Cover page
Cover page - shares | 3 Months Ended | |
Mar. 31, 2020 | Jun. 10, 2020 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Document Period End Date | Mar. 31, 2020 | |
Entity File Number | 1-13991 | |
Entity Registrant Name | MFA FINANCIAL, INC. | |
Entity Central Index Key | 0001055160 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 13-3974868 | |
Entity Address, Address Line One | 350 Park Avenue, 20th Floor | |
Entity Address, City or Town | New York | |
Entity Address, State or Province | NY | |
Entity Address, Postal Zip Code | 10022 | |
City Area Code | 212 | |
Local Phone Number | 207-6400 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 453,242,244 | |
Common Stock, par value $0.01 per share | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | MFA | |
Security Exchange Name | NYSE | |
7.50% Series B Cumulative Redeemable Preferred Stock, par value $0.01 per share | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.50% Series B Cumulative RedeemablePreferred Stock, par value $0.01 per share | |
Trading Symbol | MFA/PB | |
Security Exchange Name | NYSE | |
6.50% Series C Cumulative Redeemable Preferred Stock [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 6.50% Series C Cumulative RedeemablePreferred Stock, par value $0.01 per share | |
Trading Symbol | MFA/PC | |
Security Exchange Name | NYSE | |
8.00% Senior Notes due 2042 | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 8.00% Senior Notes due 2042 | |
Trading Symbol | MFO | |
Security Exchange Name | NYSE |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Assets: | |||
Residential whole loans, at carrying value ($5,055,177 and $4,847,782 pledged as collateral, respectively) (1) (2) | [1],[2] | $ 5,934,042 | $ 6,069,370 |
Residential whole loans, at fair value ($718,343 and $794,684 pledged as collateral, respectively) (1) | [2] | 1,243,792 | 1,381,583 |
Allowance for credit and valuation losses on residential whole loans held at carrying value and held-for-sale | (218,011) | (3,025) | |
Total residential whole loans, net | 6,959,823 | 7,447,928 | |
Residential mortgage securities: | |||
Mortgage-backed securities and credit risk transfer securities | 1,927,454 | 3,983,519 | |
Mortgage servicing rights (“MSR”) related assets ($877,204 and $1,217,002 pledged as collateral, respectively) | 738,054 | 1,217,002 | |
Cash and cash equivalents | 116,465 | 70,629 | |
Restricted cash | 216,902 | 64,035 | |
Other assets | 1,171,639 | 784,251 | |
Total Assets | 11,130,337 | 13,567,364 | |
Liabilities: | |||
Repurchase agreements | 7,768,180 | 9,139,821 | |
Other liabilities | 921,482 | 1,043,591 | |
Total Liabilities | 8,689,662 | 10,183,412 | |
Commitments and contingencies (See Note 10) | |||
Stockholders’ Equity: | |||
Common stock, $.01 par value; 874,300 and 886,950 shares authorized; 453,138 and 452,369 shares issued and outstanding, respectively | 4,531 | 4,524 | |
Additional paid-in capital, in excess of par | 3,906,613 | 3,640,341 | |
Accumulated deficit | (1,548,361) | (631,040) | |
Accumulated other comprehensive income | 77,702 | 370,047 | |
Total Stockholders’ Equity | 2,440,675 | 3,383,952 | |
Total Liabilities and Stockholders’ Equity | 11,130,337 | 13,567,364 | |
Non-Agency MBS | |||
Residential mortgage securities: | |||
Mortgage-backed securities and credit risk transfer securities | 1,119,940 | 2,063,529 | |
Agency MBS | |||
Residential mortgage securities: | |||
Mortgage-backed securities and credit risk transfer securities | 553,413 | 1,664,582 | |
Liabilities: | |||
Repurchase agreements | 522,209 | 1,557,675 | |
CRT securities | |||
Residential mortgage securities: | |||
Mortgage-backed securities and credit risk transfer securities | 254,101 | 255,408 | |
Liabilities: | |||
Repurchase agreements | 297,628 | 203,569 | |
Non-Agency MBS Transferred to Consolidated VIEs | |||
Assets: | |||
Residential whole loans, at carrying value ($5,055,177 and $4,847,782 pledged as collateral, respectively) (1) (2) | 185,900 | 186,400 | |
Residential whole loans, at fair value ($718,343 and $794,684 pledged as collateral, respectively) (1) | 516,400 | 567,400 | |
Non-QM Loans | |||
Stockholders’ Equity: | |||
Loan held for sale, amortized cost | 965,500 | ||
Loans net carrying amount | [1],[2] | 895,300 | |
Series B Preferred Stock | |||
Stockholders’ Equity: | |||
Preferred stock, $.01 par value; 7.50% Series B cumulative redeemable; 8,050 shares authorized; 8,000 shares issued and outstanding ($200,000 aggregate liquidation preference) | 80 | 80 | |
Series C Preferred Stock | |||
Stockholders’ Equity: | |||
Preferred stock, $.01 par value; 7.50% Series B cumulative redeemable; 8,050 shares authorized; 8,000 shares issued and outstanding ($200,000 aggregate liquidation preference) | $ 110 | $ 0 | |
[1] | Includes Non-QM loans held-for-sale with an amortized cost of $965.5 million and a net carrying value of $895.3 million at March 31, 2020 . | ||
[2] | Includes approximately $185.9 million and $186.4 million of Residential whole loans, at carrying value and $516.4 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2020 and December 31, 2019 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Residential whole loans, carrying value | $ 4,847,782,000 | $ 4,847,782,000 |
Residential whole loans, fair value | 794,684,000 | 794,684,000 |
MSR-Related Assets, pledged as collateral (in dollars) | 877,204,000 | $ 1,217,002,000 |
Preferred stock, aggregate liquidation preference (in dollars) | $ 275,000,000 | |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 874,300,000 | 886,950,000 |
Common stock, shares issued | 453,138,000 | 452,369,000 |
Common stock, shares outstanding | 453,138,000 | 452,369,000 |
Collateral Pledged | Non-Agency MBS | ||
Securities, at fair value, pledged as collateral | $ 1,331,674,000 | $ 2,055,802,000 |
Collateral Pledged | Agency MBS | ||
Securities, at fair value, pledged as collateral | 568,704,000 | 1,658,614,000 |
Collateral Pledged | CRT securities | ||
Securities, at fair value, pledged as collateral | $ 263,225,000 | $ 252,175,000 |
Series B Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized | 8,050,000 | 8,050,000 |
Preferred stock, dividend rate (as a percent) | 7.50% | |
Preferred stock, shares issued | 8,000,000 | 8,000,000 |
Preferred stock, shares outstanding | 8,000,000 | 8,000,000 |
Preferred stock, aggregate liquidation preference (in dollars) | $ 200,000,000 | $ 200,000,000 |
Series C Preferred Stock | ||
Preferred stock, par value (in dollars per share) | $ 0.01 | |
Preferred stock, shares authorized | 12,650,000 | |
Preferred stock, dividend rate (as a percent) | 6.50% | |
Preferred stock, shares issued | 11,000,000 | |
Preferred stock, shares outstanding | 11,000,000 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Interest Income: | ||
Residential whole loans held at carrying value | $ 83,486 | $ 49,620 |
MSR-related assets | 14,207 | 10,620 |
Cash and cash equivalent investments | 486 | 764 |
Other interest-earning assets | 2,907 | 1,306 |
Interest Income | 145,460 | 140,952 |
Interest Expense: | ||
Repurchase agreements | 72,698 | 70,809 |
Other interest expense | 11,061 | 8,217 |
Interest Expense | 83,759 | 79,026 |
Net Interest Income | 61,701 | 61,926 |
Provision for credit and valuation losses on residential whole loans and other financial instruments | (150,827) | (805) |
Net Interest Income after Provision for Credit and Valuation Losses | (89,126) | 61,121 |
Other Income, net: | ||
Impairment and other losses on securities available-for-sale and other assets | (419,651) | 0 |
Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans | (238,380) | 24,609 |
Net unrealized (loss)/gain on residential mortgage securities measured at fair value through earnings | (77,961) | 8,672 |
Net (loss)/gain on residential whole loans measured at fair value through earnings | (52,760) | 25,267 |
Net loss on Swaps not designated as hedges for accounting purposes | (4,239) | (8,944) |
Other, net | 2,228 | 1,565 |
Other (Loss)/Income, net | (790,763) | 51,169 |
Operating and Other Expense: | ||
Compensation and benefits | 8,899 | 8,554 |
Other general and administrative expense | 4,575 | 4,645 |
Loan servicing and other related operating expenses | 11,164 | 10,234 |
Costs associated with restructuring/forbearance agreement | 4,468 | 0 |
Operating and Other Expense | 29,106 | 23,433 |
Net (Loss)/Income | (908,995) | 88,857 |
Less Preferred Stock Dividend Requirement | 5,215 | 3,750 |
Net (Loss)/Income Available to Common Stock and Participating Securities | $ (914,210) | $ 85,107 |
Basic Earnings per Common Share (usd per share) | $ (2.02) | $ 0.19 |
Diluted Earnings per Common Share (usd per share) | $ (2.02) | $ 0.19 |
Non-Agency MBS | ||
Interest Income: | ||
Securities | $ 32,551 | $ 54,001 |
Agency MBS | ||
Interest Income: | ||
Securities | 8,861 | 18,441 |
CRT securities | ||
Interest Income: | ||
Securities | $ 2,962 | $ 6,200 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Statement of Comprehensive Income [Abstract] | ||
Net (loss)/income | $ (908,995) | $ 88,857 |
Other Comprehensive Income/(Loss): | ||
Unrealized gains on securities available-for-sale | 124,410 | 22,103 |
Reclassification adjustment for MBS sales included in net income | (23,953) | (17,009) |
Reclassification adjustment for impairments included in net income | (344,269) | 0 |
Derivative hedging instrument fair value changes, net | (50,127) | (10,445) |
Amortization of de-designated hedging instruments, net | 1,594 | (341) |
Other Comprehensive Income/(Loss) | (292,345) | (5,692) |
Comprehensive income before preferred stock dividends | (1,201,340) | 83,165 |
Dividends required on preferred stock | (5,215) | (3,750) |
Comprehensive Income Available to Common Stock and Participating Securities | $ (1,206,555) | $ 79,415 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Series C Preferred Stock | Series B Preferred Stock | Preferred StockSeries C Preferred Stock | Preferred StockSeries B Preferred Stock | Common Stock | Additional Paid-in Capital | Additional Paid-in CapitalSeries C Preferred Stock | Accumulated Deficit | Accumulated Other Comprehensive Income | |
Balance (in shares) at Dec. 31, 2018 | 8,000,000 | 449,787,000 | |||||||||
Balance at Dec. 31, 2018 | $ 3,416,101 | $ 80 | $ 4,498 | $ 3,623,275 | $ (632,040) | $ 420,288 | |||||
Increase (Decrease) in Stockholders' Equity | |||||||||||
Net (loss)/income | 88,857 | 88,857 | |||||||||
Issuance of stock, net of expenses (in shares) | 1,066,000 | ||||||||||
Issuance of stock, net of expenses | 551 | $ 7 | 544 | ||||||||
Repurchase of shares of common stock (in shares) | [1] | (370,000) | |||||||||
Repurchase of shares of common stock | [1] | (2,610) | (2,610) | ||||||||
Equity based compensation expense | 992 | 992 | |||||||||
Accrued dividends attributable to stock-based awards | 435 | 435 | |||||||||
Dividends declared on common stock ($0.20 per share) | (90,097) | (90,097) | |||||||||
Dividends declared on preferred stock ($0.46875 per share) | (3,750) | (3,750) | |||||||||
Dividends attributable to dividend equivalents | (256) | (256) | |||||||||
Change in unrealized gains on MBS, net | 5,094 | 5,094 | |||||||||
Derivative hedging instrument fair value changes and amortization, net | (10,786) | (10,786) | |||||||||
Balance (in shares) at Mar. 31, 2019 | 8,000,000 | 450,483,000 | |||||||||
Balance at Mar. 31, 2019 | 3,404,531 | $ 80 | $ 4,505 | 3,622,636 | (637,286) | 414,596 | |||||
Increase (Decrease) in Stockholders' Equity | |||||||||||
Adjustments related to tax withholding for share-based compensation | $ 2,600 | ||||||||||
Shares paid for tax withholding for share based compensation (in shares) | 370,244 | ||||||||||
Preferred Stock, Per Share Amounts of Preferred Dividends in Arrears | $ 0.12639 | $ 0.46875 | |||||||||
Balance (in shares) at Dec. 31, 2019 | 0 | 8,000,000 | 452,369,000 | ||||||||
Balance at Dec. 31, 2019 | 3,383,952 | $ 0 | $ 80 | $ 4,524 | 3,640,341 | (631,040) | 370,047 | ||||
Increase (Decrease) in Stockholders' Equity | |||||||||||
Net (loss)/income | (908,995) | (908,995) | |||||||||
Issuance of stock, net of expenses (in shares) | 11,000,000 | 1,106,000 | |||||||||
Issuance of stock, net of expenses | 687 | $ 266,029 | $ 110 | $ 7 | 680 | $ 265,919 | |||||
Repurchase of shares of common stock (in shares) | [2] | (337,000) | |||||||||
Repurchase of shares of common stock | [2] | (2,652) | (2,652) | ||||||||
Equity based compensation expense | 1,266 | 1,266 | |||||||||
Accrued dividends attributable to stock-based awards | 1,059 | 1,059 | |||||||||
Dividends declared on preferred stock ($0.46875 per share) | (5,215) | ||||||||||
Change in unrealized gains on MBS, net | (243,812) | (243,812) | |||||||||
Derivative hedging instrument fair value changes and amortization, net | (48,533) | (48,533) | |||||||||
Balance (in shares) at Mar. 31, 2020 | 11,000,000 | 8,000,000 | 453,138,000 | ||||||||
Balance at Mar. 31, 2020 | $ 2,440,675 | $ 110 | $ 80 | $ 4,531 | $ 3,906,613 | $ (1,548,361) | $ 77,702 | ||||
Increase (Decrease) in Stockholders' Equity | |||||||||||
Adjustments related to tax withholding for share-based compensation | $ 2,700 | ||||||||||
Shares paid for tax withholding for share based compensation (in shares) | 337,026 | ||||||||||
[1] | For the three months ended March 31, 2019 , includes approximately $2.6 million ( 370,244 shares) surrendered for tax purposes related to equity-based compensation awards. | ||||||||||
[2] | For the three months ended March 31, 2020 includes approximately $2.7 million ( 337,026 shares) surrendered for tax purposes related to equity-based compensation awards. |
CONSOLIDATED STATEMENTS OF CH_2
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares | Mar. 11, 2020 | Feb. 14, 2020 | Apr. 15, 2013 | Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 |
Common stock, cash dividends declared (in dollars per share) | $ 0.20 | $ 0.20 | ||||
Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share | ||||||
Preferred Stock, dividend rate | 7.50% | 7.50% | ||||
Dividend declared per share, preferred stock (in dollars per share) | $ 0.46875 | $ 0.46875 | ||||
Preferred Stock | Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share | ||||||
Preferred Stock, dividend rate | 7.50% | 7.50% | 7.50% | |||
Preferred Stock, liquidation preference per share (in dollars per share) | $ 25 | $ 25 | $ 25 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Cash Flows From Operating Activities: | ||
Net (loss)/income | $ (908,995) | $ 88,857 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Loss on sales of residential whole loans at carrying value | 145,791 | 0 |
Loss/(gain) on sales of residential mortgage securities and MSR-related assets | 92,589 | (24,609) |
Gain on sales of real estate owned | (3,107) | (1,398) |
Gain on liquidation of residential whole loans | (1,105) | (4,684) |
Impairment and other losses on securities available-for-sale and other assets | 419,651 | 0 |
Accretion of purchase discounts on residential mortgage securities, residential whole loans and MSR-related assets | (12,114) | (15,915) |
Amortization of purchase premiums on residential mortgage securities and residential whole loans, and amortization of terminated hedging instruments | 15,266 | 7,620 |
Depreciation and amortization on real estate, fixed assets and other assets | 3,582 | 432 |
Equity-based compensation expense | 1,273 | 998 |
Unrealized losses on residential whole loans at fair value | 74,556 | 1,060 |
Provision for credit and valuation losses on residential whole loans and other financial instruments | 150,827 | 0 |
Unrealized losses on residential mortgage securities and interest rate swap agreements (“Swaps”) and other | 82,464 | 200 |
Increase in other assets | (37,811) | (8,770) |
Decrease in other liabilities | (9,653) | (6,709) |
Net cash provided by operating activities | 13,214 | 37,082 |
Cash Flows From Investing Activities: | ||
Purchases of residential whole loans, loan related investments and capitalized advances | (1,119,464) | (1,021,557) |
Principal payments on residential whole loans | 508,855 | 233,724 |
Principal payments on residential mortgage securities and MSR-related assets | 539,882 | 391,641 |
Proceeds from sales of residential mortgage securities | 1,009,316 | 208,306 |
Purchases of residential mortgage securities and MSR-related assets | (162,607) | (327,221) |
Proceeds from sales of real estate owned | 52,042 | 23,963 |
Purchases of real estate owned and capital improvements | (5,606) | (5,923) |
Additions to leasehold improvements, furniture and fixtures | (176) | (391) |
Net cash provided by/(used in) investing activities | 822,242 | (497,458) |
Cash Flows From Financing Activities: | ||
Principal payments on repurchase agreements | (12,903,818) | (18,879,173) |
Proceeds from borrowings under repurchase agreements | 12,216,862 | 19,509,794 |
Principal payments on securitized debt | (37,418) | (25,501) |
Payments made for settlements and unwinds of Swaps | (88,405) | (21,478) |
Proceeds from issuance of Series C Preferred Stock | 275,000 | 0 |
Payments made for costs related to Series C Preferred Stock issuance | (8,912) | 0 |
Proceeds from issuances of common stock | 687 | 551 |
Dividends paid on preferred stock | 0 | (3,750) |
Dividends paid on common stock and dividend equivalents | (90,749) | (90,198) |
Net cash (used in)/provided by financing activities | (636,753) | 490,245 |
Net increase in cash, cash equivalents and restricted cash | 198,703 | 29,869 |
Cash, cash equivalents and restricted cash at beginning of period | 134,664 | 88,709 |
Cash, cash equivalents and restricted cash at end of period | 333,367 | 118,578 |
Supplemental Disclosure of Cash Flow Information | ||
Interest Paid | 80,158 | 81,435 |
Non-cash Investing and Financing Activities: | ||
Transfer from residential whole loans to real estate owned | 50,693 | 65,160 |
Dividends and dividend equivalents declared and unpaid | 0 | 90,353 |
Receivable for unsettled MBS, MSR-related asset, and residential whole loan sales | $ 419,583 | $ 0 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization MFA Financial, Inc. (the “Company”) was incorporated in Maryland on July 24, 1997 and began operations on April 10, 1998. The Company has elected to be treated as a real estate investment trust (“REIT”) for U.S. federal income tax purposes. In order to maintain its qualification as a REIT, the Company must comply with a number of requirements under federal tax law, including that it must distribute at least 90% of its annual REIT taxable income to its stockholders. The Company has elected to treat certain of its subsidiaries as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business. (See Note 2 ( n )) |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies ( a ) Basis of Presentation and Consolidation The interim unaudited consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (the “SEC”). Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) have been condensed or omitted in accordance with these SEC rules and regulations. Management believes that the disclosures included in these interim unaudited consolidated financial statements are adequate to make the information presented not misleading. The accompanying unaudited consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019 . In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2020 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2020 should not be construed as indicative of the results to be expected for the full year. The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP 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 period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas, including impairment, valuation allowances and loss allowances on residential whole loans (See Note 3 ), mortgage-backed securities (“MBS”) (See Note 4 ) and Other Assets (See Note 5), valuation of MBS, CRT securities and MSR-related assets (See Notes 4 and 14 ), income recognition and valuation of residential whole loans (See Notes 3 and 14 ), valuation of derivative instruments (See Notes 5 ( c ) and 14 ) and income recognition on certain Non-Agency MBS (defined below) purchased at a discount. (See Note 4 ) In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest. (See Note 2 ( n )) Actual results could differ from those estimates. The Company has one reportable segment since it manages its business and analyzes and reports its results of operations on the basis of one operating segment: investing, on a leveraged basis, in residential mortgage assets. The consolidated financial statements of the Company include the accounts of all subsidiaries. All intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation. ( b ) Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions. The accounting model utilized by the Company is determined at the time each loan package is initially acquired and is generally based on the delinquency status of the majority of the underlying borrowers in the package at acquisition. The accounting model described below for Purchased Credit Deteriorated Loans that are held at carrying value is typically utilized by the Company for Purchased Credit Deteriorated Loans where the underlying borrower has a delinquency status of less than 60 days at the acquisition date. The Company also acquires Purchased Performing Loans that are typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required credit loss reserves (as discussed below) differ from those used for Purchased Credit Deteriorated Loans held at carrying value. The accounting model described below for residential whole loans held at fair value is typically utilized by the Company for loans where the underlying borrower has a delinquency status of 60 days or more at the acquisition date. The accounting model initially applied is not subsequently changed. The Company’s residential whole loans pledged as collateral against repurchase agreements are included in the consolidated balance sheets with amounts pledged disclosed parenthetically. Purchases and sales of residential whole loans that are subject to an extended period of due diligence that crosses a reporting date are recorded in our balance sheet at amounts reflecting management’s current estimate of assets that will be acquired or disposed at the closing of the transaction. This estimate is subject to revision at the closing of the transaction, pending the outcome of due diligence performed prior to closing. Residential whole loans purchased under flow arrangements with loan origination partners are generally recorded at the transaction settlement date. Recorded amounts of residential whole loans for which the closing of the purchase transaction is yet to occur are not eligible to be pledged as collateral against any repurchase agreement financing until the closing of the purchase transaction. Interest income, credit related losses and changes in the fair value of loans held at fair value are recorded post settlement for acquired loans and until transaction settlement for sold loans. (See Notes 3 , 6 , 7 , 14 and 15 ) Residential Whole Loans at Carrying Value Purchased Performing Loans Acquisitions of Purchased Performing Loans to date have been primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) short-term business purpose loans collateralized by residential properties made to non-occupant borrowers who intend to rehabilitate and sell the property for a profit (“Rehabilitation loans” or “Fix and Flip loans”), (iii) loans to finance (or refinance) non-owner occupied one-to four-family residential properties that are rented to one or more tenants (“Single-family rental loans”), and (iv) previously originated loans secured by residential real estate that is generally owner occupied (“Seasoned performing loans”). Purchased Performing Loans are initially recorded at their purchase price. Interest income on Purchased Performing Loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate, net of related servicing costs. Interest income on such loans purchased at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related serving costs. An allowance for credit losses is recorded at acquisition, and maintained on an ongoing basis, for all losses expected to be incurred over the life of the respective loan. Any required credit loss allowance would reduce the net carrying value of the loan with a corresponding charge to earnings, and may increase or decrease over time. Significant judgments are required in determining any allowance for credit loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. Income recognition is suspended for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful (i.e., such loans are placed on nonaccrual status). For nonaccrual loans other than Fix and Flip loans, all payments are applied to principal under the cost recovery method. For nonaccrual Fix and Flip loans, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. Modified loans are considered “troubled debt restructurings” if the Company grants a concession to a borrower who is experiencing financial difficulty (including the interpretation of this definition set forth in OCC Bulletin 2020-35). The aggregate allowance for credit losses is equal to the sum of the losses expected to be incurred over the life of each respective loan. These losses were estimated by projecting each loan’s expected cash flows based on their contractual terms, expected prepayments, and estimated default and loss severity rates. The default and severity rates were estimated based on the following steps: (i) obtained the Company’s historical experience through an entire economic cycle for each loan type or, to the extent the Company did not have sufficient historical loss experience for a given loan type, publicly available data derived from the historical loss experience of certain banks, which data the Company believes is generally representative of its portfolio, (ii) obtained historical economic data (U.S. unemployment rates and home price appreciation) over the same period, and (iii) estimated default and severity rates during three distinct future periods based on historical default and severity rates during periods when economic conditions similar to those forecasted were experienced. The three periods were as follows: (i) a one-year forecast of economic conditions based on U.S. unemployment rates and home price appreciation, followed by (ii) a two-year “reversion” period during which economic conditions (U.S. unemployment rates and home price appreciation) are projected to revert to historical averages on a straight line basis, followed by (iii) the remaining life of each loan, during which period economic conditions (U.S. unemployment rates and home price appreciation) are projected to equal historical averages. In addition, a liability is established (and recorded in Other Liabilities) each period using a similar methodology for committed but undrawn loan amounts. This methodology has not changed from the calculation of the allowance for credit losses on January 1, 2020 pursuant to the transition to ASU 2016-13 as described below under “New Accounting Standards and Interpretations,” other than a change in the reversion period from one year to two years to reflect the expected ongoing impact of current conditions. (See Note 3) Purchased Credit Deteriorated Loans The Company has elected to account for these loans as credit impaired as they have experienced a more-than-insignificant deterioration in credit quality since origination and were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with LTVs of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit impaired are initially recorded at the purchase price on a net basis, after establishing an initial allowance for credit losses (their initial cost basis is equal to their purchase price plus the initial allowance for credit losses). Subsequent to acquisition, the gross recorded amount for these loans reflects the initial cost basis, plus accretion of interest income, less principal and interest cash flows received. These loans are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded cost basis reduced by any allowance for credit losses. Interest income on such loans purchased is recorded each period based on the contractual coupon net of amortization of the difference between their cost basis and unpaid principal balance (“UPB”), subject to the Company’s nonaccrual policy. Residential Whole Loans Held-for-Sale The Company’s residential whole loans held-for-sale are presented on the Company’s consolidated balance sheets at the lower of the current carrying amount or fair value less estimated selling costs. Interest income on the Company’s residential whole loans held-for-sale is included in Residential whole loans held at carrying value on the Company’s consolidated statements of operations. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. For the majority of these loans, there is significant uncertainty associated with estimating the timing of and amount of cash flows that will be collected. Further, the cash flows ultimately collected may be dependent on the value of the property securing the loan. Consequently, the Company considers that accounting for these loans at fair value should result in a better reflection over time of the economic returns for the majority of these loans. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans and trading activity observed in the market place. Subsequent changes in fair value are reported in current period earnings and presented in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash received representing coupon interest payments on residential whole loans held at fair value is not included in Interest Income, but rather is included in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash outflows associated with loan-related advances made by the Company on behalf of the borrower are included in the basis of the loan and are reflected in unrealized gains or losses reported each period. ( c ) Residential Mortgage Securities The Company has investments in residential MBS that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”) (collectively, “Agency MBS”), and residential MBS that are not guaranteed by any agency of the U.S. Government or any federally chartered corporation (“Non-Agency MBS”). In addition, the Company has investments in CRT securities that are issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. Designation MBS that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as “available-for-sale” (“AFS”). Such MBS are carried at their fair value with unrealized gains and losses excluded from earnings (except when an allowance for losses is recognized, as discussed below) and reported in Accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. The Company has elected the fair value option for certain of its Agency MBS that it does not intend to hold to maturity. These securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. The Company has elected the fair value option for certain of its CRT securities as it considers this method of accounting to more appropriately reflect the risk-sharing structure of these securities. Such securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. Revenue Recognition, Premium Amortization and Discount Accretion Interest income on securities is accrued based on their outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Interest income on Non-Agency MBS that were purchased at a discount to par value and/or are considered to be of less than high credit quality is recognized based on the security’s effective interest rate which is the security’s internal rate of return (“IRR”). The IRR is determined using management’s estimate of the projected cash flows for each security, which are based on the Company’s observation of current information and events and include assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the IRR/ interest income recognized on these securities or in the recognition of a change in the loss allowance. (See Note 4 ) Determination of Fair Value for Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. (See Note 14 ) Allowance for credit losses When the fair value of an AFS security is less than its amortized cost at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities, as well as securities for which a credit loss allowance had been previously recorded, on at least a quarterly basis and determines whether any changes to the allowance for credit losses are required. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize a write-down through charges to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the balance sheet date. If the Company does not expect to sell an impaired security, only the portion of the impairment related to credit losses is recognized through a loss allowance charged to earnings with the remainder recognized through AOCI on the Company’s consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Credit loss allowances are subject to reversal through earnings resulting from improvements in expected cash flows. The determination as to whether to record (or reverse) a credit loss allowance is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of losses constitute material estimates that are susceptible to significant change. (See Note 4 ) Non-Agency MBS that are assessed to be of less than high credit quality and on which impairments are recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. The Company’s estimate of cash flows for its Non-Agency MBS is based on its review of the underlying mortgage loans securing the MBS. The Company considers information available about the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, year of origination, loan-to-value ratios (“LTVs”), geographic concentrations and dialogue with market participants. As a result, significant judgment is used in the Company’s analysis to determine the expected cash flows for its Non-Agency MBS. In determining the allowance related to credit losses for securities that were purchased at significant discounts to par and/or are considered to be of less than high credit quality, the Company compares the present value of the remaining cash flows expected to be collected at the purchase date (or last date previously revised) against the present value of the cash flows expected to be collected at the current financial reporting date. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. Impairment assessment for Non-Agency MBS that were purchased at prices close to par and/or are otherwise considered to be of high credit quality involves comparing the present value of the remaining cash flows expected to be collected against the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the instrument’s IRR. Balance Sheet Presentation The Company’s residential mortgage securities pledged as collateral against repurchase agreements and Swaps are included on the consolidated balance sheets with the fair value of the securities pledged disclosed parenthetically. Purchases and sales of securities are recorded on the trade date. ( d ) MSR-Related Assets The Company has investments in financial instruments whose cash flows are considered to be largely dependent on underlying MSRs that either directly or indirectly act as collateral for the investment. These financial instruments, which are referred to as MSR-related assets, are discussed in more detail below. The Company’s MSR-related assets pledged as collateral against repurchase agreements are included in the consolidated balance sheets with the amounts pledged disclosed parenthetically. Purchases and sales of MSR-related assets are recorded on the trade date. (See Notes 4 , 6 , 7 and 14 ) Term Notes Backed by MSR-Related Collateral The Company has invested in term notes that are issued by special purpose vehicles (“SPV”) that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considers payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes is also mitigated by structural credit support in the form of over-collateralization. Credit support is also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the underlying MSRs be insufficient. The Company’s term notes backed by MSR-related collateral are treated as AFS securities and reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in AOCI, subject to impairment and loss allowances. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral, as applicable, and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are generally secured by certain MSRs, as well as certain other unencumbered assets owned by the borrower. Corporate loans are recorded on the Company’s consolidated balance sheets at the drawn amount, on which interest income is recognized on an accrual basis on the Company’s consolidated statements of operations, subject to loss allowances. Commitment fees received on the undrawn amount are deferred and recognized as interest income over the remaining loan term at the time of draw. At the end of the commitment period, any remaining deferred commitment fees are recorded as Other Income on the Company’s consolidated statements of operations. The Company evaluates the recoverability of its corporate loans on a quarterly basis considering various factors, including the current status of the loan, changes in the fair value of the MSRs that secure the loan and the recent financial performance of the borrower. ( e ) Cash and Cash Equivalents Cash and cash equivalents include cash on deposit with financial institutions and investments in money market funds, all of which have original maturities of three months or less. Cash and cash equivalents may also include cash pledged as collateral to the Company by its repurchase agreement counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). The Company did not hold any cash pledged by its counterparties at March 31, 2020 and December 31, 2019 . At March 31, 2020 and December 31, 2019 , the Company had cash and cash equivalents of $116.5 million and $70.6 million , respectively. At March 31, 2020 , the Company had no investments in overnight money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. As of December 31, 2019 , the Company had $39.6 million worth of investments in overnight money market funds. In addition, deposits in FDIC insured accounts generally exceed insured limits. (See Notes 7 and 14 ) ( f ) Restricted Cash Restricted cash represents the Company’s cash held by its counterparties in connection with certain of the Company’s Swaps and/or repurchase agreements that is not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to repurchase agreement and/or Swap counterparties, or may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the Swap and/or repurchase agreements. The Company had aggregate restricted cash held as collateral or otherwise in connection with its repurchase agreements and/or Swaps of $216.9 million and $64.0 million at March 31, 2020 and December 31, 2019 , respectively. (See Notes 5 ( c ), 6 , 7 and 14 ) ( g ) Real Estate Owned (“REO”) REO represents real estate acquired by the Company, including through foreclosure, deed in lieu of foreclosure, or purchased in connection with the acquisition of residential whole loans. REO acquired through foreclosure or deed in lieu of foreclosure is initially recorded at fair value less estimated selling costs. REO acquired in connection with the acquisition of residential whole loans is initially recorded at its purchase price. Subsequent to acquisition, REO is reported, at each reporting date, at the lower of the current carrying amount or fair value less estimated selling costs and for presentation purposes is included in Other assets on the Company’s consolidated balance sheets. Changes in fair value that result in an adjustment to the reported amount of an REO property that has a fair value at or below its carrying amount are reported in Other Income, net on the Company’s consolidated statements of operations. The Company has acquired certain properties that it holds for investment purposes, including rentals to third parties. These properties are held at their historical basis less depreciation, and are subject to impairment. Related rental income and expenses are recorded in Other Income, net. (See Note 5 ) ( h ) Depreciation Leasehold Improvements, Real estate and Other Depreciable Assets Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from five to eight years at the time of purchase. The building component of real estate held-for-investment is depreciated over 27.5 years . ( i ) Loan Securitization and Other Debt Issuance Costs Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. Other debt issuance and related costs include costs incurred by the Company in connection with issuing its 6.25% Convertible Senior Notes due 2024 (“Convertible Senior Notes”), 8% Senior Notes due 2042 (“Senior Notes”) and certain other repurchase agreement financings. These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges, are included on the Company’s consolidated balance sheets as a direct deduction from the corresponding debt liability. These deferred charges are amortized as an adjustment to interest expense using the effective interest method. For the Convertible Senior Notes, Senior Notes and other repurchase agreement financings, such costs are amortized over the shorter of the period to the expected or stated legal maturity of the debt instruments. The Company periodically reviews the recoverability of these deferred costs and, in the event an impairment charge is required, such amount will be included in Operating and Other Expense on the Company’s consolidated statements of opera |
Residential Whole Loans
Residential Whole Loans | 3 Months Ended |
Mar. 31, 2020 | |
Receivables [Abstract] | |
Residential Whole Loans | Residential Whole Loans Included on the Company’s consolidated balance sheets at March 31, 2020 and December 31, 2019 are approximately $7.0 billion and $7.4 billion , respectively, of residential whole loans arising from the Company’s interests in certain trusts established to acquire the loans and certain entities established in connection with its loan securitization transactions. The Company has assessed that these entities are required to be consolidated for financial reporting purposes. Residential Whole Loans, at Carrying Value The following table presents the components of the Company’s Residential whole loans, at carrying value at March 31, 2020 and December 31, 2019 : (Dollars In Thousands) March 31, 2020 December 31, 2019 Purchased Performing Loans: Non-QM loans (1) $ 3,538,725 $ 3,707,245 Rehabilitation loans 978,965 1,026,097 Single-family rental loans 506,352 460,742 Seasoned performing loans 165,592 176,569 Total Purchased Performing Loans 5,189,634 5,370,653 Purchased Credit Deteriorated Loans (2) 744,408 698,717 Total Residential whole loans, at carrying value $ 5,934,042 $ 6,069,370 Allowance for credit and valuation losses on residential whole loans held at carrying value and held-for-sale (218,011 ) (3,025 ) Total Residential whole loans at carrying value, net $ 5,716,031 $ 6,066,345 Number of loans 16,999 17,082 (1) Includes Non-QM loans held-for-sale with an amortized cost of $965.5 million and a net carrying value of $895.3 million at March 31, 2020 . (2) The amortized cost basis of Purchased Credit Deteriorated Loans was increased by $62.6 million on January 1, 2020 in connection with the adoption of ASU 2016-13. The following table presents the components of interest income on the Company’s Residential whole loans, at carrying value and held-for-sale for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands) 2020 2019 Purchased Performing Loans: Non-QM loans (1) $ 49,070 $ 22,414 Rehabilitation loans 15,327 9,933 Single-family rental loans 7,343 2,701 Seasoned performing loans 2,600 3,173 Total Purchased Performing Loans 74,340 38,221 Purchased Credit Deteriorated Loans 9,146 11,399 Total Residential whole loans, at carrying value $ 83,486 $ 49,620 (1) Includes interest income on Non-QM loans held-for-sale at March 31, 2020 . The following table presents additional information regarding the Company’s Residential whole loans, at carrying value and held-for-sale at March 31, 2020 : March 31, 2020 Carrying Value Amortized Cost Basis Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by Amortized Cost Basis Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4)(5) $ 3,434,894 $ 3,538,725 $ 3,424,646 5.84 % 363 66 % 717 $ 3,450,648 $ 50,584 $ 13,058 $ 24,435 Rehabilitation loans (4) 943,332 978,965 978,965 7.24 7 64 720 806,413 61,723 20,973 89,856 Single-family rental loans (4) 498,921 506,352 501,925 6.28 322 70 734 482,499 17,536 2,009 4,308 Seasoned performing loans (4) 165,343 165,592 180,421 4.11 178 42 723 160,944 1,670 1,099 1,879 Purchased Credit Deteriorated Loans (4)(6) 673,541 744,408 858,122 4.46 292 80 N/A N/M N/M N/M 87,179 Residential whole loans, at carrying value, total or weighted average $ 5,716,031 $ 5,934,042 $ 5,944,079 5.88 % 285 December 31, 2019 Carrying Value Amortized Cost Basis Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by UPB Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4) $ 3,706,857 $ 3,707,245 $ 3,592,701 5.96 % 368 67 % 716 $ 3,492,533 $ 59,963 $ 19,605 $ 20,600 Rehabilitation loans (4) 1,023,766 1,026,097 1,026,097 7.30 8 64 717 868,281 67,747 27,437 62,632 Single-family rental loans (4) 460,679 460,741 457,146 6.29 324 70 734 432,936 15,948 2,047 6,215 Seasoned performing loans 176,569 176,569 192,151 4.24 181 46 723 187,683 2,164 430 1,874 Purchased Credit Impaired Loans (6) 698,474 698,718 873,326 4.46 294 81 N/A N/M N/M N/M 108,998 Residential whole loans, at carrying value, total or weighted average $ 6,066,345 $ 6,069,370 $ 6,141,421 5.96 % 288 (1) Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. (2) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $259.4 million and $269.2 million at March 31, 2020 and December 31, 2019 , respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% and 69% at March 31, 2020 and December 31, 2019 , respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. (3) Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. (4) At March 31, 2020 and December 31, 2019 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses. (5) Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020 . (6) Purchased Credit Deteriorated Loans tend to be characterized by varying performance of the underlying borrowers over time, including loans where multiple months of payments are received in a period to bring the loan to current status, followed by months where no payments are received. Accordingly, delinquency information is presented for loans that are more than 90 days past due that are considered to be seriously delinquent. During three months ended March 31, 2020 , $659.9 million of Non-QM loans were sold, realizing losses of $145.8 million . Allowance for Credit Losses The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential Whole Loans, at Carrying Value: Three Months Ended March 31, 2020 (Dollars In Thousands) Non-QM Loans (1) Rehabilitation Loans (2)(3) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (4) Totals Allowance for credit losses at beginning of period $ 388 $ 2,331 $ 62 $ — $ 244 $ 3,025 Transition adjustment on adoption of ASU 2016-13 (5) 6,904 517 754 19 62,361 70,555 Current provision 26,358 33,213 6,615 230 8,481 74,897 Write-offs — (428 ) — — (219 ) (647 ) Valuation adjustment on loans held for sale 70,181 — — — — 70,181 Allowance for credit and valuation losses at end of period $ 103,831 $ 35,633 $ 7,431 $ 249 $ 70,867 $ 218,011 Three Months Ended March 31, 2019 (Dollars In Thousands) Non-QM Loans Rehabilitation Loans Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans Totals Allowance for credit losses at beginning of period $ — $ — $ — $ — $ 968 $ 968 Current provision 388 2,843 62 — (724 ) 2,569 Write-offs — (512 ) — — — (512 ) Allowance for credit losses at end of period $ 388 $ 2,331 $ 62 $ — $ 244 $ 3,025 (1) Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020 . (2) In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $123.1 million , with an allowance for credit losses of $3.5 million at March 31, 2020 . Such allowance is included in “Other liabilities” on the Company’s Balance Sheet (see Note 9 ) (3) Includes $110.8 million of loans that were assessed for credit losses based on a collateral dependent methodology. (4) Includes $74.5 million of loans that were assessed for credit losses based on a collateral dependent methodology. (5) Of the $70.6 million of reserves recorded on adoption of ASU 2016-13, $8.3 million was recorded as an adjustment to stockholders’ equity and $62.4 million was recorded as a “gross up” of the amortized cost basis of Purchased Credit Deteriorated Loans. The Company adopted ASU 2016-13 (“CECL”) on January 1, 2020. (See Note 2) The anticipated impact of the COVID-19 pandemic on expected economic conditions, including forecasted unemployment, home price appreciation, and prepayment rates, for the short to medium term has resulted in significantly increased estimates of credit losses recorded under CECL for the first quarter of 2020 for residential whole loans held at carrying value. As of March 31, 2020, the Company expects relatively high rates of unemployment and other deteriorated market conditions to continue for an extended period, resulting in increased delinquencies and defaults. Estimates of credit losses under CECL are highly sensitive to changes in assumptions and current economic conditions have increased the difficulty of accurately forecasting future conditions. In addition, a valuation allowance to reduce the carrying value of Non-QM loans designated as held-for-sale at quarter-end of $70.2 million was recorded. The amortized cost basis of Purchased Performing Loans on nonaccrual status as of March 31, 2020 and December 31, 2019 was $134.4 million and $99.9 million , respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of March 31, 2020 was $99.0 million . Because Purchase Credit Deteriorated Loans were previously accounted for in pools, there were no such loans on nonaccrual status as of December 31, 2019 . No material interest income was recognized from loans on nonaccrual status during the three months ended March 31, 2020 . At March 31, 2020 , there were no loans on nonaccrual status that did not have an associated allowance for credit losses. The following table presents certain additional credit-related information regarding our residential whole loans, at carrying value: Amortized Cost Basis by Origination Year and LTV Bands (Dollars In Thousands) 2020 2019 2018 2017 2016 Prior Total Non-QM loans (1) LTV < 80% (2) $ 252,458 $ 1,331,053 $ 790,056 $ 92,314 $ 9,055 $ — $ 2,474,936 LTV >= 80% (2) 23,015 33,783 31,888 9,494 150 — 98,330 Total Non-QM loans $ 275,473 $ 1,364,836 $ 821,944 $ 101,808 $ 9,205 $ — $ 2,573,266 Three Months Ended March 31, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Three Months Ended March 31, 2020 Recoveries — — — — — — — Three Months Ended March 31, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Rehabilitation loans LTV < 80% (2) $ 48,534 $ 735,912 $ 160,334 $ 8,243 $ — $ — $ 953,023 LTV >= 80% (2) 4,984 17,470 1,788 1,700 — — 25,942 Total Rehabilitation loans $ 53,518 $ 753,382 $ 162,122 $ 9,943 $ — $ — $ 978,965 Three Months Ended March 31, 2020 Gross write-offs $ — $ — $ 334 $ — $ — $ 94 $ 428 Three Months Ended March 31, 2020 Recoveries — — — — — — — Three Months Ended March 31, 2020 Net write-offs $ — $ — $ 334 $ — $ — $ 94 $ 428 Single family rental loans LTV < 80% (2) $ 21,623 $ 305,098 $ 149,270 $ 14,060 $ — $ — $ 490,051 LTV >= 80% (2) 2,576 13,514 211 — — — 16,301 Total Single family rental loans $ 24,199 $ 318,612 $ 149,481 $ 14,060 $ — $ — $ 506,352 Three Months Ended March 31, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Three Months Ended March 31, 2020 Recoveries — — — — — — — Three Months Ended March 31, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Seasoned performing loans LTV < 80% (2) $ — $ — $ — $ — $ 81 $ 156,733 $ 156,814 LTV >= 80% (2) — — — — — 8,778 8,778 Total Seasoned performing loans $ — $ — $ — $ — $ 81 $ 165,511 $ 165,592 Three Months Ended March 31, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Three Months Ended March 31, 2020 Recoveries — — — — — — — Three Months Ended March 31, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV < 80% (2) $ — $ — $ — $ 634 $ 3,214 $ 430,659 $ 434,507 LTV >= 80% (2) — — — — 3,773 306,128 309,901 Total Purchased credit deteriorated loans $ — $ — $ — $ 634 $ 6,987 $ 736,787 $ 744,408 Three Months Ended March 31, 2020 Gross write-offs $ — $ — $ — $ — $ — $ 219 $ 219 Three Months Ended March 31, 2020 Recoveries — — — — — — — Three Months Ended March 31, 2020 Net write-offs $ — $ — $ — $ — $ — $ 219 $ 219 Total LTV < 80% (2) $ 322,615 $ 2,372,063 $ 1,099,660 $ 115,251 $ 12,350 $ 587,392 $ 4,509,331 Total LTV >= 80% (2) 30,575 64,767 33,887 11,194 3,923 314,906 459,252 Total residential whole loans, at carrying value $ 353,190 $ 2,436,830 $ 1,133,547 $ 126,445 $ 16,273 $ 902,298 $ 4,968,583 Total Gross write-offs $ — $ — $ 334 $ — $ — $ 313 $ 647 Total Recoveries — — — — — — — Total Net write-offs $ — $ — $ 334 $ — $ — $ 313 $ 647 (1) Excludes Non-QM loans held-for-sale with an amortized cost of $965.5 million at March 31, 2020 . (2) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $259.4 million at March 31, 2020 , an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% at March 31, 2020 . Certain low value loans secured by vacant lots are categorized as LTV >= 80%. Residential Whole Loans, at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. Subsequent changes in fair value are reported in current period earnings and presented in Net gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. The following table presents information regarding the Company’s residential whole loans held at fair value at March 31, 2020 and December 31, 2019 : (Dollars in Thousands) March 31, 2020 December 31, 2019 Less than 60 Days Past Due: Outstanding principal balance $ 664,362 $ 666,026 Aggregate fair value $ 593,037 $ 641,616 Weighted Average LTV Ratio (1) 75.27 % 76.69 % Number of loans 3,186 3,159 60 Days to 89 Days Past Due: Outstanding principal balance $ 60,720 $ 58,160 Aggregate fair value $ 50,999 $ 53,485 Weighted Average LTV Ratio (1) 85.06 % 79.48 % Number of loans 279 313 90 Days or More Past Due: Outstanding principal balance $ 693,380 $ 767,320 Aggregate fair value $ 599,756 $ 686,482 Weighted Average LTV Ratio (1) 88.12 % 89.69 % Number of loans 2,685 2,983 Total Residential whole loans, at fair value $ 1,243,792 $ 1,381,583 (1) LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. The following table presents the components of Net (loss)/gain on residential whole loans measured at fair value through earnings for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands) 2020 2019 Coupon payments, realized gains, and other income received (1) $ 19,036 $ 21,756 Net unrealized losses (74,556 ) (1,060 ) Net gain on transfers to REO 2,760 4,571 Total $ (52,760 ) $ 25,267 (1) Primarily includes gains on liquidation of non-performing loans, including the recovery of delinquent interest payments, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans. |
Residential Mortgage Securities
Residential Mortgage Securities and MSR-Related Assets | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Residential Mortgage Securities and MSR-Related Assets | Residential Mortgage Securities and MSR-Related Assets Agency and Non-Agency MBS The Company’s MBS are comprised of Agency MBS and Non-Agency MBS which include MBS issued prior to 2008 (“Legacy Non-Agency MBS”). These MBS are secured by: (i) hybrid mortgages (“Hybrids”), which have interest rates that are fixed for a specified period of time and, thereafter, generally adjust annually to an increment over a specified interest rate index; (ii) adjustable-rate mortgages (“ARMs”), which have interest rates that reset annually or more frequently (collectively, “ARM-MBS”); and (iii) 15 and 30 year fixed-rate mortgages for Agency MBS and, for Non-Agency MBS, 30-year and longer-term fixed rate mortgages. In addition, the Company’s MBS are also comprised of MBS backed by securitized re-performing/non-performing loans (“RPL/NPL MBS”), where the cash flows of the bond may not reflect the contractual cash flows of the underlying collateral. The Company’s RPL/NPL MBS are generally structured with a contractual coupon step-up feature where the coupon increases from 300 - 400 basis points at 36 - 48 months from issuance or sooner. The Company pledges a significant portion of its MBS as collateral against its borrowings under repurchase agreements and Swaps. (See Note 7 ) Agency MBS: Agency MBS are guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae. The payment of principal and/or interest on Ginnie Mae MBS is explicitly backed by the full faith and credit of the U.S. Government. Since the third quarter of 2008, Fannie Mae and Freddie Mac have been under the conservatorship of the Federal Housing Finance Agency, which significantly strengthened the backing for these government-sponsored entities. Non-Agency MBS: The Company’s Non-Agency MBS are primarily secured by pools of residential mortgages, which are not guaranteed by an agency of the U.S. Government or any federally chartered corporation. Credit risk associated with Non-Agency MBS is regularly assessed as new information regarding the underlying collateral becomes available and based on updated estimates of cash flows generated by the underlying collateral. CRT Securities CRT securities are debt obligations issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. The Company assesses the credit risk associated with its investments in CRT securities by assessing the current and expected future performance of the associated loan pool. The Company pledges a portion of its CRT securities as collateral against its borrowings under repurchase agreements. (See Note 7 ) The following tables present certain information about the Company’s residential mortgage securities at March 31, 2020 and December 31, 2019 : March 31, 2020 (In Thousands) Principal/ Current Face Purchase Premiums Accretable Purchase Discounts Discount Designated as Credit Reserve (1) Gross Amortized Cost (2) Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Fair Value Agency MBS: (3) Fannie Mae $ 433,397 $ 15,384 $ (18 ) $ (4,747 ) $ 444,016 $ 4,242 $ — $ 4,242 $ 448,258 Freddie Mac 95,759 3,468 — (121 ) 99,622 1,655 — 1,655 101,277 Ginnie Mae 3,749 69 — — 3,818 60 — 60 3,878 Total Agency MBS 532,905 18,921 (18 ) (4,868 ) 547,456 5,957 — 5,957 553,413 Non-Agency MBS: Expected to Recover Par (4)(5) 150,181 — (13,191 ) — 136,990 6,175 (21,643 ) (15,468 ) 121,522 Expected to Recover Less than Par (4) 1,305,667 — (77,777 ) (389,472 ) 838,418 160,000 — 160,000 998,418 Total Non-Agency MBS (6) 1,455,848 — (90,968 ) (389,472 ) 975,408 166,175 (21,643 ) 144,532 1,119,940 Total MBS 1,988,753 18,921 (90,986 ) (394,340 ) 1,522,864 172,132 (21,643 ) 150,489 1,673,353 CRT securities (7) 365,762 3,263 (42 ) (47,137 ) 321,846 — (67,745 ) (67,745 ) 254,101 Total MBS and CRT securities $ 2,354,515 $ 22,184 $ (91,028 ) $ (441,477 ) $ 1,844,710 $ 172,132 $ (89,388 ) $ 82,744 $ 1,927,454 December 31, 2019 (In Thousands) Principal/ Current Face Purchase Premiums Accretable Purchase Discounts Discount Designated as Credit Reserve (1) Gross Amortized Cost (2) Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Fair Value Agency MBS: (3) Fannie Mae $ 1,119,708 $ 43,249 $ (22 ) $ — $ 1,162,935 $ 9,799 $ (14,741 ) $ (4,942 ) $ 1,157,993 Freddie Mac 480,879 19,468 — — 500,961 5,475 (3,968 ) 1,507 502,468 Ginnie Mae 3,996 73 — — 4,069 52 — 52 4,121 Total Agency MBS 1,604,583 62,790 (22 ) — 1,667,965 15,326 (18,709 ) (3,383 ) 1,664,582 Non-Agency MBS: Expected to Recover Par (4)(5) 722,477 — (16,661 ) — 705,816 19,861 (9 ) 19,852 725,668 Expected to Recover Less than Par (4) 1,472,826 — (73,956 ) (436,598 ) 962,272 375,598 (9 ) 375,589 1,337,861 Total Non-Agency MBS (6) 2,195,303 — (90,617 ) (436,598 ) 1,668,088 395,459 (18 ) 395,441 2,063,529 Total MBS 3,799,886 62,790 (90,639 ) (436,598 ) 3,336,053 410,785 (18,727 ) 392,058 3,728,111 CRT securities (7) 244,932 4,318 (55 ) — 249,195 6,304 (91 ) 6,213 255,408 Total MBS and CRT securities $ 4,044,818 $ 67,108 $ (90,694 ) $ (436,598 ) $ 3,585,248 $ 417,089 $ (18,818 ) $ 398,271 $ 3,983,519 (1) Discount designated as Credit Reserve is generally not expected to be accreted into interest income. (2) Includes principal payments receivable of $516,000 and $614,000 at March 31, 2020 and December 31, 2019 , respectively, which are not included in the Principal/Current Face. (3) Amounts disclosed at March 31, 2020 and December 31, 2019 include Agency MBS with a fair value of $14.5 million and $280.3 million , respectively, for which the fair value option has been elected. Such securities had $499,000 unrealized gains and no gross unrealized losses at March 31, 2020 , and $4.5 million unrealized gains and no gross unrealized losses at December 31, 2019 , respectively. (4) Based on management ’ s current estimates of future principal cash flows expected to be received. (5) Includes RPL/NPL MBS, which at March 31, 2020 had an $101.4 million Principal/Current face, $101.1 million amortized cost and $79.5 million fair value. At December 31, 2019 , RPL/NPL MBS had a $632.3 million Principal/Current face, $631.8 million amortized cost and $635.0 million fair value. (6) At March 31, 2020 and December 31, 2019 , the Company expected to recover approximately 73% and 80% of the then-current face amount of Non-Agency MBS, respectively. (7) Amounts disclosed at March 31, 2020 includes CRT securities with a fair value of $188.6 million for which the fair value option has been elected. Such securities had no gross unrealized gains and gross unrealized losses of approximately $67.7 million at March 31, 2020 . Amounts disclosed at December 31, 2019 includes CRT securities with a fair value of $255.4 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $6.3 million and gross unrealized losses of approximately $91,000 at December 31, 2019 . Sales of Residential Mortgage Securities The following table presents information about the Company’s sales of its residential mortgage securities for the three months ended March 31, 2020 and 2019 . The Company has no continuing involvement with any of the sold MBS. Three Months Ended Three Months Ended (In Thousands) Sales Proceeds Gains/(Losses) Sales Proceeds Gains/(Losses) Agency MBS $ 965,132 $ (22,854 ) $ — $ — Non-Agency MBS 264,385 (43,124 ) 126,094 18,153 CRT Securities 35,645 (2,017 ) 83,368 6,456 Total $ 1,265,162 $ (67,995 ) $ 209,462 $ 24,609 Unrealized Losses on Residential Mortgage Securities The following table presents information about the Company’s residential mortgage securities that were in an unrealized loss position at March 31, 2020 , with respect to which no allowance for credit losses has been recorded: Unrealized Loss Position For: Less than 12 Months 12 Months or more Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses (Dollars in Thousands) Agency MBS: Fannie Mae $ — $ — — $ — $ — — $ — $ — Freddie Mac — — — — — — — — Ginnie Mae — — — — — — — — Total Agency MBS — — — — — — — — Non-Agency MBS: Expected to Recover Par (1) 79,464 21,643 7 — — — 79,464 21,643 Expected to Recover Less than Par (1) — — — — — — — — Total Non-Agency MBS 79,464 21,643 7 — — — 79,464 21,643 Total MBS 79,464 21,643 7 — — — 79,464 21,643 CRT securities (2) 188,560 67,745 47 — — — 188,560 67,745 Total MBS and CRT securities $ 268,024 $ 89,388 54 $ — $ — — $ 268,024 $ 89,388 (1) Based on management’s current estimates of future principal cash flows expected to be received. (2) Amounts disclosed at March 31, 2020 include CRT securities with a fair value of $188.6 million for which the fair value option has been elected. Such securities had unrealized losses of $67.7 million at March 31, 2020 . At March 31, 2020 , as a result of the COVID-19 pandemic and its impact on the Company’s liquidity (see Note 6 ), the Company determined that it intended to sell, or was “more likely than not” going to be required to sell, the majority of its residential mortgage securities that were in an unrealized loss position, before recovery of their amortized cost basis. As a result, those securities were written down to fair value through earnings and a new amortized cost basis was established. The write-down recorded in earnings aggregated $63.5 million for the three months ended March 31, 2020 and was included in “Impairment and other losses on securities available-for-sale and other assets” on the Consolidated Statement of Operations. Subsequent to these write-downs, there were no gross unrealized losses on the Company’s Agency MBS at March 31, 2020 . Agency MBS are issued by Government Sponsored Entities (“GSEs”) and enjoy either the implicit or explicit backing of the full faith and credit of the U.S. Government. While the Company’s Agency MBS are not rated by any rating agency, they are currently perceived by market participants to be of high credit quality, with risk of default limited to the unlikely event that the U.S. Government would not continue to support the GSEs. Based on these analyses, the Company determined that at March 31, 2020 no allowance for credit losses was required on its Agency MBS. Gross unrealized losses on the Company’s Non-Agency MBS were $21.6 million at March 31, 2020 . Based upon the most recent evaluation, the Company does not consider these unrealized losses to require an allowance for credit losses and does not believe that these unrealized losses are credit related, but are rather a reflection of current market yields and/or marketplace bid-ask spreads. The Company has reviewed its Non-Agency MBS that are in an unrealized loss position to identify those securities that require an allowance for credit losses based on an assessment of changes in expected cash flows for such securities, which considers recent bond performance and, where possible, expected future performance of the underlying collateral. The Company did not recognize an allowance for credit losses (or other than temporary impairment in prior periods) through earnings related to its Non-Agency MBS during the three months ended March 31, 2020 and 2019 . Non-Agency MBS on which credit losses were recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. The Company’s estimate of cash flows for these Non-Agency MBS is based on its review of the underlying mortgage loans securing these MBS. The Company considers information available about the structure of the securitization, including structural credit enhancement, if any, and the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, year of origination, LTVs, geographic concentrations, and dialogue with market participants. Changes in the Company’s evaluation of each of these factors impacts the cash flows expected to be collected at the assessment date. The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential mortgage securities and MSR-related assets: Three Months Ended March 31, (Dollars In Thousands) 2020 2019 Allowance for credit losses at beginning of period $ — $ — Current provision: — — Securities with no prior loss allowance 332,756 — Securities with a prior loss allowance — — Write-offs, including allowance related to securities we intend to sell (332,756 ) — Allowance for credit losses at end of period $ — $ — Purchase Discounts on Non-Agency MBS The following table presents the changes in the components of the Company’s purchase discount on its Non-Agency MBS between purchase discount designated as Credit Reserve and accretable purchase discount for the three months ended March 31, 2020 and 2019 : Three Months Ended Three Months Ended (In Thousands) Discount Accretable (1) Discount Accretable Discount (1) Balance at beginning of period $ (436,598 ) $ (90,617 ) $ (516,116 ) $ (155,025 ) Impact of RMBS Issuer Settlement (2) — — — (855 ) Accretion of discount — 9,889 — 13,307 Realized credit losses 4,459 — 7,504 — Purchases — — — (118 ) Sales/Redemptions 49,491 (5,551 ) 3,191 16,346 Net impairment losses recognized in earnings (11,513 ) — — — Transfers/release of credit reserve 4,689 (4,689 ) 3,802 (3,802 ) Balance at end of period $ (389,472 ) $ (90,968 ) $ (501,619 ) $ (130,147 ) (1) Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. (2) Includes the impact of $855,000 of cash proceeds (a one-time payment) received by the Company during the three months ended March 31, 2019 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by JP Morgan Chase & Co. and affiliated entities. MSR-Related Assets ( a ) Term Notes Backed by MSR-Related Collateral At March 31, 2020 and December 31, 2019 , the Company had $706.6 million and $1.2 billion , respectively, of term notes issued by SPVs that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes is considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes. At March 31, 2020 , these term notes had an amortized cost and fair value of $706.6 million , a weighted average yield of 4.74% and a weighted average term to maturity of 5.1 years . During three months ended March 31, 2020 , the Company sold certain term notes for $136.8 million , realizing losses of $24.6 million . During the three months ended March 31, 2020 , the Company recognized an impairment loss related to its term notes of $280.8 million based on its intent to sell, or the likelihood it will be required to sell, such notes. At December 31, 2019 , the term notes had an amortized cost of $1.2 billion , gross unrealized gains of $5.2 million , a weighted average yield of 4.75% and a weighted average term to maturity of 5.3 years . ( b ) Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are secured by MSRs, as well as certain other unencumbered assets owned by the borrower. During the year ended December 31, 2018, the Company participated in a loan where the Company committed to lend $100.0 million of which approximately $33.8 million was drawn at March 31, 2020 . At March 31, 2020 , the coupon paid by the borrower on the drawn amount is 3.93% , the remaining term associated with the loan is 5 months and the remaining commitment period on any undrawn amount is 5 months . During the remaining commitment period, the Company receives a commitment fee between 0.25% and 1.0% based on the undrawn amount of the loan. Impact of AFS Securities on AOCI The following table presents the impact of the Company’s AFS securities on its AOCI for the three months ended March 31, 2020 and 2019 : Three Months Ended March 31, (In Thousands) 2020 2019 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 392,722 $ 417,167 Unrealized gain on Agency MBS, net 4,876 9,315 Unrealized gain on Non-Agency MBS, net 124,700 12,276 Unrealized (loss)/gain on MSR term notes, net (5,166 ) 512 Reclassification adjustment for MBS sales included in net income (23,953 ) (17,009 ) Reclassification adjustment for impairment included in net income (344,269 ) — Change in AOCI from AFS securities (243,812 ) 5,094 Balance at end of period $ 148,910 $ 422,261 Interest Income on Residential Mortgage Securities and MSR-Related Assets The following table presents the components of interest income on the Company’s residential mortgage securities and MSR- related assets for the three months ended March 31, 2020 and 2019 : Three Months Ended March 31, (In Thousands) 2020 2019 Agency MBS Coupon interest $ 13,636 $ 24,628 Effective yield adjustment (1) (4,775 ) (6,187 ) Interest income $ 8,861 $ 18,441 Legacy Non-Agency MBS Coupon interest $ 17,282 $ 24,272 Effective yield adjustment (2) 9,406 13,144 Interest income $ 26,688 $ 37,416 RPL/NPL MBS Coupon interest $ 5,583 $ 16,443 Effective yield adjustment (1)(3) 280 142 Interest income $ 5,863 $ 16,585 CRT securities Coupon interest $ 3,485 $ 6,118 Effective yield adjustment (2) (523 ) 82 Interest income $ 2,962 $ 6,200 MSR-related assets Coupon interest $ 14,207 $ 10,619 Effective yield adjustment (1) — 1 Interest income $ 14,207 $ 10,620 (1) Includes amortization of premium paid net of accretion of purchase discount. For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity. (2) The effective yield adjustment is the difference between the net income calculated using the net yield, which is based on management’s estimates of the amount and timing of future cash flows, less the current coupon yield. (3) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $277,000 and $148,000 during the three months ended March 31, 2020 and 2019 |
Other Assets
Other Assets | 3 Months Ended |
Mar. 31, 2020 | |
Other Assets [Abstract] | |
Other Assets | Other Assets The following table presents the components of the Company’s Other assets at March 31, 2020 and December 31, 2019 : (In Thousands) March 31, 2020 December 31, 2019 REO (1) $ 411,473 $ 411,659 Receivable for unsettled MBS sales 392,597 — Capital contributions made to loan origination partners 113,923 147,992 Other interest-earning assets 73,443 70,468 Interest receivable 65,977 70,986 Other MBS and loan related receivables 55,789 43,842 Other 58,437 39,304 Total Other Assets $ 1,171,639 $ 784,251 (1) Includes $39.5 million and $27.3 million of REO that is held-for-investment at March 31, 2020 and December 31, 2019 , respectively. ( a ) Real Estate Owned At March 31, 2020 , the Company had 1,622 REO properties with an aggregate carrying value of $411.5 million . At December 31, 2019 , the Company had 1,652 REO properties with an aggregate carrying value of $411.7 million . At March 31, 2020 , $406.9 million of residential real estate property was held by the Company that was acquired either through a completed foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement. In addition, excluding unsettled residential whole loans, formal foreclosure proceedings were in process with respect to $98.2 million of residential whole loans held at carrying value and $514.4 million of residential whole loans held at fair value at March 31, 2020 . The following table presents the activity in the Company’s REO for the three months ended March 31, 2020 and 2019 : Three Months Ended March 31, (In Thousands) 2020 2019 Balance at beginning of period $ 411,659 $ 249,413 Adjustments to record at lower of cost or fair value (4,750 ) (4,072 ) Transfer from residential whole loans (1) 50,693 65,160 Purchases and capital improvements, net 5,606 5,923 Disposals (2) (51,735 ) (25,837 ) Balance at end of period $ 411,473 $ 290,587 Number of properties 1,622 1,233 (1) Includes net gain recorded on transfer of approximately $3.0 million and $4.6 million for the three months ended March 31, 2020 and 2019 , respectively. (2) During the three months ended March 31, 2020 and 2019 , the Company sold 249 and 137 REO properties for consideration of $54.8 million and $27.8 million , realizing net gains of approximately $3.1 million and $1.4 million ( b ) Capital Contributions Made to Loan Origination Partners The Company has made investments in several loan originators as part of its strategy to be a reliable source of capital to select partners from whom it sources residential mortgage loans through both flow arrangements and bulk purchases. To date, such contributions of capital have included the acquisition of approximately $28.5 million of common equity, $69.4 million of preferred equity and $75.0 million of convertible notes. In addition, for certain partners, options or warrants may have also been acquired that provide the Company the ability to increase the level of its investment if certain conditions are met. At the end of each reporting period, or earlier if circumstances warrant, the Company evaluates whether the nature of its interests and other involvement with the investee entity requires the Company to apply equity method accounting or consolidate the results of the investee entity with the Company’s financial results. To date, the nature of the Company’s interests and/or involvement with investee companies has not resulted in consolidation. Further, to the extent that the nature of the Company’s interests has resulted in the need for the Company to apply equity method accounting, the impact of such accounting on the Company’s results for periods subsequent to that in which the Company was determined to have significant influence over the investee company was not material for any period. As the interests acquired to date by the Company generally do not have a readily determinable fair value, the Company accounts for its non-equity method interests (including any acquired options and warrants) in loan originators initially at cost. The carrying value of these investments will be adjusted if it is determined that an impairment has occurred or if there has been a subsequent observable transaction in either the investee company’s equity securities or a similar security that provides evidence to support an adjustment to the carrying value. Following an evaluation of the anticipated impact of the COVID-19 pandemic on economic conditions for the short to medium term, the Company recorded impairment charges of $58.1 million on investments in certain loan origination partners during the three months ended March 31, 2020 , which was included in “Impairment and other losses on securities available-for-sale and other assets” on the consolidated statements of operations. At March 31, 2020 , approximately $2.0 billion of the Company’s Residential whole loans, at carrying value were serviced by entities in which the Company has an investment. ( c ) Derivative Instruments The Company’s derivative instruments have generally been comprised of Swaps, the majority of which are designated as cash flow hedges against the interest rate risk associated with its borrowings. In addition, in connection with managing risks associated with purchases of longer duration Agency MBS, the Company has also entered into Swaps that are not designated as hedges for accounting purposes. In response to the turmoil in the financial markets resulting from the COVID-19 pandemic experienced during the three months ended March 31, 2020 and given that management no longer considered these transactions to be effective hedges in the prevailing interest rate environment, the Company unwound all of its approximately $4.1 billion of Swap hedging transactions late in the first quarter in order to recover previously posted margin. At March 31, 2020 , losses of $71.2 million on unwound Swaps previously designated as hedges for accounting purposes continue to be included in AOCI. As the underlying hedged financing transactions are still considered probable of occurring, these losses will be amortized to interest expense over the remaining lives of the associated Swaps, which averaged 20 months at March 31, 2020 . The following table presents the fair value of the Company’s derivative instruments at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Derivative Instrument (1) Designation Notional Amount Fair Value Notional Amount Fair Value (In Thousands) Swaps Hedging $ — $ — $ 2,942,000 $ — Swaps Non-Hedging $ — $ — $ 230,000 $ — (1) Represents Swaps executed bilaterally with a counterparty in the over-the-counter market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Swaps The following table presents the assets pledged as collateral against the Company’s Swap contracts at March 31, 2020 and December 31, 2019 : (In Thousands) March 31, 2020 December 31, 2019 Agency MBS, at fair value $ — $ 2,241 Restricted cash — 16,777 Total assets pledged against Swaps $ — $ 19,018 Swaps designated as hedges, or a portion thereof, could become ineffective in the future if the associated repurchase agreements that such derivatives hedge fail to exist or if expected payments under the Swaps fail to adequately offset expected payments under the repurchase agreements. The Company’s Swaps designated as hedging transactions have the effect of modifying the repricing characteristics of the Company’s repurchase agreements and cash flows for such liabilities. To date, no cost has been incurred at the inception of a Swap (except for certain transaction fees related to entering into Swaps cleared though a central clearing house), pursuant to which the Company agrees to pay a fixed rate of interest and receive a variable interest rate, generally based on one -month or three -month LIBOR, on the notional amount of the Swap. During the three months ended March 31, 2019 , the Company de-designated and re-designated any Swaps previously designated as a hedge in order to benefit from the simplified assessment requirements under ASU 2017-12. This de-designation and re-designation had no net impact on the Company’s financial condition or results of operations. The following table presents information about the Company’s Swaps at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Notional Amount Weighted Average Fixed-Pay Interest Rate Weighted Average Variable Interest Rate (2) Notional Amount Weighted Average Fixed-Pay Interest Rate Weighted Average Variable Interest Rate (2) Maturity (1) (Dollars in Thousands) Over 3 months to 6 months $ — — % — % $ 200,000 2.05 % 1.70 % Over 6 months to 12 months — — — 1,430,000 2.30 1.77 Over 12 months to 24 months — — — 1,300,000 2.11 1.86 Over 24 months to 36 months — — — 20,000 1.38 1.90 Over 36 months to 48 months — — — 222,000 2.88 1.84 Total Swaps $ — — % — % $ 3,172,000 2.24 % 1.81 % (1) Each maturity category reflects contractual amortization and/or maturity of notional amounts. (2) Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts monthly or quarterly based on one -month or three -month LIBOR, respectively. The following table presents the net impact of the Company’s derivative hedging instruments on its net interest expense and the weighted average interest rate paid and received for such Swaps for the three months ended March 31, 2020 and 2019 : Three Months Ended (Dollars in Thousands) 2020 2019 Interest (expense)/income attributable to Swaps $ (3,359 ) $ 1,191 Weighted average Swap rate paid 2.09 % 2.31 % Weighted average Swap rate received 1.65 % 2.49 % During the three months ended March 31, 2020 and 2019 , the Company recorded net losses on Swaps not designated in hedging relationships of approximately $4.3 million and $8.9 million , respectively, which included $9.4 million and $7.8 million of losses realized on the unwind of certain Swaps. These amounts are included in Other income, net on the Company’s consolidated statements of operations. Impact of Derivative Hedging Instruments on AOCI The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands) 2020 2019 AOCI from derivative hedging instruments: Balance at beginning of period $ (22,675 ) $ 3,121 Net loss on Swaps (50,127 ) (10,445 ) Amortization of de-designated hedging instruments, net 1,594 (341 ) Balance at end of period $ (71,208 ) $ (7,665 ) The estimated net amount of the existing losses that are reported in AOCI as of March 31, 2020 that are expected to be reclassified into earnings within the next 12 months is $44.5 million |
Repurchase Agreements
Repurchase Agreements | 3 Months Ended |
Mar. 31, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Repurchase Agreements The Company’s repurchase agreements are accounted for as secured borrowings and bear interest that is generally LIBOR-based. (See Notes 2 ( j ) and 7 ) At March 31, 2020 , the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 28 days and an effective repricing period of 11 months . Late in the first quarter, due to the severe market volatility and price dislocations resulting from concerns driven by the COVID-19 pandemic, the Company was unable to meet all of it margin call obligations with respect to its repurchase obligations, which effectively triggered a default under the numerous repurchase agreements it has with its counterparties. The Company initiated discussions with its counterparties regarding entering into a forbearance agreement that would provide the Company relief from compliance with certain of the requirements of these agreements, including the need to make margin calls, for an agreed period. Subsequent to quarter end, the Company entered into a forbearance agreement with the majority of its repurchase agreement counterparties and eliminated the amounts outstanding with other repurchase agreement counterparties with whom it did not enter into a forbearance agreement. See Note 16 “Subsequent Events” for further details. At December 31, 2019 , the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 40 days and an effective repricing period of 10 months , including the impact of related Swaps. The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at March 31, 2020 and December 31, 2019 : (Dollars in Thousands) March 31, December 31, Repurchase agreements secured by residential whole loans (1) $ 4,700,931 $ 4,743,094 Fair value of residential whole loans pledged as collateral under repurchase agreements (2)(3) $ 5,665,277 $ 5,986,267 Weighted average haircut on residential whole loans (4) 19.17 % 20.07 % Repurchase agreement borrowings secured by Agency MBS $ 522,209 $ 1,557,675 Fair value of Agency MBS pledged as collateral under repurchase agreements $ 568,704 $ 1,656,373 Weighted average haircut on Agency MBS (4) 4.99 % 4.46 % Repurchase agreement borrowings secured by Legacy Non-Agency MBS $ 1,003,122 $ 1,121,802 Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements $ 1,088,549 $ 1,420,797 Weighted average haircut on Legacy Non-Agency MBS (4) 21.60 % 20.27 % Repurchase agreement borrowings secured by RPL/NPL MBS $ 255,409 $ 495,091 Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements $ 243,125 $ 635,005 Weighted average haircut on RPL/NPL MBS (4) 20.30 % 21.52 % Repurchase agreements secured by CRT securities $ 297,628 $ 203,569 Fair value of CRT securities pledged as collateral under repurchase agreements $ 263,225 $ 252,175 Weighted average haircut on CRT securities (4) 20.89 % 18.84 % Repurchase agreements secured by MSR-related assets $ 929,915 $ 962,515 Fair value of MSR-related assets pledged as collateral under repurchase agreements $ 877,204 $ 1,217,002 Weighted average haircut on MSR-related assets (4) 22.11 % 21.18 % Repurchase agreements secured by other interest-earning assets $ 59,777 $ 57,198 Fair value of other interest-earning assets pledged as collateral under repurchase agreements $ 71,837 $ 61,708 Weighted average haircut on other interest-earning assets (4) 21.88 % 22.01 % (1) Excludes $811,000 and $1.1 million of unamortized debt issuance costs at March 31, 2020 and December 31, 2019 , respectively. (2) At March 31, 2020 and December 31, 2019 , includes RPL/NPL MBS with an aggregate fair value of $193.9 million and $238.8 million , respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. (3) At March 31, 2020 and December 31, 2019 , includes residential whole loans held at carrying value with an aggregate fair value of $4.8 billion and $5.0 billion and aggregate amortized cost of $5.1 billion and $4.8 billion , respectively and residential whole loans held at fair value with an aggregate fair value and amortized cost of $718.3 million and $794.7 million , respectively. (4) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. In addition, the Company had cash pledged as collateral in connection with its repurchase agreements of $213.1 million and $25.2 million at March 31, 2020 and December 31, 2019 , respectively. The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Time Until Interest Rate Reset (Dollars in Thousands) Within 30 days $ 2,504,628 1.96 % $ 4,472,120 2.55 % Over 30 days to 3 months 2,993,905 2.96 2,746,384 3.43 Over 3 months to 12 months 1,392,318 4.06 1,014,441 3.36 Over 12 months 878,140 5.65 907,999 3.44 Total repurchase agreements $ 7,768,991 3.14 % $ 9,140,944 2.99 % Less debt issuance costs 811 1,123 Total repurchase agreements less debt issuance costs $ 7,768,180 $ 9,139,821 Undrawn Financing Commitment In connection with the financing of MSR-related assets, the Company has obtained a financing commitment of up to $75.0 million , of which $25.4 million was utilized and was outstanding as of March 31, 2020 . The Company pays a commitment fee ranging from 0.125% to 0.5% of the undrawn amount, depending on the amount of financing utilized. The Company had repurchase agreement borrowings with 26 and 28 counterparties at March 31, 2020 and December 31, 2019 , respectively. The following table presents information with respect to each counterparty under repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at March 31, 2020 : March 31, 2020 Counterparty Rating (1) Amount at Risk (2) Weighted Average Months to Maturity for Repurchase Agreements (3) Percent of Stockholders’ Equity Counterparty (Dollars in Thousands) Credit Suisse (4) BBB+/Baa2/A- $ 421,642 2 17.3 % Barclays Bank BBB/Aa3/A 386,620 2 15.8 Goldman Sachs (5) BBB+/A3/A 256,550 5 10.5 Wells Fargo (6) A+/Aa2/AA- 246,865 16 10.1 (1) As rated at March 31, 2020 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published for these entities. (2) The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities. (3) See Note 16 “Subsequent Events” for details regarding the Company’s Forbearance Agreements, which impacts the maturity dates of the Company’s repurchase agreement financings. (4) Includes $369.0 million at risk with Credit Suisse and $52.6 million at risk with Credit Suisse Cayman. (5) Includes $118.1 million at risk with Goldman Sachs Lending Partners and $138.4 million at risk with Goldman Sachs Bank USA. (6) Includes $240.9 million at risk with Wells Fargo Bank, NA and approximately $6.0 million at risk with Wells Fargo Securities LLC. |
Collateral Positions
Collateral Positions | 3 Months Ended |
Mar. 31, 2020 | |
Collateral Positions | |
Collateral Positions | Collateral Positions The Company pledges securities or cash as collateral to its counterparties pursuant to its borrowings under repurchase agreements and for initial margin payments on centrally cleared Swaps. In addition, the Company receives securities or cash as collateral pursuant to financing provided under reverse repurchase agreements. The Company exchanges collateral with its counterparties based on changes in the fair value, notional amount and term of the associated repurchase agreements and Swap contracts, as applicable. In connection with these margining practices, either the Company or its counterparty may be required to pledge cash or securities as collateral. When the Company’s pledged collateral exceeds the required margin, the Company may initiate a reverse margin call, at which time the counterparty may either return the excess collateral or provide collateral to the Company in the form of cash or equivalent securities. The Company’s assets pledged as collateral are described in Notes 2 ( f ) - Restricted Cash, 5 ( c ) - Derivative Instruments and 6 - Repurchase Agreements. The total fair value of assets pledged as collateral with respect to the Company’s borrowings under repurchase agreements and/or derivative hedging instruments was $9.0 billion and $11.3 billion at March 31, 2020 and December 31, 2019 , respectively. An aggregate of $56.0 million and $57.2 million of accrued interest on those assets had also been pledged as of March 31, 2020 and December 31, 2019 |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 3 Months Ended |
Mar. 31, 2020 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities Certain of the Company’s repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of setoff in the event of default or in the event of a bankruptcy of either party to the transaction. In the Company’s consolidated balance sheets, all balances associated with repurchase agreements are presented on a gross basis. The fair value of financial instruments pledged against the Company’s repurchase agreements was $8.8 billion and $11.2 billion at March 31, 2020 and December 31, 2019 , respectively. Since January 2017, variation margin payments on the Company’s cleared Swaps have been treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the related Swap contract. The effect of this change is to reduce what would have otherwise been reported as fair value of the Swap. As previously discussed, in response to the turmoil in the financial markets resulting from the COVID-19 pandemic experienced during the three months ended March 31, 2020 , the Company unwound all of its Swaps late in the quarter. The fair value of financial instruments pledged against the Company’s Swaps at December 31, 2019 was $2.2 million . In addition, cash that has been pledged as collateral against repurchase agreements and Swaps is reported as Restricted cash on the Company’s consolidated balance sheets. (See Notes 2( f ), 5( c ) and 6 ). See Note 6 regarding the Company’s inability to meet its margin requirements at March 31, 2020. |
Other Liabilities
Other Liabilities | 3 Months Ended |
Mar. 31, 2020 | |
Other Liabilities [Abstract] | |
Other Liabilities | Other Liabilities The following table presents the components of the Company’s Other liabilities at March 31, 2020 and December 31, 2019 : (In Thousands) March 31, 2020 December 31, 2019 Securitized debt (1) $ 533,733 $ 570,952 Convertible Senior Notes 224,264 223,971 Senior Notes 96,874 96,862 Dividends and dividend equivalents payable — 90,749 Accrued interest payable 21,840 18,238 Accrued expenses and other 44,771 42,819 Total Other Liabilities $ 921,482 $ 1,043,591 (1) Securitized debt represents third-party liabilities of consolidated VIEs and excludes liabilities of the VIEs acquired by the Company that are eliminated in consolidation. The third-party beneficial interest holders in the VIEs have no recourse to the general credit of the Company. (See Notes 10 and 15 for further discussion.) ( a ) Convertible Senior Notes On June 3, 2019, the Company issued $230.0 million in aggregate principal amount of its Convertible Senior Notes in an underwritten public offering, including an additional $30.0 million issued pursuant to the exercise of the underwriters’ option to purchase additional Convertible Senior Notes. The total net proceeds the Company received from the offering were approximately $223.3 million , after deducting offering expenses and the underwriting discount. The Convertible Senior Notes bear interest at a fixed rate of 6.25% per year, paid semiannually on June 15 and December 15 of each year commencing December 15, 2019 and will mature on June 15, 2024, unless earlier converted, redeemed or repurchased in accordance with their terms. The Convertible Senior Notes are convertible at the option of the holders at any time until the close of business on the business day immediately preceding the maturity date into shares of the Company’s common stock based on an initial conversion rate of 125.7387 shares of the Company’s common stock for each $1,000 principal amount of the Convertible Senior Notes, which is equivalent to an initial conversion price of approximately $7.95 per share of common stock. The Convertible Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 6.94% . The Company does not have the right to redeem the Convertible Senior Notes prior to maturity, except to the extent necessary to preserve its status as a REIT, in which case the Company may redeem the Convertible Senior Notes, in whole or in part, at a redemption price equal to the principal amount redeemed plus accrued and unpaid interest. The Convertible Senior Notes are the Company’s senior unsecured obligations and are effectively junior to all of the Company’s secured indebtedness, which includes the Company’s repurchase agreements and other financing arrangements, to the extent of the value of the collateral securing such indebtedness and equal in right of payment to the Company’s existing and future senior unsecured obligations, including the Senior Notes. ( b ) Senior Notes On April 11, 2012, the Company issued $100.0 million in aggregate principal amount of its Senior Notes in an underwritten public offering. The total net proceeds the Company received from the offering of the Senior Notes were approximately $96.6 million , after deducting offering expenses and the underwriting discount. The Senior Notes bear interest at a fixed rate of 8.00% per year, paid quarterly in arrears on January 15, April 15, July 15 and October 15 of each year and will mature on April 15, 2042. The Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 8.31% . The Company may redeem the Senior Notes, in whole or in part, at any time, at a redemption price equal to 100% of the principal amount redeemed plus accrued and unpaid interest. The Senior Notes are the Company’s senior unsecured obligations and are effectively junior to all of the Company’s secured indebtedness, which includes the Company’s repurchase agreements and other financing arrangements, to the extent of the value of the collateral securing such indebtedness and equal in right of payment to the Company’s existing and future senior unsecured obligations, including the Convertible Senior Notes. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies ( a ) Lease Commitments The Company pays monthly rent pursuant to three office leases. In November 2018, the Company amended the lease for its corporate headquarters in New York, New York, under the same terms and conditions, to extend the expiration date for the lease by up to one year, through June 30, 2021, with a mutual option to terminate in February 2021. For the three months ended March 31, 2020 , the Company recorded expense of approximately $666,000 in connection with the lease for its current corporate headquarters. In addition, in November 2018, the Company executed a lease agreement on new office space in New York, New York. The Company plans to relocate its corporate headquarters to this new office space upon the substantial completion of the building. The lease term specified in the agreement is fifteen years with an option to renew for an additional five years . The Company’s current estimate of annual lease rental expense under the new lease, excluding escalation charges which at this point are unknown, is approximately $4.6 million . The Company currently expects to relocate to the space in the fourth quarter of 2020, but this timing, as well as when it is required to begin making payments and recognize rental and other expenses under the new lease, is dependent on when the space is actually available for use. ( b ) Representations and Warranties in Connection with Loan Securitization Transactions In connection with the loan securitization transactions entered into by the Company, the Company has the obligation under certain circumstances to repurchase assets previously transferred to securitization vehicles upon breach of certain representations and warranties. As of March 31, 2020 , the Company had no reserve established for repurchases of loans and was not aware of any material unsettled repurchase claims that would require the establishment of such a reserve. (See Note 15 ) ( c ) Corporate Loans The Company has participated in loans to provide financing to entities that originate loans and own MSRs, as well as certain other unencumbered assets owned by the borrower. Under the terms of the respective lending agreements, the Company has committed to lend $150.0 million of which approximately $108.8 million was drawn at March 31, 2020 . (See Note 4 ) ( d ) Rehabilitation Loan Commitments At March 31, 2020 , the Company had unfunded commitments of $123.1 million in connection with its purchased Rehabilitation loans. (See Note 3 ) |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2020 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity | Stockholders’ Equity ( a ) Preferred Stock 7.50% Series B Cumulative Redeemable Preferred Stock (“Series B Preferred Stock”) On April 15, 2013, the Company completed the issuance of 8.0 million shares of its Series B Preferred Stock with a par value of $0.01 per share, and a liquidation preference of $25.00 per share plus accrued and unpaid dividends, in an underwritten public offering. The Company’s Series B Preferred Stock is entitled to receive a dividend at a rate of 7.50% per year on the $25.00 liquidation preference before the Company’s common stock is paid any dividends and is senior to the Company’s common stock with respect to distributions upon liquidation, dissolution or winding up. Dividends on the Series B Preferred Stock are payable quarterly in arrears on or about March 31, June 30, September 30 and December 31 of each year. The Series B Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not authorized or declared) exclusively at the Company’s option. The Series B Preferred Stock generally does not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series B Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors (the “Board”), until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of the Series B Preferred Stock cannot be made without the affirmative vote of holders of at least 66 2/3% of the outstanding shares of Series B Preferred Stock. As a result of the turmoil in the financial markets resulting from the spread of the novel coronavirus and the global COVID-19 pandemic, and in order to preserve liquidity, on March 25, 2020, the Company revoked the previously announced first quarter 2020 quarterly cash dividends on each of the Company's common stock and Series B Preferred Stock. The Series B Preferred Stock dividend of $0.46875 per share had been declared on February 14, 2020, and was to be paid on March 31, 2020, to stockholders of record as of the close of business March 2, 2020. Unpaid dividends on the Company's Series B Preferred Stock will accrue without interest. No dividends may be paid or set apart on shares of the Company's common stock unless full cumulative dividends on the Series B Preferred Stock for all past dividend periods that have ended have been or contemporaneously are paid in cash, or a sum sufficient for such payment is set apart for payment. In addition, pursuant to the forbearance agreements that the Company entered into subsequent to quarter end, the Company is prohibited from paying dividends on its Series B Preferred Stock during the forbearance period (see Note 16). The Company will continue to monitor market conditions and the potential impact the ongoing volatility and uncertainty may have on its business. Related thereto, the Company's Board of Directors will continue to evaluate liquidity and the payment of dividends as market conditions evolve. At March 31, 2020 , the unpaid cumulative dividends in arrears on the Company’s Series B Preferred Stock were $3.8 million ( $0.46875 per share). Issuance of 6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”) On February 28, 2020, the Company amended its charter through the filing of articles supplementary to reclassify 12,650,000 shares of the Company’s authorized but unissued common stock as shares of the Company’s Series C Preferred Stock. On March 2, 2020, the Company completed the issuance of 11.0 million shares of its Series C Preferred Stock with a par value of $0.01 per share, and a liquidation preference of $25.00 per share plus accrued and unpaid dividends, in an underwritten public offering. The total net proceeds the Company received from the offering were approximately $266.0 million , after deducting offering expenses and the underwriting discount. The Company’s Series C Preferred Stock is entitled to receive dividends (i) from and including the original issue date to, but excluding, March 31, 2025, at a fixed rate of 6.50% per year on the $25.00 liquidation preference and (ii) from and including March 31, 2025, at a floating rate equal to three-month LIBOR plus a spread of 5.345% per year of the $25.00 per share liquidation preference before the Company’s common stock is paid any dividends, and is senior to the Company’s common stock with respect to distributions upon liquidation, dissolution or winding up. Dividends on the Series C Preferred Stock are payable quarterly in arrears on or about March 31, June 30, September 30 and December 31 of each year. The Series C Preferred Stock is not redeemable by the Company prior to March 31, 2025, except under circumstances where it is necessary to preserve the Company’s qualification as a REIT for U.S. federal income tax purposes and upon the occurrence of certain specified change in control transactions. On or after March 31, 2025, the Company may, at its option, subject to certain procedural requirements, redeem any or all of the shares of the Series C Preferred Stock for cash at a redemption price of $25.00 per share, plus any accrued and unpaid dividends thereon (whether or not authorized or declared) to, but excluding, the redemption date. The Series C Preferred Stock generally does not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board, until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of the Series C Preferred Stock cannot be made without the affirmative vote of holders of at least 66 2/3 of the outstanding shares of Series C Preferred Stock. At March 31, 2020 , the unpaid cumulative dividends in arrears on the Company’s Series C Preferred Stock were $1.4 million ( $0.12639 per share). Pursuant to the forbearance agreements that the Company entered into subsequent to quarter end, the Company is prohibited from paying dividends on its Series C Preferred Stock during the forbearance period (see Note 16). ( b ) Dividends on Common Stock As discussed above, on March 25, 2020, the Company revoked its previously announced first quarter 2020 quarterly cash dividends on each of the Company's common stock and Series B Preferred Stock. The quarterly cash dividend of $0.20 per share on the Company's common stock had been declared on March 11, 2020, and was to be paid on April 30, 2020, to all stockholders of record as of the close of business March 31, 2020. No dividends may be paid or set apart on shares of the Company's common stock unless full cumulative dividends on the Series B Preferred Stock and Series C Preferred Stock for all past dividend periods that have ended have been or contemporaneously are paid in cash, or a sum sufficient for such payment is set apart for payment. In addition, pursuant to the forbearance agreements that the Company entered into subsequent to quarter end, the Company is prohibited from paying dividends on its common stock during the forbearance period (see Note 16). ( c ) Discount Waiver, Direct Stock Purchase and Dividend Reinvestment Plan (“DRSPP”) On October 15, 2019, the Company filed a shelf registration statement on Form S-3 with the SEC under the Securities Act of 1933, as amended (the “1933 Act”), for the purpose of registering additional common stock for sale through its DRSPP. Pursuant to Rule 462(e) under the 1933 Act, this shelf registration statement became effective automatically upon filing with the SEC and, when combined with the unused portion of the Company’s previous DRSPP shelf registration statements, registered an aggregate of 9.0 million shares of common stock. The Company’s DRSPP is designed to provide existing stockholders and new investors with a convenient and economical way to purchase shares of common stock through the automatic reinvestment of dividends and/or optional cash investments. At March 31, 2020 , approximately 8.8 million shares of common stock remained available for issuance pursuant to the DRSPP shelf registration statement. During the three months ended March 31, 2020 , the Company issued 106,949 shares of common stock through the DRSPP, raising net proceeds of approximately $691,979 . Since the inception of the DRSPP in September 2003 through March 31, 2020 , the Company issued 34,485,717 shares pursuant to the DRSPP, raising net proceeds of $287.3 million . ( d ) At-the-Market Offering Program On August 16, 2019 the Company entered into a distribution agreement under the terms of which the Company may offer and sell shares of its common stock having an aggregate gross sales price of up to $400.0 million (the “ATM Shares”), from time to time, through various sales agents, pursuant to an at-the-market equity offering program (the “ATM Program”). Sales of the ATM Shares, if any, may be made in negotiated transactions or by transactions that are deemed to be “at-the-market” offerings, as defined in Rule 415 under the 1933 Act, including sales made directly on the New York Stock Exchange (“NYSE”) or sales made to or through a market maker other than an exchange. The sales agents are entitled to compensation of up to two percent of the gross sales price per share for any shares of common stock sold under the distribution agreement. During the three months ended March 31, 2020 , the Company did no t sell any shares of common stock through the ATM Program. At March 31, 2020 , approximately $390.0 million remained outstanding for future offerings under this program. ( e ) Stock Repurchase Program As previously disclosed, in August 2005, the Company’s Board authorized a stock repurchase program (the “Repurchase Program”) to repurchase up to 4.0 million shares of its outstanding common stock. The Board reaffirmed such authorization in May 2010. In December 2013, the Board increased the number of shares authorized under the Repurchase Program to an aggregate of 10.0 million . Such authorization does not have an expiration date and, at present, there is no intention to modify or otherwise rescind such authorization. Subject to applicable securities laws, repurchases of common stock under the Repurchase Program are made at times and in amounts as the Company deems appropriate (including, in our discretion, through the use of one or more plans adopted under Rule 10b5-1 promulgated under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) using available cash resources. Shares of common stock repurchased by the Company under the Repurchase Program are cancelled and, until reissued by the Company, are deemed to be authorized but unissued shares of the Company’s common stock. The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice. The Company did not repurchase any shares of its common stock during the three months ended March 31, 2020 . At March 31, 2020 , 6,616,355 shares remained authorized for repurchase under the Repurchase Program. ( f ) Accumulated Other Comprehensive Income/(Loss) The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2020 : Three Months Ended (In Thousands) Net Unrealized Gain/(Loss) on AFS Securities Net (Loss) on Swaps Total AOCI Balance at beginning of period $ 392,722 $ (22,675 ) $ 370,047 OCI before reclassifications 124,410 (50,127 ) 74,283 Amounts reclassified from AOCI (1) (368,222 ) 1,594 (366,628 ) Net OCI during the period (2) (243,812 ) (48,533 ) (292,345 ) Balance at end of period $ 148,910 $ (71,208 ) $ 77,702 (1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2019 : Three Months Ended (In Thousands) Net Unrealized Gain/(Loss) on AFS Securities Net Gain on Swaps Total AOCI Balance at beginning of period $ 417,167 $ 3,121 $ 420,288 OCI before reclassifications 22,103 (10,445 ) 11,658 Amounts reclassified from AOCI (1) (17,009 ) (341 ) (17,350 ) Net OCI during the period (2) 5,094 (10,786 ) (5,692 ) Balance at end of period $ 422,261 $ (7,665 ) $ 414,596 (1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three months ended March 31, 2020 : Three Months Ended Details about AOCI Components Amounts Reclassified from AOCI Affected Line Item in the Statement (In Thousands) AFS Securities: Realized gain on sale of securities $ (23,953 ) Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans Impairment recognized in earnings (344,269 ) Other, net Total AFS Securities $ (368,222 ) Swaps designated as cash flow hedges: Amortization of de-designated hedging instruments 1,594 Other, net Total Swaps designated as cash flow hedges $ 1,594 Total reclassifications for period $ (366,628 ) The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three months ended March 31, 2019 : Three Months Ended Details about AOCI Components Amounts Reclassified from AOCI Affected Line Item in the Statement (In Thousands) AFS Securities: Realized gain on sale of securities $ (17,009 ) Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans Total AFS Securities $ (17,009 ) Amortization of de-designated hedging instruments (341 ) Total reclassifications for period $ (17,350 ) |
EPS Calculation
EPS Calculation | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
EPS Calculation | EPS Calculation The following table presents a reconciliation of the (loss)/earnings and shares used in calculating basic and diluted (loss)/earnings per share for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands, Except Per Share Amounts) 2020 2019 Basic (Loss)/Earnings per Share: Net (loss)/income to common stockholders $ (908,995 ) $ 88,857 Dividends declared on preferred stock (5,215 ) (3,750 ) Dividends, dividend equivalents and undistributed earnings allocated to participating securities — (256 ) Net (loss)/income to common stockholders - basic $ (914,210 ) $ 84,851 Basic weighted average common shares outstanding 452,979 450,358 Basic (Loss)/ Earnings per Share $ (2.02 ) $ 0.19 Diluted (Loss)/Earnings per Share: Net (loss)/income to common stockholders - basic $ (914,210 ) $ 84,851 Interest expense on Convertible Senior Notes — — Net (loss)/income to common stockholders - diluted $ (914,210 ) $ 84,851 Basic weighted average common shares outstanding 452,979 450,358 Effect of assumed Convertible Senior Notes conversion to common shares — — Diluted weighted average common shares outstanding (1) 452,979 450,358 Diluted (Loss)/Earnings per Share $ (2.02 ) $ 0.19 (1) At March 31, 2020 , the Company had approximately 2.3 million equity instruments outstanding that were not included in the calculation of diluted EPS for the three months ended March 31, 2020 , as their inclusion would have been anti-dilutive. These equity instruments reflect RSUs (based on current estimate of expected share settlement amount) with a weighted average grant date fair value of $7.73 . These equity instruments may have a dilutive impact on future EPS. During the three months ended March 31, 2020 |
Equity Compensation, Employment
Equity Compensation, Employment Agreements and Other Benefit Plans | 3 Months Ended |
Mar. 31, 2020 | |
Compensation Related Costs [Abstract] | |
Equity Compensation, Employment Agreements and Other Benefit Plans | Equity Compensation, Employment Agreements and Other Benefit Plans ( a ) Equity Compensation Plan In accordance with the terms of the Company’s Equity Plan, which was adopted by the Company’s stockholders on May 21, 2015 (and which amended and restated the Company’s 2010 Equity Compensation Plan), directors, officers and employees of the Company and any of its subsidiaries and other persons expected to provide significant services for the Company and any of its subsidiaries are eligible to receive grants of stock options (“Options”), restricted stock, RSUs, dividend equivalent rights and other stock-based awards under the Equity Plan. Subject to certain exceptions, stock-based awards relating to a maximum of 12.0 million shares of common stock may be granted under the Equity Plan; forfeitures and/or awards that expire unexercised do not count toward this limit. At March 31, 2020 , approximately 2.0 million shares of common stock remained available for grant in connection with stock-based awards under the Equity Plan. A participant may generally not receive stock-based awards in excess of 1.5 million shares of common stock in any one year and no award may be granted to any person who, assuming exercise of all Options and payment of all awards held by such person, would own or be deemed to own more than 9.8% of the outstanding shares of the Company’s common stock. Unless previously terminated by the Board, awards may be granted under the Equity Plan until May 20, 2025. Restricted Stock Units Under the terms of the Equity Plan, RSUs are instruments that provide the holder with the right to receive, subject to the satisfaction of conditions set by the Compensation Committee at the time of grant, a payment of a specified value, which may be a share of the Company’s common stock, the fair market value of a share of the Company’s common stock, or such fair market value to the extent in excess of an established base value, on the applicable settlement date. Although the Equity Plan permits the Company to issue RSUs that can settle in cash, all of the Company’s outstanding RSUs as of March 31, 2020 are designated to be settled in shares of the Company’s common stock. The Company granted 1,204,713 and 752,500 RSUs during the three months ended March 31, 2020 and 2019 , respectively. There were no RSUs forfeited during the three months ended March 31, 2020 and 20,000 RSUs forfeited during the three months ended March 31, 2019 . All RSUs outstanding at March 31, 2020 may be entitled to receive dividend equivalent payments depending on the terms and conditions of the award either in cash at the time dividends are paid by the Company, or for certain performance-based RSU awards, as a grant of stock at the time such awards are settled. At March 31, 2020 and December 31, 2019 , the Company had unrecognized compensation expense of $11.8 million and $5.5 million , respectively, related to RSUs. The unrecognized compensation expense at March 31, 2020 is expected to be recognized over a weighted average period of 2.3 years . Restricted Stock The Company did no t award any shares of restricted common stock during the three months ended March 31, 2020 and 2019 . At March 31, 2020 , the Company did no t have any unvested shares of restricted common stock outstanding. Dividend Equivalents A dividend equivalent is a right to receive a distribution equal to the dividend distributions that would be paid on a share of the Company’s common stock. Dividend equivalents may be granted as a separate instrument or may be a right associated with the grant of another award (e.g., an RSU) under the Equity Plan, and they are paid in cash or other consideration at such times and in accordance with such rules as the Compensation Committee of the Board shall determine in its discretion. Payments made on the Company’s outstanding dividend equivalent rights are generally charged to Stockholders’ Equity when common stock dividends are declared to the extent that such equivalents are expected to vest. The Company made dividend equivalent payments of approximately $276,000 and $241,000 during the three months ended March 31, 2020 and 2019 , respectively. Expense Recognized for Equity-Based Compensation Instruments The following table presents the Company’s expenses related to its equity-based compensation instruments for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands) 2020 2019 RSUs $ 1,273 $ 998 Total $ 1,273 $ 998 ( b ) Employment Agreements At March 31, 2020 , the Company had employment agreements with four of its officers, with varying terms that provide for, among other things, base salary, bonus and change-in-control payments upon the occurrence of certain triggering events. ( c ) Deferred Compensation Plans The Company administers deferred compensation plans for its senior officers and non-employee directors (collectively, the “Deferred Plans”), pursuant to which participants may elect to defer up to 100% of certain cash compensation. The Deferred Plans are designed to align participants’ interests with those of the Company’s stockholders. Amounts deferred under the Deferred Plans are considered to be converted into “stock units” of the Company. Stock units do not represent stock of the Company, but rather are a liability of the Company that changes in value as would equivalent shares of the Company’s common stock. Deferred compensation liabilities are settled in cash at the termination of the deferral period, based on the value of the stock units at that time. The Deferred Plans are non-qualified plans under the Employee Retirement Income Security Act of 1974 and, as such, are not funded. Prior to the time that the deferred accounts are settled, participants are unsecured creditors of the Company. The Company’s liability for stock units in the Deferred Plans is based on the market price of the Company’s common stock at the measurement date. The following table presents the Company’s expenses related to its Deferred Plans for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands) 2020 2019 Non-employee directors $ (1,906 ) $ 286 Total $ (1,906 ) $ 286 The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through March 31, 2020 and December 31, 2019 that had not been distributed and the Company’s associated liability for such deferrals at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 (In Thousands) Undistributed Income Deferred (1) Liability Under Deferred Plans Undistributed Income Deferred (1) Liability Under Deferred Plans Non-employee directors $ 1,881 $ 498 $ 2,349 $ 3,071 Total $ 1,881 $ 498 $ 2,349 $ 3,071 (1) Represents the cumulative amounts that were deferred by participants through March 31, 2020 and December 31, 2019 , which had not been distributed through such respective date. ( d ) Savings Plan The Company sponsors a tax-qualified employee savings plan (the “Savings Plan”) in accordance with Section 401(k) of the Code. Subject to certain restrictions, all of the Company’s employees are eligible to make tax-deferred contributions to the Savings Plan subject to limitations under applicable law. Participant’s accounts are self-directed and the Company bears the costs of administering the Savings Plan. The Company matches 100% of the first 3% of eligible compensation deferred by employees and 50% of the next 2% , subject to a maximum as provided by the Code. The Company has elected to operate the Savings Plan under the applicable safe harbor provisions of the Code, whereby among other things, the Company must make contributions for all participating employees and all matches contributed by the Company immediately vest 100% . For the three months ended March 31, 2020 and 2019 , the Company recognized expenses for matching contributions of $120,000 and $104,000 |
Fair Value of Financial Instrum
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 GAAP requires the categorization of fair value measurements into three broad levels that form a hierarchy. A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: Level 1 — Inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. Level 2 — Inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 — Inputs to the valuation methodology are unobservable and significant to the fair value measurement. The following describes the valuation methodologies used for the Company’s financial instruments measured at fair value on a recurring basis, as well as the general classification of such instruments pursuant to the valuation hierarchy. Residential Whole Loans, at Fair Value The Company determines the fair value of its residential whole loans held at fair value after considering valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans. The valuation approach applied generally depends on whether the loan is considered performing or non-performing at the date the valuation is performed. For performing loans, estimates of fair value are derived using a discounted cash flow approach, where estimates of cash flows are determined from the scheduled payments, adjusted using forecasted prepayment, default and loss given default rates. For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, the estimated value of the collateral, expected costs and estimated home price appreciation. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Indications of loan value such as actual trades, bids, offers and generic market color may be used in determining the appropriate discount yield. The Company’s residential whole loans held at fair value are classified as Level 3 in the fair value hierarchy. Residential Mortgage Securities The Company determines the fair value of its Agency MBS based upon prices obtained from third-party pricing services, which are indicative of market activity, and repurchase agreement counterparties. For Agency MBS, the valuation methodology of the Company’s third-party pricing services incorporate commonly used market pricing methods, trading activity observed in the marketplace and other data inputs. The methodology also considers the underlying characteristics of each security, which are also observable inputs, including: collateral vintage, coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. Management analyzes pricing data received from third-party pricing services and compares it to other indications of fair value including data received from repurchase agreement counterparties and its own observations of trading activity observed in the marketplace. The Company’s Agency MBS are classified as Level 2 in the fair value hierarchy. In determining the fair value of the Company’s Non-Agency MBS and CRT securities, management considers a number of observable market data points, including prices obtained from pricing services and brokers as well as dialogue with market participants. In valuing Non-Agency MBS, the Company understands that pricing services use observable inputs that include, in addition to trading activity observed in the marketplace, loan delinquency data, credit enhancement levels and vintage, which are taken into account to assign pricing factors such as spread and prepayment assumptions. For tranches of Legacy Non-Agency MBS that are cross-collateralized, performance of all collateral groups involved in the tranche are considered. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. The Company’s Legacy Non-Agency MBS, RPL/NPL MBS and CRT securities are valued using various market data points as described above, which management considers directly or indirectly observable parameters. Accordingly, these securities are classified as Level 2 in the fair value hierarchy. Term Notes Backed by MSR-Related Collateral The Company’s valuation process for term notes backed by MSR-related collateral is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral and, as applicable, the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Based on its evaluation of the observability of the data used in its fair value estimation process, these assets are classified as Level 2 in the fair value hierarchy. Swaps All of the Company’s Swaps are cleared by a central clearing house. Valuations provided by the clearing house are used for purposes of determining the fair value of the Company’s Swaps. Such valuations obtained are tested with internally developed models that apply readily observable market parameters. As the Company’s Swaps are subject to the clearing house’s margin requirements, no credit valuation adjustment was considered necessary in determining the fair value of such instruments. Since January 2017, variation margin payments on the Company’s cleared Swaps have been treated as a legal settlement of the exposure under the related Swap contract. Previously such payments were treated as collateral pledged against the exposure under the related Swap contract. The effect of this change is to reduce what would have otherwise been reported as the fair value of the Swap. Swaps are classified as Level 2 in the fair value hierarchy. Changes to the valuation methodologies used with respect to the Company’s financial instruments are reviewed by management to ensure any such changes result in appropriate exit price valuations. The Company will refine its valuation methodologies as markets and products develop and pricing methodologies evolve. The methods described above may produce fair value estimates that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with those used by market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. The Company reviews the classification of its financial instruments within the fair value hierarchy on a quarterly basis, and management may conclude that its financial instruments should be reclassified to a different level in the future. The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of March 31, 2020 and December 31, 2019 , on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at March 31, 2020 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ — $ 1,243,792 $ 1,243,792 Non-Agency MBS — 1,119,940 — 1,119,940 Agency MBS — 553,413 — 553,413 CRT securities — 254,101 — 254,101 Term notes backed by MSR-related collateral — 706,608 — 706,608 Total assets carried at fair value $ — $ 2,634,062 $ 1,243,792 $ 3,877,854 Fair Value at December 31, 2019 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ — $ 1,381,583 $ 1,381,583 Non-Agency MBS — 2,063,529 — 2,063,529 Agency MBS — 1,664,582 — 1,664,582 CRT securities — 255,408 — 255,408 Term notes backed by MSR-related collateral — 1,157,463 — 1,157,463 Total assets carried at fair value $ — $ 5,140,982 $ 1,381,583 $ 6,522,565 Changes in Level 3 Assets Measured at Fair Value on a Recurring Basis The following table presents additional information for the three months ended March 31, 2020 and 2019 about the Company’s Residential whole loans, at fair value, which are classified as Level 3 and measured at fair value on a recurring basis: Residential Whole Loans, at Fair Value Three Months Ended March 31, (In Thousands) 2020 2019 Balance at beginning of period $ 1,381,583 $ 1,471,263 Purchases and capitalized advances (1) 3,520 130,089 Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings (74,556 ) (1,060 ) Collection of principal, net of liquidation gains/(losses) (23,805 ) (31,751 ) Repurchases (305 ) (318 ) Transfer to REO (42,645 ) (55,886 ) Balance at end of period $ 1,243,792 $ 1,512,337 (1) Included in the activity presented for the three months ended March 31, 2019 is an adjustment of $70.6 million for loans the Company committed to purchase during the three months ended December 31, 2018, but for which the closing of the purchase transaction occurred during the three months ended March 31, 2019. The adjustment was required following the finalization of due diligence performed prior to the closing of the purchase transaction and resulted in a downward revision to the prior estimate of the loan purchase amount. The following table presents additional information for the three months ended March 31, 2019 about the Company’s investments in term notes backed by MSR-related collateral, which were classified as Level 3 prior to September 30, 2019 and measured at fair value on a recurring basis: Term Notes Backed by MSR-Related Collateral Three Months Ended March 31, (In Thousands) 2019 Balance at beginning of period $ 538,499 Purchases 219,166 Sales — Collection of principal (4,584 ) Changes in unrealized gain/(losses) 513 Transfer to Level 2 — Balance at end of period $ 753,594 The Company did not transfer any assets or liabilities from one level to another during the three months ended March 31, 2020 or 2019 . Fair Value Methodology for Level 3 Financial Instruments Residential Whole Loans, at Fair Value The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s residential whole loans held at fair value for which it has utilized Level 3 inputs to determine fair value as of March 31, 2020 and December 31, 2019 : March 31, 2020 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Residential whole loans, at fair value $ 745,726 Discounted cash flow Discount rate 5.6 % 5.1-9.7% Prepayment rate 5.2 % 0.1-19.9% Default rate 3.9 % 0.0-23.5% Loss severity 13.0 % 0.0-100.0% $ 497,816 Liquidation model Discount rate 8.6 % 6.2-50.0% Annual change in home prices 2.5 % (0.5)-6.9% Liquidation timeline (in years) 1.9 0.1-4.8 Current value of underlying properties (3) $ 709 $5-$4,500 Total $ 1,243,542 December 31, 2019 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Residential whole loans, at fair value $ 829,842 Discounted cash flow Discount rate 4.2 % 3.8-8.0% Prepayment rate 4.5 % 0.7-18.0% Default rate 4.0 % 0.0-23.0% Loss severity 12.9 % 0.0-100.0% $ 551,271 Liquidation model Discount rate 8.0 % 6.2-50.0% Annual change in home prices 3.7 % 2.4-8.0% Liquidation timeline (in years) 1.8 0.1-4.5 Current value of underlying properties (3) $ 684 $10-$4,500 Total $ 1,381,113 (1) Excludes approximately $250,000 and $470,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at March 31, 2020 and December 31, 2019 , respectively. (2) Amounts are weighted based on the fair value of the underlying loan. (3) The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $368,000 and $365,000 as of March 31, 2020 and December 31, 2019 , respectively. Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant increase or decrease in the fair value of residential whole loans. Loans valued using a discounted cash flow model are most sensitive to changes in the discount rate assumption, while loans valued using the liquidation model technique are most sensitive to changes in the current value of the underlying properties and the liquidation timeline. Increases in discount rates, default rates, loss severities, or liquidation timelines, either in isolation or collectively, would generally result in a lower fair value measurement, whereas increases in the current or expected value of the underlying properties, in isolation, would result in a higher fair value measurement. In practice, changes in valuation assumptions may not occur in isolation and the changes in any particular assumption may result in changes in other assumptions, which could offset or amplify the impact on the overall valuation. The following table presents the carrying values and estimated fair values of the Company’s financial instruments at March 31, 2020 and December 31, 2019 : March 31, 2020 March 31, 2020 December 31, 2019 Level in Fair Value Hierarchy Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value (In Thousands) Financial Assets: Residential whole loans, at carrying value (1) 3 $ 5,716,031 $ 5,602,536 $ 6,069,370 $ 6,248,745 Residential whole loans, at fair value 3 1,243,792 1,243,792 1,381,583 1,381,583 Non-Agency MBS 2 1,119,940 1,119,940 2,063,529 2,063,529 Agency MBS 2 553,413 553,413 1,664,582 1,664,582 CRT securities 2 254,101 254,101 255,408 255,408 MSR-related assets (2) 2 and 3 738,054 738,054 1,217,002 1,217,002 Cash and cash equivalents 1 116,465 116,465 70,629 70,629 Restricted cash 1 216,902 216,902 64,035 64,035 Financial Liabilities (3) : Repurchase agreements 2 7,768,180 7,786,911 9,139,821 9,156,209 Securitized debt 2 533,733 481,808 570,952 575,353 Convertible Senior Notes 2 224,264 135,700 223,971 244,088 Senior Notes 1 96,874 46,551 96,862 103,231 (1) Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020 . (2) Includes $31.4 million and $59.5 million of MSR-related assets that are measured at fair value on a non-recurring basis that are classified as Level 3 in the fair value hierarchy at March 31, 2020 and December 31, 2019 , respectively. (3) Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. Other Assets Measured at Fair Value on a Nonrecurring Basis The Company holds its Residential whole loans, held-for-sale at the lower of current carrying amount or fair value less estimated selling costs. At March 31, 2020 , the Company had Non-QM loans held-for-sale with a net carrying value of $895.3 million . The Company holds REO at the lower of the current carrying amount or fair value less estimated selling costs. During the three months ended March 31, 2020 and 2019 , the Company recorded REO with an aggregate estimated fair value, less estimated cost to sell, of $50.7 million and $65.2 million , respectively, at the time of foreclosure. The Company classifies fair value measurements of REO as Level 3 in the fair value hierarchy. |
Use of Special Purpose Entities
Use of Special Purpose Entities and Variable Interest Entities | 3 Months Ended |
Mar. 31, 2020 | |
Use of Special Purpose Entities and Variable Interest Entities | |
Use of Special Purpose Entities and Variable Interest Entities | Use of Special Purpose Entities and Variable Interest Entities A Special Purpose Entity (“SPE”) is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying financial assets on improved terms. Securitization involves transferring assets to a SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business, through the SPE’s issuance of debt or equity instruments. Investors in a SPE usually have recourse only to the assets in the SPE and, depending on the overall structure of the transaction, may benefit from various forms of credit enhancement such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company has entered into several financing transactions that resulted in the Company consolidating as VIEs the SPEs that were created to facilitate these transactions. See Note 2 ( q ) for a discussion of the accounting policies applied to the consolidation of VIEs and transfers of financial assets in connection with financing transactions. The Company has engaged in loan securitizations primarily for the purpose of obtaining improved overall financing terms as well as non-recourse financing on a portion of its residential whole loan portfolio. Notwithstanding the Company’s participation in these transactions, the risks facing the Company are largely unchanged as the Company remains economically exposed to the first loss position on the underlying assets transferred to the VIEs. Loan Securitization Transactions The following table summarizes the key details of the Company’s loan securitization transactions as of March 31, 2020 and December 31, 2019 : (Dollars in Thousands) March 31, 2020 December 31, 2019 Aggregate unpaid principal balance of residential whole loans sold $ 1,290,029 $ 1,290,029 Face amount of Senior Bonds issued by the VIE and purchased by third-party investors $ 802,817 $ 802,817 Outstanding amount of Senior Bonds $ 533,733 (1) $ 570,952 (1) Weighted average fixed rate for Senior Bonds issued 3.68 % (2) 3.68 % (2) Weighted average contractual maturity of Senior Bonds 29 years (2) 30 years (2) Face amount of Senior Support Certificates received by the Company (3) $ 275,174 $ 275,174 Cash received $ 802,815 $ 802,815 (1) Net of $2.7 million and $2.9 million of deferred financing costs at March 31, 2020 and December 31, 2019 , respectively. (2) At March 31, 2020 and December 31, 2019 , $459.6 million and $493.2 million , respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by 300 basis points at 36 months from issuance if the bond is not redeemed before such date. (3) Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions. As of March 31, 2020 and December 31, 2019 , as a result of the transactions described above, securitized loans with a carrying value of approximately $185.9 million and $186.4 million are included in “Residential whole loans, at carrying value,” securitized loans with a fair value of approximately $516.4 million and $567.4 million are included in “Residential whole loans, at fair value,” and REO with a carrying value approximately $129.1 million and $137.8 million are included in “Other assets” on the Company’s consolidated balance sheets, respectively. As of March 31, 2020 and December 31, 2019 , the aggregate carrying value of Senior Bonds issued by consolidated VIEs was $533.7 million and $571.0 million , respectively. These Senior Bonds are disclosed as “Securitized debt” and are included in Other liabilities on the Company’s consolidated balance sheets. The holders of the securitized debt have no recourse to the general credit of the Company, but the Company does have the obligation, under certain circumstances to repurchase assets from the VIE upon the breach of certain representations and warranties with respect to the residential whole loans sold to the VIE. In the absence of such a breach, the Company has no obligation to provide any other explicit or implicit support to any VIE. The Company concluded that the entities created to facilitate the loan securitization transactions are VIEs. The Company then completed an analysis of whether each VIE created to facilitate the securitization transactions should be consolidated by the Company, based on consideration of its involvement in each VIE, including the design and purpose of the SPE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of each VIE. In determining whether the Company would be considered the primary beneficiary, the following factors were assessed: • whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and • whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. Based on its evaluation of the factors discussed above, including its involvement in the purpose and design of the entity, the Company determined that it was required to consolidate each VIE created to facilitate the loan securitization transactions. Residential Whole Loans and REO (including Residential Whole Loans and REO transferred to consolidated VIEs) Included on the Company’s consolidated balance sheets as of March 31, 2020 and December 31, 2019 are a total of $7.0 billion and $7.4 billion , respectively, of residential whole loans, of which approximately $5.7 billion and $6.1 billion , respectively, are reported at carrying value and $1.2 billion and $1.4 billion , respectively, are reported at fair value. These assets, and certain of the Company’s REO assets, are directly owned by certain trusts established by the Company to acquire the loans and entities established in connection with the Company’s loan securitization transactions. The Company has assessed that these entities are required to be consolidated. (See Notes 3 and 5 ( a |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Forbearance Agreements On March 24, 2020, the Company announced that due to turmoil in the financial markets resulting from the spread of the novel coronavirus and the global COVID-19 pandemic, the Company and its subsidiaries had received an unusually high number of margin calls starting approximately in mid-March. The Company’s announcement indicated that on March 23, 2020, the Company did not meet its margin calls and had notified its financing counterparties that it did not expect to be in a position to fund the anticipated volume of margin calls under its financing arrangements in the near term. In its announcement the Company also indicated that it was engaged in discussions with its financing counterparties with regard to entering into forbearance agreements pursuant to which each counterparty would agree to forbear from exercising its rights and remedies with respect to an event of default under its applicable financing arrangement(s) with the Company for an agreed upon period, including refraining from selling collateral to enforce margin calls. At the time of this announcement the Company’s obligations under its repurchase agreement financing arrangements were approximately $9.5 billion . On April 10, 2020, the Company announced that it had entered into a Forbearance Agreement (“Initial FBA”) with repurchase agreement counterparties holding a significant majority of its outstanding repurchase obligations. At the date of that announcement, the Company’s obligations under its repurchase agreement financing arrangements had decreased to approximately $5.8 billion . Significant details regarding the Initial FBA were as follows: • Participating counterparties to the Initial FBA represented repurchase obligations of an aggregate of $4.8 billion , or 83% of repurchase agreement obligations outstanding as of the date of the Initial FBA; • In connection with the Initial FBA, the Company also granted the participating counterparties a security interest in Company assets that were unencumbered prior to the Initial FBA, including residential whole loans, real estate owned (REO), unrestricted cash and other assets, with an estimated aggregate market value as of the date of the Initial FBA of approximately $1.3 billion ; and • Counterparties agreed to forbear from exercising any rights or remedies through the close of business on April 27, 2020s (unless terminated sooner upon the occurrence of certain events) under their respective repurchase agreements, including refraining from selling collateral to enforce margin calls. Extended Forbearance Agreement (“Second FBA”) On April 27, 2020, the Company entered into a Second FBA with certain counterparties holding a significant majority of its outstanding repurchase obligations. Similar to the Initial FBA, the counterparties that were party to the Second FBA agreed to forbear from exercising any rights or remedies under their respective repurchase agreements with the Company, including refraining from selling collateral to enforce margin calls, through June 1, 2020 (unless terminated sooner upon the occurrence of certain events). The Second FBA essentially extended the forbearance period agreed to under the Initial FBA. Significant details regarding the Second FBA are as follows: • The terms and conditions of the Second FBA were substantially similar to those under the Initial FBA. • Participating counterparties to the Second FBA represented repurchase obligations of an aggregate of $4.4 billion , which represented approximately 84% of the Company’s $5.3 billion repurchase obligations outstanding as of April 24, 2020. • Under the terms of the Second FBA, the Company also agreed to make a cash payment to the participating counterparties of $150 million , which was applied to reduce the Company’s outstanding repurchase obligation balances with counterparties participating in the Second FBA. Additional Extended Forbearance Agreement (“Third FBA”) On June 1, 2020, the Company entered into the Third FBA with counterparties to its repurchase agreement financings, further extending the period of forbearance. Under the Third FBA, the Company’s repurchase agreement counterparties continued to forbear from exercising any rights or remedies under their respective repurchase agreements with the Company, including refraining from selling collateral to enforce margin calls, through June 26, 2020 (unless terminated sooner upon the occurrence of certain events). All of the Company’s remaining repurchase agreement counterparties agreed to participate in the Third FBA. Agreement to enter into a senior secured term loan and commitment to enter into an asset level debt facility On June 15, 2020, the Company and certain of its wholly owned subsidiaries entered into a credit agreement for a $500 million senior secured term loan facility (the “Term Loan Facility”) to be funded by certain funds and accounts managed by subsidiaries of Apollo Global Management, Inc. (together with such funds and accounts, “Apollo”), including subsidiaries of Athene Holding Ltd. (“Athene”), to which Apollo provides asset management and advisory services. The loans under the Term Loan Facility are expected to be funded on or about June 26, 2020 (the “Funding Date”). The term loans will be issued with original issue discount of 1% . Interest on the outstanding principal amount of the term loans will accrue at a rate of 11% per annum until the third anniversary of the Funding Date. Prior to the third anniversary of the Funding Date, a portion of such interest, in an amount equal to up to 3% per annum, may be capitalized, compounded and added to the unpaid principal amount of the term loans. The interest rate on the term loans will increase by 1% per annum on the third anniversary of the Funding Date and by an additional 1% per annum on each subsequent anniversary of the Funding Date. Upon the occurrence and during the continuance of an event of default under the Term Loan Facility, the principal amount of all loans outstanding and, to the extent permitted by applicable law, any interest payments on such term loans or any fees or other amounts owing under the Term Loan Facility that, in either case, are then overdue, would thereafter bear interest at a rate that is 2% per annum in excess of the interest rate otherwise payable on the term loans. Under the Term Loan Facility, the Company will be permitted to voluntarily prepay the term loans without premium or penalty at any time; provided, however, that the Company may prepay the term loans in part on only one occasion prior to the maturity date of the Term Loan Facility and in an amount of not less than $250 million . Installment payments of principal equal to 3.75% of the initial principal amount for the first three years of the Term Loan Facility and 4.50% of the initial principal amount thereafter, together with accrued and unpaid interest on such principal amount, will be required to be made on the last business day of each March, June, September and December beginning on September 30, 2020. Mandatory prepayments of the term loans will be required to be made from net cash proceeds received in connection with certain events, that are set out in the credit agreement. Upon the event of a change in control as defined in the credit agreement, the Company is also required to make an offer to repay the loan at par, plus unpaid accrued interest, plus a specified redemption premium. In addition, the Company will be required to comply with certain affirmative and negative covenants as specified in the credit agreement that, among other things, impose certain limitations on the Company to incur liens or indebtedness, to make certain non-permitted investments or enter into new businesses, to modify or waive terms on certain of the Company’s existing debt or to prepay such debt, or to pay dividends in certain circumstances. The Company must also maintain a minimum level of liquidity as defined in the agreement. In connection with, and conditioned on, the funding of the Term Loan Facility, the Company also executed on June 15, 2020, a letter with Barclays and affiliates of Athene (the “Asset Level Lenders”), pursuant to which the Asset Level Lenders have committed, subject to satisfaction of customary conditions precedent, to a non-mark-to-market term loan facility with one or more subsidiaries of the Company to provide, severally and not jointly, financing in an aggregate amount of up to $1,650,000,000 (the “Asset Level Debt Facility”). The Company’s borrowing subsidiaries will pledge, as collateral security for the Asset Level Debt Facility, certain of their residential whole loans, as well as the equity in subsidiaries that own the loans. The Asset Level Debt Facility is also expected to close on or about June 26, 2020. In connection with these transactions, the Company also entered into an Investment Agreement with Apollo and Athene (together the “Purchasers”), under which. the Company agreed to issue to the Purchasers warrants (the “Warrants”) to purchase, in the aggregate, 37,039,106 shares (subject to adjustment in accordance with their terms) of the Company’s common stock. In addition, the Purchasers or one or more of their affiliates have agreed to purchase, prior to the first anniversary date of the Investment Agreement, in one or a series of open market or privately negotiated transactions, a number of shares of the Company’s common stock equal to the lesser of (a) such number of shares representing 4.9% of the outstanding shares of common stock as of the Funding Date or (b) such number of shares as the Purchasers may purchase for an aggregate gross purchase price of $50 million . The issuance of the Warrants is subject to satisfaction of certain terms and conditions set forth in the Investment Agreement, but is expected to occur on the Funding Date. The completion of the transactions contemplated by the Term Loan Facility, the Asset Level Debt Facility and the Investment Agreement are subject to and conditioned on, among other things, the completion of definitive documentation relating to the Asset Level Debt Facility, completion of documentation relating to the Company’s exit from the Third FBA and other customary closing conditions. Portfolio sales and composition changes and impact on Company liquidity Since the end of the first quarter through May 31, 2020, the Company has taken further steps to reduce the leverage on its portfolio, generate liquidity and reduce repurchase agreement balances with its counterparties. Actions taken by the Company include the sale of residential mortgage assets, generating proceeds of approximately $3.2 billion , which along with portfolio run-off and other payments to counterparties has resulted in an overall reduction in repurchase agreement balances of approximately $3.9 billion . Details of sales that have occurred in the second quarter through May 31, 2020 include: • The Company has disposed of approximately $2.4 billion of residential mortgage securities, including $533.1 million of Agency MBS, $1.1 billion of Non-Agency MBS and $207.4 million of CRT securities. In addition, the Company sold $574.9 million of term notes backed by MSR-related collateral and $15.6 million of other interest earning assets. Improvement in market pricing since the end of the first quarter resulted in the Company recording realized gains of approximately $177.5 million to date in the second quarter. In addition, the Company has recorded $57.0 million of unrealized gains on securities (primarily CRT securities) on which it had previously elected the fair value option. • The Company also disposed of approximately $845.2 million of residential whole loans, resulting in realized losses of approximately $128.4 million . However, after the reversal of the valuation allowance associated with loans that were designated as held-for-sale at the end of the first quarter, the net impact on second quarter results is a loss of approximately $58.2 million . The Company has now sold substantially all of its Agency MBS and Legacy Non-Agency MBS portfolios and greatly reduced its holdings of MSR-related assets and CRT securities. As of May 31, 2020, the Company’s $6.6 billion residential mortgage asset portfolio was comprised of $6.2 billion of residential whole loans and REO, approximately $235.4 million of MSR-related assets and $136.4 million of residential mortgage securities. These investments are financed with approximately $3.8 billion of repurchase agreements. Total debt was approximately 1.9 times stockholders’ equity at May 31, 2020. As of June 19, 2020 , the Company had total cash balances of $343.6 million , including cash on deposit with repurchase agreement counterparties totaling $103.5 million . Since entering into forbearance agreements with its lenders in April, unpaid margins calls have been substantially reduced and were $29.1 million as of June 19, 2020 . |
Summary of Significant Accoun_2
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 interim unaudited consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (the “SEC”). Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) have been condensed or omitted in accordance with these SEC rules and regulations. Management believes that the disclosures included in these interim unaudited consolidated financial statements are adequate to make the information presented not misleading. The accompanying unaudited consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019 . In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2020 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2020 should not be construed as indicative of the results to be expected for the full year. The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP 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 period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas, including impairment, valuation allowances and loss allowances on residential whole loans (See Note 3 ), mortgage-backed securities (“MBS”) (See Note 4 ) and Other Assets (See Note 5), valuation of MBS, CRT securities and MSR-related assets (See Notes 4 and 14 ), income recognition and valuation of residential whole loans (See Notes 3 and 14 ), valuation of derivative instruments (See Notes 5 ( c ) and 14 ) and income recognition on certain Non-Agency MBS (defined below) purchased at a discount. (See Note 4 ) In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest. (See Note 2 ( n )) Actual results could differ from those estimates. The Company has one reportable segment since it manages its business and analyzes and reports its results of operations on the basis of one operating segment: investing, on a leveraged basis, in residential mortgage assets. The consolidated financial statements of the Company include the accounts of all subsidiaries. All intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation. |
Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) | Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions. The accounting model utilized by the Company is determined at the time each loan package is initially acquired and is generally based on the delinquency status of the majority of the underlying borrowers in the package at acquisition. The accounting model described below for Purchased Credit Deteriorated Loans that are held at carrying value is typically utilized by the Company for Purchased Credit Deteriorated Loans where the underlying borrower has a delinquency status of less than 60 days at the acquisition date. The Company also acquires Purchased Performing Loans that are typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required credit loss reserves (as discussed below) differ from those used for Purchased Credit Deteriorated Loans held at carrying value. The accounting model described below for residential whole loans held at fair value is typically utilized by the Company for loans where the underlying borrower has a delinquency status of 60 days or more at the acquisition date. The accounting model initially applied is not subsequently changed. The Company’s residential whole loans pledged as collateral against repurchase agreements are included in the consolidated balance sheets with amounts pledged disclosed parenthetically. Purchases and sales of residential whole loans that are subject to an extended period of due diligence that crosses a reporting date are recorded in our balance sheet at amounts reflecting management’s current estimate of assets that will be acquired or disposed at the closing of the transaction. This estimate is subject to revision at the closing of the transaction, pending the outcome of due diligence performed prior to closing. Residential whole loans purchased under flow arrangements with loan origination partners are generally recorded at the transaction settlement date. Recorded amounts of residential whole loans for which the closing of the purchase transaction is yet to occur are not eligible to be pledged as collateral against any repurchase agreement financing until the closing of the purchase transaction. Interest income, credit related losses and changes in the fair value of loans held at fair value are recorded post settlement for acquired loans and until transaction settlement for sold loans. (See Notes 3 , 6 , 7 , 14 and 15 ) Residential Whole Loans at Carrying Value Purchased Performing Loans Acquisitions of Purchased Performing Loans to date have been primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) short-term business purpose loans collateralized by residential properties made to non-occupant borrowers who intend to rehabilitate and sell the property for a profit (“Rehabilitation loans” or “Fix and Flip loans”), (iii) loans to finance (or refinance) non-owner occupied one-to four-family residential properties that are rented to one or more tenants (“Single-family rental loans”), and (iv) previously originated loans secured by residential real estate that is generally owner occupied (“Seasoned performing loans”). Purchased Performing Loans are initially recorded at their purchase price. Interest income on Purchased Performing Loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate, net of related servicing costs. Interest income on such loans purchased at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related serving costs. An allowance for credit losses is recorded at acquisition, and maintained on an ongoing basis, for all losses expected to be incurred over the life of the respective loan. Any required credit loss allowance would reduce the net carrying value of the loan with a corresponding charge to earnings, and may increase or decrease over time. Significant judgments are required in determining any allowance for credit loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. Income recognition is suspended for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful (i.e., such loans are placed on nonaccrual status). For nonaccrual loans other than Fix and Flip loans, all payments are applied to principal under the cost recovery method. For nonaccrual Fix and Flip loans, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. Modified loans are considered “troubled debt restructurings” if the Company grants a concession to a borrower who is experiencing financial difficulty (including the interpretation of this definition set forth in OCC Bulletin 2020-35). The aggregate allowance for credit losses is equal to the sum of the losses expected to be incurred over the life of each respective loan. These losses were estimated by projecting each loan’s expected cash flows based on their contractual terms, expected prepayments, and estimated default and loss severity rates. The default and severity rates were estimated based on the following steps: (i) obtained the Company’s historical experience through an entire economic cycle for each loan type or, to the extent the Company did not have sufficient historical loss experience for a given loan type, publicly available data derived from the historical loss experience of certain banks, which data the Company believes is generally representative of its portfolio, (ii) obtained historical economic data (U.S. unemployment rates and home price appreciation) over the same period, and (iii) estimated default and severity rates during three distinct future periods based on historical default and severity rates during periods when economic conditions similar to those forecasted were experienced. The three periods were as follows: (i) a one-year forecast of economic conditions based on U.S. unemployment rates and home price appreciation, followed by (ii) a two-year “reversion” period during which economic conditions (U.S. unemployment rates and home price appreciation) are projected to revert to historical averages on a straight line basis, followed by (iii) the remaining life of each loan, during which period economic conditions (U.S. unemployment rates and home price appreciation) are projected to equal historical averages. In addition, a liability is established (and recorded in Other Liabilities) each period using a similar methodology for committed but undrawn loan amounts. This methodology has not changed from the calculation of the allowance for credit losses on January 1, 2020 pursuant to the transition to ASU 2016-13 as described below under “New Accounting Standards and Interpretations,” other than a change in the reversion period from one year to two years to reflect the expected ongoing impact of current conditions. (See Note 3) Purchased Credit Deteriorated Loans The Company has elected to account for these loans as credit impaired as they have experienced a more-than-insignificant deterioration in credit quality since origination and were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with LTVs of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit impaired are initially recorded at the purchase price on a net basis, after establishing an initial allowance for credit losses (their initial cost basis is equal to their purchase price plus the initial allowance for credit losses). Subsequent to acquisition, the gross recorded amount for these loans reflects the initial cost basis, plus accretion of interest income, less principal and interest cash flows received. These loans are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded cost basis reduced by any allowance for credit losses. Interest income on such loans purchased is recorded each period based on the contractual coupon net of amortization of the difference between their cost basis and unpaid principal balance (“UPB”), subject to the Company’s nonaccrual policy. Residential Whole Loans Held-for-Sale The Company’s residential whole loans held-for-sale are presented on the Company’s consolidated balance sheets at the lower of the current carrying amount or fair value less estimated selling costs. Interest income on the Company’s residential whole loans held-for-sale is included in Residential whole loans held at carrying value on the Company’s consolidated statements of operations. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. For the majority of these loans, there is significant uncertainty associated with estimating the timing of and amount of cash flows that will be collected. Further, the cash flows ultimately collected may be dependent on the value of the property securing the loan. Consequently, the Company considers that accounting for these loans at fair value should result in a better reflection over time of the economic returns for the majority of these loans. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans and trading activity observed in the market place. Subsequent changes in fair value are reported in current period earnings and presented in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash received representing coupon interest payments on residential whole loans held at fair value is not included in Interest Income, but rather is included in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s |
Residential Mortgage Securities | Residential Mortgage Securities The Company has investments in residential MBS that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”) (collectively, “Agency MBS”), and residential MBS that are not guaranteed by any agency of the U.S. Government or any federally chartered corporation (“Non-Agency MBS”). In addition, the Company has investments in CRT securities that are issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. Designation MBS that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as “available-for-sale” (“AFS”). Such MBS are carried at their fair value with unrealized gains and losses excluded from earnings (except when an allowance for losses is recognized, as discussed below) and reported in Accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. The Company has elected the fair value option for certain of its Agency MBS that it does not intend to hold to maturity. These securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. The Company has elected the fair value option for certain of its CRT securities as it considers this method of accounting to more appropriately reflect the risk-sharing structure of these securities. Such securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. Revenue Recognition, Premium Amortization and Discount Accretion Interest income on securities is accrued based on their outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Interest income on Non-Agency MBS that were purchased at a discount to par value and/or are considered to be of less than high credit quality is recognized based on the security’s effective interest rate which is the security’s internal rate of return (“IRR”). The IRR is determined using management’s estimate of the projected cash flows for each security, which are based on the Company’s observation of current information and events and include assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the IRR/ interest income recognized on these securities or in the recognition of a change in the loss allowance. (See Note 4 ) Determination of Fair Value for Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. (See Note 14 ) Allowance for credit losses When the fair value of an AFS security is less than its amortized cost at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities, as well as securities for which a credit loss allowance had been previously recorded, on at least a quarterly basis and determines whether any changes to the allowance for credit losses are required. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize a write-down through charges to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the balance sheet date. If the Company does not expect to sell an impaired security, only the portion of the impairment related to credit losses is recognized through a loss allowance charged to earnings with the remainder recognized through AOCI on the Company’s consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Credit loss allowances are subject to reversal through earnings resulting from improvements in expected cash flows. The determination as to whether to record (or reverse) a credit loss allowance is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of losses constitute material estimates that are susceptible to significant change. (See Note 4 ) Non-Agency MBS that are assessed to be of less than high credit quality and on which impairments are recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. The Company’s estimate of cash flows for its Non-Agency MBS is based on its review of the underlying mortgage loans securing the MBS. The Company considers information available about the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, year of origination, loan-to-value ratios (“LTVs”), geographic concentrations and dialogue with market participants. As a result, significant judgment is used in the Company’s analysis to determine the expected cash flows for its Non-Agency MBS. In determining the allowance related to credit losses for securities that were purchased at significant discounts to par and/or are considered to be of less than high credit quality, the Company compares the present value of the remaining cash flows expected to be collected at the purchase date (or last date previously revised) against the present value of the cash flows expected to be collected at the current financial reporting date. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. Impairment assessment for Non-Agency MBS that were purchased at prices close to par and/or are otherwise considered to be of high credit quality involves comparing the present value of the remaining cash flows expected to be collected against the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the instrument’s IRR. Balance Sheet Presentation The Company’s residential mortgage securities pledged as collateral against repurchase agreements and Swaps are included on the consolidated balance sheets with the fair value of the securities pledged disclosed parenthetically. Purchases and sales of securities are recorded on the trade date. |
MSR-Related Assets | MSR-Related Assets The Company has investments in financial instruments whose cash flows are considered to be largely dependent on underlying MSRs that either directly or indirectly act as collateral for the investment. These financial instruments, which are referred to as MSR-related assets, are discussed in more detail below. The Company’s MSR-related assets pledged as collateral against repurchase agreements are included in the consolidated balance sheets with the amounts pledged disclosed parenthetically. Purchases and sales of MSR-related assets are recorded on the trade date. (See Notes 4 , 6 , 7 and 14 ) Term Notes Backed by MSR-Related Collateral The Company has invested in term notes that are issued by special purpose vehicles (“SPV”) that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considers payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes is also mitigated by structural credit support in the form of over-collateralization. Credit support is also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the underlying MSRs be insufficient. The Company’s term notes backed by MSR-related collateral are treated as AFS securities and reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in AOCI, subject to impairment and loss allowances. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral, as applicable, and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are generally secured by certain MSRs, as well as certain other unencumbered assets owned by the borrower. Corporate loans are recorded on the Company’s consolidated balance sheets at the drawn amount, on which interest income is recognized on an accrual basis on the Company’s consolidated statements of operations, subject to loss allowances. Commitment fees received on the undrawn amount are deferred and recognized as interest income over the remaining loan term at the time of draw. At the end of the commitment period, any remaining deferred commitment fees are recorded as Other Income on the Company’s consolidated statements of operations. The Company evaluates the recoverability of its corporate loans on a quarterly basis considering various factors, including the current status of the loan, changes in the fair value of the MSRs that secure the loan and the recent financial performance of the borrower. |
Cash and Cash Equivalents | Cash and Cash Equivalents Cash and cash equivalents include cash on deposit with financial institutions and investments in money market funds, all of which have original maturities of three months or less. Cash and cash equivalents may also include cash pledged as collateral to the Company by its repurchase agreement counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). The Company did not hold any cash pledged by its counterparties at March 31, 2020 and December 31, 2019 |
Restricted Cash | Restricted Cash |
Real Estate Owned (REO) | Real Estate Owned (“REO”) |
Depreciation | Depreciation Leasehold Improvements, Real estate and Other Depreciable Assets Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from five to eight years at the time of purchase. The building component of real estate held-for-investment is depreciated over 27.5 years . |
Loan Securitization and Other Debt Issuance Costs | Loan Securitization and Other Debt Issuance Costs Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. Other debt issuance and related costs include costs incurred by the Company in connection with issuing its 6.25% Convertible Senior Notes due 2024 (“Convertible Senior Notes”), 8% Senior Notes due 2042 (“Senior Notes”) and certain other repurchase agreement financings. These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges, are included on the Company’s consolidated balance sheets as a direct deduction from the corresponding debt liability. These deferred charges are amortized as an adjustment to interest expense using the effective interest method. For the Convertible Senior Notes, Senior Notes and other repurchase agreement financings, such costs are amortized over the shorter of the period to the expected or stated legal maturity of the debt instruments. The Company periodically reviews the recoverability of these deferred costs and, in the event an impairment charge is required, such amount will be included in Operating and Other Expense on the Company’s consolidated statements of operations. |
Repurchase Agreements | Repurchase Agreements The Company finances the holdings of a significant portion of its residential mortgage assets with repurchase agreements. Under repurchase agreements, the Company sells assets to a lender and agrees to repurchase the same assets in the future for a price that is higher than the original sale price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although legally structured as sale and repurchase transactions, the Company accounts for repurchase agreements as secured borrowings. Under its repurchase agreements, the Company pledges its assets as collateral to secure the borrowing, in an amount which is equal to a specified percentage of the fair value of the pledged collateral, while the Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase financing, unless the repurchase financing is renewed with the same counterparty, the Company is required to repay the loan including any accrued interest and concurrently receives back its pledged collateral from the lender. With the consent of the lender, the Company may renew a repurchase financing at the then prevailing financing terms. Margin calls, whereby a lender requires that the Company pledge additional assets or cash as collateral to secure borrowings under its repurchase financing with such lender, are routinely experienced by the Company when the value of the assets pledged as collateral declines as a result of principal amortization and prepayments or due to changes in market interest rates, spreads or other market conditions. The Company also may make margin calls on counterparties when collateral values increase. The Company’s repurchase financings collateralized by residential mortgage securities and MSR-related assets typically have terms ranging from one month to six months at inception, while a significant amount of our repurchase financings collateralized by residential whole loans have terms ranging from three months to twelve months or longer. Should a counterparty decide not |
Equity-Based Compensation | Equity-Based Compensation Compensation expense for equity-based awards that are subject to vesting conditions, is recognized ratably over the vesting period of such awards, based upon the fair value of such awards at the grant date. The Company has made annual grants of restricted stock units (“RSUs”) certain of which cliff vest after a three -year period, subject only to continued employment, and others of which cliff vest after a three -year period, subject to both continued employment and the achievement of certain performance criteria based on a formula tied to the Company’s achievement of average total shareholder return during that three -year period, as well as the total shareholder return (“TSR”) of the Company relative to the TSR of a group of peer companies (over the three-year period) selected by the Compensation Committee of the Company’s Board of Directors (the “Compensation Committee”) at the date of grant. The features in these awards related to the attainment of total shareholder return over a specified period constitute a “market condition” which impacts the amount of compensation expense recognized for these awards. Specifically, the uncertainty regarding the achievement of the market condition was reflected in the grant date fair valuation of the RSUs, which is recognized as compensation expense over the relevant vesting period. The amount of compensation expense recognized is not dependent on whether the market condition was or will be achieved. |
Earnings per Common Share (EPS) | Earnings per Common Share (“EPS”) |
Comprehensive Income/(Loss) | Comprehensive Income/(Loss) The Company’s comprehensive income/(loss) available to common stock and participating securities includes net income, the change in net unrealized gains/(losses) on its AFS securities and derivative hedging instruments (to the extent that such changes are not recorded in earnings), adjusted by realized net gains/(losses) reclassified out of AOCI for sold AFS securities and is reduced by dividends declared on the Company’s preferred stock and issuance costs of redeemed preferred stock. |
U.S. Federal Income Taxes | U.S. Federal Income Taxes The Company has elected to be taxed as a REIT under the provisions of the Internal Revenue Code of 1986, as amended, (the “Code”), and the corresponding provisions of state law. The Company expects to operate in a manner that will enable it to satisfy the various requirements to maintain its status as a REIT for federal income tax purposes. In order to maintain its status as a REIT, the Company must, among other things, distribute at least 90% of its REIT taxable income (excluding net long-term capital gains) to stockholders in the timeframe permitted by the Code. As long as the Company maintains its status as a REIT, the Company will not be subject to regular federal income tax to the extent that it distributes 100% of its REIT taxable income (including net long-term capital gains) to its stockholders within the permitted timeframe. Should this not occur, the Company would be subject to federal taxes at prevailing corporate tax rates on the difference between its REIT taxable income and the amounts deemed to be distributed for that tax year. As the Company’s objective is to distribute 100% of its REIT taxable income to its stockholders within the permitted timeframe, no provision for current or deferred income taxes has been made in the accompanying consolidated financial statements. Should the Company incur a liability for corporate income tax, such amounts would be recorded as REIT income tax expense on the Company’s consolidated statements of operations. Furthermore, if the Company fails to distribute during each calendar year, or by the end of January following the calendar year in the case of distributions with declaration and record dates falling in the last three months of the calendar year, at least the sum of (i) 85% of its REIT ordinary income for such year, (ii) 95% of its REIT capital gain income for such year, and (iii) any undistributed taxable income from prior periods, the Company would be subject to a 4% nondeductible excise tax on the excess of the required distribution over the amounts actually distributed. To the extent that the Company incurs interest, penalties or related excise taxes in connection with its tax obligations, including as a result of its assessment of uncertain tax positions, such amounts will be included in Operating and Other Expense on the Company’s consolidated statements of operations. In addition, the Company has elected to treat certain of its subsidiaries as TRS. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. Generally, a domestic TRS is subject to U.S. federal, state and local corporate income taxes. Since a portion of the Company’s business is conducted through one or more TRS, the net taxable income earned by its domestic TRS, if any, is subject to corporate income taxation. To maintain the Company’s REIT election, no more than 20% of the value of the Company’s assets at the end of each calendar quarter may consist of stock or securities in TRS. For purposes of the determination of U.S. federal and state income taxes, the Company’s subsidiaries that elected to be treated as TRS record current or deferred income taxes based on differences (both permanent and timing) between the determination of their taxable income and net income under GAAP. No net deferred tax benefit was recorded by the Company for the three months ended March 31, 2020 and 2019 , related to the net taxable losses in the TRS, since a valuation allowance for the full amount of the associated deferred tax asset of approximately $73.5 million was recognized as its recovery is not considered more likely than not. The related net operating loss carryforwards generated prior to 2018 will begin to expire in 2034; those generated in 2020 , 2019 and 2018 can be carried back to each of the five taxable years preceding the taxable year of such loss and thereafter can be carried forward and do not expire. Based on its analysis of any potentially uncertain tax positions, the Company concluded that it does not have any material uncertain tax positions that meet the relevant recognition or measurement criteria as of March 31, 2020 , December 31, 2019 , or March 31, 2019 . As of the date of this filing the Company’s tax returns for tax years 2016 through 2018 are open to examination. |
Derivative Financial Instruments | Derivative Financial Instruments The Company may use a variety of derivative instruments to economically hedge a portion of its exposure to market risks, including interest rate risk and prepayment risk. The objective of the Company’s risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, the Company attempts to mitigate the risk of the cost of its variable rate liabilities increasing during a period of rising interest rates. The Company’s derivative instruments have generally been comprised of Swaps, the majority of which were designated as cash flow hedges against the interest rate risk associated with its borrowings. Swaps The Company documents its risk-management policies, including objectives and strategies, as they relate to its hedging activities and the relationship between the hedging instrument and the hedged liability for all Swaps designated as hedging transactions. The Company assesses, both at the inception of a hedge and on a quarterly basis thereafter, whether or not the hedge is “highly effective.” Swaps are carried on the Company’s consolidated balance sheets at fair value, in Other assets, if their fair value is positive, or in Other liabilities, if their fair value is negative. Since January 2017, variation margin payments on the Company’s Swaps that have been novated to a clearing house have been treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the related Swap contract. The effect of this change is to reduce what would have otherwise been reported as the fair value of the Swap. All of the Company’s Swaps were novated to a central clearing house. Changes in the fair value of the Company’s Swaps designated in hedging transactions are recorded in OCI provided that the hedge remains effective. Periodic payments accrued in connection with Swaps designated as hedges are included in interest expense and are treated as an operating cash flow. The Company discontinues hedge accounting on a prospective basis and recognizes changes in fair value through earnings when: (i) it is determined that the derivative is no longer effective in offsetting cash flows of a hedged item (including forecasted transactions); (ii) it is no longer probable that the forecasted transaction will occur; or (iii) it is determined that designating the derivative as a hedge is no longer appropriate. (See Notes 5 ( c ), 7 and 14 ) |
Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities | Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities The Company’s presentation of fair value for its financial assets and liabilities is determined within a framework that stipulates that the fair value of a financial asset or liability is an exchange price in an orderly transaction between market participants to sell the asset or transfer the liability in the market in which the reporting entity would transact for the asset or liability, that is, the principal or most advantageous market for the asset or liability. The transaction to sell the asset or transfer the liability is a hypothetical transaction at the measurement date, considered from the perspective of a market participant that holds the asset or owes the liability. This definition of fair value focuses on exit price and prioritizes the use of market-based inputs over entity-specific inputs when determining fair value. In addition, the framework for measuring fair value establishes a three-level hierarchy for fair value measurements based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. |
Variable Interest Entities | Variable Interest Entities An entity is referred to as a VIE if it meets at least one of the following criteria: (i) the entity has equity that is insufficient to permit the entity to finance its activities without the additional subordinated financial support of other parties; or (ii) as a group, the holders of the equity investment at risk lack (a) the power to direct the activities of an entity that most significantly impact the entity’s economic performance; (b) the obligation to absorb the expected losses; or (c) the right to receive the expected residual returns; or (iii) the holders of the equity investment at risk have disproportional voting rights and the entity’s activities are conducted on behalf of the investor that has disproportionately few voting rights. The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. The Company has entered into several financing transactions which resulted in the Company forming entities to facilitate these transactions. In determining the accounting treatment to be applied to these transactions, the Company concluded that the entities used to facilitate these transactions are VIEs and that they should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfers of the underlying assets would qualify as sales or should be accounted for as secured financings under GAAP. (See Note 15 ) The Company also includes on its consolidated balance sheets certain financial assets and liabilities that are acquired/issued by trusts and/or other special purpose entities that have been evaluated as being required to be consolidated by the Company under the applicable accounting guidance. |
Offering Costs Related to Issuance and Redemption of Preferred Stock | Offering Costs Related to Issuance and Redemption of Preferred Stock |
New Accounting Standards and Interpretations | New Accounting Standards and Interpretations Accounting Standards Adopted in 2020 Financial Instruments - Credit Losses - Measurement of Credit Losses on Financial Instruments In June 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU” 2016-13, Measurement of Credit Losses on Financial Instruments (“ASU 2016-13”), which has subsequently been amended by ASUs 2019-11, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2019-05, Financial Instruments - Credit Losses (Topic 326): Targeted Transition Relief, 2019-04, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2018-19, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2020-02 Financial Instruments-Credit Losses (Topic 326)-Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date (SEC Update), and 2020-03 Codification Improvements to Financial Instruments. The amendments in ASU 2016-13 require entities to measure all expected credit losses (rather than incurred losses) for financial assets held at the reporting date, based on historical experience, current conditions and reasonable and supportable forecasts. ASU 2016-13 also requires enhanced financial statement disclosures to help financial statement users better understand significant estimates and judgments used in estimating credit losses, as well as the credit quality and underwriting standards of an entity’s portfolio. The amendments in this ASU were required to be applied by recording a cumulative-effect adjustment to equity as of the beginning of the first reporting period in which the guidance is effective. A prospective transition approach is required for debt securities for which an OTTI had been recognized before the effective date. The Company adopted the new ASU on January 1, 2020. The impact of adoption was that the allowance for credit losses on Purchased Performing Loans increased by approximately $8.3 million . This transition adjustment was recorded as an increase in the Company’s allowance for credit losses and an adjustment to decrease retained earnings as of the adoption date. In addition, for Purchased Credit Deteriorated Loans, the carrying value of the portfolio was adjusted on transition to include an estimate of the allowance for credit losses as required by the new standard. For financial statement reporting purposes, this adjusted carrying value is presented net of the estimated allowance for credit losses. Consequently, the adjustments recorded on transition for Purchased Credit Deteriorated Loans do not result in any adjustment to retained earnings as of the adoption date. The Company does not consider these transition adjustments to be material to its financial position or previously reported GAAP or economic book value. Under ASU 2016-13, credit losses for available-for-sale debt securities are measured in a manner similar to prior GAAP. However, the amendments in this ASU require that credit losses be recorded through an allowance for credit losses, which will allow subsequent reversals in credit loss estimates to be recognized in current income. In addition, the allowance on available-for-sale debt securities will be limited to the extent that the fair value is less than the amortized cost. Under prior GAAP, credit impairment losses were generally required to be recorded as “other than temporary” impairment, which directly reduced the carrying amount of impaired securities, and was recorded in earnings and was not reversed if expected cash flows subsequently recovered. Under the new guidance, credit impairments on such securities (other than those related to expected sales) are recorded as an allowance for credit losses that is also recorded in earnings, but the allowance can be reversed through earnings in a subsequent period if expected cash flows subsequently recover. Transition to the new available-for-sale debt securities guidance did not result in a change to our retained earnings. Reference Rate Reform - Facilitation of the Effects of Reference Rate Reform on Financial Reporting In March 2020, the FASB issued ASU 2020-04, Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”). The amendments in this ASU provide temporary optional expedients to ease the financial reporting burden of the expected transition from the London Interbank Offered Rate (“LIBOR”) to an alternative reference rate such as the Secured Overnight Financing Rate (“SOFR”). The amendments in the ASU are elective and apply to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The amendments in ASU 2020-04 were effective for all entities as of March 12, 2020 and will generally no longer be available to apply after December 31, 2022. The Company adopted this ASU as of the effective date and will utilize the optional expedients to the extent that they apply to the Company. |
Residential Whole Loans (Tables
Residential Whole Loans (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Receivables [Abstract] | |
Residential Whole Loans, at Carrying Value | The following table presents the components of the Company’s Residential whole loans, at carrying value at March 31, 2020 and December 31, 2019 : (Dollars In Thousands) March 31, 2020 December 31, 2019 Purchased Performing Loans: Non-QM loans (1) $ 3,538,725 $ 3,707,245 Rehabilitation loans 978,965 1,026,097 Single-family rental loans 506,352 460,742 Seasoned performing loans 165,592 176,569 Total Purchased Performing Loans 5,189,634 5,370,653 Purchased Credit Deteriorated Loans (2) 744,408 698,717 Total Residential whole loans, at carrying value $ 5,934,042 $ 6,069,370 Allowance for credit and valuation losses on residential whole loans held at carrying value and held-for-sale (218,011 ) (3,025 ) Total Residential whole loans at carrying value, net $ 5,716,031 $ 6,066,345 Number of loans 16,999 17,082 (1) Includes Non-QM loans held-for-sale with an amortized cost of $965.5 million and a net carrying value of $895.3 million at March 31, 2020 . (2) The amortized cost basis of Purchased Credit Deteriorated Loans was increased by $62.6 million on January 1, 2020 in connection with the adoption of ASU 2016-13. |
Schedule of Interest Income Components | The following table presents the components of interest income on the Company’s Residential whole loans, at carrying value and held-for-sale for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands) 2020 2019 Purchased Performing Loans: Non-QM loans (1) $ 49,070 $ 22,414 Rehabilitation loans 15,327 9,933 Single-family rental loans 7,343 2,701 Seasoned performing loans 2,600 3,173 Total Purchased Performing Loans 74,340 38,221 Purchased Credit Deteriorated Loans 9,146 11,399 Total Residential whole loans, at carrying value $ 83,486 $ 49,620 (1) Includes interest income on Non-QM loans held-for-sale at March 31, 2020 . |
Financing Receivable Credit Quality Indicators | The following table presents additional information regarding the Company’s Residential whole loans, at carrying value and held-for-sale at March 31, 2020 : March 31, 2020 Carrying Value Amortized Cost Basis Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by Amortized Cost Basis Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4)(5) $ 3,434,894 $ 3,538,725 $ 3,424,646 5.84 % 363 66 % 717 $ 3,450,648 $ 50,584 $ 13,058 $ 24,435 Rehabilitation loans (4) 943,332 978,965 978,965 7.24 7 64 720 806,413 61,723 20,973 89,856 Single-family rental loans (4) 498,921 506,352 501,925 6.28 322 70 734 482,499 17,536 2,009 4,308 Seasoned performing loans (4) 165,343 165,592 180,421 4.11 178 42 723 160,944 1,670 1,099 1,879 Purchased Credit Deteriorated Loans (4)(6) 673,541 744,408 858,122 4.46 292 80 N/A N/M N/M N/M 87,179 Residential whole loans, at carrying value, total or weighted average $ 5,716,031 $ 5,934,042 $ 5,944,079 5.88 % 285 December 31, 2019 Carrying Value Amortized Cost Basis Unpaid Principal Balance (“UPB”) Weighted Average Coupon (1) Weighted Average Term to Maturity (Months) Weighted Average LTV Ratio (2) Weighted Average Original FICO (3) Aging by UPB Past Due Days (Dollars In Thousands) Current 30-59 60-89 90+ Purchased Performing Loans: Non-QM loans (4) $ 3,706,857 $ 3,707,245 $ 3,592,701 5.96 % 368 67 % 716 $ 3,492,533 $ 59,963 $ 19,605 $ 20,600 Rehabilitation loans (4) 1,023,766 1,026,097 1,026,097 7.30 8 64 717 868,281 67,747 27,437 62,632 Single-family rental loans (4) 460,679 460,741 457,146 6.29 324 70 734 432,936 15,948 2,047 6,215 Seasoned performing loans 176,569 176,569 192,151 4.24 181 46 723 187,683 2,164 430 1,874 Purchased Credit Impaired Loans (6) 698,474 698,718 873,326 4.46 294 81 N/A N/M N/M N/M 108,998 Residential whole loans, at carrying value, total or weighted average $ 6,066,345 $ 6,069,370 $ 6,141,421 5.96 % 288 (1) Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. (2) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $259.4 million and $269.2 million at March 31, 2020 and December 31, 2019 , respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% and 69% at March 31, 2020 and December 31, 2019 , respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. (3) Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. (4) At March 31, 2020 and December 31, 2019 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses. (5) Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020 . (6) Purchased Credit Deteriorated Loans tend to be characterized by varying performance of the underlying borrowers over time, including loans where multiple months of payments are received in a period to bring the loan to current status, followed by months where no payments are received. Accordingly, delinquency information is presented for loans that are more than 90 days past due that are considered to be seriously delinquent. The following table presents certain additional credit-related information regarding our residential whole loans, at carrying value: Amortized Cost Basis by Origination Year and LTV Bands (Dollars In Thousands) 2020 2019 2018 2017 2016 Prior Total Non-QM loans (1) LTV < 80% (2) $ 252,458 $ 1,331,053 $ 790,056 $ 92,314 $ 9,055 $ — $ 2,474,936 LTV >= 80% (2) 23,015 33,783 31,888 9,494 150 — 98,330 Total Non-QM loans $ 275,473 $ 1,364,836 $ 821,944 $ 101,808 $ 9,205 $ — $ 2,573,266 Three Months Ended March 31, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Three Months Ended March 31, 2020 Recoveries — — — — — — — Three Months Ended March 31, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Rehabilitation loans LTV < 80% (2) $ 48,534 $ 735,912 $ 160,334 $ 8,243 $ — $ — $ 953,023 LTV >= 80% (2) 4,984 17,470 1,788 1,700 — — 25,942 Total Rehabilitation loans $ 53,518 $ 753,382 $ 162,122 $ 9,943 $ — $ — $ 978,965 Three Months Ended March 31, 2020 Gross write-offs $ — $ — $ 334 $ — $ — $ 94 $ 428 Three Months Ended March 31, 2020 Recoveries — — — — — — — Three Months Ended March 31, 2020 Net write-offs $ — $ — $ 334 $ — $ — $ 94 $ 428 Single family rental loans LTV < 80% (2) $ 21,623 $ 305,098 $ 149,270 $ 14,060 $ — $ — $ 490,051 LTV >= 80% (2) 2,576 13,514 211 — — — 16,301 Total Single family rental loans $ 24,199 $ 318,612 $ 149,481 $ 14,060 $ — $ — $ 506,352 Three Months Ended March 31, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Three Months Ended March 31, 2020 Recoveries — — — — — — — Three Months Ended March 31, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Seasoned performing loans LTV < 80% (2) $ — $ — $ — $ — $ 81 $ 156,733 $ 156,814 LTV >= 80% (2) — — — — — 8,778 8,778 Total Seasoned performing loans $ — $ — $ — $ — $ 81 $ 165,511 $ 165,592 Three Months Ended March 31, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Three Months Ended March 31, 2020 Recoveries — — — — — — — Three Months Ended March 31, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV < 80% (2) $ — $ — $ — $ 634 $ 3,214 $ 430,659 $ 434,507 LTV >= 80% (2) — — — — 3,773 306,128 309,901 Total Purchased credit deteriorated loans $ — $ — $ — $ 634 $ 6,987 $ 736,787 $ 744,408 Three Months Ended March 31, 2020 Gross write-offs $ — $ — $ — $ — $ — $ 219 $ 219 Three Months Ended March 31, 2020 Recoveries — — — — — — — Three Months Ended March 31, 2020 Net write-offs $ — $ — $ — $ — $ — $ 219 $ 219 Total LTV < 80% (2) $ 322,615 $ 2,372,063 $ 1,099,660 $ 115,251 $ 12,350 $ 587,392 $ 4,509,331 Total LTV >= 80% (2) 30,575 64,767 33,887 11,194 3,923 314,906 459,252 Total residential whole loans, at carrying value $ 353,190 $ 2,436,830 $ 1,133,547 $ 126,445 $ 16,273 $ 902,298 $ 4,968,583 Total Gross write-offs $ — $ — $ 334 $ — $ — $ 313 $ 647 Total Recoveries — — — — — — — Total Net write-offs $ — $ — $ 334 $ — $ — $ 313 $ 647 (1) Excludes Non-QM loans held-for-sale with an amortized cost of $965.5 million at March 31, 2020 . (2) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $259.4 million at March 31, 2020 , an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% at March 31, 2020 |
Schedule of Credit Losses | The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential Whole Loans, at Carrying Value: Three Months Ended March 31, 2020 (Dollars In Thousands) Non-QM Loans (1) Rehabilitation Loans (2)(3) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (4) Totals Allowance for credit losses at beginning of period $ 388 $ 2,331 $ 62 $ — $ 244 $ 3,025 Transition adjustment on adoption of ASU 2016-13 (5) 6,904 517 754 19 62,361 70,555 Current provision 26,358 33,213 6,615 230 8,481 74,897 Write-offs — (428 ) — — (219 ) (647 ) Valuation adjustment on loans held for sale 70,181 — — — — 70,181 Allowance for credit and valuation losses at end of period $ 103,831 $ 35,633 $ 7,431 $ 249 $ 70,867 $ 218,011 Three Months Ended March 31, 2019 (Dollars In Thousands) Non-QM Loans Rehabilitation Loans Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans Totals Allowance for credit losses at beginning of period $ — $ — $ — $ — $ 968 $ 968 Current provision 388 2,843 62 — (724 ) 2,569 Write-offs — (512 ) — — — (512 ) Allowance for credit losses at end of period $ 388 $ 2,331 $ 62 $ — $ 244 $ 3,025 (1) Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020 . (2) In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $123.1 million , with an allowance for credit losses of $3.5 million at March 31, 2020 . Such allowance is included in “Other liabilities” on the Company’s Balance Sheet (see Note 9 ) (3) Includes $110.8 million of loans that were assessed for credit losses based on a collateral dependent methodology. (4) Includes $74.5 million of loans that were assessed for credit losses based on a collateral dependent methodology. (5) Of the $70.6 million of reserves recorded on adoption of ASU 2016-13, $8.3 million was recorded as an adjustment to stockholders’ equity and $62.4 million was recorded as a “gross up” of the amortized cost basis of Purchased Credit Deteriorated Loans. |
Residential Whole Loans, Fair Value | The following table presents information regarding the Company’s residential whole loans held at fair value at March 31, 2020 and December 31, 2019 : (Dollars in Thousands) March 31, 2020 December 31, 2019 Less than 60 Days Past Due: Outstanding principal balance $ 664,362 $ 666,026 Aggregate fair value $ 593,037 $ 641,616 Weighted Average LTV Ratio (1) 75.27 % 76.69 % Number of loans 3,186 3,159 60 Days to 89 Days Past Due: Outstanding principal balance $ 60,720 $ 58,160 Aggregate fair value $ 50,999 $ 53,485 Weighted Average LTV Ratio (1) 85.06 % 79.48 % Number of loans 279 313 90 Days or More Past Due: Outstanding principal balance $ 693,380 $ 767,320 Aggregate fair value $ 599,756 $ 686,482 Weighted Average LTV Ratio (1) 88.12 % 89.69 % Number of loans 2,685 2,983 Total Residential whole loans, at fair value $ 1,243,792 $ 1,381,583 (1) LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. |
Residential Whole Loans, Fair Value, Component of Net gain on residential whole loans | The following table presents the components of Net (loss)/gain on residential whole loans measured at fair value through earnings for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands) 2020 2019 Coupon payments, realized gains, and other income received (1) $ 19,036 $ 21,756 Net unrealized losses (74,556 ) (1,060 ) Net gain on transfers to REO 2,760 4,571 Total $ (52,760 ) $ 25,267 (1) Primarily includes gains on liquidation of non-performing loans, including the recovery of delinquent interest payments, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans. |
Residential Mortgage Securiti_2
Residential Mortgage Securities and MSR-Related Assets (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of information about MBS and CRT Securities | The following tables present certain information about the Company’s residential mortgage securities at March 31, 2020 and December 31, 2019 : March 31, 2020 (In Thousands) Principal/ Current Face Purchase Premiums Accretable Purchase Discounts Discount Designated as Credit Reserve (1) Gross Amortized Cost (2) Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Fair Value Agency MBS: (3) Fannie Mae $ 433,397 $ 15,384 $ (18 ) $ (4,747 ) $ 444,016 $ 4,242 $ — $ 4,242 $ 448,258 Freddie Mac 95,759 3,468 — (121 ) 99,622 1,655 — 1,655 101,277 Ginnie Mae 3,749 69 — — 3,818 60 — 60 3,878 Total Agency MBS 532,905 18,921 (18 ) (4,868 ) 547,456 5,957 — 5,957 553,413 Non-Agency MBS: Expected to Recover Par (4)(5) 150,181 — (13,191 ) — 136,990 6,175 (21,643 ) (15,468 ) 121,522 Expected to Recover Less than Par (4) 1,305,667 — (77,777 ) (389,472 ) 838,418 160,000 — 160,000 998,418 Total Non-Agency MBS (6) 1,455,848 — (90,968 ) (389,472 ) 975,408 166,175 (21,643 ) 144,532 1,119,940 Total MBS 1,988,753 18,921 (90,986 ) (394,340 ) 1,522,864 172,132 (21,643 ) 150,489 1,673,353 CRT securities (7) 365,762 3,263 (42 ) (47,137 ) 321,846 — (67,745 ) (67,745 ) 254,101 Total MBS and CRT securities $ 2,354,515 $ 22,184 $ (91,028 ) $ (441,477 ) $ 1,844,710 $ 172,132 $ (89,388 ) $ 82,744 $ 1,927,454 December 31, 2019 (In Thousands) Principal/ Current Face Purchase Premiums Accretable Purchase Discounts Discount Designated as Credit Reserve (1) Gross Amortized Cost (2) Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Fair Value Agency MBS: (3) Fannie Mae $ 1,119,708 $ 43,249 $ (22 ) $ — $ 1,162,935 $ 9,799 $ (14,741 ) $ (4,942 ) $ 1,157,993 Freddie Mac 480,879 19,468 — — 500,961 5,475 (3,968 ) 1,507 502,468 Ginnie Mae 3,996 73 — — 4,069 52 — 52 4,121 Total Agency MBS 1,604,583 62,790 (22 ) — 1,667,965 15,326 (18,709 ) (3,383 ) 1,664,582 Non-Agency MBS: Expected to Recover Par (4)(5) 722,477 — (16,661 ) — 705,816 19,861 (9 ) 19,852 725,668 Expected to Recover Less than Par (4) 1,472,826 — (73,956 ) (436,598 ) 962,272 375,598 (9 ) 375,589 1,337,861 Total Non-Agency MBS (6) 2,195,303 — (90,617 ) (436,598 ) 1,668,088 395,459 (18 ) 395,441 2,063,529 Total MBS 3,799,886 62,790 (90,639 ) (436,598 ) 3,336,053 410,785 (18,727 ) 392,058 3,728,111 CRT securities (7) 244,932 4,318 (55 ) — 249,195 6,304 (91 ) 6,213 255,408 Total MBS and CRT securities $ 4,044,818 $ 67,108 $ (90,694 ) $ (436,598 ) $ 3,585,248 $ 417,089 $ (18,818 ) $ 398,271 $ 3,983,519 (1) Discount designated as Credit Reserve is generally not expected to be accreted into interest income. (2) Includes principal payments receivable of $516,000 and $614,000 at March 31, 2020 and December 31, 2019 , respectively, which are not included in the Principal/Current Face. (3) Amounts disclosed at March 31, 2020 and December 31, 2019 include Agency MBS with a fair value of $14.5 million and $280.3 million , respectively, for which the fair value option has been elected. Such securities had $499,000 unrealized gains and no gross unrealized losses at March 31, 2020 , and $4.5 million unrealized gains and no gross unrealized losses at December 31, 2019 , respectively. (4) Based on management ’ s current estimates of future principal cash flows expected to be received. (5) Includes RPL/NPL MBS, which at March 31, 2020 had an $101.4 million Principal/Current face, $101.1 million amortized cost and $79.5 million fair value. At December 31, 2019 , RPL/NPL MBS had a $632.3 million Principal/Current face, $631.8 million amortized cost and $635.0 million fair value. (6) At March 31, 2020 and December 31, 2019 , the Company expected to recover approximately 73% and 80% of the then-current face amount of Non-Agency MBS, respectively. (7) Amounts disclosed at March 31, 2020 includes CRT securities with a fair value of $188.6 million for which the fair value option has been elected. Such securities had no gross unrealized gains and gross unrealized losses of approximately $67.7 million at March 31, 2020 . Amounts disclosed at December 31, 2019 includes CRT securities with a fair value of $255.4 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $6.3 million and gross unrealized losses of approximately $91,000 at December 31, 2019 . |
Schedule of Sale of Residential Mortgage Securities | The following table presents information about the Company’s sales of its residential mortgage securities for the three months ended March 31, 2020 and 2019 . The Company has no continuing involvement with any of the sold MBS. Three Months Ended Three Months Ended (In Thousands) Sales Proceeds Gains/(Losses) Sales Proceeds Gains/(Losses) Agency MBS $ 965,132 $ (22,854 ) $ — $ — Non-Agency MBS 264,385 (43,124 ) 126,094 18,153 CRT Securities 35,645 (2,017 ) 83,368 6,456 Total $ 1,265,162 $ (67,995 ) $ 209,462 $ 24,609 |
Schedule of information about MBS and CRT Securities that were in an unrealized loss position | The following table presents information about the Company’s residential mortgage securities that were in an unrealized loss position at March 31, 2020 , with respect to which no allowance for credit losses has been recorded: Unrealized Loss Position For: Less than 12 Months 12 Months or more Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses (Dollars in Thousands) Agency MBS: Fannie Mae $ — $ — — $ — $ — — $ — $ — Freddie Mac — — — — — — — — Ginnie Mae — — — — — — — — Total Agency MBS — — — — — — — — Non-Agency MBS: Expected to Recover Par (1) 79,464 21,643 7 — — — 79,464 21,643 Expected to Recover Less than Par (1) — — — — — — — — Total Non-Agency MBS 79,464 21,643 7 — — — 79,464 21,643 Total MBS 79,464 21,643 7 — — — 79,464 21,643 CRT securities (2) 188,560 67,745 47 — — — 188,560 67,745 Total MBS and CRT securities $ 268,024 $ 89,388 54 $ — $ — — $ 268,024 $ 89,388 (1) Based on management’s current estimates of future principal cash flows expected to be received. (2) Amounts disclosed at March 31, 2020 include CRT securities with a fair value of $188.6 million for which the fair value option has been elected. Such securities had unrealized losses of $67.7 million at March 31, 2020 . |
Schedule of Credit Losses | The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential mortgage securities and MSR-related assets: Three Months Ended March 31, (Dollars In Thousands) 2020 2019 Allowance for credit losses at beginning of period $ — $ — Current provision: — — Securities with no prior loss allowance 332,756 — Securities with a prior loss allowance — — Write-offs, including allowance related to securities we intend to sell (332,756 ) — Allowance for credit losses at end of period $ — $ — |
Schedule of changes in the components of the purchase discount on Non-Agency MBS | The following table presents the changes in the components of the Company’s purchase discount on its Non-Agency MBS between purchase discount designated as Credit Reserve and accretable purchase discount for the three months ended March 31, 2020 and 2019 : Three Months Ended Three Months Ended (In Thousands) Discount Accretable (1) Discount Accretable Discount (1) Balance at beginning of period $ (436,598 ) $ (90,617 ) $ (516,116 ) $ (155,025 ) Impact of RMBS Issuer Settlement (2) — — — (855 ) Accretion of discount — 9,889 — 13,307 Realized credit losses 4,459 — 7,504 — Purchases — — — (118 ) Sales/Redemptions 49,491 (5,551 ) 3,191 16,346 Net impairment losses recognized in earnings (11,513 ) — — — Transfers/release of credit reserve 4,689 (4,689 ) 3,802 (3,802 ) Balance at end of period $ (389,472 ) $ (90,968 ) $ (501,619 ) $ (130,147 ) (1) Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. (2) Includes the impact of $855,000 of cash proceeds (a one-time payment) received by the Company during the three months ended March 31, 2019 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by JP Morgan Chase & Co. and affiliated entities. |
Schedule of impact of AFS on AOCI | The following table presents the impact of the Company’s AFS securities on its AOCI for the three months ended March 31, 2020 and 2019 : Three Months Ended March 31, (In Thousands) 2020 2019 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 392,722 $ 417,167 Unrealized gain on Agency MBS, net 4,876 9,315 Unrealized gain on Non-Agency MBS, net 124,700 12,276 Unrealized (loss)/gain on MSR term notes, net (5,166 ) 512 Reclassification adjustment for MBS sales included in net income (23,953 ) (17,009 ) Reclassification adjustment for impairment included in net income (344,269 ) — Change in AOCI from AFS securities (243,812 ) 5,094 Balance at end of period $ 148,910 $ 422,261 |
Schedule of interest income on MBS, CRT Securities and MSR Related Assets | The following table presents the components of interest income on the Company’s residential mortgage securities and MSR- related assets for the three months ended March 31, 2020 and 2019 : Three Months Ended March 31, (In Thousands) 2020 2019 Agency MBS Coupon interest $ 13,636 $ 24,628 Effective yield adjustment (1) (4,775 ) (6,187 ) Interest income $ 8,861 $ 18,441 Legacy Non-Agency MBS Coupon interest $ 17,282 $ 24,272 Effective yield adjustment (2) 9,406 13,144 Interest income $ 26,688 $ 37,416 RPL/NPL MBS Coupon interest $ 5,583 $ 16,443 Effective yield adjustment (1)(3) 280 142 Interest income $ 5,863 $ 16,585 CRT securities Coupon interest $ 3,485 $ 6,118 Effective yield adjustment (2) (523 ) 82 Interest income $ 2,962 $ 6,200 MSR-related assets Coupon interest $ 14,207 $ 10,619 Effective yield adjustment (1) — 1 Interest income $ 14,207 $ 10,620 (1) Includes amortization of premium paid net of accretion of purchase discount. For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity. (2) The effective yield adjustment is the difference between the net income calculated using the net yield, which is based on management’s estimates of the amount and timing of future cash flows, less the current coupon yield. (3) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $277,000 and $148,000 during the three months ended March 31, 2020 and 2019 |
Other Assets (Tables)
Other Assets (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Other Assets [Abstract] | |
Schedule of other assets | The following table presents the components of the Company’s Other assets at March 31, 2020 and December 31, 2019 : (In Thousands) March 31, 2020 December 31, 2019 REO (1) $ 411,473 $ 411,659 Receivable for unsettled MBS sales 392,597 — Capital contributions made to loan origination partners 113,923 147,992 Other interest-earning assets 73,443 70,468 Interest receivable 65,977 70,986 Other MBS and loan related receivables 55,789 43,842 Other 58,437 39,304 Total Other Assets $ 1,171,639 $ 784,251 (1) Includes $39.5 million and $27.3 million of REO that is held-for-investment at March 31, 2020 and December 31, 2019 , respectively. |
Schedule of activity for real estate owned | The following table presents the activity in the Company’s REO for the three months ended March 31, 2020 and 2019 : Three Months Ended March 31, (In Thousands) 2020 2019 Balance at beginning of period $ 411,659 $ 249,413 Adjustments to record at lower of cost or fair value (4,750 ) (4,072 ) Transfer from residential whole loans (1) 50,693 65,160 Purchases and capital improvements, net 5,606 5,923 Disposals (2) (51,735 ) (25,837 ) Balance at end of period $ 411,473 $ 290,587 Number of properties 1,622 1,233 (1) Includes net gain recorded on transfer of approximately $3.0 million and $4.6 million for the three months ended March 31, 2020 and 2019 , respectively. (2) During the three months ended March 31, 2020 and 2019 , the Company sold 249 and 137 REO properties for consideration of $54.8 million and $27.8 million , realizing net gains of approximately $3.1 million and $1.4 million |
Schedule of derivative instruments and balance sheet location | The following table presents the fair value of the Company’s derivative instruments at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Derivative Instrument (1) Designation Notional Amount Fair Value Notional Amount Fair Value (In Thousands) Swaps Hedging $ — $ — $ 2,942,000 $ — Swaps Non-Hedging $ — $ — $ 230,000 $ — (1) Represents Swaps executed bilaterally with a counterparty in the over-the-counter market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. |
Schedule of assets pledged as collateral against derivative contracts | The following table presents the assets pledged as collateral against the Company’s Swap contracts at March 31, 2020 and December 31, 2019 : (In Thousands) March 31, 2020 December 31, 2019 Agency MBS, at fair value $ — $ 2,241 Restricted cash — 16,777 Total assets pledged against Swaps $ — $ 19,018 |
Schedule of information about swaps | The following table presents information about the Company’s Swaps at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Notional Amount Weighted Average Fixed-Pay Interest Rate Weighted Average Variable Interest Rate (2) Notional Amount Weighted Average Fixed-Pay Interest Rate Weighted Average Variable Interest Rate (2) Maturity (1) (Dollars in Thousands) Over 3 months to 6 months $ — — % — % $ 200,000 2.05 % 1.70 % Over 6 months to 12 months — — — 1,430,000 2.30 1.77 Over 12 months to 24 months — — — 1,300,000 2.11 1.86 Over 24 months to 36 months — — — 20,000 1.38 1.90 Over 36 months to 48 months — — — 222,000 2.88 1.84 Total Swaps $ — — % — % $ 3,172,000 2.24 % 1.81 % (1) Each maturity category reflects contractual amortization and/or maturity of notional amounts. (2) Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts monthly or quarterly based on one -month or three -month LIBOR, respectively. |
Schedule of interest expense and the weighted average interest rate paid and received on swaps | The following table presents the net impact of the Company’s derivative hedging instruments on its net interest expense and the weighted average interest rate paid and received for such Swaps for the three months ended March 31, 2020 and 2019 : Three Months Ended (Dollars in Thousands) 2020 2019 Interest (expense)/income attributable to Swaps $ (3,359 ) $ 1,191 Weighted average Swap rate paid 2.09 % 2.31 % Weighted average Swap rate received 1.65 % 2.49 % |
Schedule of impact of hedging instruments on AOCI | The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands) 2020 2019 AOCI from derivative hedging instruments: Balance at beginning of period $ (22,675 ) $ 3,121 Net loss on Swaps (50,127 ) (10,445 ) Amortization of de-designated hedging instruments, net 1,594 (341 ) Balance at end of period $ (71,208 ) $ (7,665 ) |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Company's borrowings under repurchase agreements and associated assets pledged as collateral | The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at March 31, 2020 and December 31, 2019 : (Dollars in Thousands) March 31, December 31, Repurchase agreements secured by residential whole loans (1) $ 4,700,931 $ 4,743,094 Fair value of residential whole loans pledged as collateral under repurchase agreements (2)(3) $ 5,665,277 $ 5,986,267 Weighted average haircut on residential whole loans (4) 19.17 % 20.07 % Repurchase agreement borrowings secured by Agency MBS $ 522,209 $ 1,557,675 Fair value of Agency MBS pledged as collateral under repurchase agreements $ 568,704 $ 1,656,373 Weighted average haircut on Agency MBS (4) 4.99 % 4.46 % Repurchase agreement borrowings secured by Legacy Non-Agency MBS $ 1,003,122 $ 1,121,802 Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements $ 1,088,549 $ 1,420,797 Weighted average haircut on Legacy Non-Agency MBS (4) 21.60 % 20.27 % Repurchase agreement borrowings secured by RPL/NPL MBS $ 255,409 $ 495,091 Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements $ 243,125 $ 635,005 Weighted average haircut on RPL/NPL MBS (4) 20.30 % 21.52 % Repurchase agreements secured by CRT securities $ 297,628 $ 203,569 Fair value of CRT securities pledged as collateral under repurchase agreements $ 263,225 $ 252,175 Weighted average haircut on CRT securities (4) 20.89 % 18.84 % Repurchase agreements secured by MSR-related assets $ 929,915 $ 962,515 Fair value of MSR-related assets pledged as collateral under repurchase agreements $ 877,204 $ 1,217,002 Weighted average haircut on MSR-related assets (4) 22.11 % 21.18 % Repurchase agreements secured by other interest-earning assets $ 59,777 $ 57,198 Fair value of other interest-earning assets pledged as collateral under repurchase agreements $ 71,837 $ 61,708 Weighted average haircut on other interest-earning assets (4) 21.88 % 22.01 % (1) Excludes $811,000 and $1.1 million of unamortized debt issuance costs at March 31, 2020 and December 31, 2019 , respectively. (2) At March 31, 2020 and December 31, 2019 , includes RPL/NPL MBS with an aggregate fair value of $193.9 million and $238.8 million , respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. (3) At March 31, 2020 and December 31, 2019 , includes residential whole loans held at carrying value with an aggregate fair value of $4.8 billion and $5.0 billion and aggregate amortized cost of $5.1 billion and $4.8 billion , respectively and residential whole loans held at fair value with an aggregate fair value and amortized cost of $718.3 million and $794.7 million , respectively. (4) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. |
Schedule of repricing information about borrowings under repurchase agreements | The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Time Until Interest Rate Reset (Dollars in Thousands) Within 30 days $ 2,504,628 1.96 % $ 4,472,120 2.55 % Over 30 days to 3 months 2,993,905 2.96 2,746,384 3.43 Over 3 months to 12 months 1,392,318 4.06 1,014,441 3.36 Over 12 months 878,140 5.65 907,999 3.44 Total repurchase agreements $ 7,768,991 3.14 % $ 9,140,944 2.99 % Less debt issuance costs 811 1,123 Total repurchase agreements less debt issuance costs $ 7,768,180 $ 9,139,821 |
Schedule of information about counterparty for repurchase agreements for which the entity had greater than 5% of stockholders' equity at risk | The following table presents information with respect to each counterparty under repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at March 31, 2020 : March 31, 2020 Counterparty Rating (1) Amount at Risk (2) Weighted Average Months to Maturity for Repurchase Agreements (3) Percent of Stockholders’ Equity Counterparty (Dollars in Thousands) Credit Suisse (4) BBB+/Baa2/A- $ 421,642 2 17.3 % Barclays Bank BBB/Aa3/A 386,620 2 15.8 Goldman Sachs (5) BBB+/A3/A 256,550 5 10.5 Wells Fargo (6) A+/Aa2/AA- 246,865 16 10.1 (1) As rated at March 31, 2020 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published for these entities. (2) The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities. (3) See Note 16 “Subsequent Events” for details regarding the Company’s Forbearance Agreements, which impacts the maturity dates of the Company’s repurchase agreement financings. (4) Includes $369.0 million at risk with Credit Suisse and $52.6 million at risk with Credit Suisse Cayman. (5) Includes $118.1 million at risk with Goldman Sachs Lending Partners and $138.4 million at risk with Goldman Sachs Bank USA. (6) Includes $240.9 million at risk with Wells Fargo Bank, NA and approximately $6.0 million |
Other Liabilities (Tables)
Other Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Other Liabilities [Abstract] | |
Other Liabilities | The following table presents the components of the Company’s Other liabilities at March 31, 2020 and December 31, 2019 : (In Thousands) March 31, 2020 December 31, 2019 Securitized debt (1) $ 533,733 $ 570,952 Convertible Senior Notes 224,264 223,971 Senior Notes 96,874 96,862 Dividends and dividend equivalents payable — 90,749 Accrued interest payable 21,840 18,238 Accrued expenses and other 44,771 42,819 Total Other Liabilities $ 921,482 $ 1,043,591 (1) Securitized debt represents third-party liabilities of consolidated VIEs and excludes liabilities of the VIEs acquired by the Company that are eliminated in consolidation. The third-party beneficial interest holders in the VIEs have no recourse to the general credit of the Company. (See Notes 10 and 15 for further discussion.) |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Stockholders' Equity Note [Abstract] | |
Schedule of changes in balances of each component of the entity's AOCI | The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2020 : Three Months Ended (In Thousands) Net Unrealized Gain/(Loss) on AFS Securities Net (Loss) on Swaps Total AOCI Balance at beginning of period $ 392,722 $ (22,675 ) $ 370,047 OCI before reclassifications 124,410 (50,127 ) 74,283 Amounts reclassified from AOCI (1) (368,222 ) 1,594 (366,628 ) Net OCI during the period (2) (243,812 ) (48,533 ) (292,345 ) Balance at end of period $ 148,910 $ (71,208 ) $ 77,702 (1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). The following table presents changes in the balances of each component of the Company’s AOCI for the three months ended March 31, 2019 : Three Months Ended (In Thousands) Net Unrealized Gain/(Loss) on AFS Securities Net Gain on Swaps Total AOCI Balance at beginning of period $ 417,167 $ 3,121 $ 420,288 OCI before reclassifications 22,103 (10,445 ) 11,658 Amounts reclassified from AOCI (1) (17,009 ) (341 ) (17,350 ) Net OCI during the period (2) 5,094 (10,786 ) (5,692 ) Balance at end of period $ 422,261 $ (7,665 ) $ 414,596 (1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). |
Information about the significant amounts reclassified out of the entity's AOCI | The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three months ended March 31, 2020 : Three Months Ended Details about AOCI Components Amounts Reclassified from AOCI Affected Line Item in the Statement (In Thousands) AFS Securities: Realized gain on sale of securities $ (23,953 ) Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans Impairment recognized in earnings (344,269 ) Other, net Total AFS Securities $ (368,222 ) Swaps designated as cash flow hedges: Amortization of de-designated hedging instruments 1,594 Other, net Total Swaps designated as cash flow hedges $ 1,594 Total reclassifications for period $ (366,628 ) The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three months ended March 31, 2019 : Three Months Ended Details about AOCI Components Amounts Reclassified from AOCI Affected Line Item in the Statement (In Thousands) AFS Securities: Realized gain on sale of securities $ (17,009 ) Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans Total AFS Securities $ (17,009 ) Amortization of de-designated hedging instruments (341 ) Total reclassifications for period $ (17,350 ) |
EPS Calculation (Tables)
EPS Calculation (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Earnings Per Share [Abstract] | |
Schedule of reconciliation of the earnings and shares used in calculating basic and diluted EPS | The following table presents a reconciliation of the (loss)/earnings and shares used in calculating basic and diluted (loss)/earnings per share for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands, Except Per Share Amounts) 2020 2019 Basic (Loss)/Earnings per Share: Net (loss)/income to common stockholders $ (908,995 ) $ 88,857 Dividends declared on preferred stock (5,215 ) (3,750 ) Dividends, dividend equivalents and undistributed earnings allocated to participating securities — (256 ) Net (loss)/income to common stockholders - basic $ (914,210 ) $ 84,851 Basic weighted average common shares outstanding 452,979 450,358 Basic (Loss)/ Earnings per Share $ (2.02 ) $ 0.19 Diluted (Loss)/Earnings per Share: Net (loss)/income to common stockholders - basic $ (914,210 ) $ 84,851 Interest expense on Convertible Senior Notes — — Net (loss)/income to common stockholders - diluted $ (914,210 ) $ 84,851 Basic weighted average common shares outstanding 452,979 450,358 Effect of assumed Convertible Senior Notes conversion to common shares — — Diluted weighted average common shares outstanding (1) 452,979 450,358 Diluted (Loss)/Earnings per Share $ (2.02 ) $ 0.19 (1) At March 31, 2020 , the Company had approximately 2.3 million equity instruments outstanding that were not included in the calculation of diluted EPS for the three months ended March 31, 2020 , as their inclusion would have been anti-dilutive. These equity instruments reflect RSUs (based on current estimate of expected share settlement amount) with a weighted average grant date fair value of $7.73 |
Equity Compensation, Employme_2
Equity Compensation, Employment Agreements and Other Benefit Plans (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Compensation Related Costs [Abstract] | |
Schedule of expenses related to equity-based compensation | The following table presents the Company’s expenses related to its equity-based compensation instruments for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands) 2020 2019 RSUs $ 1,273 $ 998 Total $ 1,273 $ 998 |
Schedule of expenses related to deferred compensation plans | The following table presents the Company’s expenses related to its Deferred Plans for the three months ended March 31, 2020 and 2019 : Three Months Ended (In Thousands) 2020 2019 Non-employee directors $ (1,906 ) $ 286 Total $ (1,906 ) $ 286 |
Schedule of aggregate income deferred by participants and associated liability under deferred compensation plans | The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through March 31, 2020 and December 31, 2019 that had not been distributed and the Company’s associated liability for such deferrals at March 31, 2020 and December 31, 2019 : March 31, 2020 December 31, 2019 (In Thousands) Undistributed Income Deferred (1) Liability Under Deferred Plans Undistributed Income Deferred (1) Liability Under Deferred Plans Non-employee directors $ 1,881 $ 498 $ 2,349 $ 3,071 Total $ 1,881 $ 498 $ 2,349 $ 3,071 (1) Represents the cumulative amounts that were deferred by participants through March 31, 2020 and December 31, 2019 , which had not been distributed through such respective date. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Schedule of fair value measurement inputs and valuation techniques | The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s residential whole loans held at fair value for which it has utilized Level 3 inputs to determine fair value as of March 31, 2020 and December 31, 2019 : March 31, 2020 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Residential whole loans, at fair value $ 745,726 Discounted cash flow Discount rate 5.6 % 5.1-9.7% Prepayment rate 5.2 % 0.1-19.9% Default rate 3.9 % 0.0-23.5% Loss severity 13.0 % 0.0-100.0% $ 497,816 Liquidation model Discount rate 8.6 % 6.2-50.0% Annual change in home prices 2.5 % (0.5)-6.9% Liquidation timeline (in years) 1.9 0.1-4.8 Current value of underlying properties (3) $ 709 $5-$4,500 Total $ 1,243,542 December 31, 2019 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Residential whole loans, at fair value $ 829,842 Discounted cash flow Discount rate 4.2 % 3.8-8.0% Prepayment rate 4.5 % 0.7-18.0% Default rate 4.0 % 0.0-23.0% Loss severity 12.9 % 0.0-100.0% $ 551,271 Liquidation model Discount rate 8.0 % 6.2-50.0% Annual change in home prices 3.7 % 2.4-8.0% Liquidation timeline (in years) 1.8 0.1-4.5 Current value of underlying properties (3) $ 684 $10-$4,500 Total $ 1,381,113 (1) Excludes approximately $250,000 and $470,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at March 31, 2020 and December 31, 2019 , respectively. (2) Amounts are weighted based on the fair value of the underlying loan. (3) The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $368,000 and $365,000 as of March 31, 2020 and December 31, 2019 , respectively. The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of March 31, 2020 and December 31, 2019 , on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at March 31, 2020 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ — $ 1,243,792 $ 1,243,792 Non-Agency MBS — 1,119,940 — 1,119,940 Agency MBS — 553,413 — 553,413 CRT securities — 254,101 — 254,101 Term notes backed by MSR-related collateral — 706,608 — 706,608 Total assets carried at fair value $ — $ 2,634,062 $ 1,243,792 $ 3,877,854 Fair Value at December 31, 2019 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ — $ 1,381,583 $ 1,381,583 Non-Agency MBS — 2,063,529 — 2,063,529 Agency MBS — 1,664,582 — 1,664,582 CRT securities — 255,408 — 255,408 Term notes backed by MSR-related collateral — 1,157,463 — 1,157,463 Total assets carried at fair value $ — $ 5,140,982 $ 1,381,583 $ 6,522,565 |
Schedule of significant unobservable inputs used in fair value measurement of residential whole loans | The following table presents additional information for the three months ended March 31, 2020 and 2019 about the Company’s Residential whole loans, at fair value, which are classified as Level 3 and measured at fair value on a recurring basis: Residential Whole Loans, at Fair Value Three Months Ended March 31, (In Thousands) 2020 2019 Balance at beginning of period $ 1,381,583 $ 1,471,263 Purchases and capitalized advances (1) 3,520 130,089 Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings (74,556 ) (1,060 ) Collection of principal, net of liquidation gains/(losses) (23,805 ) (31,751 ) Repurchases (305 ) (318 ) Transfer to REO (42,645 ) (55,886 ) Balance at end of period $ 1,243,792 $ 1,512,337 (1) Included in the activity presented for the three months ended March 31, 2019 is an adjustment of $70.6 million for loans the Company committed to purchase during the three months ended December 31, 2018, but for which the closing of the purchase transaction occurred during the three months ended March 31, 2019. The adjustment was required following the finalization of due diligence performed prior to the closing of the purchase transaction and resulted in a downward revision to the prior estimate of the loan purchase amount. The following table presents additional information for the three months ended March 31, 2019 about the Company’s investments in term notes backed by MSR-related collateral, which were classified as Level 3 prior to September 30, 2019 and measured at fair value on a recurring basis: Term Notes Backed by MSR-Related Collateral Three Months Ended March 31, (In Thousands) 2019 Balance at beginning of period $ 538,499 Purchases 219,166 Sales — Collection of principal (4,584 ) Changes in unrealized gain/(losses) 513 Transfer to Level 2 — Balance at end of period $ 753,594 |
Schedule of carrying value and fair value of financial instruments | The following table presents the carrying values and estimated fair values of the Company’s financial instruments at March 31, 2020 and December 31, 2019 : March 31, 2020 March 31, 2020 December 31, 2019 Level in Fair Value Hierarchy Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value (In Thousands) Financial Assets: Residential whole loans, at carrying value (1) 3 $ 5,716,031 $ 5,602,536 $ 6,069,370 $ 6,248,745 Residential whole loans, at fair value 3 1,243,792 1,243,792 1,381,583 1,381,583 Non-Agency MBS 2 1,119,940 1,119,940 2,063,529 2,063,529 Agency MBS 2 553,413 553,413 1,664,582 1,664,582 CRT securities 2 254,101 254,101 255,408 255,408 MSR-related assets (2) 2 and 3 738,054 738,054 1,217,002 1,217,002 Cash and cash equivalents 1 116,465 116,465 70,629 70,629 Restricted cash 1 216,902 216,902 64,035 64,035 Financial Liabilities (3) : Repurchase agreements 2 7,768,180 7,786,911 9,139,821 9,156,209 Securitized debt 2 533,733 481,808 570,952 575,353 Convertible Senior Notes 2 224,264 135,700 223,971 244,088 Senior Notes 1 96,874 46,551 96,862 103,231 (1) Includes Non-QM loans held-for-sale with a net carrying value of $895.3 million at March 31, 2020 . (2) Includes $31.4 million and $59.5 million of MSR-related assets that are measured at fair value on a non-recurring basis that are classified as Level 3 in the fair value hierarchy at March 31, 2020 and December 31, 2019 , respectively. (3) Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. |
Use of Special Purpose Entiti_2
Use of Special Purpose Entities and Variable Interest Entities (Tables) | 3 Months Ended |
Mar. 31, 2020 | |
Use of Special Purpose Entities and Variable Interest Entities | |
Summary of key details related to securitization transactions | The following table summarizes the key details of the Company’s loan securitization transactions as of March 31, 2020 and December 31, 2019 : (Dollars in Thousands) March 31, 2020 December 31, 2019 Aggregate unpaid principal balance of residential whole loans sold $ 1,290,029 $ 1,290,029 Face amount of Senior Bonds issued by the VIE and purchased by third-party investors $ 802,817 $ 802,817 Outstanding amount of Senior Bonds $ 533,733 (1) $ 570,952 (1) Weighted average fixed rate for Senior Bonds issued 3.68 % (2) 3.68 % (2) Weighted average contractual maturity of Senior Bonds 29 years (2) 30 years (2) Face amount of Senior Support Certificates received by the Company (3) $ 275,174 $ 275,174 Cash received $ 802,815 $ 802,815 (1) Net of $2.7 million and $2.9 million of deferred financing costs at March 31, 2020 and December 31, 2019 , respectively. (2) At March 31, 2020 and December 31, 2019 , $459.6 million and $493.2 million , respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by 300 basis points at 36 months from issuance if the bond is not redeemed before such date. (3) Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions. |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) | 3 Months Ended |
Mar. 31, 2020segment | |
Accounting Policies [Abstract] | |
Number of reportable segments | 1 |
Number of operating segments | 1 |
Summary of Significant Accoun_4
Summary of Significant Accounting Policies (Residential Whole Loans) (Details) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Number of days considered to classify loans delinquent | 60 days |
Weighted Average LTV Ratio | 80.00% |
Summary of Significant Accoun_5
Summary of Significant Accounting Policies (Cash and Cash Equivalents) (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Accounting Policies [Abstract] | ||
Cash and cash equivalents | $ 116,465 | $ 70,629 |
Overnight money market funds | 0 | 39,600 |
Restricted cash | $ 216,902 | $ 64,035 |
Summary of Significant Accoun_6
Summary of Significant Accounting Policies (Depreciation) (Details) | 3 Months Ended |
Mar. 31, 2020 | |
Furniture, fixtures, computers and related hardwares | Minimum | |
Estimated useful life of long-lived assets | |
Estimated useful life | 5 years |
Furniture, fixtures, computers and related hardwares | Maximum | |
Estimated useful life of long-lived assets | |
Estimated useful life | 8 years |
Building | |
Estimated useful life of long-lived assets | |
Estimated useful life | 27 years 6 months |
Summary of Significant Accoun_7
Summary of Significant Accounting Policies (Loan Securitization and Other Debt Issuance Costs ) (Details) | Mar. 31, 2020 |
Convertible Senior Note Due 2024 | |
Debt Instrument [Line Items] | |
Stated interest rate | 6.25% |
Senior Note Due 2042 | |
Debt Instrument [Line Items] | |
Stated interest rate | 8.00% |
Summary of Significant Accoun_8
Summary of Significant Accounting Policies (Repurchase Agreements) (Details) | 3 Months Ended |
Mar. 31, 2020 | |
Accounting Policies [Abstract] | |
Repurchase financing period, low end of range | 1 month |
Repurchase financing period, high end of range | 6 months |
Repurchase financings collateralized by residential whole loans, low end | 3 months |
Repurchase financings collateralized by residential whole loans, high end | 12 months |
Summary of Significant Accoun_9
Summary of Significant Accounting Policies (Equity Based Compensation) (Details) - RSUs | 63 Months Ended |
Mar. 31, 2019 | |
Share based compensation | |
Vesting period of restricted share units (RSUs) | 3 years |
Period for measuring market condition of award | 3 years |
Summary of Significant Accou_10
Summary of Significant Accounting Policies (Income Tax) (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Accounting Policies [Abstract] | ||
Percentage of annual REIT taxable income distributed to stockholders | 100.00% | |
REIT income tax expense | $ 0 | |
Deferred income tax expense (benefit) | 0 | $ 0 |
Valuation allowance decrease | $ 73,500,000 |
Summary of Significant Accou_11
Summary of Significant Accounting Policies (Accounting Standards Adopted in 2020) (Details) $ in Thousands | Jan. 01, 2020USD ($) |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | $ (8,326) |
Accounting Standards Update 2016-13 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | $ 8,300 |
Residential Whole Loans (Narrat
Residential Whole Loans (Narrative) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Receivables [Abstract] | ||
Total residential whole loans | $ 7,000,000 | $ 7,400,000 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Valuation adjustment on loans held for sale | 70,181 | |
Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing receivable, sale | 659,900 | |
Gain on sale of financing receivable | 145,800 | |
Valuation adjustment on loans held for sale | 70,181 | |
Purchased Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing receivable, nonaccrual | 134,400 | $ 99,900 |
Purchased Credit Deteriorated Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Valuation adjustment on loans held for sale | 0 | |
Financing receivable, nonaccrual | $ 99,000 |
Residential Whole Loans (Reside
Residential Whole Loans (Residential Whole Loans, at Carrying Value) (Details) $ in Thousands | Mar. 31, 2020USD ($)loan | Jan. 01, 2020USD ($) | Dec. 31, 2019USD ($)loan | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 5,189,634 | $ 5,370,653 | ||
Purchased Credit Deteriorated Loans | 744,408 | 698,717 | ||
Total Residential whole loans, at carrying value | [1],[2] | 5,934,042 | 6,069,370 | |
Allowance for credit and valuation losses on residential whole loans held at carrying value and held-for-sale | (218,011) | (3,025) | ||
Total Residential whole loans at carrying value, net | $ 5,716,031 | $ 6,066,345 | ||
Number of loans | loan | 16,999 | 17,082 | ||
Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 3,538,725 | $ 3,707,245 | ||
Loan held for sale, amortized cost | 965,500 | |||
Loans net carrying amount | [1],[2] | 895,300 | ||
Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | 978,965 | 1,026,097 | ||
Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | 506,352 | 460,742 | ||
Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 165,592 | $ 176,569 | ||
Cumulative Effect, Period of Adoption, Adjustment | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Credit Deteriorated Loans | $ 62,600 | |||
[1] | Includes Non-QM loans held-for-sale with an amortized cost of $965.5 million and a net carrying value of $895.3 million at March 31, 2020 . | |||
[2] | Includes approximately $185.9 million and $186.4 million of Residential whole loans, at carrying value and $516.4 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2020 and December 31, 2019 |
Residential Whole Loans (Intere
Residential Whole Loans (Interest Income Components) (Details) - Residential whole loans - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | $ 83,486 | $ 49,620 |
Non-QM Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 49,070 | 22,414 |
Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 15,327 | 9,933 |
Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 7,343 | 2,701 |
Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 2,600 | 3,173 |
Purchased Performing Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | 74,340 | 38,221 |
Purchased credit impaired loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest income | $ 9,146 | $ 11,399 |
Residential Whole Loans (Resi_2
Residential Whole Loans (Residential Whole Loans, at Carrying Value - Additional Information) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 5,189,634 | $ 5,370,653 | ||
Purchased Credit Deteriorated Loans | 744,408 | 698,717 | ||
Residential whole loans, at carrying value, total or weighted average | $ 4,968,583 | |||
Weighted Average LTV Ratio | 80.00% | |||
Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 3,538,725 | 3,707,245 | ||
Residential whole loans, at carrying value, total or weighted average | 2,573,266 | |||
Loans net carrying amount | [1],[2] | 895,300 | ||
Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | 978,965 | 1,026,097 | ||
Residential whole loans, at carrying value, total or weighted average | 978,965 | |||
Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | 506,352 | 460,742 | ||
Residential whole loans, at carrying value, total or weighted average | 506,352 | |||
Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | 165,592 | 176,569 | ||
Residential whole loans, at carrying value, total or weighted average | $ 165,592 | |||
90 or more | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Weighted Average LTV Ratio | 88.12% | 89.69% | ||
Settled Whole Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Residential whole loans, at carrying value, total or weighted average | $ 5,716,031 | 6,066,345 | ||
Amortized Cost Basis | 5,934,042 | 6,069,370 | ||
Unpaid Principal Balance (“UPB”) | $ 5,944,079 | $ 6,141,421 | ||
Weighted Average Coupon | 5.88% | 5.96% | ||
Weighted Average Term to Maturity (Months) | 285 months | 288 months | ||
Settled Whole Loans | Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 3,434,894 | $ 3,706,857 | ||
Amortized Cost Basis | 3,538,725 | 3,707,245 | ||
Unpaid Principal Balance (“UPB”) | $ 3,424,646 | $ 3,592,701 | ||
Weighted Average Coupon | 5.84% | 5.96% | ||
Weighted Average Term to Maturity (Months) | 363 months | 368 months | ||
Weighted Average LTV Ratio | 66.00% | 67.00% | ||
Weighted Average FICO Scores | 717 | 716 | ||
Settled Whole Loans | Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 943,332 | $ 1,023,766 | ||
Amortized Cost Basis | 978,965 | 1,026,097 | ||
Unpaid Principal Balance (“UPB”) | $ 978,965 | $ 1,026,097 | ||
Weighted Average Coupon | 7.24% | 7.30% | ||
Weighted Average Term to Maturity (Months) | 7 months | 8 months | ||
Weighted Average LTV Ratio | 64.00% | 64.00% | ||
Weighted Average FICO Scores | 720 | 717 | ||
Settled Whole Loans | Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 498,921 | $ 460,679 | ||
Amortized Cost Basis | 506,352 | 460,741 | ||
Unpaid Principal Balance (“UPB”) | $ 501,925 | $ 457,146 | ||
Weighted Average Coupon | 6.28% | 6.29% | ||
Weighted Average Term to Maturity (Months) | 322 months | 324 months | ||
Weighted Average LTV Ratio | 70.00% | 70.00% | ||
Weighted Average FICO Scores | 734 | 734 | ||
Settled Whole Loans | Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 165,343 | $ 176,569 | ||
Amortized Cost Basis | 165,592 | 176,569 | ||
Unpaid Principal Balance (“UPB”) | $ 180,421 | $ 192,151 | ||
Weighted Average Coupon | 4.11% | 4.24% | ||
Weighted Average Term to Maturity (Months) | 178 months | 181 months | ||
Weighted Average LTV Ratio | 42.00% | 46.00% | ||
Weighted Average FICO Scores | 723 | 723 | ||
Settled Whole Loans | Purchased credit impaired loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Credit Deteriorated Loans | $ 673,541 | $ 698,474 | ||
Amortized Cost Basis | 744,408 | 698,718 | ||
Unpaid Principal Balance (“UPB”) | $ 858,122 | $ 873,326 | ||
Weighted Average Coupon | 4.46% | 4.46% | ||
Weighted Average Term to Maturity (Months) | 292 months | 294 months | ||
Weighted Average LTV Ratio | 80.00% | 81.00% | ||
Settled Whole Loans | Certain Rehabilitation Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 259,400 | $ 269,200 | ||
Weighted Average LTV Ratio | 68.00% | 69.00% | ||
Settled Whole Loans | Current | Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | $ 3,450,648 | $ 3,492,533 | ||
Settled Whole Loans | Current | Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 806,413 | 868,281 | ||
Settled Whole Loans | Current | Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 482,499 | 432,936 | ||
Settled Whole Loans | Current | Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 160,944 | 187,683 | ||
Settled Whole Loans | 30-59 | Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 50,584 | 59,963 | ||
Settled Whole Loans | 30-59 | Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 61,723 | 67,747 | ||
Settled Whole Loans | 30-59 | Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 17,536 | 15,948 | ||
Settled Whole Loans | 30-59 | Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 1,670 | 2,164 | ||
Settled Whole Loans | 60-89 | Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 13,058 | 19,605 | ||
Settled Whole Loans | 60-89 | Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 20,973 | 27,437 | ||
Settled Whole Loans | 60-89 | Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 2,009 | 2,047 | ||
Settled Whole Loans | 60-89 | Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 1,099 | 430 | ||
Settled Whole Loans | 90 or more | Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 24,435 | 20,600 | ||
Settled Whole Loans | 90 or more | Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 89,856 | 62,632 | ||
Settled Whole Loans | 90 or more | Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 4,308 | 6,215 | ||
Settled Whole Loans | 90 or more | Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | 1,879 | 1,874 | ||
Settled Whole Loans | 90 or more | Purchased credit impaired loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid Principal Balance (“UPB”) | $ 87,179 | $ 108,998 | ||
[1] | Includes Non-QM loans held-for-sale with an amortized cost of $965.5 million and a net carrying value of $895.3 million at March 31, 2020 . | |||
[2] | Includes approximately $185.9 million and $186.4 million of Residential whole loans, at carrying value and $516.4 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2020 and December 31, 2019 |
Residential Whole Loans (Allowa
Residential Whole Loans (Allowance for Credit Losses) (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Jan. 01, 2020 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||||
Allowance for credit losses at beginning of period | $ 3,025 | $ 968 | ||
Transition adjustment on adoption of ASU 2016-13 | 70,555 | |||
Current provision | 74,897 | 2,569 | ||
Write-offs | (647) | (512) | ||
Valuation adjustment on loans held for sale | 70,181 | |||
Allowance for credit and valuation losses at end of period | 218,011 | 3,025 | ||
Residential whole loans, at carrying value | 4,968,583 | |||
Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | $ (8,326) | |||
Gross up of the amortized cost basis of Purchased Credit Deteriorated Loans | 62,400 | |||
Non-QM Loans | ||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||||
Allowance for credit losses at beginning of period | 388 | 0 | ||
Transition adjustment on adoption of ASU 2016-13 | 6,904 | |||
Current provision | 26,358 | 388 | ||
Write-offs | 0 | 0 | ||
Valuation adjustment on loans held for sale | 70,181 | |||
Allowance for credit and valuation losses at end of period | 103,831 | 388 | ||
Rehabilitation loans | ||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||||
Allowance for credit losses at beginning of period | 2,331 | 0 | ||
Transition adjustment on adoption of ASU 2016-13 | 517 | |||
Current provision | 33,213 | 2,843 | ||
Write-offs | (428) | (512) | ||
Valuation adjustment on loans held for sale | 0 | |||
Allowance for credit and valuation losses at end of period | 35,633 | 2,331 | ||
Residential whole loans, at carrying value | 110,800 | |||
Single-family rental loans | ||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||||
Allowance for credit losses at beginning of period | 62 | 0 | ||
Transition adjustment on adoption of ASU 2016-13 | 754 | |||
Current provision | 6,615 | 62 | ||
Write-offs | 0 | 0 | ||
Valuation adjustment on loans held for sale | 0 | |||
Allowance for credit and valuation losses at end of period | 7,431 | 62 | ||
Seasoned performing loans | ||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||||
Allowance for credit losses at beginning of period | 0 | 0 | ||
Transition adjustment on adoption of ASU 2016-13 | 19 | |||
Current provision | 230 | 0 | ||
Write-offs | 0 | 0 | ||
Valuation adjustment on loans held for sale | 0 | |||
Allowance for credit and valuation losses at end of period | 249 | 0 | ||
Purchased Credit Deteriorated Loans | ||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||||
Allowance for credit losses at beginning of period | 244 | 968 | ||
Transition adjustment on adoption of ASU 2016-13 | 62,361 | |||
Current provision | 8,481 | (724) | ||
Write-offs | (219) | 0 | ||
Valuation adjustment on loans held for sale | 0 | |||
Allowance for credit and valuation losses at end of period | 70,867 | $ 244 | ||
Residential whole loans, at carrying value | 74,500 | |||
Unfunded Loan Commitment | ||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||||
Allowance for credit and valuation losses at end of period | 3,500 | |||
Commitment to lend, unfunded | 123,100 | |||
Non-QM Loans | ||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||||
Loans net carrying amount | [1],[2] | 895,300 | ||
Residential whole loans, at carrying value | $ 2,573,266 | |||
Accounting Standards Update 2016-13 | ||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | ||||
Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | $ 8,300 | |||
[1] | Includes Non-QM loans held-for-sale with an amortized cost of $965.5 million and a net carrying value of $895.3 million at March 31, 2020 . | |||
[2] | Includes approximately $185.9 million and $186.4 million of Residential whole loans, at carrying value and $516.4 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2020 and December 31, 2019 |
Residential Whole Loans (Additi
Residential Whole Loans (Additional Credit Related Information) (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | $ 353,190 | ||
2019 | 2,436,830 | ||
2018 | 1,133,547 | ||
2017 | 126,445 | ||
2016 | 16,273 | ||
Prior | 902,298 | ||
Residential whole loans, at carrying value, total or weighted average | 4,968,583 | ||
Gross write-offs, 2018 | 334 | ||
Gross write-offs, prior | 313 | ||
Net write-offs, 2018 | 334 | ||
Net write-offs, 2018 | 313 | ||
Three Months Ended March 31, 2020 Gross write-offs | 647 | $ 512 | |
Three Months Ended March 31, 2020 Net write-offs | 647 | ||
Purchased Performing Loans | $ 5,189,634 | $ 5,370,653 | |
Ratio Loan-To-Value | 80.00% | ||
Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | $ 322,615 | ||
2019 | 2,372,063 | ||
2018 | 1,099,660 | ||
2017 | 115,251 | ||
2016 | 12,350 | ||
Prior | 587,392 | ||
Residential whole loans, at carrying value, total or weighted average | 4,509,331 | ||
Debt-to-Value Ratio, 80 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 30,575 | ||
2019 | 64,767 | ||
2018 | 33,887 | ||
2017 | 11,194 | ||
2016 | 3,923 | ||
Prior | 314,906 | ||
Residential whole loans, at carrying value, total or weighted average | 459,252 | ||
Non-QM Loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 275,473 | ||
2019 | 1,364,836 | ||
2018 | 821,944 | ||
2017 | 101,808 | ||
2016 | 9,205 | ||
Prior | 0 | ||
Residential whole loans, at carrying value, total or weighted average | 2,573,266 | ||
Loan held for sale, amortized cost | 965,500 | ||
Purchased Performing Loans | 3,538,725 | 3,707,245 | |
Non-QM Loans | Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 252,458 | ||
2019 | 1,331,053 | ||
2018 | 790,056 | ||
2017 | 92,314 | ||
2016 | 9,055 | ||
Prior | 0 | ||
Residential whole loans, at carrying value, total or weighted average | 2,474,936 | ||
Non-QM Loans | Debt-to-Value Ratio, 80 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 23,015 | ||
2019 | 33,783 | ||
2018 | 31,888 | ||
2017 | 9,494 | ||
2016 | 150 | ||
Prior | 0 | ||
Residential whole loans, at carrying value, total or weighted average | 98,330 | ||
Rehabilitation loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 53,518 | ||
2019 | 753,382 | ||
2018 | 162,122 | ||
2017 | 9,943 | ||
2016 | 0 | ||
Prior | 0 | ||
Residential whole loans, at carrying value, total or weighted average | 978,965 | ||
Gross write-offs, 2018 | 334 | ||
Gross write-offs, prior | 94 | ||
Net write-offs, 2018 | 334 | ||
Net write-offs, 2018 | 94 | ||
Three Months Ended March 31, 2020 Gross write-offs | 428 | ||
Three Months Ended March 31, 2020 Net write-offs | 428 | ||
Purchased Performing Loans | 978,965 | 1,026,097 | |
Rehabilitation loans | Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 48,534 | ||
2019 | 735,912 | ||
2018 | 160,334 | ||
2017 | 8,243 | ||
2016 | 0 | ||
Prior | 0 | ||
Residential whole loans, at carrying value, total or weighted average | 953,023 | ||
Rehabilitation loans | Debt-to-Value Ratio, 80 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 4,984 | ||
2019 | 17,470 | ||
2018 | 1,788 | ||
2017 | 1,700 | ||
2016 | 0 | ||
Prior | 0 | ||
Residential whole loans, at carrying value, total or weighted average | 25,942 | ||
Single-family rental loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 24,199 | ||
2019 | 318,612 | ||
2018 | 149,481 | ||
2017 | 14,060 | ||
2016 | 0 | ||
Prior | 0 | ||
Residential whole loans, at carrying value, total or weighted average | 506,352 | ||
Purchased Performing Loans | 506,352 | 460,742 | |
Single-family rental loans | Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 21,623 | ||
2019 | 305,098 | ||
2018 | 149,270 | ||
2017 | 14,060 | ||
2016 | 0 | ||
Prior | 0 | ||
Residential whole loans, at carrying value, total or weighted average | 490,051 | ||
Single-family rental loans | Debt-to-Value Ratio, 80 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 2,576 | ||
2019 | 13,514 | ||
2018 | 211 | ||
2017 | 0 | ||
2016 | 0 | ||
Prior | 0 | ||
Residential whole loans, at carrying value, total or weighted average | 16,301 | ||
Seasoned performing loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
2017 | 0 | ||
2016 | 81 | ||
Prior | 165,511 | ||
Residential whole loans, at carrying value, total or weighted average | 165,592 | ||
Purchased Performing Loans | 165,592 | 176,569 | |
Seasoned performing loans | Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
2017 | 0 | ||
2016 | 81 | ||
Prior | 156,733 | ||
Residential whole loans, at carrying value, total or weighted average | 156,814 | ||
Seasoned performing loans | Debt-to-Value Ratio, 80 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
2017 | 0 | ||
2016 | 0 | ||
Prior | 8,778 | ||
Residential whole loans, at carrying value, total or weighted average | 8,778 | ||
Purchased Credit Deteriorated Loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
2017 | 634 | ||
2016 | 6,987 | ||
Prior | 736,787 | ||
Residential whole loans, at carrying value, total or weighted average | 744,408 | ||
Gross write-offs, prior | 219 | ||
Net write-offs, 2018 | 219 | ||
Three Months Ended March 31, 2020 Gross write-offs | 219 | ||
Three Months Ended March 31, 2020 Net write-offs | 219 | ||
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, Less than 80 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
2017 | 634 | ||
2016 | 3,214 | ||
Prior | 430,659 | ||
Residential whole loans, at carrying value, total or weighted average | 434,507 | ||
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, 80 to 100 Percent | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
2020 | 0 | ||
2019 | 0 | ||
2018 | 0 | ||
2017 | 0 | ||
2016 | 3,773 | ||
Prior | 306,128 | ||
Residential whole loans, at carrying value, total or weighted average | 309,901 | ||
Settled Whole Loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Residential whole loans, at carrying value, total or weighted average | 5,716,031 | 6,066,345 | |
Settled Whole Loans | Non-QM Loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Purchased Performing Loans | $ 3,434,894 | $ 3,706,857 | |
Ratio Loan-To-Value | 66.00% | 67.00% | |
Settled Whole Loans | Rehabilitation loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Purchased Performing Loans | $ 943,332 | $ 1,023,766 | |
Ratio Loan-To-Value | 64.00% | 64.00% | |
Settled Whole Loans | Single-family rental loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Purchased Performing Loans | $ 498,921 | $ 460,679 | |
Ratio Loan-To-Value | 70.00% | 70.00% | |
Settled Whole Loans | Seasoned performing loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Purchased Performing Loans | $ 165,343 | $ 176,569 | |
Ratio Loan-To-Value | 42.00% | 46.00% | |
Settled Whole Loans | Certain Rehabilitation Loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Purchased Performing Loans | $ 259,400 | $ 269,200 | |
Ratio Loan-To-Value | 68.00% | 69.00% |
Residential Whole Loans (Fair V
Residential Whole Loans (Fair Value) (Details) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2020USD ($)loan | Mar. 31, 2019loan | Dec. 31, 2019USD ($) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Weighted Average LTV Ratio | 80.00% | |||
Total Residential whole loans, at fair value | [1] | $ 1,243,792 | $ 1,381,583 | |
Less than 60 Days Past Due: | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Outstanding principal balance | 664,362 | 666,026 | ||
Aggregate fair value | $ 593,037 | 641,616 | ||
Weighted Average LTV Ratio | 75.27% | 76.69% | ||
Number of loans | loan | 3,186 | 3,159 | ||
60 Days to 89 Days Past Due: | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Outstanding principal balance | $ 60,720 | 58,160 | ||
Aggregate fair value | $ 50,999 | 53,485 | ||
Weighted Average LTV Ratio | 85.06% | 79.48% | ||
Number of loans | loan | 279 | 313 | ||
90 Days or More Past Due: | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Outstanding principal balance | $ 693,380 | 767,320 | ||
Aggregate fair value | $ 599,756 | $ 686,482 | ||
Weighted Average LTV Ratio | 88.12% | 89.69% | ||
Number of loans | loan | 2,685 | 2,983 | ||
[1] | Includes Non-QM loans held-for-sale with an amortized cost of $965.5 million and a net carrying value of $895.3 million at March 31, 2020 . |
Residential Whole Loans (Fair_2
Residential Whole Loans (Fair Value Components of Net Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Receivables [Abstract] | ||
Coupon payments and other income received | $ 19,036 | $ 21,756 |
Net unrealized losses | (74,556) | (1,060) |
Net gain on transfers to REO | 2,760 | 4,571 |
Total | $ (52,760) | $ 25,267 |
Residential Mortgage Securiti_3
Residential Mortgage Securities and MSR-Related Assets (Narrative) (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | ||
Minimum term of fixed rate mortgages underlying MBS | 15 years | |
Maximum term of fixed rate mortgages underlying MBS | 30 years | |
Impairment and other losses on securities available-for-sale and other assets | $ 419,651,000 | $ 0 |
Available-for-sale, unrealized loss position, accumulated loss | 89,388,000 | |
Loans in Unrealized Loss Position | ||
Debt Securities, Available-for-sale [Line Items] | ||
Impairment and other losses on securities available-for-sale and other assets | (63,500,000) | |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale, unrealized loss position, accumulated loss | 0 | |
Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale, unrealized loss position, accumulated loss | $ 21,643,000 | |
Minimum | RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt instrument, basis spread on variable rate | 3.00% | |
Debt instrument, coupon step-up period | 36 months | |
Maximum | RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt instrument, basis spread on variable rate | 4.00% | |
Debt instrument, coupon step-up period | 48 months |
Residential Mortgage Securiti_4
Residential Mortgage Securities and MSR-Related Assets (Residential and Mortgage Securities) (Details) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | $ 2,354,515,000 | $ 4,044,818,000 |
Purchase Premiums | 22,184,000 | 67,108,000 |
Accretable Purchase Discounts | (91,028,000) | (90,694,000) |
Discount Designated as Credit Reserve and OTTI | (441,477,000) | (436,598,000) |
Amortized Cost | 1,844,710,000 | 3,585,248,000 |
Gross Unrealized Gains | 172,132,000 | 417,089,000 |
Gross Unrealized Losses | (89,388,000) | (18,818,000) |
Net Unrealized Gain/(Loss) | 82,744,000 | 398,271,000 |
Fair Value | 1,927,454,000 | 3,983,519,000 |
Principal payments receivable | 516,000 | 614,000 |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 532,905,000 | 1,604,583,000 |
Purchase Premiums | 18,921,000 | 62,790,000 |
Accretable Purchase Discounts | (18,000) | (22,000) |
Discount Designated as Credit Reserve and OTTI | (4,868,000) | 0 |
Amortized Cost | 547,456,000 | 1,667,965,000 |
Gross Unrealized Gains | 5,957,000 | 15,326,000 |
Gross Unrealized Losses | 0 | (18,709,000) |
Net Unrealized Gain/(Loss) | 5,957,000 | (3,383,000) |
Fair Value | 553,413,000 | 1,664,582,000 |
Agency MBS | Fannie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 433,397,000 | 1,119,708,000 |
Purchase Premiums | 15,384,000 | 43,249,000 |
Accretable Purchase Discounts | (18,000) | (22,000) |
Discount Designated as Credit Reserve and OTTI | (4,747,000) | 0 |
Amortized Cost | 444,016,000 | 1,162,935,000 |
Gross Unrealized Gains | 4,242,000 | 9,799,000 |
Gross Unrealized Losses | 0 | (14,741,000) |
Net Unrealized Gain/(Loss) | 4,242,000 | (4,942,000) |
Fair Value | 448,258,000 | 1,157,993,000 |
Agency MBS | Freddie Mac | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 95,759,000 | 480,879,000 |
Purchase Premiums | 3,468,000 | 19,468,000 |
Accretable Purchase Discounts | 0 | 0 |
Discount Designated as Credit Reserve and OTTI | (121,000) | 0 |
Amortized Cost | 99,622,000 | 500,961,000 |
Gross Unrealized Gains | 1,655,000 | 5,475,000 |
Gross Unrealized Losses | 0 | (3,968,000) |
Net Unrealized Gain/(Loss) | 1,655,000 | 1,507,000 |
Fair Value | 101,277,000 | 502,468,000 |
Agency MBS | Ginnie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 3,749,000 | 3,996,000 |
Purchase Premiums | 69,000 | 73,000 |
Accretable Purchase Discounts | 0 | 0 |
Discount Designated as Credit Reserve and OTTI | 0 | 0 |
Amortized Cost | 3,818,000 | 4,069,000 |
Gross Unrealized Gains | 60,000 | 52,000 |
Gross Unrealized Losses | 0 | 0 |
Net Unrealized Gain/(Loss) | 60,000 | 52,000 |
Fair Value | 3,878,000 | 4,121,000 |
Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 1,455,848,000 | 2,195,303,000 |
Purchase Premiums | 0 | 0 |
Accretable Purchase Discounts | (90,968,000) | (90,617,000) |
Discount Designated as Credit Reserve and OTTI | (389,472,000) | (436,598,000) |
Amortized Cost | 975,408,000 | 1,668,088,000 |
Gross Unrealized Gains | 166,175,000 | 395,459,000 |
Gross Unrealized Losses | (21,643,000) | (18,000) |
Net Unrealized Gain/(Loss) | 144,532,000 | 395,441,000 |
Fair Value | 1,119,940,000 | 2,063,529,000 |
Expected to Recover Par | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 150,181,000 | 722,477,000 |
Purchase Premiums | 0 | 0 |
Accretable Purchase Discounts | (13,191,000) | (16,661,000) |
Discount Designated as Credit Reserve and OTTI | 0 | 0 |
Amortized Cost | 136,990,000 | 705,816,000 |
Gross Unrealized Gains | 6,175,000 | 19,861,000 |
Gross Unrealized Losses | (21,643,000) | (9,000) |
Net Unrealized Gain/(Loss) | (15,468,000) | 19,852,000 |
Fair Value | 121,522,000 | 725,668,000 |
Expected to Recover Less Than Par | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 1,305,667,000 | 1,472,826,000 |
Purchase Premiums | 0 | 0 |
Accretable Purchase Discounts | (77,777,000) | (73,956,000) |
Discount Designated as Credit Reserve and OTTI | (389,472,000) | (436,598,000) |
Amortized Cost | 838,418,000 | 962,272,000 |
Gross Unrealized Gains | 160,000,000 | 375,598,000 |
Gross Unrealized Losses | 0 | (9,000) |
Net Unrealized Gain/(Loss) | 160,000,000 | 375,589,000 |
Fair Value | $ 998,418,000 | $ 1,337,861,000 |
Percentage of current face amount of Non-Agency MBS to be recovered | 73.00% | 80.00% |
Total MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | $ 1,988,753,000 | $ 3,799,886,000 |
Purchase Premiums | 18,921,000 | 62,790,000 |
Accretable Purchase Discounts | (90,986,000) | (90,639,000) |
Discount Designated as Credit Reserve and OTTI | (394,340,000) | (436,598,000) |
Amortized Cost | 1,522,864,000 | 3,336,053,000 |
Gross Unrealized Gains | 172,132,000 | 410,785,000 |
Gross Unrealized Losses | (21,643,000) | (18,727,000) |
Net Unrealized Gain/(Loss) | 150,489,000 | 392,058,000 |
Fair Value | 1,673,353,000 | 3,728,111,000 |
CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 365,762,000 | 244,932,000 |
Purchase Premiums | 3,263,000 | 4,318,000 |
Accretable Purchase Discounts | (42,000) | (55,000) |
Discount Designated as Credit Reserve and OTTI | (47,137,000) | 0 |
Amortized Cost | 321,846,000 | 249,195,000 |
Gross Unrealized Gains | 0 | 6,304,000 |
Gross Unrealized Losses | (67,745,000) | (91,000) |
Net Unrealized Gain/(Loss) | (67,745,000) | 6,213,000 |
Fair Value | 254,101,000 | 255,408,000 |
Agency MBS, Fair Value Option | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Gains | 499,000 | 4,500,000 |
Gross Unrealized Losses | 0 | 0 |
Debt securities, fair value option | 14,500,000 | 280,300,000 |
RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 101,400,000 | 632,300,000 |
Amortized Cost | 101,100,000 | 631,800,000 |
Fair Value | 79,500,000 | 635,000,000 |
CRT, Fair Value Option | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Gains | 0 | 6,300,000 |
Gross Unrealized Losses | (67,700,000) | (91,000) |
Fair Value | $ 188,600,000 | $ 255,400,000 |
Residential Mortgage Securiti_5
Residential Mortgage Securities and MSR-Related Assets (Sale of MBS) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | ||
Sales Proceeds | $ 1,265,162 | $ 209,462 |
Gains/(Losses) | (67,995) | 24,609 |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Sales Proceeds | 965,132 | 0 |
Gains/(Losses) | (22,854) | 0 |
Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Sales Proceeds | 264,385 | 126,094 |
Gains/(Losses) | (43,124) | 18,153 |
CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Sales Proceeds | 35,645 | 83,368 |
Gains/(Losses) | $ (2,017) | $ 6,456 |
Residential Mortgage Securiti_6
Residential Mortgage Securities and MSR-Related Assets (Unrealized Losses) (Details) | Mar. 31, 2020USD ($)security | Dec. 31, 2019USD ($) |
Fair Value | ||
Less than 12 Months | $ 268,024,000 | |
12 Months or more | 0 | |
Total | 268,024,000 | |
Unrealized Losses | ||
Less than 12 Months | 89,388,000 | |
12 Months or more | 0 | |
Total | $ 89,388,000 | |
Number of Securities | ||
Less than 12 months (in security) | security | 54 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 1,927,454,000 | $ 3,983,519,000 |
Gross unrealized losses | 89,388,000 | 18,818,000 |
Agency MBS | ||
Fair Value | ||
Less than 12 Months | 0 | |
12 Months or more | 0 | |
Total | 0 | |
Unrealized Losses | ||
Less than 12 Months | 0 | |
12 Months or more | 0 | |
Total | $ 0 | |
Number of Securities | ||
Less than 12 months (in security) | security | 0 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 553,413,000 | 1,664,582,000 |
Gross unrealized losses | 0 | 18,709,000 |
Agency MBS | Fannie Mae | ||
Fair Value | ||
Less than 12 Months | 0 | |
12 Months or more | 0 | |
Total | 0 | |
Unrealized Losses | ||
Less than 12 Months | 0 | |
12 Months or more | 0 | |
Total | $ 0 | |
Number of Securities | ||
Less than 12 months (in security) | security | 0 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 448,258,000 | 1,157,993,000 |
Gross unrealized losses | 0 | 14,741,000 |
Agency MBS | Freddie Mac | ||
Fair Value | ||
Less than 12 Months | 0 | |
12 Months or more | 0 | |
Total | 0 | |
Unrealized Losses | ||
Less than 12 Months | 0 | |
12 Months or more | 0 | |
Total | $ 0 | |
Number of Securities | ||
Less than 12 months (in security) | security | 0 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 101,277,000 | 502,468,000 |
Gross unrealized losses | 0 | 3,968,000 |
Agency MBS | Ginnie Mae | ||
Fair Value | ||
Less than 12 Months | 0 | |
12 Months or more | 0 | |
Total | 0 | |
Unrealized Losses | ||
Less than 12 Months | 0 | |
12 Months or more | 0 | |
Total | $ 0 | |
Number of Securities | ||
Less than 12 months (in security) | security | 0 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 3,878,000 | 4,121,000 |
Gross unrealized losses | 0 | 0 |
Non-Agency MBS | ||
Fair Value | ||
Less than 12 Months | 79,464,000 | |
12 Months or more | 0 | |
Total | 79,464,000 | |
Unrealized Losses | ||
Less than 12 Months | 21,643,000 | |
12 Months or more | 0 | |
Total | $ 21,643,000 | |
Number of Securities | ||
Less than 12 months (in security) | security | 7 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 1,119,940,000 | 2,063,529,000 |
Gross unrealized losses | 21,643,000 | 18,000 |
Expected to Recover Par | ||
Fair Value | ||
Less than 12 Months | 79,464,000 | |
12 Months or more | 0 | |
Total | 79,464,000 | |
Unrealized Losses | ||
Less than 12 Months | 21,643,000 | |
12 Months or more | 0 | |
Total | $ 21,643,000 | |
Number of Securities | ||
Less than 12 months (in security) | security | 7 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 121,522,000 | 725,668,000 |
Gross unrealized losses | 21,643,000 | 9,000 |
Expected to Recover Less Than Par | ||
Fair Value | ||
Less than 12 Months | 0 | |
12 Months or more | 0 | |
Total | 0 | |
Unrealized Losses | ||
Less than 12 Months | 0 | |
12 Months or more | 0 | |
Total | $ 0 | |
Number of Securities | ||
Less than 12 months (in security) | security | 0 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 998,418,000 | 1,337,861,000 |
Gross unrealized losses | 0 | 9,000 |
Total MBS | ||
Fair Value | ||
Less than 12 Months | 79,464,000 | |
12 Months or more | 0 | |
Total | 79,464,000 | |
Unrealized Losses | ||
Less than 12 Months | 21,643,000 | |
12 Months or more | 0 | |
Total | $ 21,643,000 | |
Number of Securities | ||
Less than 12 months (in security) | security | 7 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 1,673,353,000 | 3,728,111,000 |
Gross unrealized losses | 21,643,000 | 18,727,000 |
CRT securities | ||
Fair Value | ||
Less than 12 Months | 188,560,000 | |
12 Months or more | 0 | |
Total | 188,560,000 | |
Unrealized Losses | ||
Less than 12 Months | 67,745,000 | |
12 Months or more | 0 | |
Total | $ 67,745,000 | |
Number of Securities | ||
Less than 12 months (in security) | security | 47 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 254,101,000 | 255,408,000 |
Gross unrealized losses | 67,745,000 | $ 91,000 |
CRT in Loss Positions Only, Fair Value Option | ||
Number of Securities | ||
Available-for-sale securities | 188,600,000 | |
Gross unrealized losses | $ 67,700,000 |
Residential Mortgage Securiti_7
Residential Mortgage Securities and MSR-Related Assets (Purchase Discounts) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Changes in the components of the purchase discount on Non-Agency MBS | ||
Realized credit losses | $ (344,269) | $ 0 |
Discount Designated as Credit Reserve | Non-Agency MBS | ||
Changes in the components of the purchase discount on Non-Agency MBS | ||
Balance at beginning of period | (436,598) | (516,116) |
Impact of RMBS Issuer Settlement | 0 | 0 |
Accretion of discount | 0 | 0 |
Realized credit losses | 4,459 | 7,504 |
Purchases | 0 | 0 |
Sales/Redemptions | 49,491 | 3,191 |
Net impairment losses recognized in earnings | (11,513) | 0 |
Transfers/release of credit reserve | 4,689 | 3,802 |
Balance at end of period | (389,472) | (501,619) |
Accretable Discount | Non-Agency MBS | ||
Changes in the components of the purchase discount on Non-Agency MBS | ||
Balance at beginning of period | (90,617) | (155,025) |
Impact of RMBS Issuer Settlement | 0 | (855) |
Accretion of discount | 9,889 | 13,307 |
Realized credit losses | 0 | 0 |
Purchases | 0 | (118) |
Sales/Redemptions | (5,551) | 16,346 |
Net impairment losses recognized in earnings | 0 | 0 |
Transfers/release of credit reserve | (4,689) | (3,802) |
Balance at end of period | $ (90,968) | (130,147) |
Jp Morgan Chase | ||
Changes in the components of the purchase discount on Non-Agency MBS | ||
Proceeds from legal settlements | $ 855 |
Residential Mortgage Securiti_8
Residential Mortgage Securities and MSR-Related Assets (Credit Losses Rollforward) (Details) - Mortgage-backed Securities, Issued by US Government Sponsored Enterprises - USD ($) | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Line Items] | ||
Allowance for credit losses at beginning of period | $ 0 | $ 0 |
Securities with no prior loss allowance | 332,756,000 | 0 |
Securities with a prior loss allowance | 0 | 0 |
Write-offs, including allowance related to securities we intend to sell | (332,756,000) | 0 |
Allowance for credit losses at end of period | $ 0 | $ 0 |
Residential Mortgage Securiti_9
Residential Mortgage Securities and MSR-Related Assets (MSR Related Assets - Narrative) (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | Dec. 31, 2018 | |
Term notes backed by MSR-related collateral | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Term notes backed by MSR related collateral | $ 706,608,000 | $ 1,157,463,000 | ||
Amortized costs | $ 706,600,000 | 1,200,000,000 | ||
Weighted average yield | 4.74% | 4.75% | ||
Weighted average to maturity | 5 years 1 month 6 days | 5 years 3 months 18 days | ||
Proceeds from sale of MSR | $ 136,800,000 | |||
Realized losses | (24,600,000) | |||
Impairment | 280,800,000 | |||
Gross unrealized gains | $ 5,200,000 | |||
Corporate Loan | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Commitment to lend | $ 100,000,000 | |||
Amount drawn | $ 33,800,000 | |||
Interest coupon rate | 3.93% | |||
Debt term | 5 months | |||
Commitment period on undrawn amount | 5 months | |||
Minimum | Corporate Loan | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Commitment fee on undrawn amount | 0.25% | |||
Maximum | Corporate Loan | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Commitment fee on undrawn amount | 1.00% |
Residential Mortgage Securit_10
Residential Mortgage Securities and MSR-Related Assets (Impact of AFS Securities on AOCI) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
AOCI from AFS Securities: | ||
Unrealized gain on AFS securities at beginning of period | $ 392,722 | $ 417,167 |
Unrealized (loss)/gain on AFS securities, net | 124,410 | 22,103 |
Reclassification adjustment for MBS sales included in net income | (23,953) | (17,009) |
Reclassification adjustment for impairment included in net income | (344,269) | 0 |
Change in AOCI from AFS securities | (243,812) | 5,094 |
Balance at end of period | 148,910 | 422,261 |
Agency MBS | ||
AOCI from AFS Securities: | ||
Unrealized (loss)/gain on AFS securities, net | 4,876 | 9,315 |
Non-Agency MBS | ||
AOCI from AFS Securities: | ||
Unrealized (loss)/gain on AFS securities, net | 124,700 | 12,276 |
MSR-related assets | ||
AOCI from AFS Securities: | ||
Unrealized (loss)/gain on AFS securities, net | $ (5,166) | $ 512 |
Residential Mortgage Securit_11
Residential Mortgage Securities and MSR-Related Assets (Interest Income) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon interest | $ 13,636 | $ 24,628 |
Effective yield adjustment | (4,775) | (6,187) |
Interest income | 8,861 | 18,441 |
Legacy Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon interest | 17,282 | 24,272 |
Effective yield adjustment | 9,406 | 13,144 |
Interest income | 26,688 | 37,416 |
RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon interest | 5,583 | 16,443 |
Effective yield adjustment | 280 | 142 |
Interest income | 5,863 | 16,585 |
Accretion Income | 277 | 148 |
CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon interest | 3,485 | 6,118 |
Effective yield adjustment | (523) | 82 |
Interest income | 2,962 | 6,200 |
MSR-related assets | ||
Debt Securities, Available-for-sale [Line Items] | ||
Coupon interest | 14,207 | 10,619 |
Effective yield adjustment | 0 | 1 |
Interest income | $ 14,207 | $ 10,620 |
Other Assets (Details)
Other Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Dec. 31, 2018 |
Other Assets [Abstract] | ||||
REO | $ 411,473 | $ 411,659 | $ 290,587 | $ 249,413 |
Receivable for unsettled MBS sales | 392,597 | 0 | ||
Capital contributions made to loan origination partners | 113,923 | 147,992 | ||
Other interest-earning assets | 73,443 | 70,468 | ||
Interest receivable | 65,977 | 70,986 | ||
Other MBS and loan related receivables | 55,789 | 43,842 | ||
Other | 58,437 | 39,304 | ||
Total Other Assets | 1,171,639 | 784,251 | ||
Real estate held-for-investment | $ 39,500 | $ 27,300 |
Other Assets (Real Estate Owned
Other Assets (Real Estate Owned) (Details) $ in Thousands | Mar. 31, 2020USD ($)property | Dec. 31, 2019USD ($)property | Mar. 31, 2019USD ($)property | Dec. 31, 2018USD ($) |
Real Estate Properties [Line Items] | ||||
Number of real estate owned properties | property | 1,622 | 1,652 | 1,233 | |
Real estate owned | $ 411,473 | $ 411,659 | $ 290,587 | $ 249,413 |
Residential Whole Loans acquired through foreclosure ordered in lieu | 406,900 | |||
Carrying Value | ||||
Real Estate Properties [Line Items] | ||||
Mortgage loans in process of foreclosure | 98,200 | |||
Estimated Fair Value | ||||
Real Estate Properties [Line Items] | ||||
Mortgage loans in process of foreclosure | $ 514,400 |
Other Assets (Real Estate Own_2
Other Assets (Real Estate Owned - Activity) (Details) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020USD ($)property | Mar. 31, 2019USD ($)property | Dec. 31, 2019property | |
Real Estate Owned [Roll Forward] | |||
Balance at beginning of period | $ 411,659 | $ 249,413 | |
Adjustments to record at lower of cost or fair value | (4,750) | (4,072) | |
Transfer from residential whole loans | 50,693 | 65,160 | |
Purchases and capital improvements, net | 5,606 | 5,923 | |
Disposals | (51,735) | (25,837) | |
Balance at end of period | $ 411,473 | $ 290,587 | |
Number of properties | property | 1,622 | 1,233 | 1,652 |
Gain recorded on transfer from residential whole loans to real estate owned | $ 3,000 | $ 4,600 | |
Properties sold during period | property | 249 | 137 | |
Proceeds from sale of real estate | $ 54,800 | $ 27,800 | |
Gain on sales of real estate owned | $ 3,107 | $ 1,398 |
Other Assets (Capital Contribut
Other Assets (Capital Contributions Made to Loan Origination Partners) (Details) - Loan Originators $ in Millions | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Other Assets [Line Items] | |
Equity method investments | $ 28.5 |
Equity investment, convertible notes | 75 |
Impairment on investment | 58.1 |
Company’s residential whole loans at carrying value are serviced by entities the Company has an investment in | 2,000 |
Preferred Stock | |
Other Assets [Line Items] | |
Equity method investments | $ 69.4 |
Other Assets (Derivative Instru
Other Assets (Derivative Instruments Narrative) (Details ) $ in Millions | 3 Months Ended |
Mar. 31, 2020USD ($) | |
Derivative [Line Items] | |
Derivative, terminated amount | $ 4,100 |
Cash flow hedges that are expected to be reclassified into earnings within the next 12 months | $ 44.5 |
Swap | |
Derivative [Line Items] | |
Derivative, term | 20 months |
Swap | Hedging | |
Derivative [Line Items] | |
Loss on derivative | $ (71.2) |
Other Assets (Derivative Inst_2
Other Assets (Derivative Instruments - Balance Sheet Location) (Details) - Swap - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Hedging | ||
Derivative Instruments | ||
Notional Amount | $ 0 | $ 2,942,000 |
Fair Value | 0 | 0 |
Non-Hedging | ||
Derivative Instruments | ||
Notional Amount | 0 | 230,000 |
Fair Value | $ 0 | $ 0 |
Other Assets (Derivative Inst_3
Other Assets (Derivative Instruments) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
AOCI from derivative hedging instruments: | |||
Balance at beginning of period | $ (22,675) | $ 3,121 | |
Net loss on Swaps | (50,127) | (10,445) | |
Amortization of de-designated hedging instruments, net | 1,594 | (341) | |
Balance at end of period | (71,208) | (7,665) | |
Interest Rate Contract | |||
Derivative [Line Items] | |||
Assets pledged | 0 | $ 19,018 | |
Swaps, at fair value | |||
Derivative [Line Items] | |||
Aggregate notional amount of derivatives | $ 0 | $ 3,172,000 | |
Weighted average fixed-pay rate | 0.00% | 2.24% | |
Weighted Average Variable Interest Rate | 0.00% | 1.81% | |
Interest (expense)/income attributable to Swaps | $ (3,359) | $ 1,191 | |
Weighted average Swap rate paid | 2.09% | 2.31% | |
Weighted average Swap rate received | 1.65% | 2.49% | |
Swaps, at fair value | Over 3 months to 6 months | |||
Derivative [Line Items] | |||
Aggregate notional amount of derivatives | $ 0 | $ 200,000 | |
Weighted average fixed-pay rate | 0.00% | 2.05% | |
Weighted Average Variable Interest Rate | 0.00% | 1.70% | |
Swaps, at fair value | Over 6 months to 12 months | |||
Derivative [Line Items] | |||
Aggregate notional amount of derivatives | $ 0 | $ 1,430,000 | |
Weighted average fixed-pay rate | 0.00% | 2.30% | |
Weighted Average Variable Interest Rate | 0.00% | 1.77% | |
Swaps, at fair value | Over 12 months to 24 months | |||
Derivative [Line Items] | |||
Aggregate notional amount of derivatives | $ 0 | $ 1,300,000 | |
Weighted average fixed-pay rate | 0.00% | 2.11% | |
Weighted Average Variable Interest Rate | 0.00% | 1.86% | |
Swaps, at fair value | Over 24 months to 36 months | |||
Derivative [Line Items] | |||
Aggregate notional amount of derivatives | $ 0 | $ 20,000 | |
Weighted average fixed-pay rate | 0.00% | 1.38% | |
Weighted Average Variable Interest Rate | 0.00% | 1.90% | |
Swaps, at fair value | Over 36 months to 48 months | |||
Derivative [Line Items] | |||
Aggregate notional amount of derivatives | $ 0 | $ 222,000 | |
Weighted average fixed-pay rate | 0.00% | 2.88% | |
Weighted Average Variable Interest Rate | 0.00% | 1.84% | |
Swaps, at fair value | Minimum | LIBOR | |||
Derivative [Line Items] | |||
Derivative, variable interest rate, term | 1 month | ||
Swaps, at fair value | Maximum | LIBOR | |||
Derivative [Line Items] | |||
Derivative, variable interest rate, term | 3 months | ||
Agency MBS, at fair value | Interest Rate Contract | |||
Derivative [Line Items] | |||
Assets pledged | $ 0 | $ 2,241 | |
Restricted cash | Interest Rate Contract | |||
Derivative [Line Items] | |||
Assets pledged | 0 | $ 16,777 | |
Swap | Hedging | |||
Derivative [Line Items] | |||
Loss on derivative | 71,200 | ||
Swap | Non-Hedging | |||
Derivative [Line Items] | |||
Loss on derivative | 4,300 | $ 8,900 | |
Realized loss | $ 9,400 | $ 7,800 |
Repurchase Agreements (Borrowin
Repurchase Agreements (Borrowings Under Repurchase Agreement And Associated Assets Pledged as Collateral) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance of repurchase agreements | $ 7,768,180 | $ 9,139,821 | |
Fair value of securities pledged as collateral under repurchase agreements | 9,000,000 | 11,300,000 | |
Total Fair Value of Assets Pledged and Accrued Interest | 56,000 | 57,200 | |
Residential whole loans | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance of repurchase agreements | 4,700,931 | 4,743,094 | |
Fair value of securities pledged as collateral under repurchase agreements | $ 5,665,277 | $ 5,986,267 | |
Weighted average haircut (percent) | 19.17% | 20.07% | |
Agency MBS | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance of repurchase agreements | $ 522,209 | $ 1,557,675 | |
Fair value of securities pledged as collateral under repurchase agreements | $ 568,704 | $ 1,656,373 | |
Weighted average haircut (percent) | 4.99% | 4.46% | |
Non-Agency MBS | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance of repurchase agreements | $ 1,003,122 | $ 1,121,802 | |
Fair value of securities pledged as collateral under repurchase agreements | $ 1,088,549 | $ 1,420,797 | |
Weighted average haircut (percent) | 21.60% | 20.27% | |
RPL/NPL MBS | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance of repurchase agreements | $ 255,409 | $ 495,091 | |
Fair value of securities pledged as collateral under repurchase agreements | $ 243,125 | $ 635,005 | |
Weighted average haircut (percent) | 20.30% | 21.52% | |
CRT securities | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance of repurchase agreements | $ 297,628 | $ 203,569 | |
Fair value of securities pledged as collateral under repurchase agreements | $ 263,225 | $ 252,175 | |
Weighted average haircut (percent) | 20.89% | 18.84% | |
MSR-related assets | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance of repurchase agreements | $ 929,915 | $ 962,515 | |
Fair value of securities pledged as collateral under repurchase agreements | $ 877,204 | $ 1,217,002 | |
Weighted average haircut (percent) | 22.11% | 21.18% | |
Other Interest Earning Assets | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Balance of repurchase agreements | $ 59,777 | $ 57,198 | |
Fair value of securities pledged as collateral under repurchase agreements | $ 71,837 | $ 61,708 | |
Weighted average haircut (percent) | 21.88% | 22.01% | |
Repurchase Agreement Borrowings | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Weighted average remaining term-to-interest rate reset of borrowings under repurchase agreements, days | 28 days | 40 days | |
Effective repricing period, months | 11 months | 10 months | |
Balance of repurchase agreements | $ 7,768,991 | $ 9,140,944 | |
Unamortized debt issuance expense | 811 | 1,123 | |
Loan Securitization | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Fair value of securities pledged as collateral under repurchase agreements | 193,900 | 238,800 | |
Residential Loans At Fair Value | |||
Assets Sold under Agreements to Repurchase [Line Items] | |||
Fair Value | 4,800,000 | 5,000,000 | |
Amortized Cost | 5,100,000 | 4,800,000 | |
Total Fair Value of Assets Pledged and Accrued Interest | $ 718,300 | $ 794,700 |
Repurchase Agreements (Narrativ
Repurchase Agreements (Narrative) (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
MSR Asset Financing | ||
Repurchase agreements counterparty risk | ||
Cash collateral pledged | $ 213.1 | $ 25.2 |
Repurchase Agreements (Borrow_2
Repurchase Agreements (Borrowings Under Repurchase Agreement) (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 7,768,180 | $ 9,139,821 |
Repurchase Agreement Borrowings | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 7,768,991 | $ 9,140,944 |
Weighted Average Interest Rate | 3.14% | 2.99% |
Less debt issuance costs | $ 811 | $ 1,123 |
Total repurchase agreements less debt issuance costs | 7,768,180 | 9,139,821 |
Repurchase Agreement Borrowings | Within 30 days | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 2,504,628 | $ 4,472,120 |
Weighted Average Interest Rate | 1.96% | 2.55% |
Repurchase Agreement Borrowings | Over 30 days to 3 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 2,993,905 | $ 2,746,384 |
Weighted Average Interest Rate | 2.96% | 3.43% |
Repurchase Agreement Borrowings | Over 3 months to 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 1,392,318 | $ 1,014,441 |
Weighted Average Interest Rate | 4.06% | 3.36% |
Repurchase Agreement Borrowings | Over 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 878,140 | $ 907,999 |
Weighted Average Interest Rate | 5.65% | 3.44% |
Repurchase Agreements (Undrawn
Repurchase Agreements (Undrawn Financing Commitment) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | ||
Repurchase agreements | $ 7,768,180 | $ 9,139,821 |
MSR Asset Financing | ||
Debt Instrument [Line Items] | ||
Repurchase agreement, borrowing commitment | 75,000 | |
Repurchase agreements | $ 25,400 | |
MSR Asset Financing | Minimum | ||
Debt Instrument [Line Items] | ||
Commitment fee | 0.125% | |
MSR Asset Financing | Maximum | ||
Debt Instrument [Line Items] | ||
Commitment fee | 0.50% |
Repurchase Agreements (Counterp
Repurchase Agreements (Counterparty for Repurchase Agreement) (Details) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020USD ($)counterparty | Dec. 31, 2019counterparty | |
Repurchase agreements counterparty risk | ||
Number of counterparties | counterparty | 26 | 28 |
Threshold of stockholders' equity at risk with single counterparty to repurchase agreements or linked transactions (greater than) (percent) | 5.00% | |
Credit Suisse | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 421,642 | |
Weighted Average Months to Maturity for Repurchase Agreements (3) | 2 months | |
Percent of Stockholders’ Equity | 17.30% | |
Credit Suisse | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 369,000 | |
Credit Suisse Cayman | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | 52,600 | |
Goldman Sachs | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 256,550 | |
Weighted Average Months to Maturity for Repurchase Agreements (3) | 5 months | |
Percent of Stockholders’ Equity | 10.50% | |
Goldman Sachs Lending Partners | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 118,100 | |
Goldman Sachs Bank USA | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | 138,400 | |
Wells Fargo | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 246,865 | |
Weighted Average Months to Maturity for Repurchase Agreements (3) | 16 months | |
Percent of Stockholders’ Equity | 10.10% | |
Wells Fargo Bank, NA | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 240,900 | |
Wells Fargo Securities LLC | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | 6,000 | |
Barclay's Bank | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 386,620 | |
Weighted Average Months to Maturity for Repurchase Agreements (3) | 2 months | |
Percent of Stockholders’ Equity | 15.80% |
Collateral Positions (Details)
Collateral Positions (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Collateral Positions | ||
Fair value of securities pledged as collateral under repurchase agreements | $ 9,000 | $ 11,300 |
Accrued interest on assets | $ 56 | $ 57.2 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Narrative) (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 |
Offsetting [Abstract] | ||
Fair value of financial instruments pledged against the repurchase agreements and other advances | $ 8,800 | $ 11,200 |
Fair value of securities pledged against the swaps | $ 2.2 |
Other Liabilities (Details)
Other Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 |
Other Liabilities [Abstract] | ||
Securitized debt | $ 533,733 | $ 570,952 |
Convertible Senior Notes | 224,264 | 223,971 |
Senior Notes | 96,874 | 96,862 |
Dividends and dividend equivalents payable | 0 | 90,749 |
Accrued interest payable | 21,840 | 18,238 |
Accrued expenses and other | 44,771 | 42,819 |
Total Other Liabilities | $ 921,482 | $ 1,043,591 |
Other Liabilities (Convertible
Other Liabilities (Convertible Senior Notes) (Details) | Jun. 03, 2019USD ($)$ / shares |
Convertible Debt | |
Debt Instrument [Line Items] | |
Proceeds from issuance of Series C Preferred Stock | $ 230,000,000 |
Proceed from debt net of offering expenses and underwriting discount | $ 223,300,000 |
Stated interest rate | 6.25% |
Conversion ratio | 125.7387 |
Debt instrument, face amount | $ 1,000 |
Conversion price | $ / shares | $ 7.95 |
Effective interest rate | 6.94% |
Additional Convertible Senior Notes | |
Debt Instrument [Line Items] | |
Proceeds from issuance of Series C Preferred Stock | $ 30,000,000 |
Other Liabilities (Senior Notes
Other Liabilities (Senior Notes) (Details) - Senior Notes | Apr. 11, 2012 | Apr. 11, 2012USD ($) |
Debt Instrument [Line Items] | ||
Proceeds from issuance of debt | $ 100,000,000 | |
Proceed from debt net of offering expenses and underwriting discount | $ 96,600,000 | |
Stated interest rate | 8.00% | 8.00% |
Effective interest rate | 8.31% | 8.31% |
Redemption price as percentage of principal amount | 100.00% |
Commitments and Contingencies (
Commitments and Contingencies (Lease Commitments) (Details) $ in Thousands | 3 Months Ended |
Mar. 31, 2020USD ($)lease | |
Lease Commitments | |
Number of operating leases | lease | 3 |
Corporate headquarters | |
Lease Commitments | |
Lease cost | $ 666 |
New Corporate Headquarters Location | |
Lease Commitments | |
Lease term | 15 years |
Renewal term | 5 years |
Lease liability | $ 4,600 |
Commitments and Contingencies_2
Commitments and Contingencies (Representations and Warranties in Connection with Loan Securitization Transactions) (Details) | Mar. 31, 2020USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Repurchase loans allowance | $ 0 |
Commitments and Contingencies_3
Commitments and Contingencies (Corporate Loans) (Details) - Corporate Loans and Other $ in Millions | Mar. 31, 2020USD ($) |
Other Commitments [Line Items] | |
Commitment to lend | $ 150 |
Amount drawn | $ 108.8 |
Commitments and Contingencies_4
Commitments and Contingencies (Rehabilitation Loan Commitments) (Details) $ in Millions | Mar. 31, 2020USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Unfunded commitment for rehabilitation loans | $ 123.1 |
Stockholders' Equity (Narrative
Stockholders' Equity (Narrative) (Details) | Mar. 11, 2020$ / shares | Mar. 02, 2020USD ($) | Feb. 28, 2020$ / sharesshares | Feb. 14, 2020$ / shares | Apr. 15, 2013$ / sharesshares | Mar. 31, 2020USD ($)directorquarter$ / sharesshares | Mar. 31, 2020USD ($)directorquarter$ / sharesshares | Mar. 31, 2019USD ($)$ / shares | Mar. 31, 2020USD ($)$ / sharesshares | Dec. 31, 2019$ / sharesshares | Oct. 15, 2019shares | Aug. 16, 2019USD ($) | Dec. 31, 2013shares | Aug. 31, 2005shares |
Stockholders' Equity | ||||||||||||||
Common stock, cash dividends declared (in dollars per share) | $ / shares | $ 0.20 | $ 0.20 | ||||||||||||
Proceeds from issuance of redeemable preferred stock | $ | $ 275,000,000 | $ 0 | ||||||||||||
Dividends and dividend equivalents declared and unpaid | $ | $ 0 | $ 0 | $ 90,353,000 | $ 0 | ||||||||||
Aggregate number of shares of common stock authorized (in shares) | shares | 874,300,000 | 874,300,000 | 874,300,000 | 886,950,000 | ||||||||||
Number of shares authorized to be repurchased under the Repurchase Program (in shares) | shares | 10,000,000 | 4,000,000 | ||||||||||||
Number of remaining shares authorized to be repurchased under the Repurchase Program (in shares) | shares | 6,616,355 | 6,616,355 | 6,616,355 | |||||||||||
DRSPP | ||||||||||||||
Stockholders' Equity | ||||||||||||||
Aggregate number of shares of common stock authorized (in shares) | shares | 9,000,000 | |||||||||||||
Shares of common stock authorized and available for issuance (in shares) | shares | 8,800,000 | 8,800,000 | 8,800,000 | |||||||||||
Common shares issued through DRSPP (in shares) | shares | 106,949 | 34,485,717 | ||||||||||||
Net proceeds from shares issued through DRSPP | $ | $ 691,979 | $ 287,300,000 | ||||||||||||
Series B Preferred Stock | ||||||||||||||
Stockholders' Equity | ||||||||||||||
Preferred Stock, dividend rate | 7.50% | 7.50% | ||||||||||||
Preferred stock, shares issued | shares | 8,000,000 | 8,000,000 | 8,000,000 | 8,000,000 | ||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||
Dividend declared per share, preferred stock (in dollars per share) | $ / shares | $ 0.46875 | $ 0.46875 | ||||||||||||
Preferred Stock, Amount of Preferred Dividends in Arrears | $ | $ 3,800,000 | |||||||||||||
Preferred Stock, Per Share Amounts of Preferred Dividends in Arrears | $ / shares | $ 0.46875 | |||||||||||||
Series C Preferred Stock | ||||||||||||||
Stockholders' Equity | ||||||||||||||
Preferred Stock, dividend rate | 6.50% | |||||||||||||
Preferred stock, shares issued | shares | 11,000,000 | 11,000,000 | 11,000,000 | |||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||||
Preferred Stock, Amount of Preferred Dividends in Arrears | $ | $ 1,400,000 | |||||||||||||
Preferred Stock, Per Share Amounts of Preferred Dividends in Arrears | $ / shares | $ 0.12639 | |||||||||||||
Preferred Stock | Series B Preferred Stock | ||||||||||||||
Stockholders' Equity | ||||||||||||||
Preferred Stock, dividend rate | 7.50% | 7.50% | 7.50% | |||||||||||
Preferred stock, shares issued | shares | 8,000,000 | |||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | |||||||||||||
Preferred stock, liquidation preference (in dollars per share) | $ / shares | 25 | $ 25 | $ 25 | $ 25 | $ 25 | |||||||||
Preferred stock, redemption price (in dollars per share) | $ / shares | $ 25 | |||||||||||||
Maximum quarters without dividends to get voting rights, in quarters | quarter | 6 | |||||||||||||
Number of additional directors that can be elected by preferred stock holders | director | 2 | |||||||||||||
Minimum percentage of preferred shareholders required for approval (percent) | 66.67% | |||||||||||||
Preferred Stock | Series C Preferred Stock | ||||||||||||||
Stockholders' Equity | ||||||||||||||
Preferred Stock, dividend rate | 6.50% | |||||||||||||
Preferred stock, shares issued | shares | 11,000,000 | |||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | |||||||||||||
Preferred stock, liquidation preference (in dollars per share) | $ / shares | 25 | |||||||||||||
Preferred stock, redemption price (in dollars per share) | $ / shares | $ 25 | |||||||||||||
Maximum quarters without dividends to get voting rights, in quarters | quarter | 6 | |||||||||||||
Number of additional directors that can be elected by preferred stock holders | director | 2 | |||||||||||||
Shares reclassified to redeemable capital stock (in shares) | shares | 12,650,000 | |||||||||||||
Proceeds from issuance of redeemable preferred stock | $ | $ 266,000,000 | |||||||||||||
At The Market | ||||||||||||||
Stockholders' Equity | ||||||||||||||
At-the-market, maximum potential proceeds | $ | $ 400,000,000 | |||||||||||||
Number of shares issued (in shares) | shares | 0 | |||||||||||||
Value remaining outstanding for future offerings | $ | $ 390,000,000 | $ 390,000,000 | $ 390,000,000 | |||||||||||
LIBOR | Preferred Stock | Series C Preferred Stock | ||||||||||||||
Stockholders' Equity | ||||||||||||||
Debt instrument, basis spread on variable rate | 5.345% |
Stockholders' Equity (Accumulat
Stockholders' Equity (Accumulated Other Comprehensive Income/(Loss)) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Components of accumulated other comprehensive income/(loss) | ||
Balance | $ 3,383,952 | $ 3,416,101 |
OCI before reclassifications | 74,283 | |
Amounts reclassified from AOCI | (366,628) | (17,350) |
Other Comprehensive Income/(Loss) | (292,345) | (5,692) |
Balance | 2,440,675 | 3,404,531 |
Total AOCI | ||
Components of accumulated other comprehensive income/(loss) | ||
Balance | 370,047 | 420,288 |
OCI before reclassifications | 11,658 | |
Amounts reclassified from AOCI | (17,350) | |
Other Comprehensive Income/(Loss) | (5,692) | |
Balance | 77,702 | 414,596 |
Net Unrealized Gain/(Loss) on AFS Securities | ||
Components of accumulated other comprehensive income/(loss) | ||
Balance | 392,722 | 417,167 |
OCI before reclassifications | 124,410 | 22,103 |
Amounts reclassified from AOCI | (368,222) | (17,009) |
Other Comprehensive Income/(Loss) | (243,812) | 5,094 |
Balance | 148,910 | 422,261 |
Net (Loss)/Gain on Swaps | ||
Components of accumulated other comprehensive income/(loss) | ||
Balance | (22,675) | 3,121 |
OCI before reclassifications | (50,127) | (10,445) |
Amounts reclassified from AOCI | 1,594 | (341) |
Other Comprehensive Income/(Loss) | (48,533) | (10,786) |
Balance | $ (71,208) | $ (7,665) |
Stockholders' Equity (Amounts R
Stockholders' Equity (Amounts Reclassified out of AOCI) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Amounts Reclassified from AOCI | ||
Net (loss)/income to common stockholders - basic | $ (914,210) | $ 84,851 |
Total reclassifications for period | (366,628) | (17,350) |
Amounts Reclassified from AOCI | ||
Amounts Reclassified from AOCI | ||
Total reclassifications for period | 341 | |
Amounts Reclassified from AOCI | Accumulated Net Investment Gain (Loss) Including Portion Attributable to Noncontrolling Interest | ||
Amounts Reclassified from AOCI | ||
Realized gain on sale of securities | (23,953) | (17,009) |
Impairment recognized in earnings | (344,269) | |
Net (loss)/income to common stockholders - basic | (368,222) | $ (17,009) |
Total Swaps designated as cash flow hedges | $ 1,594 |
EPS Calculation (Details)
EPS Calculation (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Basic (Loss)/Earnings per Share: | ||
Net (loss)/income to common stockholders | $ (908,995) | $ 88,857 |
Dividends declared on preferred stock | (5,215) | (3,750) |
Dividends, dividend equivalents and undistributed earnings allocated to participating securities | 0 | (256) |
Net (loss)/income to common stockholders - basic | $ (914,210) | $ 84,851 |
Basic weighted average common shares outstanding (in shares) | 452,979 | 450,358 |
Basic (Loss)/Earnings per Share (usd per share) | $ (2.02) | $ 0.19 |
Diluted (Loss)/Earnings per Share: | ||
Net (loss)/income to common stockholders - basic | $ (914,210) | $ 84,851 |
Interest expense on Convertible Senior Notes | 0 | 0 |
Net (loss)/income to common stockholders - diluted | $ (914,210) | $ 84,851 |
Basic weighted average common shares outstanding (in shares) | 452,979 | 450,358 |
Effect of assumed Convertible Senior Notes conversion to common shares (in shares) | 0 | 0 |
Diluted weighted average common shares outstanding (in shares) | 452,979 | 450,358 |
Diluted EPS (usd per share) | $ (2.02) | $ 0.19 |
Anti-dilutive securities excluded from diluted earnings per share calculations (in shares) | 2,300 | |
RSUs | ||
Diluted (Loss)/Earnings per Share: | ||
Weighted average grant date fair value (in dollars per share) | $ 7.73 |
Equity Compensation, Employme_3
Equity Compensation, Employment Agreements and Other Benefit Plans (Narrative) (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2020 | Mar. 31, 2019 | Sep. 30, 2018 | Dec. 31, 2019 | |
Share based compensation | ||||
Maximum shares authorized for grant | 12,000,000 | |||
Shares available for grant (in shares) | 2,000,000 | |||
RSUs | ||||
Share based compensation | ||||
Awards granted (in shares) | 1,204,713 | 752,500 | 0 | |
Forfeitures (in shares) | 0 | 20,000 | ||
Unrecognized compensation cost | $ 11,800,000 | $ 5,500,000 | ||
Period for recognizing unrecognized compensation cost | 2 years 3 months 18 days | |||
Restricted shares of common stock | ||||
Share based compensation | ||||
Awards granted (in shares) | 0 | 0 | ||
Share-based awards outstanding (in shares) | 0 | |||
Dividend Equivalent Rights | ||||
Share based compensation | ||||
Equivalent rights payment | $ 276,000 | $ 241,000 | ||
Equity Compensation Plan | ||||
Share based compensation | ||||
Maximum number of common shares that can be granted to participant in any one year | 1,500,000 | |||
Period during which a participant can be awarded the maximum number of shares allowable under the Plan | 1 year | |||
Maximum percentage of common shares that can be owned or deemed to be owned by a participant (more than) | 9.80% |
Equity Compensation, Employme_4
Equity Compensation, Employment Agreements and Other Benefit Plans (Allocated Expense) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Share based compensation | ||
Allocated expense | $ 1,273 | $ 998 |
RSUs | ||
Share based compensation | ||
Allocated expense | $ 1,273 | $ 998 |
Equity Compensation, Employme_5
Equity Compensation, Employment Agreements and Other Benefit Plans (Details 2) | 3 Months Ended | ||
Mar. 31, 2020USD ($)officer | Mar. 31, 2019USD ($) | Dec. 31, 2019USD ($) | |
Deferred Compensation Activity | |||
Number of officers having employment agreements with the company | officer | 4 | ||
Deferred Compensation Plans | |||
Deferred Compensation Activity | |||
Deferrable compensation by the employee, maximum | 100.00% | ||
Non-employee directors | $ (1,906,000) | $ 286,000 | |
Undistributed Income Deferred | 1,881,000 | $ 2,349,000 | |
Liability Under Deferred Plans | 498,000 | 3,071,000 | |
Deferred Compensation Plans | Non-employee directors | |||
Deferred Compensation Activity | |||
Non-employee directors | (1,906,000) | 286,000 | |
Undistributed Income Deferred | 1,881,000 | 2,349,000 | |
Liability Under Deferred Plans | $ 498,000 | $ 3,071,000 | |
Savings Plan | |||
Deferred Compensation Activity | |||
Employer contribution percentage on first 3 percent of eligible compensation deferred by employees (percent) | 100.00% | ||
Percentage of eligible compensation deferred by employees qualifying for 100 percent matching contribution (percent) | 3.00% | ||
Employer contribution percentage on next 2 percent of eligible compensation deferred by employees (percent) | 50.00% | ||
Percentage of eligible compensation deferred by employees qualifying for 50 percent matching contribution (percent) | 2.00% | ||
Percentage of employer matching contributions that vest immediately (percent) | 100.00% | ||
Expenses for matching contributions | $ 120,000 | $ 104,000 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments (Fair Value Hierarchy) (Details) - USD ($) | Mar. 31, 2020 | Dec. 31, 2019 | |
Assets: | |||
Residential whole loans, at fair value | [1] | $ 1,243,792,000 | $ 1,381,583,000 |
Available-for-sale securities | 1,927,454,000 | 3,983,519,000 | |
Total assets carried at fair value | 3,877,854,000 | 6,522,565,000 | |
Residential whole loans, at fair value | |||
Assets: | |||
Residential whole loans, at fair value | 1,243,792,000 | 1,381,583,000 | |
Non-Agency MBS | |||
Assets: | |||
Available-for-sale securities | 1,119,940,000 | 2,063,529,000 | |
Agency MBS | |||
Assets: | |||
Available-for-sale securities | 553,413,000 | 1,664,582,000 | |
CRT securities | |||
Assets: | |||
Available-for-sale securities | 254,101,000 | 255,408,000 | |
Term notes backed by MSR-related collateral | |||
Assets: | |||
Term notes backed by MSR related collateral | 706,608,000 | 1,157,463,000 | |
Level 1 | |||
Assets: | |||
Total assets carried at fair value | 0 | 0 | |
Level 1 | Residential whole loans, at fair value | |||
Assets: | |||
Residential whole loans, at fair value | 0 | 0 | |
Level 1 | Non-Agency MBS | |||
Assets: | |||
Available-for-sale securities | 0 | 0 | |
Level 1 | Agency MBS | |||
Assets: | |||
Available-for-sale securities | 0 | 0 | |
Level 1 | CRT securities | |||
Assets: | |||
Available-for-sale securities | 0 | 0 | |
Level 1 | Term notes backed by MSR-related collateral | |||
Assets: | |||
Term notes backed by MSR related collateral | 0 | 0 | |
Level 2 | |||
Components of financial instruments carried at fair value | |||
Credit valuation adjustment to derivative liabilities | 0 | ||
Credit valuation adjustment to derivative assets | 0 | ||
Assets: | |||
Total assets carried at fair value | 2,634,062,000 | 5,140,982,000 | |
Level 2 | Residential whole loans, at fair value | |||
Assets: | |||
Residential whole loans, at fair value | 0 | 0 | |
Level 2 | Non-Agency MBS | |||
Assets: | |||
Available-for-sale securities | 1,119,940,000 | 2,063,529,000 | |
Level 2 | Agency MBS | |||
Assets: | |||
Available-for-sale securities | 553,413,000 | 1,664,582,000 | |
Level 2 | CRT securities | |||
Assets: | |||
Available-for-sale securities | 254,101,000 | 255,408,000 | |
Level 2 | Term notes backed by MSR-related collateral | |||
Assets: | |||
Term notes backed by MSR related collateral | 706,608,000 | 1,157,463,000 | |
Level 3 | |||
Assets: | |||
Total assets carried at fair value | 1,243,792,000 | 1,381,583,000 | |
Level 3 | Residential whole loans, at fair value | |||
Assets: | |||
Residential whole loans, at fair value | 1,243,792,000 | 1,381,583,000 | |
Level 3 | Non-Agency MBS | |||
Assets: | |||
Available-for-sale securities | 0 | 0 | |
Level 3 | Agency MBS | |||
Assets: | |||
Available-for-sale securities | 0 | 0 | |
Level 3 | CRT securities | |||
Assets: | |||
Available-for-sale securities | 0 | 0 | |
Level 3 | Term notes backed by MSR-related collateral | |||
Assets: | |||
Term notes backed by MSR related collateral | $ 0 | $ 0 | |
[1] | Includes approximately $185.9 million and $186.4 million of Residential whole loans, at carrying value and $516.4 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2020 and December 31, 2019 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments (Level 3 Assets) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2020 | Mar. 31, 2019 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Residential whole loans held at fair value for which the closing price of the purchase transaction had not occurred | $ 70,600 | |
Recurring basis | Level 3 | Residential Whole Loans, at Fair Value | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at beginning of period | $ 1,381,583 | 1,471,263 |
Purchases and capitalized advances | 3,520 | 130,089 |
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings | (74,556) | (1,060) |
Collection of principal, net of liquidation gains/(losses) | (23,805) | (31,751) |
Repurchases | (305) | (318) |
Transfer to REO | (42,645) | (55,886) |
Balance at end of period | $ 1,243,792 | 1,512,337 |
Recurring basis | Level 3 | Term Notes Backed by MSR-Related Collateral | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at beginning of period | 538,499 | |
Purchases and capitalized advances | 219,166 | |
Collection of principal, net of liquidation gains/(losses) | (4,584) | |
Changes in unrealized gain/(losses) | 513 | |
Transfer to Level 3 | 0 | |
Balance at end of period | $ 753,594 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments (Fair Value Methodology) (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2020USD ($) | Mar. 31, 2019USD ($) | Dec. 31, 2019USD ($) | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Residential whole loans, at fair value | $ 1,243,542 | $ 1,381,113 | |
Purchases excluded from level 2 fair value | 250 | 470 | |
Discounted cash flow | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Residential whole loans, at fair value | 745,726 | 829,842 | |
Liquidation model | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Residential whole loans, at fair value | 497,816 | 551,271 | |
Simple average amount | $ 368 | $ 365 | |
Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Annual change in home prices | (0.50%) | 2.40% | |
Liquidation timeline (in years) | 1 month 6 days | 1 month 6 days | |
Current value of underlying properties | $ 5 | $ 10 | |
Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Annual change in home prices | 6.90% | 8.00% | |
Liquidation timeline (in years) | 4 years 9 months 18 days | 4 years 6 months | |
Current value of underlying properties | $ 4,500 | $ 4,500 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.051 | 0.038 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.097 | 0.080 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.056 | 0.042 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.062 | 0.065 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.500 | 0.500 | |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.086 | 0.080 | |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.001 | 0.007 | |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.199 | 0.180 | |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.052 | 0.045 | |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Annual change in home prices | 2.50% | 3.70% | |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0 | 0 | |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.235 | 0.230 | |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.039 | 0.040 | |
Default rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Liquidation timeline (in years) | 1 year 10 months 24 days | 1 year 9 months 18 days | |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0 | 0 | |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 1 | 1 | |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Measurement input | 0.130 | 0.129 | |
Loss severity | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Current value of underlying properties | $ 709 | $ 684 |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments (Carrying Value vs Fair Value) (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Financial Assets: | |||
Residential whole loans, carrying value | [1],[2] | $ 5,934,042 | $ 6,069,370 |
Residential whole loans, at fair value | [2] | 1,243,792 | 1,381,583 |
Available-for-sale securities | 1,927,454 | 3,983,519 | |
MSR-related assets | 738,054 | 1,217,002 | |
Restricted cash | 216,902 | 64,035 | |
Financial Liabilities (3): | |||
Repurchase agreements | 7,768,180 | 9,139,821 | |
Securitized debt | 533,733 | 570,952 | |
Convertible Senior Notes | 224,264 | 223,971 | |
Senior Notes | 96,874 | 96,862 | |
Carrying Value | |||
Financial Assets: | |||
MSR-related assets | 738,054 | 1,217,002 | |
Cash and cash equivalents | 116,465 | 70,629 | |
Restricted cash | 216,902 | 64,035 | |
Financial Liabilities (3): | |||
Repurchase agreements | 7,768,180 | 9,139,821 | |
Securitized debt | 533,733 | 570,952 | |
Convertible Senior Notes | 224,264 | 223,971 | |
Senior Notes | 96,874 | 96,862 | |
Estimated Fair Value | |||
Financial Assets: | |||
MSR-related assets | 738,054 | 1,217,002 | |
Cash and cash equivalents | 116,465 | 70,629 | |
Restricted cash | 216,902 | 64,035 | |
Financial Liabilities (3): | |||
Repurchase agreements | 7,786,911 | 9,156,209 | |
Securitized debt | 481,808 | 575,353 | |
Convertible Senior Notes | 135,700 | 244,088 | |
Senior Notes | 46,551 | 103,231 | |
Agency MBS | |||
Financial Assets: | |||
Available-for-sale securities | 553,413 | 1,664,582 | |
Financial Liabilities (3): | |||
Repurchase agreements | 522,209 | 1,557,675 | |
Agency MBS | Carrying Value | |||
Financial Assets: | |||
Available-for-sale securities | 553,413 | 1,664,582 | |
Agency MBS | Estimated Fair Value | |||
Financial Assets: | |||
Available-for-sale securities | 553,413 | 1,664,582 | |
Non-Agency MBS | |||
Financial Assets: | |||
Available-for-sale securities | 1,119,940 | 2,063,529 | |
Financial Liabilities (3): | |||
Repurchase agreements | 1,003,122 | 1,121,802 | |
Non-Agency MBS | Carrying Value | |||
Financial Assets: | |||
Available-for-sale securities | 1,119,940 | 2,063,529 | |
Non-Agency MBS | Estimated Fair Value | |||
Financial Assets: | |||
Available-for-sale securities | 1,119,940 | 2,063,529 | |
CRT securities | |||
Financial Assets: | |||
Available-for-sale securities | 254,101 | 255,408 | |
Financial Liabilities (3): | |||
Repurchase agreements | 297,628 | 203,569 | |
CRT securities | Carrying Value | |||
Financial Assets: | |||
Available-for-sale securities | 254,101 | 255,408 | |
CRT securities | Estimated Fair Value | |||
Financial Assets: | |||
Available-for-sale securities | 254,101 | 255,408 | |
Residential whole loans, at fair value | |||
Financial Assets: | |||
Residential whole loans, at fair value | 1,243,792 | 1,381,583 | |
Financial Liabilities (3): | |||
Repurchase agreements | 4,700,931 | 4,743,094 | |
Residential whole loans, at fair value | Carrying Value | |||
Financial Assets: | |||
Residential whole loans, carrying value | 5,716,031 | 6,069,370 | |
Residential whole loans, at fair value | 1,243,792 | 1,381,583 | |
Residential whole loans, at fair value | Estimated Fair Value | |||
Financial Assets: | |||
Residential whole loans, carrying value | 5,602,536 | 6,248,745 | |
Residential whole loans, at fair value | 1,243,792 | 1,381,583 | |
Non-QM Loans | |||
Financial Liabilities (3): | |||
Loans net carrying amount | [1],[2] | 895,300 | |
Level 3 | Agency MBS | |||
Financial Assets: | |||
Available-for-sale securities | 0 | 0 | |
Level 3 | Non-Agency MBS | |||
Financial Assets: | |||
Available-for-sale securities | 0 | 0 | |
Level 3 | CRT securities | |||
Financial Assets: | |||
Available-for-sale securities | 0 | 0 | |
Level 3 | Residential whole loans, at fair value | |||
Financial Assets: | |||
Residential whole loans, at fair value | 1,243,792 | 1,381,583 | |
Fair Value, Nonrecurring | Carrying Value | |||
Financial Assets: | |||
MSR-related assets | $ 31,400 | $ 59,500 | |
[1] | Includes Non-QM loans held-for-sale with an amortized cost of $965.5 million and a net carrying value of $895.3 million at March 31, 2020 . | ||
[2] | Includes approximately $185.9 million and $186.4 million of Residential whole loans, at carrying value and $516.4 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2020 and December 31, 2019 |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments (Narrative) (Details) - USD ($) $ in Millions | Mar. 31, 2020 | Dec. 31, 2019 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Other real estate, fair value | $ 50.7 | $ 65.2 | |
Non-QM Loans | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Loans net carrying amount | [1],[2] | $ 895.3 | |
[1] | Includes Non-QM loans held-for-sale with an amortized cost of $965.5 million and a net carrying value of $895.3 million at March 31, 2020 . | ||
[2] | Includes approximately $185.9 million and $186.4 million of Residential whole loans, at carrying value and $516.4 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2020 and December 31, 2019 |
Use of Special Purpose Entiti_3
Use of Special Purpose Entities and Variable Interest Entities (Loan Securitization Transaction) (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2020 | Mar. 31, 2019 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | |||
Outstanding amount of Senior Bonds | $ 533,733 | $ 570,952 | |
Asset-backed Securities, Securitized Loans and Receivables | |||
Variable Interest Entity [Line Items] | |||
Aggregate fair value | 1,290,029 | 1,290,029 | |
Outstanding amount of Senior Bonds | $ 533,733 | $ 570,952 | |
Weighted average interest rate | 3.68% | 3.68% | |
Weighted average contractual maturity of Senior Bonds | 29 years | 30 years | |
Cash received | $ 802,815 | $ 802,815 | |
Debt issuance cost | 2,700 | $ 2,900 | |
Senior Notes | Asset-backed Securities, Securitized Loans and Receivables | |||
Variable Interest Entity [Line Items] | |||
Principal amount of Securitized debt | 802,817 | 802,817 | |
Proceeds from Senior bond sold with Step up feature | $ 459,600 | $ 493,200 | |
Debt instrument, basis spread on variable rate | 3.00% | ||
Debt instrument, coupon step-up period | 36 months | ||
Senior Support Certificates | Asset-backed Securities, Securitized Loans and Receivables | |||
Variable Interest Entity [Line Items] | |||
Principal amount of Securitized debt | $ 275,174 | $ 275,174 |
Use of Special Purpose Entiti_4
Use of Special Purpose Entities and Variable Interest Entities (Narrative) (Details) - USD ($) $ in Thousands | Mar. 31, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | |||
Residential whole loans, carrying value | [1],[2] | $ 5,934,042 | $ 6,069,370 |
Residential whole loans, at fair value | [2] | 1,243,792 | 1,381,583 |
Securitized debt | 533,733 | 570,952 | |
Residential whole loans, net | 5,716,031 | 6,066,345 | |
Total residential whole loans | 7,000,000 | 7,400,000 | |
Asset-backed Securities, Securitized Loans and Receivables | |||
Variable Interest Entity [Line Items] | |||
Residential whole loans, carrying value | 185,900 | 186,400 | |
Residential whole loans, at fair value | 516,400 | 567,400 | |
Securitized debt | 533,733 | 570,952 | |
Asset-backed Securities, Securitized Loans and Receivables | Other Assets | |||
Variable Interest Entity [Line Items] | |||
Real estate owned at fair value | $ 129,100 | $ 137,800 | |
[1] | Includes Non-QM loans held-for-sale with an amortized cost of $965.5 million and a net carrying value of $895.3 million at March 31, 2020 . | ||
[2] | Includes approximately $185.9 million and $186.4 million of Residential whole loans, at carrying value and $516.4 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2020 and December 31, 2019 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) | Jun. 15, 2020 | Apr. 27, 2020 | May 31, 2020 | Mar. 31, 2020 | Mar. 31, 2019 | Jun. 26, 2020 | Jun. 19, 2020 | Apr. 24, 2020 | Apr. 10, 2020 | Mar. 24, 2020 | Dec. 31, 2019 | |
Subsequent Event [Line Items] | ||||||||||||
Proceeds from sale of debt securities available-for-sale | $ 1,009,316,000 | $ 208,306,000 | ||||||||||
Residential whole loans, carrying value | [1],[2] | 5,934,042,000 | $ 6,069,370,000 | |||||||||
MSR-related assets | 738,054,000 | 1,217,002,000 | ||||||||||
Available-for-sale securities | 1,927,454,000 | 3,983,519,000 | ||||||||||
Repurchase agreements | 7,768,180,000 | 9,139,821,000 | ||||||||||
Cash and cash equivalents | 116,465,000 | 70,629,000 | ||||||||||
Cash on deposit with repurchase agreement counterparties | 216,902,000 | 64,035,000 | ||||||||||
Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Secured debt | $ 29,100,000 | |||||||||||
Proceeds from sale of residential mortgage assets | $ 3,200,000,000 | |||||||||||
Secured debt decrease | 3,900,000,000 | |||||||||||
Proceeds from sale of debt securities available-for-sale | 2,400,000,000 | |||||||||||
Proceeds from sale of term notes back by MSR-related collateral | 574,900,000 | |||||||||||
Proceeds from sale of other interest earning assets | 15,600,000 | |||||||||||
Available-for-salesecurities, realized gains | 177,500,000 | |||||||||||
Unrealized gain on securities | 57,000,000 | |||||||||||
Proceeds from sale of residential whole loans | 845,200,000 | |||||||||||
Available-for-sale securities, gross realized losses | 128,400,000 | |||||||||||
Realized loss, net of reversal | 58,200,000 | |||||||||||
Residential whole loans, net | 6,600,000,000 | |||||||||||
Residential whole loans, carrying value | 6,200,000,000 | |||||||||||
MSR-related assets | 235,400,000 | |||||||||||
Available-for-sale securities | 136,400,000 | |||||||||||
Repurchase agreements | $ 3,800,000,000 | |||||||||||
Debt to equity ratio | 190.00% | |||||||||||
Cash and cash equivalents | 343,600,000 | |||||||||||
Cash on deposit with repurchase agreement counterparties | $ 103,500,000 | |||||||||||
Repurchase Agreement Financing Arrangements | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Secured debt | $ 9,500,000,000 | |||||||||||
Initial FBA | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Secured debt | $ 5,800,000,000 | |||||||||||
Second FBA | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Secured debt | $ 5,300,000,000 | |||||||||||
Cash payment to counterparties | $ 150,000,000 | |||||||||||
Investment Agreement | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Warrant, number of securities callable by each warrant (in shares) | 37,039,106 | |||||||||||
Participating Counterparties | Initial FBA | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Secured debt | $ 4,800,000,000 | |||||||||||
Secured debt as a percent | 83.00% | |||||||||||
Collateralized financings | $ 1,300,000,000 | |||||||||||
Participating Counterparties | Second FBA | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Secured debt | $ 4,400,000,000 | |||||||||||
Secured debt as a percent | 84.00% | |||||||||||
Term Loan Facility | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Maximum borrowing capacity | $ 500,000,000 | |||||||||||
Original issue discount, term loan | 1.00% | |||||||||||
Stated interest rate | 11.00% | |||||||||||
Optional prepayment rate prior to 3rd anniversary | 3.00% | |||||||||||
Interest rate increase on third anniversary | 1.00% | |||||||||||
Additional interest rate increase on each subsequent anniversary of the Funding Date | 1.00% | |||||||||||
Increase upon of default status | 2.00% | |||||||||||
Optional Prepayment Amount | $ 250,000,000 | |||||||||||
Asset Level Debt Facility | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Maximum borrowing capacity | $ 1,650,000,000 | |||||||||||
Amount of shares agreed to be purchased by counterparty | 4.90% | |||||||||||
Aggregate gross purchase price per Agreement | $ 50,000,000 | |||||||||||
Agency MBS | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Available-for-sale securities | 553,413,000 | 1,664,582,000 | ||||||||||
Repurchase agreements | 522,209,000 | 1,557,675,000 | ||||||||||
Agency MBS | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Proceeds from sale of debt securities available-for-sale | $ 533,100,000 | |||||||||||
Non-Agency MBS | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Available-for-sale securities | 1,119,940,000 | 2,063,529,000 | ||||||||||
Repurchase agreements | 1,003,122,000 | 1,121,802,000 | ||||||||||
Non-Agency MBS | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Proceeds from sale of debt securities available-for-sale | 1,100,000,000 | |||||||||||
CRT securities | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Available-for-sale securities | 254,101,000 | 255,408,000 | ||||||||||
Repurchase agreements | $ 297,628,000 | $ 203,569,000 | ||||||||||
CRT securities | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Proceeds from sale of debt securities available-for-sale | $ 207,400,000 | |||||||||||
First Three Years | Term Loan Facility | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Stated interest rate | 3.75% | |||||||||||
After Third Year | Term Loan Facility | Subsequent Event | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Stated interest rate | 4.50% | |||||||||||
[1] | Includes Non-QM loans held-for-sale with an amortized cost of $965.5 million and a net carrying value of $895.3 million at March 31, 2020 . | |||||||||||
[2] | Includes approximately $185.9 million and $186.4 million of Residential whole loans, at carrying value and $516.4 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at March 31, 2020 and December 31, 2019 |
Uncategorized Items - mfa-03312
Label | Element | Value |
Retained Earnings [Member] | ||
Cumulative Effect of New Accounting Principle in Period of Adoption | us-gaap_CumulativeEffectOfNewAccountingPrincipleInPeriodOfAdoption | $ (8,326,000) |