,000
Unrealized Gain 28,393,000   76,136,000
Unrealized Loss (315,000)   (5,936,000)
Estimated Fair Value $ 430,628,000   $ 1,795,255,000
Net Weighted Average Coupon (as a percent) 2.50%   3.10%
Non-Agency RMBS      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance $ 39,261,000   $ 52,767,000
Unamortized Premium (Discount), net (15,462,000)   4,492,000
Discount Designated as Credit Reserve and OTTI     (20,256,000)
Amortized Cost 23,799,000   37,003,000
Unrealized Gain 302,000   1,388,000
Unrealized Loss (2,978,000)   (260,000)
Estimated Fair Value $ 21,123,000   $ 38,131,000
Net Weighted Average Coupon (as a percent) 4.60%   4.80%
Non-Agency RMBS Interest-Only Strips      
Debt Securities, Available-for-sale [Line Items]      
Amortized Cost $ 7,229,000   $ 7,705,000
Unrealized Gain 6,000   636,000
Unrealized Loss (2,061,000)   (658,000)
Estimated Fair Value $ 5,174,000   $ 7,683,000
Net Weighted Average Coupon (as a percent) 0.50%   0.60%
Notional balance $ 420,800,000   $ 442,400,000
Subtotal Non-Agency RMBS      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance 39,261,000   52,767,000
Unamortized Premium (Discount), net (15,462,000)   4,492,000
Discount Designated as Credit Reserve and OTTI     (20,256,000)
Amortized Cost 31,028,000   44,708,000
Unrealized Gain 308,000   2,024,000
Unrealized Loss (5,039,000)   (918,000)
Estimated Fair Value $ 26,297,000   $ 45,814,000
Net Weighted Average Coupon (as a percent) 0.90%   1.00%
Non-Agency CMBS      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance $ 336,816,000   $ 354,458,000
Unamortized Premium (Discount), net (32,685,000)   (17,909,000)
Discount Designated as Credit Reserve and OTTI     (22,016,000)
Amortized Cost 304,131,000   314,533,000
Unrealized Gain 48,000   6,359,000
Unrealized Loss (53,870,000)   (4,873,000)
Estimated Fair Value $ 250,309,000   $ 316,019,000
Net Weighted Average Coupon (as a percent) 5.30%   5.10%
Subtotal Non-Agency MBS      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance $ 376,077,000   $ 407,225,000
Unamortized Premium (Discount), net (48,147,000)   (13,417,000)
Discount Designated as Credit Reserve and OTTI     (42,272,000)
Amortized Cost 335,159,000   359,241,000
Unrealized Gain 356,000   8,383,000
Unrealized Loss (58,909,000)   (5,791,000)
Estimated Fair Value $ 276,606,000   $ 361,833,000
Net Weighted Average Coupon (as a percent) 2.80%   2.70%
Other securities      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance $ 76,482,000   $ 71,896,000
Unamortized Premium (Discount), net (8,660,000)   (2,437,000)
Discount Designated as Credit Reserve and OTTI     (6,203,000)
Amortized Cost 77,258,000   73,975,000
Unrealized Gain 0   6,392,000
Unrealized Loss (29,847,000)   (206,000)
Estimated Fair Value $ 47,411,000   $ 80,161,000
Net Weighted Average Coupon (as a percent) 6.50%   6.70%
Total      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance $ 822,402,000   $ 2,154,864,000
Unamortized Premium (Discount), net (39,484,000)   16,133,000
Discount Designated as Credit Reserve and OTTI     (48,475,000)
Amortized Cost 807,685,000   2,149,607,000
Unrealized Gain 28,749,000   90,911,000
Unrealized Loss (89,071,000)   (11,933,000)
Estimated Fair Value $ 754,645,000   $ 2,237,249,000
Net Weighted Average Coupon (as a percent) 2.80%   3.10%
Weighted average expected remaining term to the expected maturity of investment portfolio 8 years 4 months 24 days 7 years 10 months 24 days  
Agency interest only strips accounted for as derivatives      
Debt Securities, Available-for-sale [Line Items]      
Notional balance     $ 160,200,000
Residual interests in asset-backed securities      
Debt Securities, Available-for-sale [Line Items]      
Principal Balance $ 0    
Amortized Cost $ 9,400,000   $ 10,700,000
v3.20.1
Mortgage-Backed Securities and other securities - Purchase discount and premium (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Discount Designated as Credit Reserve and OTTI    
Other-than-temporary Impairment Loss, Debt Securities, Portion Recognized in Earnings $ 0 $ (1,232)
Non-Agency RMBS and Non-Agency CMBS and other securities    
Discount Designated as Credit Reserve and OTTI    
Balance at beginning of period   (53,523)
Realized credit losses   3,001
Sales   2,694
Other-than-temporary Impairment Loss, Debt Securities, Portion Recognized in Earnings   (966)
Transfers/release of credit reserve   (1,293)
Balance at end of period   (50,087)
Accretable Discount    
Balance at beginning of period   (29,465)
Accretion of discount   1,277
Transfers/release of credit reserve   (556)
Balance at end of period   (27,632)
Amortizable Premium    
Balance at beginning of period   (14,928)
Amortization of premium   (481)
Sales   (523)
Transfers/release of credit reserve   (737)
Balance at end of period   $ (14,661)
v3.20.1
Mortgage-Backed Securities and other securities - Type of security (Details) - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Agency CMBS    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value $ 413,394 $ 1,435,477
Agency CMBS | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 68,875 973,189
Agency CMBS | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 344,519 462,288
Agency CMBS | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 0 0
Agency CMBS | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 0 0
Agency CMBS Interest-Only Strips, accounted for as derivatives    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 2,792 3,092
Agency CMBS Interest-Only Strips, accounted for as derivatives | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 0 0
Agency CMBS Interest-Only Strips, accounted for as derivatives | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 0 0
Agency CMBS Interest-Only Strips, accounted for as derivatives | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 0 0
Agency CMBS Interest-Only Strips, accounted for as derivatives | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 2,792 3,092
Subtotal Agency    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value   340,771
Subtotal Agency | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value   0
Subtotal Agency | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value   0
Subtotal Agency | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value   340,771
Subtotal Agency | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value   0
Agency RMBS Interest-Only Strips    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 9,952 10,343
Agency RMBS Interest-Only Strips | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 1,965 2,413
Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 1,924 1,966
Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 6,063 5,964
Agency RMBS Interest-Only Strips | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 0 0
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 4,490 5,572
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 545 669
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 3,192 3,893
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 753 1,010
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 0 0
Agency MBS    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 430,628 1,795,255
Agency MBS | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 71,385 976,271
Agency MBS | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 349,635 468,147
Agency MBS | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 6,816 347,745
Agency MBS | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 2,792 3,092
Non-Agency CMBS    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 250,309 316,019
Non-Agency CMBS | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 69,336 89,782
Non-Agency CMBS | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 116,300 125,282
Non-Agency CMBS | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 63,839 92,610
Non-Agency CMBS | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 834 8,345
Non-Agency RMBS    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 21,123 38,131
Non-Agency RMBS | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 0 0
Non-Agency RMBS | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 0 0
Non-Agency RMBS | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 7,732 8,966
Non-Agency RMBS | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 13,391 29,165
Non-Agency RMBS Interest-Only Strips    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 5,174 7,683
Non-Agency RMBS Interest-Only Strips | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 0 0
Non-Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 0 0
Non-Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 744 1,716
Non-Agency RMBS Interest-Only Strips | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 4,430 5,967
Subtotal Non-Agency MBS    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 276,606 361,833
Subtotal Non-Agency MBS | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 69,336 89,782
Subtotal Non-Agency MBS | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 116,300 125,282
Subtotal Non-Agency MBS | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 72,315 103,292
Subtotal Non-Agency MBS | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 18,655 43,477
Other securities    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 47,411 80,161
Other securities | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 13,168 25,824
Other securities | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 10,937 31,823
Other securities | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 13,126 2,768
Other securities | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 10,180 19,746
Total    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 754,645 2,237,249
Total | Less than or equal to 10 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 153,889 1,091,877
Total | More than 10 years and less than or equal to 20 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 476,872 625,252
Total | More than 20 years and less than or equal to 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value 92,257 453,805
Total | More than 30 years    
Debt Securities, Available-for-sale [Line Items]    
Estimated Fair Value $ 31,627 $ 66,315
v3.20.1
Mortgage-Backed Securities and other securities - FV and unrealized loss (Details)
$ in Thousands
Mar. 31, 2020
USD ($)
security
item
Dec. 31, 2019
USD ($)
security
Debt Securities, Available-for-sale [Line Items]    
Fair value, less than 12 months $ 290,310 $ 412,552
Fair value, 12 months or more 18,642 19,897
Fair Value 308,952 432,449
Unrealized Losses    
Unrealized losses, less than 12 Months (86,010) (11,267)
Unrealized losses, 12 months or more (3,061) (666)
Unrealized Losses $ (89,071) $ (11,933)
Number  of Securities    
Number of securities, less than 12 months | security 67 55
Number of securities, 12 months or more | security 12 11
Number  of Securities | security 79 66
Agency CMBS    
Debt Securities, Available-for-sale [Line Items]    
Fair value, less than 12 months   $ 214,084
Fair value, 12 months or more   0
Fair Value   214,084
Unrealized Losses    
Unrealized losses, less than 12 Months   (5,798)
Unrealized losses, 12 months or more   0
Unrealized Losses   $ (5,798)
Number  of Securities    
Number of securities, less than 12 months | security   16
Number of securities, 12 months or more | security   0
Number  of Securities | security   16
Agency RMBS Interest-Only Strips    
Debt Securities, Available-for-sale [Line Items]    
Fair value, less than 12 months $ 731 $ 1,376
Fair value, 12 months or more 1,496 1,828
Fair Value 2,227 3,204
Unrealized Losses    
Unrealized losses, less than 12 Months (72) (43)
Unrealized losses, 12 months or more (243) (95)
Unrealized Losses $ (315) $ (138)
Number  of Securities    
Number of securities, less than 12 months | security 3 4
Number of securities, 12 months or more | security 7 7
Number  of Securities | security 10 11
Subtotal Agency    
Debt Securities, Available-for-sale [Line Items]    
Fair value, less than 12 months $ 731 $ 215,460
Fair value, 12 months or more 1,496 1,828
Fair Value 2,227 217,288
Unrealized Losses    
Unrealized losses, less than 12 Months (72) (5,841)
Unrealized losses, 12 months or more (243) (95)
Unrealized Losses $ (315) $ (5,936)
Number  of Securities    
Number of securities, less than 12 months | security 3 20
Number of securities, 12 months or more | security 7 7
Number  of Securities | security 10 27
Non-Agency CMBS    
Debt Securities, Available-for-sale [Line Items]    
Fair value, less than 12 months $ 218,447 $ 171,650
Fair value, 12 months or more 17,146 18,069
Fair Value 235,593 189,719
Unrealized Losses    
Unrealized losses, less than 12 Months (51,052) (4,302)
Unrealized losses, 12 months or more (2,818) (571)
Unrealized Losses $ (53,870) $ (4,873)
Number  of Securities    
Number of securities, less than 12 months | security 40 31
Number of securities, 12 months or more | security 5 4
Number  of Securities | security 45 35
Non-Agency RMBS    
Debt Securities, Available-for-sale [Line Items]    
Fair value, less than 12 months $ 18,993 $ 13,214
Fair value, 12 months or more 0 0
Fair Value 18,993 13,214
Unrealized Losses    
Unrealized losses, less than 12 Months (2,978) (260)
Unrealized losses, 12 months or more 0 0
Unrealized Losses $ (2,978) $ (260)
Number  of Securities    
Number of securities, less than 12 months 5 1
Number of securities, 12 months or more 0 0
Number  of Securities | security 5 1
Non-Agency RMBS Interest-Only Strips    
Debt Securities, Available-for-sale [Line Items]    
Fair value, less than 12 months $ 4,728 $ 1,716
Fair value, 12 months or more 0 0
Fair Value 4,728 1,716
Unrealized Losses    
Unrealized losses, less than 12 Months (2,061) (658)
Unrealized losses, 12 months or more 0 0
Unrealized Losses $ (2,061) $ (658)
Number  of Securities    
Number of securities, less than 12 months 3 1
Number of securities, 12 months or more 0 0
Number  of Securities | security 3 1
Subtotal Non-Agency MBS    
Debt Securities, Available-for-sale [Line Items]    
Fair value, less than 12 months $ 242,168 $ 186,580
Fair value, 12 months or more 17,146 18,069
Fair Value 259,314 204,649
Unrealized Losses    
Unrealized losses, less than 12 Months (56,091) (5,220)
Unrealized losses, 12 months or more (2,818) (571)
Unrealized Losses $ (58,909) $ (5,791)
Number  of Securities    
Number of securities, less than 12 months | security 48 33
Number of securities, 12 months or more | security 5 4
Number  of Securities | security 53 37
Other securities    
Debt Securities, Available-for-sale [Line Items]    
Fair value, less than 12 months $ 47,411 $ 10,512
Fair value, 12 months or more 0 0
Fair Value 47,411 10,512
Unrealized Losses    
Unrealized losses, less than 12 Months (29,847) (206)
Unrealized losses, 12 months or more 0 0
Unrealized Losses $ (29,847) $ (206)
Number  of Securities    
Number of securities, less than 12 months | security 16 2
Number of securities, 12 months or more | security 0 0
Number  of Securities | security 16 2
v3.20.1
Mortgage-Backed Securities and other securities - Financing receivables (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Debt Securities, Available-for-sale [Line Items]    
Other than temporary impairment $ 0 $ 1,232
Components of interest income    
Net (Premium Amortization/Amortization Basis) Discount Amortization (1,837) (357)
Interest Income 54,846 52,033
Agency CMBS    
Components of interest income    
Coupon Interest 10,923 10,989
Net (Premium Amortization/Amortization Basis) Discount Amortization (588) (56)
Interest Income 10,335 10,933
Subtotal Agency    
Debt Securities, Available-for-sale [Line Items]    
Other than temporary impairment   25
Components of interest income    
Coupon Interest 2,756 871
Net (Premium Amortization/Amortization Basis) Discount Amortization (842) (655)
Interest Income 1,914 216
Non-Agency RMBS    
Debt Securities, Available-for-sale [Line Items]    
Other than temporary impairment   966
Components of interest income    
Coupon Interest 4,797 3,111
Net (Premium Amortization/Amortization Basis) Discount Amortization 968 924
Interest Income 5,765 4,035
Non-Agency CMBS    
Debt Securities, Available-for-sale [Line Items]    
Other than temporary impairment   241
Components of interest income    
Coupon Interest 1,151 1,207
Net (Premium Amortization/Amortization Basis) Discount Amortization (641) (477)
Interest Income 510 730
Other securities    
Components of interest income    
Coupon Interest 2,805 2,889
Net (Premium Amortization/Amortization Basis) Discount Amortization (1,464) (1,591)
Interest Income 1,341 1,298
Total    
Components of interest income    
Coupon Interest 22,432 19,067
Net (Premium Amortization/Amortization Basis) Discount Amortization (2,567) (1,855)
Interest Income $ 19,865 $ 17,212
v3.20.1
Mortgage-Backed Securities and other securities - Gross gains and losses (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]    
Net Gain  (Loss) $ 89,186 $ (5,105)
Agency CMBS    
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]    
Proceeds 1,259,032 206,710
Gross Gains 94,307 0
Gross Losses (6,454) (4,189)
Net Gain  (Loss) 87,853 (4,189)
Subtotal Agency    
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]    
Proceeds 391,436 0
Gross Gains 10,420 0
Gross Losses (38) 0
Net Gain  (Loss) 10,382 0
Non-Agency RMBS    
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]    
Proceeds 51,940 9,000
Gross Gains 1 0
Gross Losses (8,802) (829)
Net Gain  (Loss) (8,801) (829)
Non-Agency CMBS    
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]    
Proceeds 12,702 0
Gross Gains 0 0
Gross Losses (16) 0
Net Gain  (Loss) (16) 0
Other securities    
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]    
Proceeds 17,746 0
Gross Gains 113 0
Gross Losses 0 0
Net Gain  (Loss) 113 0
Total    
Debt Securities, Available-for-sale, Gain (Loss) [Abstract]    
Proceeds 1,732,856 215,710
Gross Gains 104,841 0
Gross Losses (15,310) (5,018)
Net Gain  (Loss) $ 89,531 $ (5,018)
v3.20.1
Mortgage-Backed Securities and other securities - Unconsolidated CMBS VIEs (Details)
$ in Millions
3 Months Ended 12 Months Ended
Mar. 31, 2020
USD ($)
loan
Dec. 31, 2019
USD ($)
loan
Variable Interest Entity [Line Items]    
Number of commercial loans trusts 3 3
Variable interest entity, not primary beneficiary, aggregated disclosure    
Variable Interest Entity [Line Items]    
Number of commercial loans trusts 8 10
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ $ 74.6 $ 117.7
v3.20.1
Residential Whole-Loans and Bridge Loans - Narrative (Details)
$ in Thousands
1 Months Ended 3 Months Ended 6 Months Ended 12 Months Ended
May 31, 2019
USD ($)
Mar. 31, 2020
USD ($)
loan
Jun. 30, 2019
loan
Dec. 31, 2019
USD ($)
loan
Variable Interest Entity [Line Items]        
Repurchase agreements, net   $ 1,553,715   $ 2,824,801
Residential  Whole Loans        
Variable Interest Entity [Line Items]        
Number of Loans | loan   3,543   3,529
Fair value   $ 1,309,795   $ 1,375,860
Principal  Balance   $ 1,352,778   1,325,443
Residential  Whole Loans | Variable interest entity, primary beneficiary, aggregated disclosure        
Variable Interest Entity [Line Items]        
Number of Loans | loan   9    
Residential  Whole Loans | VIE        
Variable Interest Entity [Line Items]        
Repurchase agreements, net   $ 285,400   $ 209,900
Number of Loans | loan   3,534    
No of Loans | loan   13   12
Mortgage loans on real estate, principal amount of delinquent loans   $ 7,100   $ 7,100
Mortgage loans on real estate, number of loans, nonperforming, percentage   0.50%   0.50%
Mortgage loans on real estate weighted average loan to value, collateral dependent   62.30%   62.10%
Residential  Whole Loans | RCR Trust        
Variable Interest Entity [Line Items]        
Repurchase agreements, net   $ 155,500   $ 164,300
Residential  Whole Loans | RNR Trust        
Variable Interest Entity [Line Items]        
Repurchase agreements, net   23,300   8,100
Residential  Whole Loans | Arroyo Trust        
Variable Interest Entity [Line Items]        
Repurchase agreements, net   919,000    
Residential  Whole Loans | RBR Trust        
Variable Interest Entity [Line Items]        
Repurchase agreements, net   $ 91,400   91,700
Non-QM | VIE        
Variable Interest Entity [Line Items]        
No of Loans | loan   265    
Residential Bridge Loans | Variable interest entity, primary beneficiary, aggregated disclosure        
Variable Interest Entity [Line Items]        
Number of Loans | loan   51    
Residential Bridge Loans | VIE        
Variable Interest Entity [Line Items]        
Repurchase agreements, net   $ 26,500   $ 32,100
Number of Loans | loan   56   76
No of Loans | loan   1    
Mortgage loans on real estate, principal amount of delinquent loans   $ 124    
Mortgage loans on real estate, number of loans, nonperforming, percentage   30.10% 32.60%  
Principal  Balance   $ 29,650   $ 37,196
Investment in mortgage loans on real estate, principal amount at fair value of delinquent loan       12,100
Mortgage loans on real estate weighted average loan to value, collateral dependent   70.90% 72.10%  
Foreclosed other real estate owned   $ 2,900    
Estimated Fair Value | Residential  Whole Loans | VIE        
Variable Interest Entity [Line Items]        
Fair value   $ 6,600   6,700
Estimated Fair Value | Residential Bridge Loans | VIE        
Variable Interest Entity [Line Items]        
No of Loans | loan   20 27  
Mortgage loans on real estate, principal amount of delinquent loans   $ 8,800    
Fair value   $ 8,000   $ 11,400
Non-Qualifying Adjustable Rate Mortgage Loan | Residential  Whole Loans        
Variable Interest Entity [Line Items]        
Number of Loans | loan   2,963    
Conforming Fixed Rate Mortgage Loan | Residential  Whole Loans        
Variable Interest Entity [Line Items]        
Number of Loans | loan   571    
Investor Fixed Rate Mortgage Loan | Residential  Whole Loans        
Variable Interest Entity [Line Items]        
Number of Loans | loan   9    
Arroyo Trust | Residential  Whole Loans | Arroyo Trust        
Variable Interest Entity [Line Items]        
Transfered of non-qm residential whole loans $ 945,500      
v3.20.1
Residential Whole-Loans and Bridge Loans - Summary of the assets and liabilities of the residential and commercial loan trusts (Details) - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Mar. 31, 2019
Variable Interest Entity [Line Items]      
Cash and cash equivalents $ 10,342 $ 31,331 $ 19,558
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively) 1,309,795 1,375,860  
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively) 27,571 34,897  
Investment related receivable 72,826 19,931  
Interest receivable 14,805 19,413  
Other assets 5,697 4,509  
Total assets 3,203,583 5,160,971  
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively) 1,139,121 1,477,454  
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively) 6,429 15,001  
Accounts payable and accrued expenses 6,307 3,188  
Other liabilities 45,779 52,948  
Total liabilities 3,021,350 4,596,510  
Fair value of residential whole-loans pledged as collateral 1,309,795 1,375,860  
Residential bridge loan, at fair value 26,050 33,269  
VIE      
Variable Interest Entity [Line Items]      
Cash and cash equivalents 4,542 7,589  
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively) 1,309,795 1,375,860  
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively) 27,571 34,897  
Investment related receivable 24,738 19,138  
Interest receivable 10,226 10,829  
Other assets 101 90  
Total assets 1,959,017 2,501,179  
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively) 1,139,121 1,477,454  
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively) 3,215 3,886  
Accounts payable and accrued expenses 128 185  
Other liabilities 33,229 52,948  
Total liabilities 1,175,693 1,534,473  
Fair value of residential whole-loans pledged as collateral 1,309,795 1,375,860  
Residential bridge loan, at fair value 24,987 31,748  
Residential Whole-Loan And Residential Bridge Loan | VIE      
Variable Interest Entity [Line Items]      
Cash and cash equivalents 4,542 1,811  
Residential Whole Loans, at fair value ($1,309,795 and $1,375,860 pledged as collateral, at fair value, respectively) 1,309,795 1,375,860  
Residential Bridge Loans ($24,987 and $31,748 at fair value and $27,571 and $34,897 pledged as collateral, respectively) 27,571 34,897  
Investment related receivable 24,738 19,138  
Interest receivable 8,517 7,840  
Other assets 101 90  
Total assets 1,375,264 1,439,636  
Securitized debt, net ($396,824 and $681,643 at fair value and $53,527 and $142,905 held by affiliates, respectively) 742,297 795,811  
Interest payable (includes $536 and $647 on securitized debt held by affiliates, respectively) 2,210 2,367  
Accounts payable and accrued expenses 122 173  
Total liabilities 744,629 798,351  
Fair value of residential whole-loans pledged as collateral 1,309,795 1,375,860  
Residential bridge loan, at fair value $ 24,987 $ 31,748  
v3.20.1
Residential Whole-Loans and Bridge Loans - Components of the fair value of Residential Whole-Loans (Details) - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Residential  Whole Loans    
Variable Interest Entity [Line Items]    
Principal  Balance $ 1,352,778 $ 1,325,443
Unamortized premium 30,983 28,588
Unamortized discount (2,662) (2,839)
Amortized cost 1,381,099 1,351,192
Gross unrealized gains 227 26,363
Gross unrealized losses (71,531) (1,695)
Fair value 1,309,795 1,375,860
Residential Bridge Loans, At Fair Value    
Variable Interest Entity [Line Items]    
Principal  Balance 27,059 34,041
Unamortized premium 52 79
Unamortized discount (7) (13)
Amortized cost 27,104 34,107
Gross unrealized gains 3 10
Gross unrealized losses (1,057) (848)
Fair value 26,050 33,269
Residential Bridge Loans, At Amortized Cost    
Variable Interest Entity [Line Items]    
Principal  Balance 2,591 3,155
Unamortized premium 3 6
Unamortized discount (10) (11)
Amortized cost $ 2,584 $ 3,150
v3.20.1
Residential Whole-Loans and Bridge Loans - Investment Portfolio (Details)
$ in Thousands
3 Months Ended 6 Months Ended 12 Months Ended
Mar. 31, 2020
USD ($)
loan
score
Jun. 30, 2019
loan
Dec. 31, 2019
USD ($)
loan
score
Variable Interest Entity [Line Items]      
Contractual  Maturity  (years)     5 months 18 days
Fair value of residential whole-loans pledged as collateral $ 1,309,795   $ 1,375,860
VIE      
Variable Interest Entity [Line Items]      
Fair value of residential whole-loans pledged as collateral $ 1,309,795   $ 1,375,860
3.01 – 4.00%      
Variable Interest Entity [Line Items]      
Number of Loans | loan 52   53
Principal  Balance $ 17,940   $ 17,284
Original LTV 62.70%   61.70%
Contractual  Maturity  (years) 28 years 1 month 6 days   28 years
Coupon  Rate 3.90%   3.90%
Original FICO Score | score 734   736
Expected  Life (years)(2) 2 years 9 months 18 days   2 years 4 months 24 days
4.01– 5.00%      
Variable Interest Entity [Line Items]      
Number of Loans | loan 1,716   1,689
Principal  Balance $ 588,582   $ 557,144
Original LTV 61.80%   61.40%
Contractual  Maturity  (years) 28 years 6 months   28 years 6 months
Coupon  Rate 4.80%   4.80%
Original FICO Score | score 746   744
Expected  Life (years)(2) 2 years 3 months 18 days   2 years 9 months 18 days
5.01 – 6.00%      
Variable Interest Entity [Line Items]      
Number of Loans | loan 1,707   1,682
Principal  Balance $ 723,264   $ 713,397
Original LTV 62.20%   62.00%
Contractual  Maturity  (years) 28 years 1 month 6 days   28 years 3 months 18 days
Coupon  Rate 5.40%   5.40%
Original FICO Score | score 736   736
Expected  Life (years)(2) 2 years 7 months 6 days   3 years
6.01 – 7.00%      
Variable Interest Entity [Line Items]      
Number of Loans | loan 66   103
Principal  Balance $ 22,477   $ 37,102
Original LTV 58.20%   54.10%
Contractual  Maturity  (years) 26 years 9 months 18 days   25 years 3 months 18 days
Coupon  Rate 6.20%   6.20%
Original FICO Score | score 724   727
Expected  Life (years)(2) 3 years 6 months   3 years 9 months 18 days
7.01 - 8.00%      
Variable Interest Entity [Line Items]      
Number of Loans | loan 2   2
Principal  Balance $ 515   $ 516
Original LTV 73.20%   73.20%
Contractual  Maturity  (years) 28 years 4 months 24 days   28 years 7 months 6 days
Coupon  Rate 7.10%   7.10%
Original FICO Score | score 753   753
Expected  Life (years)(2) 4 years   4 years 8 months 12 days
Residential  Whole Loans      
Variable Interest Entity [Line Items]      
Number of Loans | loan 3,543   3,529
Principal  Balance $ 1,352,778   $ 1,325,443
Original LTV 62.00%   61.50%
Contractual  Maturity  (years) 28 years 2 months 12 days   28 years 3 months 18 days
Coupon  Rate 5.10%   5.20%
Original FICO Score | score 740   739
Expected  Life (years)(2) 2 years 6 months   3 years
Residential  Whole Loans | VIE      
Variable Interest Entity [Line Items]      
Number of Loans | loan 3,534    
Residential portfolio segment with no FICO score      
Variable Interest Entity [Line Items]      
Number of Loans | loan 282 286  
Principal  Balance $ 94,400   $ 94,600
7.01 – 9.00%      
Variable Interest Entity [Line Items]      
Number of Loans | loan 26    
Principal  Balance $ 17,823    
Original LTV 67.40%    
Coupon  Rate 8.40%    
9.01 – 11.00%      
Variable Interest Entity [Line Items]      
Number of Loans | loan 22   36
Principal  Balance $ 8,711   $ 22,409
Original LTV 75.20%   70.20%
Contractual  Maturity  (years) 4 months 3 days   5 months 24 days
Coupon  Rate 10.20%   8.40%
11.01 – 13.00%      
Variable Interest Entity [Line Items]      
Number of Loans | loan 6   28
Principal  Balance $ 2,167   $ 9,972
Original LTV 64.30%   74.00%
Contractual  Maturity  (years) 4 months 9 days   5 months 18 days
Coupon  Rate 11.70%   10.10%
13.01 – 15.00%      
Variable Interest Entity [Line Items]      
Number of Loans | loan     9
Principal  Balance     $ 2,741
Original LTV     63.10%
Contractual  Maturity  (years) 2 months   2 months
Coupon  Rate     11.70%
15.01 – 17.00%      
Variable Interest Entity [Line Items]      
Number of Loans | loan     1
Principal  Balance     $ 1,125
Original LTV     75.00%
Contractual  Maturity  (years) 0 months   0 months
Coupon  Rate     13.50%
17.01 – 19.00%      
Variable Interest Entity [Line Items]      
Number of Loans | loan 2   2
Principal  Balance $ 949   $ 949
Original LTV 75.00%   75.00%
Contractual  Maturity  (years) 4 months 3 days   0 months
Coupon  Rate 18.00%   18.00%
Residential Bridge Loans | VIE      
Variable Interest Entity [Line Items]      
Number of Loans | loan 56   76
Principal  Balance $ 29,650   $ 37,196
Original LTV 69.70%   71.00%
Coupon  Rate 9.50%   9.50%
Residential Whole-Loan And Residential Bridge Loan | VIE      
Variable Interest Entity [Line Items]      
Fair value of residential whole-loans pledged as collateral $ 1,309,795   $ 1,375,860
Minimum | 3.01 – 4.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 3.01% 3.01%  
Minimum | 4.01– 5.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 4.01% 4.01%  
Minimum | 5.01 – 6.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 5.01% 5.01%  
Minimum | 6.01 – 7.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 6.01% 6.01%  
Minimum | 7.01 - 8.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 7.01% 7.01%  
Minimum | 7.01 – 9.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 701.00%    
Minimum | 9.01 – 11.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 901.00%   901.00%
Minimum | 11.01 – 13.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 1101.00%   1101.00%
Minimum | 13.01 – 15.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate     1301.00%
Minimum | 15.01 – 17.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate     1501.00%
Minimum | 17.01 – 19.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 1701.00%   1701.00%
Maximum | 3.01 – 4.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 4.00% 4.00%  
Maximum | 4.01– 5.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 5.00% 5.00%  
Maximum | 5.01 – 6.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 6.00% 6.00%  
Maximum | 6.01 – 7.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 7.00% 7.00%  
Maximum | 7.01 - 8.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 8.00% 8.00%  
Maximum | 7.01 – 9.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 900.00%    
Maximum | 9.01 – 11.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 1100.00%   1100.00%
Maximum | 11.01 – 13.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 1300.00%   1300.00%
Maximum | 13.01 – 15.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate     1500.00%
Maximum | 15.01 – 17.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate     1700.00%
Maximum | 17.01 – 19.00%      
Variable Interest Entity [Line Items]      
Coupon  Rate 1900.00%   1900.00%
v3.20.1
Residential Whole-Loans and Bridge Loans - Collateral Securing (Details) - USD ($)
$ in Thousands
3 Months Ended 12 Months Ended
Mar. 31, 2020
Dec. 31, 2019
Residential  Whole Loans    
Variable Interest Entity [Line Items]    
Principal  Balance $ 1,352,778 $ 1,325,443
Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans    
Variable Interest Entity [Line Items]    
Concentration 100.00% 100.00%
Principal  Balance $ 1,352,778 $ 1,325,443
Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans    
Variable Interest Entity [Line Items]    
Concentration 100.00% 100.00%
Principal  Balance $ 29,650 $ 37,196
California | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans    
Variable Interest Entity [Line Items]    
Concentration 66.50% 66.10%
Principal  Balance $ 899,344 $ 875,738
California | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans    
Variable Interest Entity [Line Items]    
Concentration 49.20% 50.40%
Principal  Balance $ 14,598 $ 18,763
New York | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans    
Variable Interest Entity [Line Items]    
Concentration 15.90% 16.20%
Principal  Balance $ 214,658 $ 214,141
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans    
Variable Interest Entity [Line Items]    
Concentration 14.60% 13.10%
Principal  Balance $ 4,323 $ 4,863
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans    
Variable Interest Entity [Line Items]    
Concentration 3.10% 3.40%
Principal  Balance $ 42,506 $ 45,189
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans    
Variable Interest Entity [Line Items]    
Concentration 2.80% 2.80%
Principal  Balance $ 38,154 $ 36,641
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans    
Variable Interest Entity [Line Items]    
Concentration 10.50% 8.90%
Principal  Balance $ 3,128 $ 3,296
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans    
Variable Interest Entity [Line Items]    
Concentration 2.20% 2.30%
Principal  Balance $ 29,367 $ 30,450
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans    
Variable Interest Entity [Line Items]    
Concentration   3.80%
Principal  Balance   $ 1,424
Other | Geographic Concentration Risk | Financing Receivables Total | Residential  Whole Loans    
Variable Interest Entity [Line Items]    
Concentration 9.50% 9.20%
Principal  Balance $ 128,749 $ 123,284
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans    
Variable Interest Entity [Line Items]    
Concentration 9.70% 11.70%
Principal  Balance $ 2,849 $ 4,332
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans    
Variable Interest Entity [Line Items]    
Concentration 12.60% 12.10%
Principal  Balance $ 3,748 $ 4,518
New Jersey | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans    
Variable Interest Entity [Line Items]    
Concentration 3.40%  
Principal  Balance $ 1,004  
v3.20.1
Residential Whole-Loans and Bridge Loans - Aging of Delinquent Loans (Details)
$ in Thousands
3 Months Ended
Mar. 31, 2020
USD ($)
loan
Residential Whole-Loans  
Variable Interest Entity [Line Items]  
No of Loans | loan 3,543
Principal $ 1,352,778
Fair value $ 1,309,795
Bridge Loan  
Variable Interest Entity [Line Items]  
No of Loans | loan 56
Principal $ 29,650
Fair value 28,634
Financing receivable amortized cost $ 2,600
Financing Receivables, Current | Residential Whole-Loans  
Variable Interest Entity [Line Items]  
No of Loans | loan 3,462
Principal $ 1,313,975
Fair value $ 1,272,791
Financing Receivables, Current | Bridge Loan  
Variable Interest Entity [Line Items]  
No of Loans | loan 20
Principal $ 13,124
Fair value $ 13,071
Financial Asset, 1 to 29 Days Past Due | Residential Whole-Loans  
Variable Interest Entity [Line Items]  
No of Loans | loan 53
Principal $ 22,403
Fair value $ 21,522
Financial Asset, 1 to 29 Days Past Due | Bridge Loan  
Variable Interest Entity [Line Items]  
No of Loans | loan 8
Principal $ 4,154
Fair value $ 4,095
Financial Asset, 30 to 59 Days Past Due | Residential Whole-Loans  
Variable Interest Entity [Line Items]  
No of Loans | loan 11
Principal $ 5,559
Fair value $ 5,357
Financial Asset, 30 to 59 Days Past Due | Bridge Loan  
Variable Interest Entity [Line Items]  
No of Loans | loan 5
Principal $ 2,468
Fair value $ 2,427
Financial Asset, 60 to 89 Days Past Due | Residential Whole-Loans  
Variable Interest Entity [Line Items]  
No of Loans | loan 4
Principal $ 3,779
Fair value $ 3,550
Financial Asset, 60 to 89 Days Past Due | Bridge Loan  
Variable Interest Entity [Line Items]  
No of Loans | loan 2
Principal $ 973
Fair value $ 926
Financial Asset, Equal to or Greater than 90 Days Past Due | Residential Whole-Loans  
Variable Interest Entity [Line Items]  
No of Loans | loan 13
Principal $ 7,062
Fair value $ 6,575
Financial Asset, Equal to or Greater than 90 Days Past Due | Bridge Loan  
Variable Interest Entity [Line Items]  
No of Loans | loan 21
Principal $ 8,931
Fair value $ 8,115
v3.20.1
Commercial Loans - Narrative (Details)
$ in Thousands
1 Months Ended 3 Months Ended 6 Months Ended 12 Months Ended
Mar. 31, 2019
USD ($)
Mar. 31, 2018
Nov. 30, 2015
USD ($)
Mar. 31, 2020
USD ($)
entity
Jun. 30, 2019
Dec. 31, 2019
USD ($)
Variable Interest Entity [Line Items]            
Variable interest entity, number of entity | entity       2    
Total assets       $ 3,203,583   $ 5,160,971
Securitized commercial loans, at fair value       477,131   909,040
Repurchased borrowings       47,500    
Securitized commercial loans            
Variable Interest Entity [Line Items]            
LTV rate         65.50%  
COVID response, borrowers requesting forbearance, principal balance       30,000    
CMSC Trust            
Variable Interest Entity [Line Items]            
Securitized commercial loans, at fair value       23,900    
Trust certificates issued       23,900    
CMSC Trust | Securitized commercial loans            
Variable Interest Entity [Line Items]            
Amount acquired, eliminated in consolidation     $ 14,000      
Variable interest entity, fair value       13,300    
London Interbank Offered Rate (LIBOR) | RETL Trust            
Variable Interest Entity [Line Items]            
Debt instrument, basis spread on variable rate   2.30%        
CMSC Trust            
Variable Interest Entity [Line Items]            
Principal balance       23,943   24,048
Financing Receivables Gross Unrealized Loss Accumulated In Investments       147   0
RETL Trust            
Variable Interest Entity [Line Items]            
Principal balance       519,735   674,331
Financing Receivables Gross Unrealized Loss Accumulated In Investments       67,589   0
RETL Trust | Securitized commercial loans            
Variable Interest Entity [Line Items]            
Amount acquired, eliminated in consolidation $ 65,300          
Variable interest entity, amount acquired, eligible risk retention $ 45,300          
RSBC Trust            
Variable Interest Entity [Line Items]            
Principal balance       73,150   90,788
Financing Receivables Gross Unrealized Loss Accumulated In Investments       1,356   0
MRCD Trust | Securitized commercial loans            
Variable Interest Entity [Line Items]            
Amount acquired, eliminated in consolidation           161,400
MRCD Trust | Class HRR | Securitized commercial loans            
Variable Interest Entity [Line Items]            
Amount acquired, eliminated in consolidation           10,500
Financing Receivables Gross Unrealized Loss Accumulated In Investments       43,700    
VIE            
Variable Interest Entity [Line Items]            
Total assets       1,959,017   2,501,179
Securitized commercial loans, at fair value       477,131   909,040
VIE | Securitized commercial loans            
Variable Interest Entity [Line Items]            
Total assets       583,753   1,061,543
Securitized commercial loans, at fair value       477,131   $ 909,040
VIE | CMSC Trust | Securitized commercial loans            
Variable Interest Entity [Line Items]            
Total assets       $ 13,400    
v3.20.1
Commercial Loans - Commercial loans held (Details) - Securitized commercial loans - USD ($)
$ in Thousands
3 Months Ended 6 Months Ended
Mar. 31, 2020
Jun. 30, 2019
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate   65.50%
CRE LLC And CRE Mezz    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance $ 259,426  
Fair Value 248,624  
RSBC Trust    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance 73,150  
Fair Value 71,684  
CRE 2 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance 30,000  
Fair Value $ 28,779  
Coupon  Rate 65.00%  
CRE 4 | Nursing Facilities | CRE LLC And CRE Mezz | Principal & Interest First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance $ 50,000  
Fair Value $ 48,665  
Coupon  Rate 75.00%  
CRE 5 | Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine Loan    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance $ 90,000  
Fair Value $ 85,763  
Coupon  Rate 58.00%  
CRE 6 | Retail | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance $ 40,000  
Fair Value $ 38,402  
Coupon  Rate 63.00%  
CRE 7 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance $ 24,535  
Fair Value $ 23,251  
Coupon  Rate 62.00%  
CRE 8 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance $ 13,207  
Fair Value $ 12,516  
Coupon  Rate 62.00%  
CRE 9 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance $ 7,259  
Fair Value $ 6,879  
Coupon  Rate 62.00%  
CRE 10 | Assisted Living | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance $ 4,425  
Fair Value $ 4,369  
Coupon  Rate 79.00%  
SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance $ 45,188  
Fair Value $ 44,314  
Coupon  Rate 74.00%  
SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance $ 13,600  
Fair Value $ 13,275  
Coupon  Rate 84.00%  
SBC 5 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Principal  Balance $ 14,362  
Fair Value $ 14,095  
Coupon  Rate 49.00%  
London Interbank Offered Rate (LIBOR) Floor | SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 1.25%  
London Interbank Offered Rate (LIBOR) Floor | SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 2.00%  
London Interbank Offered Rate (LIBOR) | CRE 2 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 450.00%  
London Interbank Offered Rate (LIBOR) | CRE 4 | Nursing Facilities | CRE LLC And CRE Mezz | Principal & Interest First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 475.00%  
London Interbank Offered Rate (LIBOR) | CRE 5 | Entertainment and Retail | CRE LLC And CRE Mezz | Interest-Only Mezzanine Loan    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 925.00%  
London Interbank Offered Rate (LIBOR) | CRE 6 | Retail | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 302.00%  
London Interbank Offered Rate (LIBOR) | CRE 7 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 375.00%  
London Interbank Offered Rate (LIBOR) | CRE 8 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 375.00%  
London Interbank Offered Rate (LIBOR) | CRE 9 | Hotel | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 375.00%  
London Interbank Offered Rate (LIBOR) | CRE 10 | Assisted Living | CRE LLC And CRE Mezz | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 485.00%  
London Interbank Offered Rate (LIBOR) | SBC 1 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 425.00%  
London Interbank Offered Rate (LIBOR) | SBC 4 | Apartment Complex | RSBC Trust | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 400.00%  
London Interbank Offered Rate (LIBOR) | SBC 5 | Nursing Facilities | RSBC Trust | Interest-Only First Mortgage    
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items]    
Coupon  Rate 410.00%  
v3.20.1
Commercial Loans - Consolidated commercial loan trusts included in the Consolidated Balance Sheets (Details)
$ in Thousands
3 Months Ended 12 Months Ended
Mar. 31, 2020
USD ($)
loan
Dec. 31, 2019
USD ($)
loan
Mar. 31, 2019
USD ($)
Noncontrolling Interest [Line Items]      
Number of commercial loans trusts | loan 3 3  
Cash and cash equivalents $ 10,342 $ 31,331 $ 19,558
Restricted cash 33,229 52,948 $ 71,178
Securitized commercial loans, at fair value 477,131 909,040  
Commercial Loans, at fair value 320,308 350,213  
Interest receivable 14,805 19,413  
Total assets 3,203,583 5,160,971  
Interest payable 6,429 15,001  
Accounts payable and accrued expenses 6,307 3,188  
Other liabilities 45,779 52,948  
Total liabilities 3,021,350 4,596,510  
VIE      
Noncontrolling Interest [Line Items]      
Cash and cash equivalents 4,542 7,589  
Restricted cash 33,229 52,948  
Securitized commercial loans, at fair value 477,131 909,040  
Commercial Loans, at fair value 71,684 90,788  
Interest receivable 10,226 10,829  
Total assets 1,959,017 2,501,179  
Interest payable 3,215 3,886  
Accounts payable and accrued expenses 128 185  
Other liabilities 33,229 52,948  
Total liabilities 1,175,693 1,534,473  
Securitized commercial loans | VIE      
Noncontrolling Interest [Line Items]      
Cash and cash equivalents 0 5,778  
Restricted cash 33,229 52,948  
Securitized commercial loans, at fair value 477,131 909,040  
Commercial Loans, at fair value 71,684 90,788  
Interest receivable 1,709 2,989  
Total assets 583,753 1,061,543  
Securitized debt, at fair value 396,824 681,643  
Interest payable 1,005 1,519  
Accounts payable and accrued expenses 6 12  
Other liabilities 33,229 52,948  
Total liabilities $ 431,064 $ 736,122  
Commercial Loans      
Noncontrolling Interest [Line Items]      
Number of commercial loans trusts | loan 5    
v3.20.1
Commercial Loans - Components of the carrying value of commercial real estate loans (Details) - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
CMSC Trust    
Variable Interest Entity [Line Items]    
Principal balance $ 23,943 $ 24,048
Unamortized premium 0 0
Unamortized discount 0 0
Amortized cost 23,943 24,048
Gross unrealized gains 0 9
Gross unrealized losses (147) 0
Fair value 23,796 24,057
RETL Trust    
Variable Interest Entity [Line Items]    
Principal balance 519,735 674,331
Unamortized premium 1,189 1,836
Unamortized discount 0 0
Amortized cost 520,924 676,167
Gross unrealized gains 0 269
Gross unrealized losses (67,589) 0
Fair value 453,335 676,436
RSBC Trust    
Variable Interest Entity [Line Items]    
Principal balance 73,150 90,788
Unamortized premium 0 0
Unamortized discount (110) (215)
Amortized cost 73,040 90,573
Gross unrealized gains 0 215
Gross unrealized losses (1,356) 0
Fair value 71,684 90,788
Commercial Mezzanine Loan    
Variable Interest Entity [Line Items]    
Principal balance 259,426 279,425
Unamortized premium 0 0
Unamortized discount (203) (294)
Amortized cost 259,223 279,131
Gross unrealized gains 0 294
Gross unrealized losses (10,599) 0
Fair value $ 248,624 $ 279,425
v3.20.1
Commercial Loans - Schedule of Non-Performing Aging Commercial Loans (Details) - Commercial Loans
$ in Thousands
Mar. 31, 2020
USD ($)
Noncontrolling Interest [Line Items]  
No of Loans 11
Principal $ 332,576
Fair value $ 320,308
Financing Receivables, Current  
Noncontrolling Interest [Line Items]  
No of Loans 11
Principal $ 332,576
Fair value $ 320,308
Financial Asset, 1 to 29 Days Past Due  
Noncontrolling Interest [Line Items]  
No of Loans 0
Principal $ 0
Fair value $ 0
Financial Asset, 30 to 59 Days Past Due  
Noncontrolling Interest [Line Items]  
No of Loans 0
Principal $ 0
Fair value $ 0
Financial Asset, 60 to 89 Days Past Due  
Noncontrolling Interest [Line Items]  
No of Loans 0
Principal $ 0
Fair value $ 0
Financial Asset, Equal to or Greater than 90 Days Past Due  
Noncontrolling Interest [Line Items]  
No of Loans 0
Principal $ 0
Fair value $ 0
v3.20.1
Financings - Narrative (Details)
1 Months Ended 3 Months Ended
May 31, 2019
USD ($)
Mar. 31, 2020
USD ($)
agreement
item
Apr. 21, 2020
USD ($)
Counterparty
Dec. 31, 2019
USD ($)
Short-term Debt [Line Items]        
Number of repurchase agreements | agreement   7    
Securities loaned, collateral, right to reclaim cash   $ 90,500,000   $ 43,500,000
Cash posted by counterparties   8,600,000   709,000
Securities purchased under agreements to resell, fair value of collateral   1,800,000   0
Securitized debt, at fair value   1,139,121,000   1,477,454,000
Repurchase agreements, net   $ 1,553,715,000   $ 2,824,801,000
Number of counterparties from whom entity borrowed under repurchase agreement | item   19    
Subsequent Event        
Short-term Debt [Line Items]        
Number of counterparties from whom entity borrowed under repurchase agreement | Counterparty     3  
RETL Trust        
Short-term Debt [Line Items]        
Trust certificates issued   $ 443,900,000    
RETL Trust | Affiliated entities        
Short-term Debt [Line Items]        
Trust certificates issued   49,600,000    
RETL Trust | Third parties        
Short-term Debt [Line Items]        
Trust certificates issued   394,200,000    
CMSC Trust        
Short-term Debt [Line Items]        
Commercial pass-through certificate, amount   25,000,000.0    
Trust certificates, fair value   $ 23,800,000    
Debt instrument interest rate, effective percentage   8.90%    
Securitized commercial loans | CMSC Trust        
Short-term Debt [Line Items]        
Amount acquired, eliminated in consolidation   $ 13,400,000    
Securitized debt, at fair value   10,500,000    
Residential  Whole Loans | Subsequent Event        
Short-term Debt [Line Items]        
Repurchase agreements, net     $ 385,000,000  
Residential  Whole Loans | Arroyo Trust        
Short-term Debt [Line Items]        
Repurchase agreements, net   919,000,000.0    
Securitized debt | Securitized commercial loans | CMSC Trust        
Short-term Debt [Line Items]        
Securitized debt, at fair value   10,500,000    
Secured Debt | RETL Trust        
Short-term Debt [Line Items]        
Securitized debt, at fair value   453,336,000    
Secured Debt | Arroyo Trust        
Short-term Debt [Line Items]        
Fair value   742,297,000    
Secured Debt | Residential  Whole Loans | Arroyo Trust        
Short-term Debt [Line Items]        
Fair value   $ 756,700,000    
Maximum aggregate collateral balance over original principal balance percentage   20.00%    
Class C | Secured Debt | RETL Trust        
Short-term Debt [Line Items]        
Securitized debt, at fair value   $ 265,490,000    
Estimated Fair Value | Class C | Secured Debt | RETL Trust        
Short-term Debt [Line Items]        
Commercial pass-through certificate, amount   26,300,000    
Securitized debt, at fair value   $ 386,400,000    
Arroyo Trust | Residential  Whole Loans | Arroyo Trust        
Short-term Debt [Line Items]        
Transfered of non-qm residential whole loans $ 945,500,000      
v3.20.1
Financings - Borrowings under Repurchase Agreements (Details)
3 Months Ended 6 Months Ended 12 Months Ended
Mar. 31, 2020
USD ($)
agreement
Jun. 30, 2019
Dec. 31, 2019
USD ($)
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 1,553,781,000   $ 2,824,877,000
Less unamortized debt issuance costs 66,000   76,000
Repurchase agreements, net $ 1,553,715,000   $ 2,824,801,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 2.50%   2.61%
Weighted Average Remaining Maturity (days) 271 days 179 days 179 days
Weighted Average Interest Rate on Borrowings Outstanding at end of period, Total 2.50%   2.61%
Number of long-term repurchase agreements | agreement 2    
Repurchase agreements      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 438,958,000   $ 371,726,000
Weighted Average Remaining Maturity (days) 829 days   1024 days
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 2.70%   3.70%
Repurchase agreements | Whole-Loans      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 285,409,000   $ 209,878,000
Weighted Average Remaining Maturity (days) 1004 days   1358 days
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 2.67%   3.55%
Repurchase agreements | Commercial Loans      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 153,549,000   $ 161,848,000
Weighted Average Remaining Maturity (days) 503 days   590 days
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 2.73%   3.88%
Repurchase agreements      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 1,114,823,000   $ 2,453,151,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 2.42%   2.44%
Weighted Average Remaining Maturity (days) 51 days 51 days  
Repurchase agreements | Subtotal Agency      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 437,577,000   $ 1,352,248,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 1.38%   2.05%
Weighted Average Remaining Maturity (days) 27 days 26 days  
Repurchase agreements | Agency CMBS      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 11,852,000   $ 348,274,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 2.35%   1.99%
Weighted Average Remaining Maturity (days) 21 days 52 days  
Repurchase agreements | Non-Agency RMBS      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 214,972,000   $ 190,390,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 3.04%   3.05%
Weighted Average Remaining Maturity (days) 24 days 35 days  
Repurchase agreements | Non-Agency CMBS      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 20,148,000   $ 30,481,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 3.09%   3.56%
Weighted Average Remaining Maturity (days) 8 days 9 days  
Repurchase agreements | Whole-Loans      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 272,458,000   $ 266,294,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 2.99%   3.14%
Weighted Average Remaining Maturity (days) 129 days 202 days  
Repurchase agreements | Residential Bridge Loans      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 24,222,000   $ 29,869,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 3.79%   3.93%
Weighted Average Remaining Maturity (days) 28 days 28 days  
Repurchase agreements | Commercial Loans      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 47,547,000   $ 62,746,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 3.90%   4.04%
Weighted Average Remaining Maturity (days) 28 days 28 days  
Repurchase agreements | Securitized commercial loans      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 32,803,000   $ 116,087,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 2.76%   3.93%
Weighted Average Remaining Maturity (days) 29 days 49 days  
Repurchase agreements | Other securities      
Certain characteristics of the Company's repurchase agreements      
Repurchase Agreement Borrowings $ 53,244,000   $ 56,762,000
Weighted Average Interest Rate on Borrowings Outstanding at  end of period 3.15%   3.23%
Weighted Average Remaining Maturity (days) 28 days 34 days  
Residential Facility      
Certain characteristics of the Company's repurchase agreements      
Maximum borrowing capacity $ 700,000,000.0    
Commercial Facility      
Certain characteristics of the Company's repurchase agreements      
Maximum borrowing capacity $ 200,000,000.0    
v3.20.1
Financings - Borrowings under Repurchase Agreements-Maturity dates (Details) - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Certain characteristics of the Company's repurchase agreements    
Repurchase Agreement Borrowings $ 1,553,781 $ 2,824,877
1 to 29 days    
Certain characteristics of the Company's repurchase agreements    
Repurchase Agreement Borrowings 695,385 1,480,286
30 to 59 days    
Certain characteristics of the Company's repurchase agreements    
Repurchase Agreement Borrowings 244,810 552,786
60 to 89 days    
Certain characteristics of the Company's repurchase agreements    
Repurchase Agreement Borrowings 37,699 255,814
Greater than or equal to 90 days    
Certain characteristics of the Company's repurchase agreements    
Repurchase Agreement Borrowings $ 575,887 $ 535,991
v3.20.1
Financings - Borrowings under Repurchase Agreements-Risk by Counterparty (Details)
$ in Thousands
3 Months Ended
Mar. 31, 2020
USD ($)
Credit Suisse AG, Cayman Islands Branch  
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty  
Amount of  Collateral at Risk, at fair value $ 143,835
Weighted Average Remaining Maturity (days) 782 days
Percentage of  Stockholders’  Equity 78.90%
Barclays Capital Inc.  
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty  
Amount of  Collateral at Risk, at fair value $ 42,491
Weighted Average Remaining Maturity (days) 24 days
Percentage of  Stockholders’  Equity 23.30%
Nomura Securities International, Inc.  
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty  
Amount of  Collateral at Risk, at fair value $ 31,848
Weighted Average Remaining Maturity (days) 28 days
Percentage of  Stockholders’  Equity 17.50%
JP Morgan Securities LLC  
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty  
Amount of  Collateral at Risk, at fair value $ 29,526
Weighted Average Remaining Maturity (days) 23 days
Percentage of  Stockholders’  Equity 16.20%
v3.20.1
Financings - Collateral Positions (Details) - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements $ 27,571 $ 34,897
Accrued Interest 9,888 13,449
Assets Pledged and Accrued Interest 1,849,521 3,272,754
Assets pledged- fair value 1,839,633 3,259,305
VIE    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements 27,571 34,897
Agency CMBS | VIE    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements 14,442 356,687
Accrued Interest 354 1,336
Assets Pledged and Accrued Interest 14,796 358,023
Repurchase agreements    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements 1,700,000 3,200,000
Repurchase agreements | Subtotal Agency    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements 457,400 1,400,230
Accrued Interest 1,036 3,916
Assets Pledged and Accrued Interest 458,436 1,404,146
Repurchase agreements | Non-Agency RMBS    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements 239,351 246,797
Accrued Interest 1,085 951
Assets Pledged and Accrued Interest 240,436 247,748
Repurchase agreements | Non-Agency CMBS    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements 26,296 45,816
Accrued Interest 336 414
Assets Pledged and Accrued Interest 26,632 46,230
Repurchase agreements | Whole-Loans    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements 576,769 529,495
Accrued Interest 4,732 3,704
Assets Pledged and Accrued Interest 581,501 533,199
Repurchase agreements | Residential Bridge Loans    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements 27,571 34,897
Accrued Interest 359 471
Assets Pledged and Accrued Interest 27,930 35,368
Repurchase agreements | Commercial Loans    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements 320,308 350,213
Accrued Interest 1,723 1,855
Assets Pledged and Accrued Interest 322,031 352,068
Repurchase agreements | Securitized commercial loans    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements 39,649 171,640
Accrued Interest 127 674
Assets Pledged and Accrued Interest 39,776 172,314
Repurchase agreements | Other securities    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
MBS pledged for borrowings under repurchase agreements 47,307 80,031
Accrued Interest 136 128
Assets Pledged and Accrued Interest 47,443 80,159
Repurchase agreements | Cash    
Financial Instruments Owned and Pledged as Collateral [Line Items]    
Assets Pledged and Accrued Interest 90,540 43,499
Assets pledged- fair value $ 90,540 $ 43,499
v3.20.1
Financings - Convertible Senior Unsecured Notes (Details) - 6.75% Convertible Senior Unsecured Notes - Convertible Debt
1 Months Ended
Oct. 31, 2017
$ / shares
Mar. 31, 2020
USD ($)
Debt Conversion [Line Items]    
Aggregate principal amount of 6.75% convertible senior unsecured notes | $   $ 205,000,000.0
Interest rate stated percentage 6.75%  
Redemption price, percentage 100.00%  
Convertible senior unsecured notes, conversion ratio 0.0831947000  
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares $ 12.02  
v3.20.1
Financings - Commercial Mortgage Pass-Through Certificates (Details) - Secured Debt
3 Months Ended
Mar. 31, 2020
USD ($)
RETL Trust  
Debt Instrument [Line Items]  
Principal Balance $ 519,735,000
Fair Value 453,336,000
RETL Trust | Class A  
Debt Instrument [Line Items]  
Principal Balance $ 64,835,000
Coupon 1.90%
Fair Value $ 59,246,000
RETL Trust | Class B  
Debt Instrument [Line Items]  
Principal Balance $ 101,200,000
Coupon 2.30%
Fair Value $ 87,781,000
RETL Trust | Class C  
Debt Instrument [Line Items]  
Principal Balance $ 308,400,000
Coupon 2.80%
Fair Value $ 265,490,000
RETL Trust | Class HRR  
Debt Instrument [Line Items]  
Principal Balance $ 45,300,000
Coupon 9.20%
Fair Value $ 40,658,000
RETL Trust | Class X-CP  
Debt Instrument [Line Items]  
Coupon 2.80%
Fair Value $ 130,000
Notional amount 308,400,000
RETL Trust | Class X-EXT  
Debt Instrument [Line Items]  
Fair Value 31,000
Notional amount 308,400,000
Arroyo Trust  
Debt Instrument [Line Items]  
Principal Balance 747,377,000
Long-term Debt, Gross 747,371,000
Less: Unamortized Deferred Financing Costs 5,074,000
Total 742,297,000
Arroyo Trust | Class A-1  
Debt Instrument [Line Items]  
Principal Balance $ 634,467,000
Coupon 3.30%
Long-term Debt, Gross $ 634,464,000
Arroyo Trust | Class A-2  
Debt Instrument [Line Items]  
Principal Balance $ 33,996,000
Coupon 3.50%
Long-term Debt, Gross $ 33,995,000
Arroyo Trust | Class A-3  
Debt Instrument [Line Items]  
Principal Balance $ 53,859,000
Coupon 3.80%
Long-term Debt, Gross $ 53,857,000
Arroyo Trust | Class M-1  
Debt Instrument [Line Items]  
Principal Balance $ 25,055,000
Coupon 4.80%
Long-term Debt, Gross $ 25,055,000
v3.20.1
Derivative Instruments - Narrative (Details) - USD ($)
$ in Millions
Mar. 31, 2020
Dec. 31, 2019
Due to Counterparties    
Interest rate swaps and interest rate swaptions    
Collateral already posted, aggregate fair value $ 16.3 $ 0.0
Due From Counterparties    
Interest rate swaps and interest rate swaptions    
Collateral already posted, aggregate fair value 27.1 $ 55.4
Interest rate swaps | Fixed Pay Rate    
Interest rate swaps and interest rate swaptions    
Derivative, terminated 3,100.0  
Interest rate swaps | Variable Pay Rate    
Interest rate swaps and interest rate swaptions    
Derivative, terminated $ 1,900.0  
v3.20.1
Derivative Instruments - Summary of Entity's Derivative Instruments (Details) - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Notional Amount    
Notional Amount $ 778,200 $ 1,000,000
Estimated Fair Value    
Fair value of derivative assets 33,675 5,111
Derivative liability, at fair value (43,967) (6,370)
Derivative instruments not accounted as hedges under GAAP    
Estimated Fair Value    
Fair value of derivative assets 33,675 5,111
Derivative liability, at fair value (43,967) (6,370)
Total derivative instruments (10,292) (1,259)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP    
Notional Amount    
Notional amount, assets 0 2,701,000
Notional amount, liabilities 0 1,255,000
Estimated Fair Value    
Fair value of derivative assets 0 3,017
Derivative liability, at fair value 0 (501)
Swaptions | Derivative instruments not accounted as hedges under GAAP    
Notional Amount    
Notional amount, assets 50,000 0
Notional amount, liabilities 255,000 0
Estimated Fair Value    
Fair value of derivative assets 195 0
Derivative liability, at fair value (14) 0
Credit default swaps | Derivative instruments not accounted as hedges under GAAP    
Notional Amount    
Notional amount, assets 47,260 60,100
Notional amount, liabilities 97,260 90,900
Estimated Fair Value    
Fair value of derivative assets 15,557 948
Derivative liability, at fair value (22,106) (3,795)
TBAs | Derivative instruments not accounted as hedges under GAAP    
Notional Amount    
Notional amount, assets 778,200 1,000,000
Notional amount, liabilities 778,200 1,000,000
Notional Amount 0 0
Estimated Fair Value    
Fair value of derivative assets 17,923 1,146
Derivative liability, at fair value (21,847) (2,074)
Total derivative instruments (3,924) (928)
Long | TBAs | Derivative instruments not accounted as hedges under GAAP    
Notional Amount    
Notional amount, assets 778,200 1,000,000
Notional amount, liabilities 778,200 1,000,000
Estimated Fair Value    
Fair value of derivative assets 17,923 1,146
Derivative liability, at fair value $ (21,847) $ (2,074)
v3.20.1
Derivative Instruments - Gain or Loss (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Amounts recognized on the statements of operations related to the Company's derivatives    
Other Settlements / Expirations $ (135) $ (4,889)
Return (Recovery) of Basis (8,807) 11,313
Total (189,691) (27,148)
Derivative instruments not accounted as hedges under GAAP    
Amounts recognized on the statements of operations related to the Company's derivatives    
Other Settlements / Expirations (83) (5,095)
Variation Margin Settlement (179,759) (37,838)
Return (Recovery) of Basis (283) 933
Mark-to-Market (8,807) 11,313
Contractual interest income (expense), net (759) 3,539
Total (189,691) (27,148)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP    
Amounts recognized on the statements of operations related to the Company's derivatives    
Other Settlements / Expirations (262) (3)
Variation Margin Settlement (179,759) (37,838)
Return (Recovery) of Basis 262 1,528
Mark-to-Market (2,515) 7,090
Contractual interest income (expense), net (1,395) 2,755
Total (183,669) (26,468)
Interest Rate Swaption | Derivative instruments not accounted as hedges under GAAP    
Amounts recognized on the statements of operations related to the Company's derivatives    
Mark-to-Market 181  
Total 181  
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Derivative instruments not accounted as hedges under GAAP    
Amounts recognized on the statements of operations related to the Company's derivatives    
Return (Recovery) of Basis (545) (595)
Mark-to-Market (839) (59)
Contractual interest income (expense), net 636 784
Total (748) 130
Futures contracts | Derivative instruments not accounted as hedges under GAAP    
Amounts recognized on the statements of operations related to the Company's derivatives    
Other Settlements / Expirations   (4,503)
Mark-to-Market   4,657
Total   154
Credit default swaps | Derivative instruments not accounted as hedges under GAAP    
Amounts recognized on the statements of operations related to the Company's derivatives    
Other Settlements / Expirations (1,315) (589)
Mark-to-Market (2,638) (375)
Total (3,953) $ (964)
TBAs | Derivative instruments not accounted as hedges under GAAP    
Amounts recognized on the statements of operations related to the Company's derivatives    
Other Settlements / Expirations 1,494  
Mark-to-Market (2,996)  
Total $ (1,502)  
v3.20.1
Derivative Instruments - Swap of Terms (Details) - USD ($)
$ in Thousands
12 Months Ended
Dec. 31, 2019
Mar. 31, 2020
Interest rate swaps and interest rate swaptions    
Notional Amount $ 1,000,000 $ 778,200
Derivative liability, at fair value (6,370) (43,967)
Derivative cash collateral 2,819 25,538
Derivative instruments not accounted as hedges under GAAP    
Interest rate swaps and interest rate swaptions    
Derivative liability, at fair value (6,370) (43,967)
Fair Value (1,259) (10,292)
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP    
Interest rate swaps and interest rate swaptions    
Notional amount, assets 2,701,000 0
Notional amount, liabilities 1,255,000 0
Derivative liability, at fair value (501) 0
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate    
Interest rate swaps and interest rate swaptions    
Notional Amount $ 2,551,000  
Derivative, average fixed interest rate 2.20%  
Derivative, average variable interest rate 2.00%  
Weighted Average Months Until Option Expiration 7 years 1 month 6 days  
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate    
Interest rate swaps and interest rate swaptions    
Notional Amount $ 1,405,000  
Derivative, average fixed interest rate 2.00%  
Derivative, average variable interest rate 1.90%  
Weighted Average Months Until Option Expiration 3 years 6 months  
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | One Year Or Less | Fixed Pay Rate    
Interest rate swaps and interest rate swaptions    
Notional Amount $ 200,000  
Derivative, average fixed interest rate 1.80%  
Derivative, average variable interest rate 1.90%  
Weighted Average Months Until Option Expiration 4 months 24 days  
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater Than Three Years And Less Than Five Years | Fixed Pay Rate    
Interest rate swaps and interest rate swaptions    
Notional Amount $ 622,400  
Derivative, average fixed interest rate 2.60%  
Derivative, average variable interest rate 1.90%  
Weighted Average Months Until Option Expiration 4 years 1 month 6 days  
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater Than Three Years And Less Than Five Years | Variable Pay Rate    
Interest rate swaps and interest rate swaptions    
Notional Amount $ 550,000  
Derivative, average fixed interest rate 1.90%  
Derivative, average variable interest rate 1.60%  
Weighted Average Months Until Option Expiration 5 years  
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater Than Five Years | Fixed Pay Rate    
Interest rate swaps and interest rate swaptions    
Notional Amount $ 1,728,600  
Derivative, average fixed interest rate 2.10%  
Derivative, average variable interest rate 2.00%  
Weighted Average Months Until Option Expiration 8 years 10 months 24 days  
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater Than Five Years | Variable Pay Rate    
Interest rate swaps and interest rate swaptions    
Notional Amount $ 45,000  
Derivative, average fixed interest rate 190000.00%  
Derivative, average variable interest rate 230000.00%  
Weighted Average Months Until Option Expiration 19 years 6 months  
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater Than One Year And Less Than Three Years | Variable Pay Rate    
Interest rate swaps and interest rate swaptions    
Notional Amount $ 810,000  
Derivative, average fixed interest rate 2.00%  
Derivative, average variable interest rate 2.00%  
Weighted Average Months Until Option Expiration 1 year 7 months 6 days  
Credit default swaps | Derivative instruments not accounted as hedges under GAAP    
Interest rate swaps and interest rate swaptions    
Notional amount, assets $ 60,100 47,260
Notional amount, liabilities 90,900 97,260
Derivative liability, at fair value $ (3,795) $ (22,106)
v3.20.1
Derivative Instruments - Swaptions (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Dec. 31, 2019
Interest rate swaps and interest rate swaptions    
Fair value of derivative assets $ 33,675 $ 5,111
Derivative liability, at fair value 43,967 6,370
Derivative instruments not accounted as hedges under GAAP    
Interest rate swaps and interest rate swaptions    
Fair value of derivative assets 33,675 5,111
Derivative liability, at fair value 43,967 $ 6,370
Interest Rate Swaption | Fixed Pay Rate | Derivative instruments not accounted as hedges under GAAP    
Interest rate swaps and interest rate swaptions    
Fair value of derivative assets $ 195  
Weighted Average Months Until Option Expiration 4 months  
Notional amount, assets $ 50,000  
Weighted Average Swap Term (Years) 30 years  
Interest Rate Swaption | Fixed Pay Rate | Minimum    
Interest rate swaps and interest rate swaptions    
Derivative, swaption interest rate 1.76%  
Interest Rate Swaption | Fixed Pay Rate | Maximum    
Interest rate swaps and interest rate swaptions    
Derivative, swaption interest rate 2.00%  
Interest Rate Swaption | Variable Pay Rate | Derivative instruments not accounted as hedges under GAAP    
Interest rate swaps and interest rate swaptions    
Derivative liability, at fair value $ 14  
Weighted Average Months Until Option Expiration 4 months  
Notional amount, liabilities $ (255,000)  
Weighted Average Swap Term (Years) 5 years  
Interest Rate Swaption | Variable Pay Rate | Minimum    
Interest rate swaps and interest rate swaptions    
Derivative, swaption interest rate 1.26%  
Interest Rate Swaption | Variable Pay Rate | Maximum    
Interest rate swaps and interest rate swaptions    
Derivative, swaption interest rate 1.50%  
v3.20.1
Derivative Instruments - TBA securities (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Dec. 31, 2019
Currency swaps and forwards    
Derivative assets $ 33,675 $ 5,111
Derivative liability, at fair value (43,967) (6,370)
Changes in notional amount    
Beginning balance 1,000,000  
Derivative, notional amount, additions 4,478,800  
Terminated and settled 4,700,600  
Ending balance 778,200  
Derivative instruments not accounted as hedges under GAAP    
Currency swaps and forwards    
Derivative assets 33,675 5,111
Derivative liability, at fair value (43,967) (6,370)
Fair Value (10,292) (1,259)
TBAs | Derivative instruments not accounted as hedges under GAAP    
Currency swaps and forwards    
Notional amount, assets 778,200 1,000,000
Derivative assets 17,923 1,146
Notional amount, liabilities (778,200) (1,000,000)
Derivative liability, at fair value (21,847) (2,074)
Fair Value (3,924) (928)
Changes in notional amount    
Beginning balance 0  
Ending balance 0  
TBAs | Derivative instruments not accounted as hedges under GAAP | Long    
Currency swaps and forwards    
Notional amount, assets 778,200 1,000,000
Derivative assets 17,923 1,146
Notional amount, liabilities (778,200) (1,000,000)
Derivative liability, at fair value $ (21,847) $ (2,074)
v3.20.1
Offsetting Assets and Liabilities- Assets and Liabilities (Details) - USD ($)
$ in Thousands
Mar. 31, 2020
Dec. 31, 2019
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS    
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, gross amounts $ 7,282 $ 8,665
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, gross amounts offset in the consolidated balance sheets 0 0
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, Net amounts of assets presented in the consolidated balance sheets 7,282 8,665
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, gross amounts not offset in the consolidated balance sheets, financial instruments (7,282) (8,665)
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, gross amounts not offset in the consolidated balance sheets, cash collateral 0 0
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS, net amount 0 0
Derivative asset, at fair value    
Derivative asset, at fair value, gross amounts 33,675 5,111
Derivative asset, at fair value, gross amounts offset in the consolidated balance sheets 0 0
Derivative asset, at fair value, net amounts of assets presented in the consolidated balance sheets 33,675 5,111
Derivative asset, at fair value, gross amounts not offset in the consolidated balance sheets, financial instruments (18,429) (2,576)
Derivative asset, at fair value, gross amounts not offset in the consolidated balance sheets, cash collateral (14,809) 0
Derivative asset, at fair value, net amount 437 2,535
Receivable under reverse repurchase agreements    
Receivable under reverse repurchase agreements, gross amounts 24,826  
Receivable under reverse repurchase agreements, gross amounts offset in the consolidated balance sheets 0  
Receivable under reverse repurchase agreements, net amounts of assets presented in the consolidated balance sheets 24,826  
Receivable under reverse repurchase agreements, gross amounts not offset in the consolidated balance sheets, financial instruments (20,767)  
Receivable under reverse repurchase agreements, gross amounts not offset in the consolidated balance sheets, cash collateral 0  
Receivable under reverse repurchase agreements, net amount 4,059  
Total assets    
Total assets, gross amounts 65,783 13,776
Total assets, gross amounts offset in the consolidated balance sheets 0 0
Total assets, net amounts of assets presented in the consolidated balance sheets 65,783 13,776
Total assets, gross amount not offset in the consolidated balance sheets, financial instruments (46,478) (11,241)
Total assets, gross amount not offset in the consolidated balance sheets, cash collateral (14,809) 0
Total assets, net amount 4,496 2,535
Derivative liability, at fair value    
Derivative liability, at fair value, gross amount 43,967 6,370
Derivative liability, at fair value, gross amounts offset in the consolidated balance sheets 0 0
Derivative liability, at fair value, net amounts of assets presented in the consolidated balance sheets 43,967 6,370
Derivative liability, at fair value, gross amounts not offset in the consolidated balance sheets, financial instruments (18,429) (2,576)
Derivative liability, at fair value, gross amounts not offset in the consolidated balance sheets, cash collateral (25,538) (2,819)
Derivative liability, at fair value, net amount 0 975
Repurchase Agreements    
Repurchase agreements, gross amount 1,553,715 2,824,801
Repurchase agreements, gross amounts offset in the consolidated balance sheets 0 0
Repurchase agreements, net amounts of assets presented in the consolidated balance sheets 1,553,715 2,824,801
Repurchase agreements, gross amounts not offset in the consolidated balance sheets, financial instruments (1,534,454) (2,824,801)
Repurchase agreements, gross amounts not offset in the consolidated balance sheets, cash collateral (13,162) 0
Repurchase agreements, net amount 6,099 0
Total liabilities    
Total liabilities, gross amounts 1,597,682 2,831,171
Total liabilities, gross amounts offset in the consolidated balance sheet 0 0
Total liabilities, net amounts presented in the consolidated balance sheets 1,597,682 2,831,171
Total liabilities, gross amounts not offset in the consolidated balance sheets, financial instruments (1,552,883) (2,827,377)
Total liabilities, gross amounts not offset in the consolidated balance sheets, cash collateral (38,700) (2,819)
Total liabilities, net amount 6,099 975
Cash pledged to derivative counterparties 27,100 55,400
Fair value of investments pledged against repurchase agreements $ 1,700,000 $ 3,200,000
v3.20.1
Related Party Transactions (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Dec. 31, 2019
Related Party Transactions      
Management fees $ 1,039 $ 1,735  
Western Asset Management Company      
Related Party Transactions      
Management fees (as a percent) 1.50%    
Renewal term of management agreement 1 year    
Notice period to terminate the Management Agreement following initial term 180 days    
Multiple of average annual management fees used to calculate termination fee of management agreement 300.00%    
Prior period over which management fees were incurred used to calculate the termination fee under the Management Agreement 24 months    
Notice period to terminate the Management Agreement for cause 30 days    
Management fees $ 1,000 1,700  
Reimbursable employee costs 221 $ 215  
Management fees incurred but not yet paid 3,000   $ 2,000
Reimbursable employee costs incurred but not yet paid $ 232   $ 181
Western Asset Management Company | Minimum      
Related Party Transactions      
Proportion of affirmative votes by the entity's independent directors to terminate the Management Agreement (as a percent) 67.00%    
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees (as a percent) 67.00%    
v3.20.1
Share-Based Payments (Details)
$ / shares in Units, $ in Thousands
3 Months Ended 50 Months Ended
Jun. 06, 2019
loan
shares
Mar. 28, 2019
shares
Mar. 31, 2020
USD ($)
$ / shares
shares
Mar. 31, 2019
USD ($)
$ / shares
shares
Jun. 30, 2016
shares
Dec. 31, 2019
USD ($)
shares
Share-Based Payments            
Shares authorized (as a percent)     3.00%      
Number of shares remained available for issuance (in shares)     687,417      
Stock-based compensation expense recognized | $     $ 165 $ 70    
Common Stock Outstanding            
Share-Based Payments            
Number of shares remained available for issuance (in shares)     1,582,594      
Equity awards            
Share-Based Payments            
Unamortized compensation expense | $     $ 803     $ 968
Shares of Restricted Stock            
Granted (in shares)         895,177  
Restricted common stock            
Share-Based Payments            
Number of independent directors to whom awards were granted | loan 4          
Vested (in shares)     36,000      
Summary of restricted common stock vesting dates            
Shares Vesting (in shares)     103,480 136,364   138,592
Shares of Restricted Stock            
Outstanding, beginning of period (in shares)     894,289 753,973    
Granted (in shares)     888 108,888    
Cancelled/forfeited (in shares)     0 0    
Outstanding, end of period (in shares)     895,177 862,861    
Unvested at end of year (in shares)     103,480 136,364   138,592
Weighted Average Grant Date Fair Value            
Outstanding at beginning of period (in dollars per share) | $ / shares     $ 15.76 $ 16.77    
Granted (in dollars per share) | $ / shares     10.67 10.50    
Cancelled/forfeited (in dollars per share) | $ / shares     0 0    
Outstanding at end of year (in dollars per share) | $ / shares     15.75 15.98    
Unvested at end of year (in dollars per share) | $ / shares     $ 10.29 $ 10.56    
Restricted common stock | March 2020            
Summary of restricted common stock vesting dates            
Shares Vesting (in shares)     0     36,000
Shares of Restricted Stock            
Unvested at end of year (in shares)     0     36,000
Restricted common stock | June 2020            
Summary of restricted common stock vesting dates            
Shares Vesting (in shares)     31,480     30,592
Shares of Restricted Stock            
Unvested at end of year (in shares)     31,480     30,592
Restricted common stock | March 2021            
Summary of restricted common stock vesting dates            
Shares Vesting (in shares)     36,000     36,000
Shares of Restricted Stock            
Unvested at end of year (in shares)     36,000     36,000
Restricted common stock | March 2022            
Summary of restricted common stock vesting dates            
Shares Vesting (in shares)     36,000     36,000
Shares of Restricted Stock            
Unvested at end of year (in shares)     36,000     36,000
Restricted common stock | Management            
Shares of Restricted Stock            
Granted (in shares)   108,000        
Restricted common stock | Management | March 2020            
Weighted Average Grant Date Fair Value            
Award vesting rights, percentage     33.00%      
Restricted common stock | Management | March 2021            
Weighted Average Grant Date Fair Value            
Award vesting rights, percentage     33.00%      
Restricted common stock | Management | March 2022            
Weighted Average Grant Date Fair Value            
Award vesting rights, percentage     33.00%      
Restricted common stock | Director            
Share-Based Payments            
Awards granted to each of the entity's independent directors (in shares) 7,195          
Shares of Restricted Stock            
Granted (in shares) 28,780          
Restricted common stock | Director Deferred Fee Plan            
Shares of Restricted Stock            
Granted (in shares)     888 888    
v3.20.1
Stockholders' Equity (Details) - USD ($)
$ / shares in Units, $ in Thousands
3 Months Ended
Mar. 31, 2020
Oct. 25, 2019
Sep. 19, 2019
Jun. 20, 2019
Apr. 26, 2019
Mar. 21, 2019
Jan. 24, 2019
Dec. 19, 2018
Jul. 26, 2018
Mar. 31, 2020
Mar. 31, 2019
Dec. 19, 2019
Dec. 21, 2017
Apr. 30, 2017
Shareholders equity                            
Payments of stock issuance costs                   $ 3 $ 174      
Dividends, declared per share of common stock (in dollars per share) $ 0   $ 0.31 $ 0.31   $ 0.31   $ 0.31            
Shares authorized to be repurchased (in shares) 100,000                 100,000   2,700,000 2,100,000  
Dividends, cash paid per share of common stock (in dollars per share)   $ 0.31     $ 0.31   $ 0.31   $ 0.31          
At The Market Offering | Common Stock Outstanding                            
Shareholders equity                            
Equity offering amount, maximum                           $ 100,000
v3.20.1
Net Income per Common Share (Details) - USD ($)
$ / shares in Units, $ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Numerator:    
Net income (loss) $ (381,857) $ 27,876
Net income (loss) attributable to common stockholders and participating securities for basic and diluted earnings per share (381,855) 27,876
Less: Dividends and undistributed earnings allocated to participating securities 0 70
Net income (loss) allocable to common stockholders — basic and diluted $ (381,857) $ 27,806
Denominator:    
Weighted average common shares outstanding for basic earnings per share 53,402,623 48,116,379
Weighted average common shares outstanding for diluted earnings per share 53,402,623 48,116,379
Basic earnings per common share (in dollars per share) $ (7.15) $ 0.58
Diluted earnings per common share (in dollars per share) $ (7.15) $ 0.58
v3.20.1
Income Taxes (Details) - USD ($)
$ in Thousands
3 Months Ended
Mar. 31, 2020
Mar. 31, 2019
Dec. 31, 2019
Valuation Allowance [Line Items]      
Current federal, state and local, tax expense (benefit) $ (93) $ 12  
Deferred tax assets, gross 10,600   $ 8,500
Capital Loss Carryforward      
Valuation Allowance [Line Items]      
Valuation allowances balance 10,600   8,500
Operating Loss Carryforwards      
Valuation Allowance [Line Items]      
Valuation allowances balance 32,200   6,900
State Jurisdiction      
Valuation Allowance [Line Items]      
Deferred tax asset, net operating losses 23,400   6,000
State Jurisdiction | Taxable REIT Subsidiary      
Valuation Allowance [Line Items]      
Deferred tax asset, net operating losses $ 8,800   1,300
Domestic Tax Authority      
Valuation Allowance [Line Items]      
Deferred tax liabilities, net     $ 85
v3.20.1
Subsequent Events (Details)
$ in Thousands
Apr. 21, 2020
USD ($)
Counterparty
May 04, 2020
USD ($)
Mar. 31, 2020
USD ($)
item
Dec. 31, 2019
USD ($)
Subsequent Event [Line Items]        
Repurchase agreements, net     $ 1,553,715 $ 2,824,801
Number of counterparties from whom entity borrowed under repurchase agreement | item     19  
Residential  Whole Loans        
Subsequent Event [Line Items]        
Fair value     $ 1,309,795 $ 1,375,860
Subsequent Event        
Subsequent Event [Line Items]        
Number of counterparties from whom entity borrowed under repurchase agreement | Counterparty 3      
Subsequent Event | Restated Facility        
Subsequent Event [Line Items]        
Mortgage loans on real estate, number of loans, nonperforming, percentage 84.00%      
Debt instrument, term 18 months      
Subsequent Event | Residential  Whole Loans        
Subsequent Event [Line Items]        
Repurchase agreements, net $ 385,000      
Fair value 430,000      
Subsequent Event | Commercial And Residential Portfolio Segment        
Subsequent Event [Line Items]        
Repurchase agreements, net   $ 108,800    
Fair value   $ 182,700    
Financing Receivable, Percentage Of Excess Proceeds   50.00%    
Subsequent Event | Commercial And Residential Portfolio Segment | London Interbank Offered Rate (LIBOR)        
Subsequent Event [Line Items]        
Loan variable rate   500.00%    
Subsequent Event | Other securities        
Subsequent Event [Line Items]        
Repurchase agreements, net 18,200      
Subsequent Event | Whole-Loans        
Subsequent Event [Line Items]        
Repurchase agreements, net $ 148,600      
Subsequent Event | Whole-Loans | Restated Facility        
Subsequent Event [Line Items]        
Exit percent fee 0.50%      
Percentage of projected cash flow 30.00%      
Subsequent Event | Non-Agency MBS        
Subsequent Event [Line Items]        
Repurchase agreements, net $ 65,300      
Subsequent Event | Agency MBS        
Subsequent Event [Line Items]        
Repurchase agreements, net $ 370,300