| Summary of Significant Inputs to Fair Value Measurement |
The following table presents the weighted-average of the significant inputs to the fair value measurement of the Company’s non-agency MBS secured by business-purpose residential mortgage loans as of dates indicated:
|
|
|
December 31, 2021 |
|
|
December 31, 2020 |
|
|
Annualized default rate |
|
|
77.7 |
% |
|
|
12.0 |
% |
|
Loss-given-default |
|
|
15.8 |
% |
|
|
40.0 |
% |
|
Discount rate |
|
|
13.0 |
% |
|
|
13.9 |
% |
The following table presents the weighted-average of the significant inputs to the fair value measurement of the mortgage loans of the Company’s consolidated VIE as of December 31, 2021:
|
|
|
December 31, 2021 |
|
|
Probability of default |
|
|
66.2 |
% |
|
Loss-given-default |
|
|
8.6 |
% |
The following table presents the significant unobservable inputs to the fair value measurement of the MSRs underlying the Company’s MSR financing receivables as of December 31, 2021:
|
|
|
December 31, 2021 |
|
|
Discount rate |
|
|
9.0 |
% |
|
Annualized prepayment rate |
|
|
10.1 |
% |
|
Annual per-loan cost of servicing (current loans) |
|
$ |
65.00 |
|
|
| Financial Instruments Measured at Fair Value on a Recurring Basis |
The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of December 31, 2021 and 2020. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.
|
|
|
December 31, 2021 |
|
|
|
|
Total |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Financial assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency MBS |
|
$ |
483,927 |
|
|
$ |
— |
|
|
$ |
483,927 |
|
|
$ |
— |
|
|
MSR financing receivables |
|
|
125,018 |
|
|
|
— |
|
|
|
— |
|
|
|
125,018 |
|
|
Loans |
|
|
29,697 |
|
|
|
— |
|
|
|
— |
|
|
|
29,697 |
|
|
Credit securities |
|
|
26,222 |
|
|
|
— |
|
|
|
— |
|
|
|
26,222 |
|
|
Mortgage loans of consolidated VIE |
|
|
7,442 |
|
|
|
— |
|
|
|
— |
|
|
|
7,442 |
|
|
Derivative assets |
|
|
250 |
|
|
|
20 |
|
|
|
230 |
|
|
|
— |
|
|
Other assets |
|
|
12,655 |
|
|
|
5,267 |
|
|
|
— |
|
|
|
7,388 |
|
|
Financial liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Secured debt of consolidated VIE |
|
|
508 |
|
|
|
— |
|
|
|
— |
|
|
|
508 |
|
|
Derivative liabilities |
|
|
228 |
|
|
|
— |
|
|
|
228 |
|
|
|
— |
|
|
|
|
December 31, 2020 |
|
|
|
|
Total |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Financial assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency MBS |
|
$ |
970,880 |
|
|
$ |
— |
|
|
$ |
970,880 |
|
|
$ |
— |
|
|
Credit securities |
|
|
26,660 |
|
|
|
— |
|
|
|
14,730 |
|
|
|
11,930 |
|
|
Mortgage loans of consolidated VIE |
|
|
93,283 |
|
|
|
— |
|
|
|
— |
|
|
|
93,283 |
|
|
Loans |
|
|
45,000 |
|
|
|
— |
|
|
|
— |
|
|
|
45,000 |
|
|
MSR financing receivables |
|
|
9,346 |
|
|
|
— |
|
|
|
— |
|
|
|
9,346 |
|
|
Derivative assets |
|
|
258 |
|
|
|
— |
|
|
|
258 |
|
|
|
— |
|
|
Other assets |
|
|
17,690 |
|
|
|
10,821 |
|
|
|
— |
|
|
|
6,869 |
|
|
Financial liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Secured debt of consolidated VIE |
|
|
93,627 |
|
|
|
— |
|
|
|
93,051 |
|
|
|
576 |
|
|
Derivative liabilities |
|
|
221 |
|
|
|
— |
|
|
|
221 |
|
|
|
— |
|
|
| Change in Fair Value of Level 3 Financial Assets and Liabilities that are Measured at Fair Value on Recurring Basis |
The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial assets that are measured at fair value on a recurring basis for the periods indicated:
|
|
|
Year Ended December 31, |
|
|
|
|
2021 |
|
|
2020 |
|
|
Beginning balance |
|
$ |
166,428 |
|
|
$ |
51,398 |
|
|
Net gain (loss) included in "Investment and derivative gain (loss), net" |
|
|
16,166 |
|
|
|
(3,514 |
) |
|
Additions from consolidation of VIE |
|
|
— |
|
|
|
123,680 |
|
|
Transfers to real estate owned by consolidated VIE |
|
|
(534 |
) |
|
|
— |
|
|
Purchases |
|
|
157,842 |
|
|
|
48,229 |
|
|
Sales |
|
|
(13,263 |
) |
|
|
— |
|
|
Payments, net |
|
|
(139,501 |
) |
|
|
(57,047 |
) |
|
Accretion of discount |
|
|
8,629 |
|
|
|
3,682 |
|
|
Ending balance |
|
$ |
195,767 |
|
|
$ |
166,428 |
|
|
Net unrealized gains (losses) included in earnings for the
period for Level 3 assets still held at the reporting date |
|
$ |
16,304 |
|
|
$ |
(3,492 |
) |
The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 financial liabilities that are measured at fair value on a recurring basis for the periods indicated:
|
|
|
Year Ended December 31, |
|
|
|
|
2021 |
|
|
2020 |
|
|
Beginning balance |
|
$ |
576 |
|
|
$ |
— |
|
|
Net loss (gain) included in "Investment and derivative gain (loss), net" |
|
|
16 |
|
|
|
(27 |
) |
|
Additions from consolidation of VIE |
|
|
— |
|
|
|
559 |
|
|
Payments, net |
|
|
(158 |
) |
|
|
— |
|
|
Accretion of discount |
|
|
74 |
|
|
|
44 |
|
|
Ending balance |
|
$ |
508 |
|
|
$ |
576 |
|
|
Net unrealized losses (gains) included in earnings for the
period for Level 3 liabilities still held at the reporting date |
|
$ |
16 |
|
|
$ |
(27 |
) |
|