XML 72 R25.htm IDEA: XBRL DOCUMENT

Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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 I		Level II		Level III		Total
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 I		Level II		Level III		Total
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, 2020	Valuation Technique	Unobservable Input	Minimum		Maximum			Weighted Average






Residential Whole-Loans⁽²⁾	1,161,199	Discounted Cash Flow	Yield	4.7	%	8.9	%		6.6	%
			Weighted Average Life	1.2		6.6			2.5
Residential Bridge Loans	26,050	Discounted Cash Flow	Yield	8.5	%	26.3	%	⁽¹⁾	11.6	%
			Weighted Average Life	0.2		1.8			0.8



Commercial Loans	320,308	Discounted Cash Flow	Yield	6.5	%	14.9	%		9.4	%
			Weighted Average Life	1.2		2.7			1.4


	Fair Value at			Range
	December 31, 2019	Valuation Technique	Unobservable Input	Minimum		Maximum			Weighted Average






Residential Whole-Loans⁽²⁾	1,200,566	Discounted Cash Flow	Yield	3.4	%	7.0	%		3.7	%
			Weighted Average Life	1.4		7.8			3.0
Residential Bridge Loans	33,269	Discounted Cash Flow	Yield	7.5	%	27.0	%	⁽¹⁾	9.8	%
			Weighted Average Life	0.3		1.8			0.8

Commercial Loans	370,213	Discounted Cash Flow	Yield	4.7	%	10.9	%		7.5	%
			Weighted Average Life	0.4		2.9			1.6

(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 thousands	Agency MBS		Non-Agency MBS		Other Securities		Residential Whole Loans		Residential Bridge Loans		Commercial Loans		Securitized 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 thousands	Agency MBS		Non-Agency MBS		Other Securities		Residential Whole Loans		Residential Bridge Loans		Commercial Loans		Securitized 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, 2020						December 31, 2019
	Carrying Value		Estimated Fair Value		Carrying 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.}

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details