MFA Financial (MFA) 10-Q 6 Aug 20 2020 Q2 Quarterly report Financial data

Cover page

Cover page - shares	6 Months Ended
	Jun. 30, 2020	Jul. 31, 2020
Entity Information [Line Items]
Document Type	10-Q
Document Quarterly Report	true
Document Transition Report	false
Document Period End Date	Jun. 30, 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	Q2
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		453,330,456
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		Jun. 30, 2020	Dec. 31, 2019
Assets:
Residential whole loans, at carrying value ($4,556,213 and $4,847,782 pledged as collateral, respectively) (1)	[1]	$ 4,813,119	$ 6,069,370
Residential whole loans, at fair value ($691,660 and $794,684 pledged as collateral, respectively) (1)	[1]	1,200,981	1,381,583
Allowance for credit losses on residential whole loans held at carrying value		(136,589)	(3,025)
Total residential whole loans, net		5,877,511	7,447,928
Residential mortgage securities, at fair value ($148,210 and $3,966,591 pledged as collateral, respectively)		148,343	3,983,519
Mortgage servicing rights (“MSR”) related assets ($255,035 and $1,217,002 pledged as collateral, respectively)		254,228	1,217,002
Cash and cash equivalents		666,172	70,629
Restricted cash		7,680	64,035
Other assets		613,474	784,251
Total Assets		7,567,408	13,567,364
Liabilities:
Financing agreements ($4,194,324 and $0 held at fair value, respectively)		5,011,356	10,031,606
Other liabilities		35,001	151,806
Total Liabilities		5,046,357	10,183,412
Commitments and contingencies (See Note 10)
Stockholders’ Equity:
Common stock, $.01 par value; 874,300 and 886,950 shares authorized; 453,244 and 452,369 shares issued and outstanding, respectively		4,532	4,524
Additional paid-in capital, in excess of par		3,922,399	3,640,341
Accumulated deficit		(1,451,783)	(631,040)
Accumulated other comprehensive income		45,713	370,047
Total Stockholders’ Equity		2,521,051	3,383,952
Total Liabilities and Stockholders’ Equity		7,567,408	13,567,364
Non-Agency MBS Transferred to Consolidated VIEs
Assets:
Residential whole loans, at carrying value ($4,556,213 and $4,847,782 pledged as collateral, respectively) (1)		181,400	186,400
Residential whole loans, at fair value ($691,660 and $794,684 pledged as collateral, respectively) (1)		506,700	567,400
Series B Preferred Stock
Stockholders’ Equity:
Preferred stock		80	80
Series C Preferred Stock
Stockholders’ Equity:
Preferred stock		$ 110	$ 0
[1]	Includes approximately $181.4 million and $186.4 million of Residential whole loans, at carrying value and $506.7 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at June 30, 2020 and December 31, 2019 , respectively. Such assets can be used only to settle the obligations of each respective VIE.

CONSOLIDATED BALANCE SHEETS (Pa

CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($)	6 Months Ended
	Jun. 30, 2020	Dec. 31, 2019
Residential whole loans, carrying value	$ 4,556,213,000	$ 4,847,782,000
Residential whole loans, fair value	619,660,000	794,684,000
MSR-Related Assets, pledged as collateral (in dollars)	255,035,000	1,217,002,000
Financial agreements held at fair value	4,194,324	$ 0
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	453,244,000	452,369,000
Common stock, shares outstanding	453,244,000	452,369,000
Collateral Pledged | Non-Agency MBS
Securities, at fair value, pledged as collateral	$ 148,210,000	$ 3,966,561,000
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		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Interest Income:
Residential whole loans held at carrying value	$ 69,427	$ 57,879	$ 152,913	$ 107,499
Residential mortgage securities	4,975	72,395	49,349	151,037
MSR-related assets	9,741	12,338	23,948	22,958
Other interest-earning assets	3,165	1,287	6,072	2,593
Cash and cash equivalent investments	60	1,036	546	1,800
Interest Income	87,368	144,935	232,828	285,887
Interest Expense:
Asset backed and other collateralized financing arrangements	82,085	81,826	159,945	158,841
Other interest expense	5,906	3,218	11,805	5,229
Interest Expense	87,991	85,044	171,750	164,070
Net Interest (Expense)/Income	(623)	59,891	61,078	121,817
Reversal/(Provision) for credit and valuation losses on residential whole loans and other financial instruments	85,377	(385)	(65,334)	(1,190)
Net Interest Income/(Expense) after Provision for Credit and Valuation Losses	84,754	59,506	(4,256)	120,627
Other Income, net:
Impairment and other losses on securities available-for-sale and other assets	(5,094)	0	(424,745)	0
Net realized gain/(loss) on sales of residential mortgage securities and residential whole loans	49,485	7,710	(188,895)	32,319
Net unrealized gain/(loss) on residential mortgage securities measured at fair value through earnings	64,438	0	(13,523)	8,672
Net gain/(loss) on residential whole loans measured at fair value through earnings	20,320	51,473	(32,440)	76,740
Loss on terminated swaps previously designated as hedges for accounting purposes	(49,857)	0	(49,857)	0
Other, net	(2,935)	(2,321)	(4,946)	(9,700)
Other Income/(Loss), net	76,357	56,862	(714,406)	108,031
Operating and Other Expense:
Compensation and benefits	8,578	7,841	17,477	16,395
Other general and administrative expense	7,652	5,934	12,227	10,579
Loan servicing and other related operating expenses	8,337	9,553	19,617	19,787
Costs associated with restructuring/forbearance agreement	39,966	0	44,434	0
Operating and Other Expense	64,533	23,328	93,755	46,761
Net Income/(Loss)	96,578	93,040	(812,417)	181,897
Less Preferred Stock Dividend Requirement	8,144	3,750	13,359	7,500
Net Income/(Loss) Available to Common Stock and Participating Securities	$ 88,434	$ 89,290	$ (825,776)	$ 174,397
Basic Earnings per Common Share (usd per share)	$ 0.19	$ 0.20	$ (1.82)	$ 0.39
Diluted Earnings per Common Share (usd per share)	$ 0.19	$ 0.20	$ (1.82)	$ 0.38

CONSOLIDATED STATEMENTS OF COMP

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Statement of Comprehensive Income [Abstract]
Net income/(loss)	$ 96,578	$ 93,040	$ (812,417)	$ 181,897
Other Comprehensive Income/(Loss):
Unrealized gains on securities available-for-sale	48,715	24,008	393,503	44,307
Reclassification adjustment for MBS sales included in net income	(144,736)	(6,371)	(389,067)	(21,576)
Reclassification adjustment for impairments included in net income	0	0	(344,269)	0
Derivative hedging instrument fair value changes, net	0	(19,706)	(50,126)	(30,151)
Reclassification adjustment for losses/(gains) related to hedging instruments included in net income	64,032	(743)	65,625	(1,084)
Other Comprehensive Income/(Loss)	(31,989)	(2,812)	(324,334)	(8,504)
Comprehensive income before preferred stock dividends	64,589	90,228	(1,136,751)	173,393
Dividends required on preferred stock	(8,144)	(3,750)	(13,359)	(7,500)
Comprehensive Income/(Loss) Available to Common Stock and Participating Securities	$ 56,445	$ 86,478	$ (1,150,110)	$ 165,893

CONSOLIDATED STATEMENTS OF CHAN

CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands		Total	Series C 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	Revision of Prior Period, Accounting Standards Update, Adjustment	Revision of Prior Period, Accounting Standards Update, AdjustmentAccumulated Deficit
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 income/(loss)		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
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 income/(loss)		181,897
Dividends declared on preferred stock ($0.46875 per share)		(7,500)
Balance (in shares) at Jun. 30, 2019					8,000,000	450,622,000
Balance at Jun. 30, 2019		3,403,373			$ 80	$ 4,506	3,625,399		(638,396)	411,784
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
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
Net income/(loss)		93,040							93,040
Issuance of stock, net of expenses (in shares)						139,000
Issuance of stock, net of expenses		586				$ 1	585
Equity based compensation expense		2,438					2,438
Accrued dividends attributable to stock-based awards		(260)					(260)
Dividends declared on common stock ($0.20 per share)		(90,124)							(90,124)
Dividends declared on preferred stock ($0.46875 per share)		(3,750)							(3,750)
Dividends attributable to dividend equivalents		(276)							(276)
Change in unrealized gains on MBS, net		17,637								17,637
Derivative hedging instrument fair value changes and amortization, net		(20,449)								(20,449)
Balance (in shares) at Jun. 30, 2019					8,000,000	450,622,000
Balance at Jun. 30, 2019		3,403,373			$ 80	$ 4,506	3,625,399		(638,396)	411,784
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	$ (8,326)	$ (8,326)
Increase (Decrease) in Stockholders' Equity
Net income/(loss)		(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
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
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	$ (8,326)	$ (8,326)
Increase (Decrease) in Stockholders' Equity
Net income/(loss)		(812,417)
Dividends declared on preferred stock ($0.46875 per share)		(13,359)
Balance (in shares) at Jun. 30, 2020				11,000,000	8,000,000	453,244,000
Balance at Jun. 30, 2020		2,521,051		$ 110	$ 80	$ 4,532	3,922,399		(1,451,783)	45,713
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
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
Net income/(loss)		96,578							96,578
Issuance of stock, net of expenses (in shares)						106,000
Issuance of stock, net of expenses		37				$ 1	36
Equity based compensation expense		1,709					1,709
Dividends declared on preferred stock ($0.46875 per share)		(8,144)
Change in unrealized gains on MBS, net		(96,021)								(96,021)
Derivative hedging instrument fair value changes and amortization, net		64,032								64,032
Warrants Issued		14,041
Balance (in shares) at Jun. 30, 2020				11,000,000	8,000,000	453,244,000
Balance at Jun. 30, 2020		$ 2,521,051		$ 110	$ 80	$ 4,532	$ 3,922,399		$ (1,451,783)	$ 45,713
[1]	For the six months ended June 30, 2019 , includes approximately $2.6 million ( 370,244 shares) surrendered for tax purposes related to equity-based compensation awards.
[2]	For the six months ended June 30, 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	Jul. 01, 2020	Feb. 14, 2020	Apr. 15, 2013	Jun. 30, 2019	Mar. 31, 2019	Jun. 30, 2020	Jun. 30, 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)	$ 0.9375	$ 0.46875		$ 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	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019
Cash Flows From Operating Activities:
Net income/(loss)	$ (812,417)	$ 181,897
Adjustments to reconcile net income to net cash provided by operating activities:
Loss on sales of residential whole loans	273,848	0
Gain on sales of residential mortgage securities, MSR-related assets, and other assets	(84,953)	(32,319)
Gain on sales of real estate owned	(6,104)	(3,692)
Gain on liquidation of residential whole loans	(2,633)	(9,661)
Impairment and other losses on securities available-for-sale and other assets	424,745	0
Loss on terminated swaps previously designated as hedges for accounting purposes	49,857	0
Accretion of purchase discounts on residential mortgage securities, residential whole loans and MSR-related assets	(20,244)	(33,193)
Amortization of purchase premiums on residential mortgage securities and residential whole loans, and amortization of terminated hedging instruments	35,594	19,422
Depreciation and amortization on real estate, fixed assets and other assets	3,970	1,084
Equity-based compensation expense	2,827	3,436
Unrealized losses/(gains) on residential whole loans at fair value	72,546	(20,128)
Provision for credit and valuation losses on residential whole loans and other financial instruments	65,334	0
Unrealized losses on residential mortgage securities and interest rate swap agreements (“Swaps”) and other	57,981	1,363
Decrease/(increase) in other assets	22,084	(26,978)
(Decrease)/increase in other liabilities	(25,791)	4,716
Net cash provided by operating activities	56,644	85,947
Cash Flows From Investing Activities:
Purchases of residential whole loans, loan related investments and capitalized advances	(1,285,106)	(1,943,860)
Proceeds from sales of residential whole loans	1,505,458	0
Principal payments on residential whole loans	862,480	523,600
Principal payments on residential mortgage securities and MSR-related assets	590,921	930,591
Proceeds from sales of residential mortgage securities, MSR-related assets, and other assets	3,790,032	404,796
Purchases of residential mortgage securities and MSR-related assets	(163,748)	(697,973)
Proceeds from sales of real estate owned	113,359	56,073
Purchases of real estate owned and capital improvements	(8,798)	(10,561)
Additions to leasehold improvements, furniture and fixtures	837	(1,043)
Net cash provided by/(used in) investing activities	5,405,435	(738,377)
Cash Flows From Financing Activities:
Principal payments on financing agreements with mark-to-market collateral provisions	(21,021,793)	(38,068,063)
Proceeds from borrowings under financing agreements with mark-to-market collateral provisions	13,537,087	38,819,598
Proceeds from borrowings under financing agreements with non-mark-to-market collateral provisions	2,036,597	0
Proceeds from issuance of senior secured credit agreement	480,959	0
Principal payments on securitized debt	(57,404)	(57,496)
Proceeds from issuance of convertible senior notes	0	223,444
Payments made for settlements and unwinds of Swaps	(88,405)	(47,131)
Proceeds from issuance of series C preferred stock	275,000	0
Payments made for costs related to series C preferred stock issuance	(8,948)	0
Proceeds from issuances of common stock	724	1,137
Proceeds from the issuance of warrants	14,041	0
Dividends paid on preferred stock	0	(7,500)
Dividends paid on common stock and dividend equivalents	(90,749)	(180,551)
Net cash (used in)/provided by financing activities	(4,922,891)	683,438
Net increase in cash, cash equivalents and restricted cash	539,188	31,008
Cash, cash equivalents and restricted cash at beginning of period	134,664	88,709
Cash, cash equivalents and restricted cash at end of period	673,852	119,717
Supplemental Disclosure of Cash Flow Information
Interest Paid	165,333	169,852
Non-cash Investing and Financing Activities:
Transfer from residential whole loans to real estate owned	59,219	131,644
Dividends and dividend equivalents declared and unpaid	0	90,400
Payable for unsettled residential whole loan purchases	$ 0	$ 86,987

Organization

Organization	6 Months Ended
	Jun. 30, 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	6 Months Ended
	Jun. 30, 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 June 30, 2020 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 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 financing 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 financing agreement 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, and interest accruals are reversed against income, 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 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 (or accrued) 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 Prior to the quarter ended June 30, 2020, the Company had invested 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”). The Company disposed of its investments in Agency MBS during the quarter and has substantially reduced its investments in 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 had elected the fair value option for certain of its previously held Agency MBS that it did not intend to hold to maturity. These securities were 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. 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 financing 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 financing 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 June 30, 2020 and December 31, 2019 . At June 30, 2020 and December 31, 2019 , the Company had cash and cash equivalents of $666.2 million and $70.6 million , respectively. At June 30, 2020 , the Company had $613.4 million of 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 financing agreements that is not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to financing 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 financing agreements. The Company had aggregate restricted cash held as collateral or otherwise in connection with its financing agreements and/or Swaps of $7.7 million and $64.0 million at June 30, 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”) and its 8% Senior Notes due 2042 (“Senior Notes”). 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 and Senior Notes, 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. ( j ) Financing Agreements The Company finances the majority of its residential mortgage assets with financing agreements that include repurchase agreements and other forms of collateralized financing. 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 and other forms of collateralized financing, 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 t

Residential Whole Loans

Residential Whole Loans	6 Months Ended
	Jun. 30, 2020
Receivables [Abstract]
Residential Whole Loans	Residential Whole Loans Included on the Company’s consolidated balance sheets at June 30, 2020 and December 31, 2019 are approximately $5.9 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 June 30, 2020 and December 31, 2019 : (Dollars In Thousands) June 30, 2020 December 31, 2019 Purchased Performing Loans: Non-QM loans $ 2,574,184 $ 3,707,245 Rehabilitation loans 862,895 1,026,097 Single-family rental loans 494,248 460,742 Seasoned performing loans 155,279 176,569 Total Purchased Performing Loans 4,086,606 5,370,653 Purchased Credit Deteriorated Loans (1) 726,513 698,717 Total Residential whole loans, at carrying value $ 4,813,119 $ 6,069,370 Allowance for credit losses on residential whole loans held at carrying value (136,589 ) (3,025 ) Total Residential whole loans at carrying value, net $ 4,676,530 $ 6,066,345 Number of loans 14,689 17,082 (1) 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 for the three and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands) 2020 2019 2020 2019 Purchased Performing Loans: Non-QM loans $ 37,259 $ 26,578 $ 86,329 $ 48,992 Rehabilitation loans 13,312 13,256 28,639 23,189 Single-family rental loans 7,268 3,926 14,611 6,627 Seasoned performing loans 2,253 3,122 4,853 6,295 Total Purchased Performing Loans 60,092 46,882 134,432 85,103 Purchased Credit Deteriorated Loans 9,335 10,997 18,481 22,396 Total Residential whole loans, at carrying value $ 69,427 $ 57,879 $ 152,913 $ 107,499 The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at June 30, 2020 : June 30, 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) $ 2,542,831 $ 2,574,184 $ 2,501,547 5.87 % 354 64 % 712 $ 2,502,521 $ 24,927 $ 23,192 $ 23,544 Rehabilitation loans (4) 832,895 862,895 862,895 7.26 6 63 720 620,315 60,762 65,226 116,592 Single-family rental loans (4) 487,317 494,248 489,947 6.28 321 70 734 444,308 25,428 12,730 11,782 Seasoned performing loans (4) 155,055 155,279 169,469 3.76 176 42 723 150,800 1,740 442 2,297 Purchased Credit Deteriorated Loans (4)(5) 658,432 726,513 838,673 4.46 291 79 N/A N/M N/M N/M 105,536 Residential whole loans, at carrying value, total or weighted average $ 4,676,530 $ 4,813,119 $ 4,862,531 5.86 % 272 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 (5) 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 $280.6 million and $269.2 million at June 30, 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 June 30, 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 June 30, 2020 and December 31, 2019 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses. (5) 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 the three and six months ended June 30, 2020 , $955.4 million and $1.8 billion of Non-QM loans were sold, realizing losses of $127.2 million and $273.0 million , respectively. In connection with Non-QM loans sold during the three months ended June 30, 2020, a previously established valuation allowance of $70.2 million was reversed, resulting in a net loss for the period of $57.0 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: Six Months Ended June 30, 2020 (Dollars In Thousands) Non-QM Loans Rehabilitation Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2019 $ 388 $ 2,331 $ 62 $ — $ 244 $ 3,025 Transition adjustment on adoption of ASU 2016-13 (4) 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 March 31, 2020 $ 103,831 $ 35,633 $ 7,431 $ 249 $ 70,867 $ 218,011 Current provision/(reversal) (2,297 ) (5,213 ) (500 ) (25 ) (2,579 ) (10,614 ) Write-offs — (420 ) — — (207 ) (627 ) Valuation adjustment on loans held for sale (70,181 ) — — — — (70,181 ) Allowance for credit losses at June 30, 2020 $ 31,353 $ 30,000 $ 6,931 $ 224 $ 68,081 $ 136,589 Six Months Ended June 30, 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 December 31, 2018 $ — $ — $ — $ — $ 968 $ 968 Current provision — 500 — — 183 683 Write-offs — — — — — — Allowance for credit losses at March 31, 2019 $ — $ 500 $ — $ — $ 1,151 $ 1,651 Current provision — — — — 385 385 Write-offs — (50 ) — — — (50 ) Allowance for credit losses at June 30, 2019 $ — $ 450 $ — $ — $ 1,536 $ 1,986 (1) In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $94.5 million , with an allowance for credit losses of $2.1 million at June 30, 2020 . Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 9 ). (2) Includes $181.8 million of loans that were assessed for credit losses based on a collateral dependent methodology. (3) Includes $100.0 million of loans that were assessed for credit losses based on a collateral dependent methodology. (4) 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 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 June 30, 2020 , the Company still expects relatively high rates of unemployment and other deteriorated market conditions to continue for an extended period, resulting in increased delinquencies and defaults compared to historical periods; however, the Company’s expectations of the severity of these impacts has moderated slightly. 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. The amortized cost basis of Purchased Performing Loans on nonaccrual status as of June 30, 2020 and December 31, 2019 was $171.6 million and $99.9 million , respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of June 30, 2020 was $122.0 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 interest income was recognized from loans on nonaccrual status during the six months ended June 30, 2020 . At June 30, 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 LTV < 80% (1) $ 375,156 $ 1,265,076 $ 733,368 $ 81,119 $ 7,718 $ — $ 2,462,437 LTV >= 80% (1) 28,605 40,518 32,765 9,706 153 — 111,747 Total Non-QM loans $ 403,761 $ 1,305,594 $ 766,133 $ 90,825 $ 7,871 $ — $ 2,574,184 Six Months Ended June 30, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Six Months Ended June 30, 2020 Recoveries — — — — — — — Six Months Ended June 30, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Rehabilitation loans LTV < 80% (1) $ 43,735 $ 659,139 $ 128,777 $ 8,141 $ — $ — $ 839,792 LTV >= 80% (1) 3,626 17,229 548 1,700 — — 23,103 Total Rehabilitation loans $ 47,361 $ 676,368 $ 129,325 $ 9,841 $ — $ — $ 862,895 Six Months Ended June 30, 2020 Gross write-offs $ — $ — $ 816 $ 32 $ — $ — $ 848 Six Months Ended June 30, 2020 Recoveries — — — — — — — Six Months Ended June 30, 2020 Net write-offs $ — $ — $ 816 $ 32 $ — $ — $ 848 Single family rental loans LTV < 80% (1) $ 22,765 $ 296,485 $ 144,006 $ 13,900 $ — $ — $ 477,156 LTV >= 80% (1) 1,391 15,489 212 — — — 17,092 Total Single family rental loans $ 24,156 $ 311,974 $ 144,218 $ 13,900 $ — $ — $ 494,248 Six Months Ended June 30, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Six Months Ended June 30, 2020 Recoveries — — — — — — — Six Months Ended June 30, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Seasoned performing loans LTV < 80% (1) $ — $ — $ — $ — $ 80 $ 147,302 $ 147,382 LTV >= 80% (1) — — — — — 7,897 7,897 Total Seasoned performing loans $ — $ — $ — $ — $ 80 $ 155,199 $ 155,279 Six Months Ended June 30, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Six Months Ended June 30, 2020 Recoveries — — — — — — — Six Months Ended June 30, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV < 80% (1) $ — $ — $ — $ 637 $ 3,480 $ 429,166 $ 433,283 LTV >= 80% (1) — — — — 3,474 289,756 293,230 Total Purchased credit deteriorated loans $ — $ — $ — $ 637 $ 6,954 $ 718,922 $ 726,513 Six Months Ended June 30, 2020 Gross write-offs $ — $ — $ — $ — $ — $ 426 $ 426 Six Months Ended June 30, 2020 Recoveries — — — — — — — Six Months Ended June 30, 2020 Net write-offs $ — $ — $ — $ — $ — $ 426 $ 426 Total LTV < 80% (1) $ 441,656 $ 2,220,700 $ 1,006,151 $ 103,797 $ 11,278 $ 576,468 $ 4,360,050 Total LTV >= 80% (1) 33,622 73,236 33,525 11,406 3,627 297,653 453,069 Total residential whole loans, at carrying value $ 475,278 $ 2,293,936 $ 1,039,676 $ 115,203 $ 14,905 $ 874,121 $ 4,813,119 Total Gross write-offs $ — $ — $ 816 $ 32 $ — $ 426 $ 1,274 Total Recoveries — — — — — — — Total Net write-offs $ — $ — $ 816 $ 32 $ — $ 426 $ 1,274 (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 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 $280.6 million at June 30, 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 June 30, 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 June 30, 2020 and December 31, 2019 : (Dollars in Thousands) June 30, 2020 December 31, 2019 Less than 60 Days Past Due: Outstanding principal balance $ 593,389 $ 666,026 Aggregate fair value $ 545,953 $ 641,616 Weighted Average LTV Ratio (1) 74.64 % 76.69 % Number of loans 2,981 3,159 60 Days to 89 Days Past Due: Outstanding principal balance $ 79,684 $ 58,160 Aggregate fair value $ 69,303 $ 53,485 Weighted Average LTV Ratio (1) 82.43 % 79.48 % Number of loans 342 313 90 Days or More Past Due: Outstanding principal balance $ 694,590 $ 767,320 Aggregate fair value $ 585,725 $ 686,482 Weighted Average LTV Ratio (1) 88.06 % 89.69 % Number of loans 2,642 2,983 Total Residential whole loans, at fair value $ 1,200,981 $ 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 gain/(loss) on residential whole loans measured at fair value through earnings for the three and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands) 2020 2019 2020 2019 Coupon payments, realized gains, and other income received (1) $ 18,171 $ 24,007 $ 37,207 $ 45,763 Net unrealized gains/(losses) 2,010 21,188 (72,546 ) 20,128 Net gain on transfers to REO 139 6,278 2,899 10,849 Total $ 20,320 $ 51,473 $ (32,440 ) $ 76,740 (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. During the three months ended June 30, 2020 , loans at fair value with an aggregate unpaid principal balance of $24.1 million were sold, realizing net losses of $0.8 million .

Residential Mortgage Securities

Residential Mortgage Securities and MSR-Related Assets	6 Months Ended
	Jun. 30, 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 MBS investments held as of June 30, 2020 or in prior periods include 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. The Company sold its remaining holdings of Agency MBS during the quarter. 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. As of June 30, 2020, the Company has sold substantially all of its holdings of Legacy Non-Agency MBS and substantially reduced its holdings of other Non-Agency MBS. 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 June 30, 2020 and December 31, 2019 : June 30, 2020 (In Thousands) Principal/ Current Face Purchase Premiums Accretable Purchase Discounts Discount Designated as Credit Reserve (1) Gross Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Fair Value Non-Agency MBS: Expected to Recover Par (2)(3) $ 59,512 $ — $ (8,430 ) $ — $ 51,082 $ 6,962 $ (6,372 ) $ 590 $ 51,672 Expected to Recover Less than Par (2) 2,849 — — (669 ) 2,180 385 — 385 2,565 Total Non-Agency MBS (4) 62,361 — (8,430 ) (669 ) 53,262 7,347 (6,372 ) 975 54,237 CRT securities (5) 104,309 2,052 (129 ) (20,768 ) 85,464 11,945 (3,303 ) 8,642 94,106 Total MBS and CRT securities $ 166,670 $ 2,052 $ (8,559 ) $ (21,437 ) $ 138,726 $ 19,292 $ (9,675 ) $ 9,617 $ 148,343 December 31, 2019 (In Thousands) Principal/ Current Face Purchase Premiums Accretable Purchase Discounts Discount Designated as Credit Reserve (1) Gross Amortized Cost (6) Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Fair Value Agency MBS: (7) 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 (2)(3) 722,477 — (16,661 ) — 705,816 19,861 (9 ) 19,852 725,668 Expected to Recover Less than Par (2) 1,472,826 — (73,956 ) (436,598 ) 962,272 375,598 (9 ) 375,589 1,337,861 Total Non-Agency MBS (4) 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 (5) 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) Based on management ’ s current estimates of future principal cash flows expected to be received. (3) Includes RPL/NPL MBS, which at June 30, 2020 had an $59.4 million Principal/Current face, $51.0 million amortized cost and $51.5 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. (4) At June 30, 2020 and December 31, 2019 , the Company expected to recover approximately 99% and 80% of the then-current face amount of Non-Agency MBS, respectively. (5) Amounts disclosed at June 30, 2020 includes CRT securities with a fair value of $63.4 million for which the fair value option has been elected. Such securities had $495,000 gross unrealized gains and gross unrealized losses of approximately $3.3 million at June 30, 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 . (6) Includes principal payments receivable of $614,000 at December 31, 2019 , which is not included in the Principal/Current Face. (7) Amounts disclosed at December 31, 2019 include Agency MBS with a fair value of $280.3 million , for which the fair value option has been elected. Such securities had $4.5 million unrealized gains and no gross unrealized losses at December 31, 2019 , respectively. Sales of Residential Mortgage Securities The following table presents information about the Company’s sales of its residential mortgage securities for the three and six months ended June 30, 2020 and 2019 . The Company has no continuing involvement with any of the sold securities. Three Months Ended Three Months Ended (In Thousands) Sales Proceeds Gains/(Losses) Sales Proceeds Gains/(Losses) Agency MBS $ 535,742 $ 3,563 $ 103,345 $ (2,272 ) Non-Agency MBS 1,054,980 151,095 70,818 8,823 CRT Securities 207,379 (24,992 ) 21,170 1,159 Total $ 1,798,101 $ 129,666 $ 195,333 $ 7,710 Six Months Ended Six Months Ended (In Thousands) Sales Proceeds Gains/(Losses) Sales Proceeds Gains/(Losses) Agency MBS $ 1,500,875 $ (19,291 ) $ 103,345 $ (2,272 ) Non-Agency MBS 1,318,842 107,951 196,912 26,976 CRT Securities 243,025 (27,011 ) 104,539 7,615 Total $ 3,062,742 $ 61,649 $ 404,796 $ 32,319 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 June 30, 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) Non-Agency MBS: Expected to Recover Par (1) $ 43,422 $ 6,372 5 $ — $ — — $ 43,422 $ 6,372 Total Non-Agency MBS 43,422 6,372 5 — — — 43,422 6,372 Total MBS 43,422 6,372 5 — — — 43,422 6,372 CRT securities (2) 59,477 3,303 8 — — — 59,477 3,303 Total MBS and CRT securities $ 102,899 $ 9,675 13 $ — $ — — $ 102,899 $ 9,675 (1) Based on management’s current estimates of future principal cash flows expected to be received. (2) Amounts disclosed at June 30, 2020 include CRT securities with a fair value of $59.5 million for which the fair value option has been elected. Such securities had unrealized losses of $3.3 million at June 30, 2020 . During the three months ended March 31, 2020 , the Company recognized an impairment loss related to its Non-Agency MBS of $63.5 million based on its intent to sell, or the likelihood it will be required to sell, its remaining securities. Gross unrealized losses on the Company’s Non-Agency MBS were $6.4 million at June 30, 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 year periods) through earnings related to its Non-Agency MBS during the three and six months ended June 30, 2020 and 2019 . 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 June 30, Six Months Ended June 30, (Dollars In Thousands) 2020 2019 2020 2019 Allowance for credit losses at beginning of period $ — $ — $ — $ — Current provision: — — — — Securities with no prior loss allowance — — 344,269 — Securities with a prior loss allowance — — — — Write-offs, including allowance related to securities the Company intends to sell — — (344,269 ) — 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 and six months ended June 30, 2020 and 2019 : Three Months Ended Three Months Ended (In Thousands) Discount Accretable (1) Discount Accretable Discount (1) Balance at beginning of period $ (389,472 ) $ (90,968 ) $ (501,619 ) $ (130,147 ) Impact of RMBS Issuer Settlement (2) — — — (833 ) Accretion of discount — 932 — 14,551 Realized credit losses 1,409 — 9,917 — Purchases — — (624 ) 409 Sales/Redemptions 387,394 81,606 8,171 2,856 Transfers/release of credit reserve — — 4,589 (4,589 ) Balance at end of period $ (669 ) $ (8,430 ) $ (479,566 ) $ (117,753 ) Six Months Ended Six 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) — — — (1,688 ) Accretion of discount — 10,820 — 27,858 Realized credit losses 5,868 — 17,420 — Purchases — — (624 ) 291 Sales/Redemptions 436,885 76,056 11,363 19,202 Net impairment losses recognized in earnings (11,513 ) — — — Transfers/release of credit reserve 4,689 (4,689 ) 8,391 (8,391 ) Balance at end of period $ (669 ) $ (8,430 ) $ (479,566 ) $ (117,753 ) (1) Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. (2) Includes the impact of $833,000 and $1.7 million of cash proceeds (a one-time payment) received by the Company during the three and six months ended June 30, 2019 , respectively, 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 June 30, 2020 and December 31, 2019 , the Company had $224.8 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 June 30, 2020 , these term notes had an amortized cost of $184.3 million , gross unrealized gains of $40.5 million , a weighted average yield of 12.87% and a weighted average term to maturity of 9.7 years . During the three and six months ended June 30, 2020 , the Company sold certain term notes for $574.9 million and $711.7 million , realizing gains of $53.3 million and $28.7 million , respectively. 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 $31.8 million was drawn at June 30, 2020 . At June 30, 2020 , the coupon paid by the borrower on the drawn amount is 5.26% , the remaining term associated with the loan is 2 months and the remaining commitment period on any undrawn amount is 2 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. The borrower has an option to extend the term of the loan and the commitment period for an additional twelve months. Impact of AFS Securities on AOCI The following table presents the impact of the Company’s AFS securities on its AOCI for the three and six months ended June 30, 2020 and 2019 : Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2020 2019 2020 2019 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 148,910 $ 422,261 $ 392,722 $ 417,167 Unrealized (loss)/gain on Agency MBS, net (394 ) 13,555 (161 ) 21,880 Unrealized gain on Non-Agency MBS, net 8,644 7,598 354,317 19,060 Unrealized gain on MSR term notes, net 40,465 2,855 39,347 3,367 Reclassification adjustment for MBS sales included in net income (144,736 ) (6,371 ) (389,067 ) (21,576 ) Reclassification adjustment for impairment included in net income — — (344,269 ) — Change in AOCI from AFS securities (96,021 ) 17,637 (339,833 ) 22,731 Balance at end of period $ 52,889 $ 439,898 $ 52,889 $ 439,898 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 and six months ended June 30, 2020 and 2019 : Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2020 2019 2020 2019 Agency MBS Coupon interest $ 402 $ 22,938 $ 14,038 $ 47,566 Effective yield adjustment (1) (412 ) (7,664 ) (5,186 ) (13,851 ) Interest income $ (10 ) $ 15,274 $ 8,852 $ 33,715 Legacy Non-Agency MBS Coupon interest $ 897 $ 22,861 $ 18,179 $ 47,133 Effective yield adjustment (2) 1,153 14,523 10,560 27,667 Interest income $ 2,050 $ 37,384 $ 28,739 $ 74,800 RPL/NPL MBS Coupon interest $ 1,228 $ 14,635 $ 6,811 $ 31,078 Effective yield adjustment (1)(3) 77 8 355 150 Interest income $ 1,305 $ 14,643 $ 7,166 $ 31,228 CRT securities Coupon interest $ 1,622 $ 5,477 $ 5,107 $ 11,595 Effective yield adjustment (2) 8 (383 ) (515 ) (301 ) Interest income $ 1,630 $ 5,094 $ 4,592 $ 11,294 MSR-related assets Coupon interest $ 6,133 $ 12,338 $ 20,340 $ 22,957 Effective yield adjustment (1)(2) 3,608 — 3,608 1 Interest income $ 9,741 $ 12,338 $ 23,948 $ 22,958 (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 less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or on the instrument’s contractual cash flows, depending on the relevant accounting standard. (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 six months ended June 30, 2020 and 2019

Other Assets

Other Assets	6 Months Ended
	Jun. 30, 2020
Other Assets [Abstract]
Other Assets	Other Assets The following table presents the components of the Company’s Other assets at June 30, 2020 and December 31, 2019 : (In Thousands) June 30, 2020 December 31, 2019 REO (1) $ 348,516 $ 411,659 Capital contributions made to loan origination partners 109,585 147,992 Other interest-earning assets 49,971 70,468 Interest receivable 49,588 70,986 Other MBS and loan related receivables 24,471 43,842 Other 31,343 39,304 Total Other Assets $ 613,474 $ 784,251 (1) Includes $53.0 million and $27.3 million of REO that is held-for-investment at June 30, 2020 and December 31, 2019 , respectively. ( a ) Real Estate Owned At June 30, 2020 , the Company had 1,352 REO properties with an aggregate carrying value of $348.5 million . At December 31, 2019 , the Company had 1,652 REO properties with an aggregate carrying value of $411.7 million . At June 30, 2020 , $345.0 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, formal foreclosure proceedings were in process with respect to $142.9 million of residential whole loans held at carrying value and $486.4 million of residential whole loans held at fair value at June 30, 2020 . The following table presents the activity in the Company’s REO for the three and six months ended June 30, 2020 and 2019 : Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2020 2019 2020 2019 Balance at beginning of period $ 411,473 $ 290,587 $ 411,659 $ 249,413 Adjustments to record at lower of cost or fair value (7,138 ) (1,315 ) (11,889 ) (5,388 ) Transfer from residential whole loans (1) 8,526 66,483 59,219 131,644 Purchases and capital improvements, net 3,192 5,274 8,798 11,197 Disposals (2) (67,537 ) (26,960 ) (119,271 ) (52,797 ) Balance at end of period $ 348,516 $ 334,069 $ 348,516 $ 334,069 Number of properties 1,352 1,362 1,352 1,362 (1) Includes net gain recorded on transfer of approximately $0.2 million and $6.5 million for the three months ended June 30, 2020 and 2019 , respectively; and approximately $3.2 million and $11.3 million for six months ended June 30, 2020 and 2019 , respectively. (2) During the three and six months ended June 30, 2020 , the Company sold 296 and 545 REO properties for consideration of $70.5 million and $125.3 million , realizing net gains of approximately $3.0 million and $6.1 million , respectively. During the three and six months ended June 30, 2019 , the Company sold 152 and 289 REO properties for consideration of $29.2 million and $57.0 million , realizing net gains of approximately $2.3 million and $3.7 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 include the following investments (based on their carrying value prior to any impairments): $31.7 million of common equity, $68.0 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 is 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 $7.1 million and $65.2 million on investments in certain loan origination partners during the three and six months ended June 30, 2020 , respectively, which was included in “Impairment and other losses on securities available-for-sale and other assets” on the consolidated statements of operations. At June 30, 2020 , approximately $973.7 million 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 were designated as cash flow hedges against the interest rate risk associated with certain 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 , 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. Gains or losses associated with these Swap hedging transactions are required to be transferred from AOCI to earnings over the original term of the Swap, if the underlying hedged item or transactions are assessed as probable of occurring. After the closing of several new financing transactions late in the quarter ended June 30, 2020, the Company evaluated its anticipated future financing requirements. The Company concluded that it was no longer probable that certain previously used financing strategies, including those that primarily utilized repurchase agreements with funding costs that reset on a monthly basis, would be used by the Company on an ongoing basis, as this financing strategy had been essentially replaced by the new financing transactions. Consequently, the Company concluded that it was appropriate to transfer from AOCI to earnings approximately $49.9 million of losses on Swaps that had previously been designated as hedges for accounting purposes, because the hedged transactions were no longer considered probable to occur. This amount is included in Other income, net on the Company’s consolidated statements of operations. At June 30, 2020 , losses of $7.2 million on Swaps previously designated as hedges for accounting purposes continue to be included in AOCI as the underlying hedged items or transactions continue to be assessed as probable of occurring. The following table presents the fair value of the Company’s derivative instruments at June 30, 2020 and December 31, 2019 : June 30, 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 June 30, 2020 and December 31, 2019 : (In Thousands) June 30, 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 financing transactions that such derivatives hedge fail to occur. The following table presents information about the Company’s Swaps at June 30, 2020 and December 31, 2019 : June 30, 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 and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (Dollars in Thousands) 2020 2019 2020 2019 Interest (expense)/income attributable to Swaps $ — $ 692 $ (3,359 ) $ 1,883 Weighted average Swap rate paid — % 2.35 % 2.06 % 2.33 % Weighted average Swap rate received — % 2.46 % 1.63 % 2.48 % During the six months ended June 30, 2020 , the Company recorded net losses on Swaps not designated in hedging relationships of approximately $4.3 million , which included $9.4 million of losses realized on the unwind of certain Swaps. During the three and six months ended June 30, 2019 , the Company recorded net losses on Swaps not designated in hedging relationships of $7.4 million and $16.3 million , respectively, which included $6.3 million and $14.1 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 and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands) 2020 2019 2020 2019 AOCI from derivative hedging instruments: Balance at beginning of period $ (71,208 ) $ (7,665 ) $ (22,675 ) $ 3,121 Net loss on Swaps — (19,706 ) (50,126 ) (30,151 ) Reclassification adjustment for losses/gains related to hedging instruments included in net income 64,032 (743 ) 65,625 (1,084 ) Balance at end of period $ (7,176 ) $ (28,114 ) $ (7,176 ) $ (28,114 )

Financing Agreements

Financing Agreements	6 Months Ended
	Jun. 30, 2020
Disclosure of Repurchase Agreements [Abstract]
Financing Agreements	Financing Agreements The following tables present the components of the Company’s Financing agreements at June 30, 2020 and December 31, 2019 : June 30, 2020 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with non-mark-to-market collateral provisions $ 2,036,597 $ 2,036,597 $ 2,036,597 Agreements with mark-to-market collateral provisions 1,656,248 1,656,248 1,656,248 Senior secured credit agreement 500,000 480,959 480,959 Other 27,000 18,360 20,520 Total Financing agreements, at fair value $ 4,219,845 $ 4,192,164 $ 4,194,324 Other financing agreements Securitized debt $ 498,136 $ 495,582 Convertible senior notes 230,000 224,563 Senior notes 100,000 96,887 Total Financing agreements at carrying value $ 828,136 $ 817,032 Total Financing agreements $ 5,047,981 $ 5,011,356 (1) Financing agreements at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. Other financing arrangements are reported at their carrying value (amortized cost basis) as the fair value option was not elected on these liabilities. Consequently, Total Financing agreements as presented reflects a summation of balances reported at fair value and carrying value. Set out below is information about the Company’s Financing agreements that existed as of December 31, 2019 . During the second quarter of 2020, outstanding repurchase agreement transactions at that time were renegotiated as part of a reinstatement agreement that was entered into by the Company on June 26, 2020. The Company elected to account for these reinstated transactions under the fair value option from the time these repurchase agreements were reinstated. Accordingly, as of June 30, 2020 such liabilities are reported as Financing agreements at fair value. December 31, 2019 (In Thousands) Unpaid Principal Balance Carrying Value Repurchase agreements $ 9,140,944 $ 9,139,821 Securitized debt 573,900 570,952 Convertible senior notes 230,000 223,971 Senior notes 100,000 96,862 Total Financing agreements at carrying value $ 10,044,844 $ 10,031,606 (a) Financing Agreements, at Fair Value During the quarter, the Company entered into a $500 million senior secured credit agreement. In addition, in conjunction with its exit from forbearance arrangements, the Company entered into several new asset backed financing arrangements and renegotiated financing arrangements for certain assets with existing lenders, that resulted in the Company essentially refinancing the majority of its investment portfolio. The Company elected the fair value option on these financing arrangements, primarily to simplify the accounting associated with costs incurred to establish the new facilities or renegotiate existing facilities. The Company considers that the most relevant feature that distinguishes between the various asset backed financing arrangements is how the financing arrangement is collateralized, including the ability of the lender to make margin calls on the Company based on changes in value of the underlying collateral securing the financing. Accordingly, further details are provided below regarding assets that are financed with agreements that have non-mark-to-market collateral provisions and assets that are financed with agreements that have mark-to-market collateral provisions. Agreements with non-mark-to-market collateral provisions On June 26, 2020, the Company and certain of its subsidiaries entered into a non-mark-to-market term loan facility with certain lenders to finance an aggregate amount of up to $1.65 billion . The Company’s borrowing subsidiaries have pledged, as collateral security for the facility, certain of their residential whole loans (excluding Rehabilitation loans), as well as the equity in subsidiaries that own the loans. The facility has an initial term of two years, which may be extended for up to an additional three years, subject to certain conditions, including the payment of an extension fee and provided that no events of default have occurred. For the initial two year term, the financing cost for the facility will be calculated at a spread over the lender’s financing cost, which, depending on the lender, is expected to be based either on 3-month LIBOR, or an index that it expected over time to be closely correlated to changes in 3-month LIBOR. At June 30, 2020 , the amount financed under this facility was approximately $1.6 billion . In addition, on June 26, 2020, the Company also entered into non-mark-to-market financing facilities on Rehabilitation loans. Under these facilities, Rehabilitation loans, as well as the equity in subsidiaries that own the loans, are pledged as collateral. The facilities have a two year term and the financing cost is calculated at a spread over 3-month LIBOR. At June 30, 2020 , the amount financed under these facilities was approximately $474.6 million . The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at June 30, 2020 and December 31, 2019 : (Dollars in Thousands) June 30, December 31, Non-mark-to-market financing secured by residential whole loans at carrying value $ 1,778,845 $ — Fair value of residential whole loans at carrying value pledged as collateral under financing agreements $ 2,668,741 $ — Weighted average haircut on residential whole loans at carrying value 34.29 % — % Non-mark-to-market financing secured by residential whole loans at fair value $ 257,752 $ — Fair value of residential whole loans at fair value pledged as collateral under financing agreements $ 425,673 $ — Weighted average haircut on residential whole loans at fair value 32.80 % — % Agreements with mark-to-market collateral provisions In addition to entering into the financing arrangements discussed above, on June 26, 2020, the Company also entered into a reinstatement agreement with certain lending counterparties that facilitated its exit from the forbearance arrangements that the Company had previously entered into. In connection with the reinstatement agreement, terms of its prior financing arrangements on certain residential whole loans, residential mortgage securities, and MSR-related assets were renegotiated and those arrangements were reinstated on a go-forward basis. These financing arrangements continue to contain mark-to-market provisions that permit the lending counterparties to make margin calls on the Company should the value of the pledged collateral decline. The Company is also permitted to recover previously posted margin payments, should values of the pledged collateral subsequently increase. These facilities generally have a maturity ranging from one to 3 months and can be renewed at the discretion of the lending counterparty at financing costs reflecting prevailing market pricing. At June 30, 2020 , the amount financed under these agreements was approximately $1.7 billion . The following table presents information with respect to the Company’s financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at June 30, 2020 and December 31, 2019 : (Dollars in Thousands) June 30, December 31, Mark-to-market financing agreements secured by residential whole loans (1) $ 1,386,592 $ 4,743,094 Fair value of residential whole loans pledged as collateral under financing agreements (2) $ 2,166,740 $ 5,986,267 Weighted average haircut on residential whole loans (3) 33.81 % 20.07 % Mark-to-market financing agreement borrowings secured by Agency MBS $ — $ 1,557,675 Fair value of Agency MBS pledged as collateral under financing agreements $ — $ 1,656,373 Weighted average haircut on Agency MBS (3) — % 4.46 % Mark-to-market financing agreement borrowings secured by Legacy Non-Agency MBS $ 1,282 $ 1,121,802 Fair value of Legacy Non-Agency MBS pledged as collateral under financing agreements $ 2,564 $ 1,420,797 Weighted average haircut on Legacy Non-Agency MBS (3) 50.00 % 20.27 % Mark-to-market financing agreement borrowings secured by RPL/NPL MBS $ 29,785 $ 495,091 Fair value of RPL/NPL MBS pledged as collateral under financing agreements $ 51,540 $ 635,005 Weighted average haircut on RPL/NPL MBS (3) 38.10 % 21.52 % Mark-to-market financing agreements secured by CRT securities $ 54,469 $ 203,569 Fair value of CRT securities pledged as collateral under financing agreements $ 94,106 $ 252,175 Weighted average haircut on CRT securities (3) 42.40 % 18.84 % Mark-to-market financing agreements secured by MSR-related assets $ 146,642 $ 962,515 Fair value of MSR-related assets pledged as collateral under financing agreements $ 255,035 $ 1,217,002 Weighted average haircut on MSR-related assets (3) 38.24 % 21.18 % Mark-to-market financing agreements secured by other interest-earning assets $ 37,478 $ 57,198 Fair value of other interest-earning assets pledged as collateral under financing agreements $ 48,471 $ 61,708 Weighted average haircut on other interest-earning assets (3) 20.00 % 22.01 % (1) Excludes $0 and $1.1 million of unamortized debt issuance costs at June 30, 2020 and December 31, 2019 , respectively. (2) At June 30, 2020 and December 31, 2019 , includes RPL/NPL MBS with an aggregate fair value of $179.1 million and $238.8 million , respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. (3) 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 financing agreements of $7.7 million and $25.2 million at June 30, 2020 and December 31, 2019 , respectively. The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at June 30, 2020 and December 31, 2019 : June 30, 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 $ 3,367,675 3.52 % $ 4,472,120 2.55 % Over 30 days to 3 months 266,837 3.83 2,746,384 3.43 Over 3 months to 12 months 58,333 4.40 1,014,441 3.36 Over 12 months — — 907,999 3.44 Total financing agreements $ 3,692,845 3.55 % $ 9,140,944 2.99 % Less debt issuance costs — 1,123 Total financing agreements less debt issuance costs $ 3,692,845 $ 9,139,821 The Company had financing agreements, including repurchase agreements and other forms of secured financing with 9 and 28 counterparties at June 30, 2020 and December 31, 2019 , respectively. The following table presents information with respect to each counterparty under financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at June 30, 2020 : June 30, 2020 Counterparty Rating (1) Amount at Risk (2) Weighted Average Months to Repricing for Repurchase Agreements Percent of Stockholders’ Equity Counterparty (Dollars in Thousands) Barclays Bank BBB/Aa3/A $ 857,112 1 34.0 % Credit Suisse BBB+/Baa2/A- 639,993 1 25.4 Wells Fargo (3) A+/Aa2/AA- 377,036 0 15.0 Athene (4) BBB+/N/A/BBB+ 171,786 1 6.8 Goldman Sachs (5) BBB+/A3/A 162,224 3 6.4 (1) As rated at June 30, 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 financing 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) Includes $367.0 million at risk with Wells Fargo Bank, NA and approximately $10.1 million at risk with Wells Fargo Securities LLC. (4) Includes amounts at risk with various Athene affiliates that collectively exceed 5% of stockholders’ equity. (5) Includes $20.4 million at risk with Goldman Sachs and $141.8 million at risk with Goldman Sachs Bank USA. Senior Secured Credit Agreement On June 26, 2020 (the “Funding Date”), the Company entered into a $500 million senior secured term loan facility (the “Term Loan Facility”) with certain funds, accounts and/or clients managed by affiliates of Apollo Global Management, Inc. and affiliates of Athene Holding Ltd. The term loans were 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. The Company is permitted to voluntarily prepay the amount borrowed under the Term Loan Facility in full at any time without penalty. In addition, the Company may partially prepay the amount borrowed on only one occasion without penalty, provided such partial prepayment be 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 are 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 is 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 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. 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. 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.

Collateral Positions

Collateral Positions	6 Months Ended
	Jun. 30, 2020
Collateral Positions
Collateral Positions	Collateral Positions The Company pledges securities or cash as collateral to its counterparties in relation to certain of its financing arrangements. 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 financing arrangements 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 its financing arrangements and/or derivative hedging instruments was $5.7 billion and $11.3 billion at June 30, 2020 and December 31, 2019 , respectively. An aggregate of $45.2 million and $57.2 million of accrued interest on those assets had also been pledged as of June 30, 2020 and December 31, 2019

Offsetting Assets and Liabiliti

Offsetting Assets and Liabilities	6 Months Ended
	Jun. 30, 2020
Offsetting [Abstract]
Offsetting Assets and Liabilities	Offsetting Assets and Liabilities Certain of the Company’s financing arrangements 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 financing arrangements was $5.7 billion and $11.2 billion at June 30, 2020 and December 31, 2019 , respectively. The fair value of financial instruments pledged against the Company’s Swaps was $0 and $2.2 million at June 30, 2020 and December 31, 2019 , respectively. In addition, cash that has been pledged as collateral against financing arrangements and Swaps is reported as Restricted cash on the Company’s consolidated balance sheets (see Notes 2( f ), 5( c ) and 6 ).

Other Liabilities

Other Liabilities	6 Months Ended
	Jun. 30, 2020
Other Liabilities [Abstract]
Other Liabilities	Other Liabilities The following table presents the components of the Company’s Other liabilities at June 30, 2020 and December 31, 2019 : (In Thousands) June 30, 2020 December 31, 2019 Dividends and dividend equivalents payable $ — $ 90,749 Accrued interest payable 7,165 18,238 Accrued expenses and other 27,836 42,819 Total Other Liabilities $ 35,001 $ 151,806

Commitments and Contingencies

Commitments and Contingencies	6 Months Ended
	Jun. 30, 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 and six months ended June 30, 2020 , the Company recorded expense of approximately $734,000 and $1.4 million 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 first quarter of 2021, 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 June 30, 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 $106.8 million was drawn at June 30, 2020 (see Note 4 ). ( d ) Rehabilitation Loan Commitments At June 30, 2020 , the Company had unfunded commitments of $94.5 million in connection with its purchased Rehabilitation loans (see Note 3 ).

Stockholders' Equity

Stockholders' Equity	6 Months Ended
	Jun. 30, 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 now-terminated forbearance agreements that the Company entered into subsequent to the end of the first quarter, the Company was prohibited from paying dividends on its Series B Preferred Stock during the forbearance period, and therefore suspended the payment of dividends on the Series B Preferred Stock for the quarter ended June 30, 2020. At June 30, 2020 , the unpaid cumulative dividends in arrears on the Company’s Series B Preferred Stock were $7.5 million ( $0.93750 per share). On July 1, 2020, the Company announced that it had reinstated the payment of dividends on its Series B Preferred Stock and declared a preferred stock dividend of $0.9375 per share, payable on July 31, 2020 to Series B Preferred stockholders of record as of July 15, 2020. Upon payment of this dividend, the Company will have paid in full all accumulated but unpaid dividends on its Series B Preferred Stock (see Note 16). 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. Pursuant to the now-terminated forbearance agreements that the Company had previously entered into, the Company was prohibited from paying dividends on its Series C Preferred Stock during the forbearance period. At June 30, 2020 , the unpaid cumulative dividends in arrears on the Company’s Series C Preferred Stock were $5.9 million ( $0.53264 per share). On July 1, 2020, the Company announced that it had reinstated the payment of dividends on its Series C Preferred Stock and declared a preferred stock dividend of $0.53264 per share, payable on July 31, 2020 to the Series C Preferred stockholders of record as of July 15, 2020. Upon payment of this dividend, the Company will have paid in full all accumulated but unpaid dividends on its Series C Preferred Stock (see Note 16). ( b ) Dividends on Common Stock On August 6, 2020, the Company declared a regular cash dividend of $0.05 per share of common stock. The dividend will be paid on October 30, 2020, to stockholders of record on September 30, 2020 (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 June 30, 2020 , approximately 8.8 million shares of common stock remained available for issuance pursuant to the DRSPP shelf registration statement. During the three and six months ended June 30, 2020 , the Company issued 26,417 and 133,366 shares of common stock through the DRSPP, raising net proceeds of approximately $48,429 and $740,408 , respectively. Since the inception of the DRSPP in September 2003 through June 30, 2020 , the Company issued 34,512,134 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 six months ended June 30, 2020 , the Company did no t sell any shares of common stock through the ATM Program. At June 30, 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 six months ended June 30, 2020 . At June 30, 2020 , 6,616,355 shares remained authorized for repurchase under the Repurchase Program. ( f ) Warrants On June 15, 2020, the Company 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. The Warrants are exercisable at the holder’s option at any time until the date that is the later of (i) June 15, 2025 and (ii) the first anniversary of the repayment of the Senior Secured Credit Agreement (Note 6). One half of the Warrants have an exercise price of $1.66 per share and the other half have an exercise price of $2.08 per share. The Investment Agreement and the Senior Secured Credit Agreement (Note 6) were entered into simultaneously and the $495.0 million of proceeds received were allocated between the debt ( $481.0 million ) and the warrants ( $14.0 million ). The amount allocated to the warrants was recorded in Additional paid-in capital. ( g ) Accumulated Other Comprehensive Income/(Loss) The following table presents changes in the balances of each component of the Company’s AOCI for the three and six months ended June 30, 2020 : Three Months Ended Six Months Ended (In Thousands) Net Unrealized Gain/(Loss) on AFS Securities Net (Loss) on Swaps Total AOCI Net Unrealized Net Gain/(Loss) on Swaps Total AOCI Balance at beginning of period $ 148,910 $ (71,208 ) $ 77,702 $ 392,722 $ (22,675 ) $ 370,047 OCI before reclassifications 48,715 — 48,715 393,503 (50,126 ) 343,377 Amounts reclassified from AOCI (1) (144,736 ) 64,032 (80,704 ) (733,336 ) 65,625 (667,711 ) Net OCI during the period (2) (96,021 ) 64,032 (31,989 ) (339,833 ) 15,499 (324,334 ) Balance at end of period $ 52,889 $ (7,176 ) $ 45,713 $ 52,889 $ (7,176 ) $ 45,713 (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 and six months ended June 30, 2019 : Three Months Ended Six Months Ended (In Thousands) Net Unrealized Gain/(Loss) on AFS Securities Net Gain on Swaps Total AOCI Net Unrealized Gain/(Loss) on AFS Securities Net (Loss)/Gain on Swaps Total AOCI Balance at beginning of period $ 422,261 $ (7,665 ) $ 414,596 $ 417,167 $ 3,121 $ 420,288 OCI before reclassifications 24,008 (19,706 ) 4,302 44,307 (30,151 ) 14,156 Amounts reclassified from AOCI (1) (6,371 ) (743 ) (7,114 ) (21,576 ) (1,084 ) (22,660 ) Net OCI during the period (2) 17,637 (20,449 ) (2,812 ) 22,731 (31,235 ) (8,504 ) Balance at end of period $ 439,898 $ (28,114 ) $ 411,784 $ 439,898 $ (28,114 ) $ 411,784 (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 and six months ended June 30, 2020 : Three Months Ended Six 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 $ (144,736 ) $ (389,067 ) 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 $ (144,736 ) $ (733,336 ) Swaps designated as cash flow hedges: Reclassification adjustment for losses related to hedging instruments included in net income 64,032 65,625 Other, net Total Swaps designated as cash flow hedges $ 64,032 $ 65,625 Total reclassifications for period $ (80,704 ) $ (667,711 ) The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three and six months ended June 30, 2019 : Three Months Ended Six 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 $ (6,371 ) $ (21,576 ) Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans Total AFS Securities $ (6,371 ) $ (21,576 ) Amortization of de-designated hedging instruments (743 ) (1,084 ) Total reclassifications for period $ (7,114 ) $ (22,660 )

EPS Calculation

EPS Calculation	6 Months Ended
	Jun. 30, 2020
Earnings Per Share [Abstract]
EPS Calculation	EPS Calculation The following table presents a reconciliation of the earnings/(loss) and shares used in calculating basic and diluted earnings/(loss) per share for the three and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands, Except Per Share Amounts) 2020 2019 2020 2019 Basic Earnings/(Loss) per Share: Net income/(loss) to common stockholders $ 96,578 $ 93,040 $ (812,417 ) $ 181,897 Dividends declared on preferred stock (8,144 ) (3,750 ) (13,359 ) (7,500 ) Dividends, dividend equivalents and undistributed earnings allocated to participating securities (297 ) (276 ) — (532 ) Net income/(loss) to common stockholders - basic $ 88,137 $ 89,014 $ (825,776 ) $ 173,865 Basic weighted average common shares outstanding 453,205 450,538 453,092 450,449 Basic Earnings/(Loss) per Share $ 0.19 $ 0.20 $ (1.82 ) $ 0.39 Diluted Earnings/(Loss) per Share: Net income/(loss) to common stockholders - basic $ 88,137 $ 89,014 (825,776 ) 173,865 Interest expense on Convertible Senior Notes 3,893 1,206 — 1,206 Net income/(loss) to common stockholders - diluted $ 92,030 $ 90,220 $ (825,776 ) $ 175,071 Basic weighted average common shares outstanding 453,205 450,538 453,092 450,449 Effect of assumed Convertible Senior Notes conversion to common shares 28,920 8,898 — 4,474 Effect of Warrants 375 — — — Diluted weighted average common shares outstanding (1) 482,500 459,436 453,092 454,923 Diluted Earnings/(Loss) per Share $ 0.19 $ 0.20 $ (1.82 ) $ 0.38 (1) At June 30, 2020 , the Company had approximately 38.6 million equity instruments outstanding that were not included in the calculation of diluted EPS for the six months ended June 30, 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 $7.63 and approximately 37.0 million warrants with a weighted average exercise price of $1.87 per share. These equity instruments may have a dilutive impact on future EPS. During the six months ended June 30, 2020

Equity Compensation, Employment

Equity Compensation, Employment Agreements and Other Benefit Plans	6 Months Ended
	Jun. 30, 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 June 10, 2020 (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 18.0 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 June 30, 2020 , approximately 14.8 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 2.0 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 June 10, 2030. 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 June 30, 2020 are designated to be settled in shares of the Company’s common stock. The Company granted 1,204,713 RSUs six months ended June 30, 2020 and granted 160,025 and 912,525 RSUs during the three and six months ended June 30, 2019 , respectively. There were no RSUs forfeited during the six months ended June 30, 2020 and 20,000 RSUs forfeited during the six months ended June 30, 2019 . All RSUs outstanding at June 30, 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 June 30, 2020 and December 31, 2019 , the Company had unrecognized compensation expense of $9.7 million and $5.5 million , respectively, related to RSUs. The unrecognized compensation expense at June 30, 2020 is expected to be recognized over a weighted average period of 2.1 years . Restricted Stock The Company granted 79,545 shares of restricted common stock during the three and six months ended June 30, 2020 , and the Company did no t grant any shares of restricted common stock during the six months ended June 30, 2019 . At June 30, 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 in respect of such instruments of approximately $276,000 during the six months ended June 30, 2020 and approximately $256,000 and $497,000 during the three and six months ended June 30, 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 and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands) 2020 2019 2020 2019 RSUs $ 1,554 $ 2,439 $ 2,827 $ 3,436 Total $ 1,554 $ 2,439 $ 2,827 $ 3,436 ( b ) Employment Agreements At June 30, 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 and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands) 2020 2019 2020 2019 Non-employee directors $ 347 $ 39 $ (1,558 ) $ 325 Total $ 347 $ 39 $ (1,558 ) $ 325 The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through June 30, 2020 and December 31, 2019 that had not been distributed and the Company’s associated liability for such deferrals at June 30, 2020 and December 31, 2019 : June 30, 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 $ 1,975 $ 940 $ 2,349 $ 3,071 Total $ 1,975 $ 940 $ 2,349 $ 3,071 (1) Represents the cumulative amounts that were deferred by participants through June 30, 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 June 30, 2020 and 2019 , the Company recognized expenses for matching contributions of $120,000 and $125,000 , respectively, and $240,000 and $229,000 for the six months ended June 30, 2020 and 2019 , respectively.

Fair Value of Financial Instrum

Fair Value of Financial Instruments	6 Months Ended
	Jun. 30, 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. During the quarter ended June 30, 2020, the Company sold its remaining holdings of Agency MBS. 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. As of June 30, 2020, the Company has sold substantially all of its holdings of Legacy Non-Agency MBS and substantially reduced its holdings of other Non-Agency MBS and CRT securities. 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 As previously disclosed, 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 Swap hedging transactions late in the first quarter in order to recover previously posted margin. Prior to their termination, valuations provided by the central clearing house were used for purposes of determining the fair value of the Company’s Swaps. Such valuations obtained were tested with internally developed models that applied readily observable market parameters. Swaps were 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. Financing Agreements, at Fair Value Financing agreements with non-mark-to-mark collateral provisions, financing agreements with mark-to-mark collateral provisions, and the senior secured credit agreement were entered into on June 26, 2020. No significant changes occurred in the interest rate or other relevant markets between June 26 and June 30, 2020. As a result, management believes that the estimated fair values of such financing agreements as of June 30, 2020 were unchanged since June 26, 2020. The estimated fair value of the senior secured credit agreement was determined by management based on a valuation received from a third party that specializes in providing valuations on financial instruments. The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of June 30, 2020 and December 31, 2019 , on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at June 30, 2020 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ — $ 1,200,981 $ 1,200,981 Non-Agency MBS — 54,237 — 54,237 CRT securities — 94,106 — 94,106 Term notes backed by MSR-related collateral — 224,782 — 224,782 Total assets carried at fair value $ — $ 373,125 $ 1,200,981 $ 1,574,106 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ 2,036,597 $ — $ 2,036,597 Agreements with mark-to-market collateral provisions — 1,656,248 — 1,656,248 Senior secured credit agreement — 480,959 — 480,959 Other — 20,520 — 20,520 Total liabilities carried at fair value $ — $ 4,194,324 $ — $ 4,194,324 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 and six months ended June 30, 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 June 30, Six Months Ended June 30, (In Thousands) 2020 2019 (1) 2020 2019 (1) Balance at beginning of period $ 1,243,792 $ 1,512,337 $ 1,381,583 $ 1,471,263 Purchases and capitalized advances (2) 4,679 5,299 8,198 135,388 Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings 2,010 21,188 (72,546 ) 20,128 Collection of principal, net of liquidation gains/(losses) (28,608 ) (43,072 ) (52,412 ) (74,823 ) Sales and repurchases (18,225 ) (898 ) (18,530 ) (1,216 ) Transfer to REO (2,667 ) (56,027 ) (45,312 ) (111,913 ) Balance at end of period $ 1,200,981 $ 1,438,827 $ 1,200,981 $ 1,438,827 (1) Excludes approximately $87.0 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of June 30, 2019 . (2) Included in the activity presented for the six months ended June 30, 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 and six months ended June 30, 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 June 30, Six Months Ended June 30, (In Thousands) 2019 2019 Balance at beginning of period $ 753,594 $ 538,499 Purchases 353,970 573,136 Collection of principal (4,392 ) (8,976 ) Changes in unrealized gains 2,854 3,367 Balance at end of period $ 1,106,026 $ 1,106,026 The Company did not transfer any assets or liabilities from one level to another during the three and six months ended June 30, 2020 and 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 June 30, 2020 and December 31, 2019 : June 30, 2020 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Residential whole loans, at fair value $ 677,172 Discounted cash flow Discount rate 4.7 % 4.2-8.0% Prepayment rate 3.8 % 0.0-8.0% Default rate 5.5 % 0.0-34.1% Loss severity 12.8 % 0.0-100.0% $ 523,535 Liquidation model Discount rate 8.1 % 6.6-50.0% Annual change in home prices 0.2 % (4.0)-6.9% Liquidation timeline (in years) 2.0 0.8-4.8 Current value of underlying properties (3) $ 698 $5-$4,500 Total $ 1,200,707 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 $274,000 and $470,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at June 30, 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 $375,000 and $365,000 as of June 30, 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 June 30, 2020 and December 31, 2019 : June 30, 2020 June 30, 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 3 $ 4,676,530 $ 4,651,188 $ 6,069,370 $ 6,248,745 Residential whole loans, at fair value 3 1,200,981 1,200,981 1,381,583 1,381,583 Non-Agency MBS 2 54,237 54,237 2,063,529 2,063,529 Agency MBS 2 — — 1,664,582 1,664,582 CRT securities 2 94,106 94,106 255,408 255,408 MSR-related assets (1) 2 and 3 254,228 255,036 1,217,002 1,217,002 Cash and cash equivalents 1 666,172 666,172 70,629 70,629 Restricted cash 1 7,680 7,680 64,035 64,035 Financial Liabilities (2) : Financing agreements with non-mark-to-market collateral provisions 2 2,036,597 2,036,597 — — Financing agreements with mark-to-market collateral provisions 2 1,656,248 1,656,248 9,139,821 9,156,209 Senior secured credit agreement 2 480,959 480,959 — — Securitized debt 2 516,102 498,114 570,952 575,353 Convertible senior notes 2 224,563 202,465 223,971 244,088 Senior notes 1 96,887 89,551 96,862 103,231 (1) Includes $29.4 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 June 30, 2020 and December 31, 2019 , respectively. (2) 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 REO at the lower of the current carrying amount or fair value less estimated selling costs. During the six months ended June 30, 2020 and 2019 , the Company recorded REO with an aggregate estimated fair value, less estimated cost to sell, of $59.2 million and $131.6 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	6 Months Ended
	Jun. 30, 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 June 30, 2020 and December 31, 2019 : (Dollars in Thousands) June 30, 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 $ 829,817 $ 802,817 Outstanding amount of Senior Bonds, at carrying value $ 495,582 (1) $ 570,952 (1) Outstanding amount of Senior Bonds, at fair value $ 20,520 $ — Weighted average fixed rate for Senior Bonds issued 3.79 % (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) $ 248,174 $ 275,174 Cash received $ 821,175 $ 802,815 (1) Net of $2.5 million and $2.9 million of deferred financing costs at June 30, 2020 and December 31, 2019 , respectively. (2) At June 30, 2020 and December 31, 2019 , $451.7 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 or more 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. During the three months ended June 30, 2020, the Company issued Senior Bonds with a current face of $27.0 million to third-party investors for proceeds of $18.4 million . The Senior Bonds issued by the Company during the three months ended June 30, 2020 are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of issuance. As of June 30, 2020 and December 31, 2019 , as a result of the transactions described above, securitized loans with a carrying value of approximately $181.4 million and $186.4 million are included in “Residential whole loans, at carrying value,” securitized loans with a fair value of approximately $506.7 million and $567.4 million are included in “Residential whole loans, at fair value,” and REO with a carrying value approximately $98.7 million and $137.8 million are included in “Other assets” on the Company’s consolidated balance sheets, respectively. As of June 30, 2020 and December 31, 2019 , the aggregate carrying value of Senior Bonds issued by consolidated VIEs was $516.1 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 June 30, 2020 and December 31, 2019 are a total of $5.9 billion and $7.4 billion , respectively, of residential whole loans, of which approximately $4.7 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	6 Months Ended
	Jun. 30, 2020
Subsequent Events [Abstract]
Subsequent Events	Subsequent Events Reinstatement and Declaration of Dividends on Series B Preferred Stock and Series C Preferred Stock On July 1, 2020, the Company announced that its Board of Directors (the “Board”) had reinstated the payment of dividends on its outstanding Series B Preferred Stock and Series C Preferred Stock. In accordance with the terms of the Series B Preferred Stock, the Board approved and the Company declared a preferred stock dividend of $0.93750 per share. This dividend was payable on July 31, 2020, to Series B Preferred stockholders of record as of July 15, 2020. As a result of the payment of this dividend, the Company has paid in full all accumulated but unpaid dividends on the Series B Preferred Stock, and the next quarterly dividend payable in respect of the Series B Preferred Stock will, subject to approval by the Board and declaration by the Company, be for the quarter ending, and payable on, September 30, 2020. In addition, in accordance with the terms of the Series C Preferred Stock, the Board has approved and the Company declared a preferred stock dividend of $0.53264 per share. This dividend was payable on July 31, 2020, to Series C Preferred stockholders of record as of July 15, 2020. The dividend with respect to the Series C Preferred Stock is the first dividend being paid by the Company in respect of the Series C Preferred Stock and is a "long first dividend" payable in respect of the period commencing on March 2, 2020, the date of original issue of the Series C Preferred Stock, and ending on, and including, June 30, 2020. As a result of the payment of this dividend, the Company has paid in full all accumulated but unpaid dividends on the Series C Preferred Stock, and the next quarterly dividend payable in respect of the Series C Preferred Stock will, subject to approval by the Board and declaration by the Company, be for the quarter ending, and payable on, September 30, 2020. Declaration of Common Stock Dividend On August 6, 2020, the Company declared a regular cash dividend of $0.05 per share of common stock. The dividend will be paid on October 30, 2020, to stockholders of record on September 30, 2020.

Summary of Significant Accoun_2

Summary of Significant Accounting Policies (Policies)	6 Months Ended
	Jun. 30, 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 June 30, 2020 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 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 financing 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 financing agreement 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, and interest accruals are reversed against income, 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 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.
Residential Mortgage Securities	Residential Mortgage Securities Prior to the quarter ended June 30, 2020, the Company had invested 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”). The Company disposed of its investments in Agency MBS during the quarter and has substantially reduced its investments in 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 had elected the fair value option for certain of its previously held Agency MBS that it did not intend to hold to maturity. These securities were 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. 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 financing 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 financing 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 June 30, 2020 and December 31, 2019
Restricted Cash	Restricted Cash
Real Estate Owned (REO)	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
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”) and its 8% Senior Notes due 2042 (“Senior Notes”). 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 and Senior Notes, 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.
Financing Arrangements	Financing Agreements The Company finances the majority of its residential mortgage assets with financing agreements that include repurchase agreements and other forms of collateralized financing. 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 and other forms of collateralized financing, 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 the majority of our financing arrangements collateralized by residential whole loans have terms of twelve months
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 terminated hedging relationships, 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 six months ended June 30, 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 $76.3 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 June 30, 2020 , December 31, 2019 , or June 30, 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.” During the first quarter of 2020, the Company terminated all of its Swaps. Prior to their termination, Swaps were carried on the Company’s consolidated balance sheets at fair value, in Other assets, if their fair value was positive, or in Other liabilities, if their fair value was negative. Changes in the fair value of the Company’s Swaps previously 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)	6 Months Ended
	Jun. 30, 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 June 30, 2020 and December 31, 2019 : (Dollars In Thousands) June 30, 2020 December 31, 2019 Purchased Performing Loans: Non-QM loans $ 2,574,184 $ 3,707,245 Rehabilitation loans 862,895 1,026,097 Single-family rental loans 494,248 460,742 Seasoned performing loans 155,279 176,569 Total Purchased Performing Loans 4,086,606 5,370,653 Purchased Credit Deteriorated Loans (1) 726,513 698,717 Total Residential whole loans, at carrying value $ 4,813,119 $ 6,069,370 Allowance for credit losses on residential whole loans held at carrying value (136,589 ) (3,025 ) Total Residential whole loans at carrying value, net $ 4,676,530 $ 6,066,345 Number of loans 14,689 17,082 (1) 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 for the three and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands) 2020 2019 2020 2019 Purchased Performing Loans: Non-QM loans $ 37,259 $ 26,578 $ 86,329 $ 48,992 Rehabilitation loans 13,312 13,256 28,639 23,189 Single-family rental loans 7,268 3,926 14,611 6,627 Seasoned performing loans 2,253 3,122 4,853 6,295 Total Purchased Performing Loans 60,092 46,882 134,432 85,103 Purchased Credit Deteriorated Loans 9,335 10,997 18,481 22,396 Total Residential whole loans, at carrying value $ 69,427 $ 57,879 $ 152,913 $ 107,499
Financing Receivable Credit Quality Indicators	The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at June 30, 2020 : June 30, 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) $ 2,542,831 $ 2,574,184 $ 2,501,547 5.87 % 354 64 % 712 $ 2,502,521 $ 24,927 $ 23,192 $ 23,544 Rehabilitation loans (4) 832,895 862,895 862,895 7.26 6 63 720 620,315 60,762 65,226 116,592 Single-family rental loans (4) 487,317 494,248 489,947 6.28 321 70 734 444,308 25,428 12,730 11,782 Seasoned performing loans (4) 155,055 155,279 169,469 3.76 176 42 723 150,800 1,740 442 2,297 Purchased Credit Deteriorated Loans (4)(5) 658,432 726,513 838,673 4.46 291 79 N/A N/M N/M N/M 105,536 Residential whole loans, at carrying value, total or weighted average $ 4,676,530 $ 4,813,119 $ 4,862,531 5.86 % 272 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 (5) 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 $280.6 million and $269.2 million at June 30, 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 June 30, 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 June 30, 2020 and December 31, 2019 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses. (5) 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 LTV < 80% (1) $ 375,156 $ 1,265,076 $ 733,368 $ 81,119 $ 7,718 $ — $ 2,462,437 LTV >= 80% (1) 28,605 40,518 32,765 9,706 153 — 111,747 Total Non-QM loans $ 403,761 $ 1,305,594 $ 766,133 $ 90,825 $ 7,871 $ — $ 2,574,184 Six Months Ended June 30, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Six Months Ended June 30, 2020 Recoveries — — — — — — — Six Months Ended June 30, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Rehabilitation loans LTV < 80% (1) $ 43,735 $ 659,139 $ 128,777 $ 8,141 $ — $ — $ 839,792 LTV >= 80% (1) 3,626 17,229 548 1,700 — — 23,103 Total Rehabilitation loans $ 47,361 $ 676,368 $ 129,325 $ 9,841 $ — $ — $ 862,895 Six Months Ended June 30, 2020 Gross write-offs $ — $ — $ 816 $ 32 $ — $ — $ 848 Six Months Ended June 30, 2020 Recoveries — — — — — — — Six Months Ended June 30, 2020 Net write-offs $ — $ — $ 816 $ 32 $ — $ — $ 848 Single family rental loans LTV < 80% (1) $ 22,765 $ 296,485 $ 144,006 $ 13,900 $ — $ — $ 477,156 LTV >= 80% (1) 1,391 15,489 212 — — — 17,092 Total Single family rental loans $ 24,156 $ 311,974 $ 144,218 $ 13,900 $ — $ — $ 494,248 Six Months Ended June 30, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Six Months Ended June 30, 2020 Recoveries — — — — — — — Six Months Ended June 30, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Seasoned performing loans LTV < 80% (1) $ — $ — $ — $ — $ 80 $ 147,302 $ 147,382 LTV >= 80% (1) — — — — — 7,897 7,897 Total Seasoned performing loans $ — $ — $ — $ — $ 80 $ 155,199 $ 155,279 Six Months Ended June 30, 2020 Gross write-offs $ — $ — $ — $ — $ — $ — $ — Six Months Ended June 30, 2020 Recoveries — — — — — — — Six Months Ended June 30, 2020 Net write-offs $ — $ — $ — $ — $ — $ — $ — Purchased credit deteriorated loans LTV < 80% (1) $ — $ — $ — $ 637 $ 3,480 $ 429,166 $ 433,283 LTV >= 80% (1) — — — — 3,474 289,756 293,230 Total Purchased credit deteriorated loans $ — $ — $ — $ 637 $ 6,954 $ 718,922 $ 726,513 Six Months Ended June 30, 2020 Gross write-offs $ — $ — $ — $ — $ — $ 426 $ 426 Six Months Ended June 30, 2020 Recoveries — — — — — — — Six Months Ended June 30, 2020 Net write-offs $ — $ — $ — $ — $ — $ 426 $ 426 Total LTV < 80% (1) $ 441,656 $ 2,220,700 $ 1,006,151 $ 103,797 $ 11,278 $ 576,468 $ 4,360,050 Total LTV >= 80% (1) 33,622 73,236 33,525 11,406 3,627 297,653 453,069 Total residential whole loans, at carrying value $ 475,278 $ 2,293,936 $ 1,039,676 $ 115,203 $ 14,905 $ 874,121 $ 4,813,119 Total Gross write-offs $ — $ — $ 816 $ 32 $ — $ 426 $ 1,274 Total Recoveries — — — — — — — Total Net write-offs $ — $ — $ 816 $ 32 $ — $ 426 $ 1,274 (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 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 $280.6 million at June 30, 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 June 30, 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: Six Months Ended June 30, 2020 (Dollars In Thousands) Non-QM Loans Rehabilitation Loans (1)(2) Single-family Rental Loans Seasoned Performing Loans Purchased Credit Deteriorated Loans (3) Totals Allowance for credit losses at December 31, 2019 $ 388 $ 2,331 $ 62 $ — $ 244 $ 3,025 Transition adjustment on adoption of ASU 2016-13 (4) 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 March 31, 2020 $ 103,831 $ 35,633 $ 7,431 $ 249 $ 70,867 $ 218,011 Current provision/(reversal) (2,297 ) (5,213 ) (500 ) (25 ) (2,579 ) (10,614 ) Write-offs — (420 ) — — (207 ) (627 ) Valuation adjustment on loans held for sale (70,181 ) — — — — (70,181 ) Allowance for credit losses at June 30, 2020 $ 31,353 $ 30,000 $ 6,931 $ 224 $ 68,081 $ 136,589 Six Months Ended June 30, 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 December 31, 2018 $ — $ — $ — $ — $ 968 $ 968 Current provision — 500 — — 183 683 Write-offs — — — — — — Allowance for credit losses at March 31, 2019 $ — $ 500 $ — $ — $ 1,151 $ 1,651 Current provision — — — — 385 385 Write-offs — (50 ) — — — (50 ) Allowance for credit losses at June 30, 2019 $ — $ 450 $ — $ — $ 1,536 $ 1,986 (1) In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $94.5 million , with an allowance for credit losses of $2.1 million at June 30, 2020 . Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 9 ). (2) Includes $181.8 million of loans that were assessed for credit losses based on a collateral dependent methodology. (3) Includes $100.0 million of loans that were assessed for credit losses based on a collateral dependent methodology. (4) 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 June 30, 2020 and December 31, 2019 : (Dollars in Thousands) June 30, 2020 December 31, 2019 Less than 60 Days Past Due: Outstanding principal balance $ 593,389 $ 666,026 Aggregate fair value $ 545,953 $ 641,616 Weighted Average LTV Ratio (1) 74.64 % 76.69 % Number of loans 2,981 3,159 60 Days to 89 Days Past Due: Outstanding principal balance $ 79,684 $ 58,160 Aggregate fair value $ 69,303 $ 53,485 Weighted Average LTV Ratio (1) 82.43 % 79.48 % Number of loans 342 313 90 Days or More Past Due: Outstanding principal balance $ 694,590 $ 767,320 Aggregate fair value $ 585,725 $ 686,482 Weighted Average LTV Ratio (1) 88.06 % 89.69 % Number of loans 2,642 2,983 Total Residential whole loans, at fair value $ 1,200,981 $ 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 gain/(loss) on residential whole loans measured at fair value through earnings for the three and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands) 2020 2019 2020 2019 Coupon payments, realized gains, and other income received (1) $ 18,171 $ 24,007 $ 37,207 $ 45,763 Net unrealized gains/(losses) 2,010 21,188 (72,546 ) 20,128 Net gain on transfers to REO 139 6,278 2,899 10,849 Total $ 20,320 $ 51,473 $ (32,440 ) $ 76,740 (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)	6 Months Ended
	Jun. 30, 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 June 30, 2020 and December 31, 2019 : June 30, 2020 (In Thousands) Principal/ Current Face Purchase Premiums Accretable Purchase Discounts Discount Designated as Credit Reserve (1) Gross Amortized Cost Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Fair Value Non-Agency MBS: Expected to Recover Par (2)(3) $ 59,512 $ — $ (8,430 ) $ — $ 51,082 $ 6,962 $ (6,372 ) $ 590 $ 51,672 Expected to Recover Less than Par (2) 2,849 — — (669 ) 2,180 385 — 385 2,565 Total Non-Agency MBS (4) 62,361 — (8,430 ) (669 ) 53,262 7,347 (6,372 ) 975 54,237 CRT securities (5) 104,309 2,052 (129 ) (20,768 ) 85,464 11,945 (3,303 ) 8,642 94,106 Total MBS and CRT securities $ 166,670 $ 2,052 $ (8,559 ) $ (21,437 ) $ 138,726 $ 19,292 $ (9,675 ) $ 9,617 $ 148,343 December 31, 2019 (In Thousands) Principal/ Current Face Purchase Premiums Accretable Purchase Discounts Discount Designated as Credit Reserve (1) Gross Amortized Cost (6) Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Fair Value Agency MBS: (7) 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 (2)(3) 722,477 — (16,661 ) — 705,816 19,861 (9 ) 19,852 725,668 Expected to Recover Less than Par (2) 1,472,826 — (73,956 ) (436,598 ) 962,272 375,598 (9 ) 375,589 1,337,861 Total Non-Agency MBS (4) 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 (5) 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) Based on management ’ s current estimates of future principal cash flows expected to be received. (3) Includes RPL/NPL MBS, which at June 30, 2020 had an $59.4 million Principal/Current face, $51.0 million amortized cost and $51.5 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. (4) At June 30, 2020 and December 31, 2019 , the Company expected to recover approximately 99% and 80% of the then-current face amount of Non-Agency MBS, respectively. (5) Amounts disclosed at June 30, 2020 includes CRT securities with a fair value of $63.4 million for which the fair value option has been elected. Such securities had $495,000 gross unrealized gains and gross unrealized losses of approximately $3.3 million at June 30, 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 . (6) Includes principal payments receivable of $614,000 at December 31, 2019 , which is not included in the Principal/Current Face. (7)
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 and six months ended June 30, 2020 and 2019 . The Company has no continuing involvement with any of the sold securities. Three Months Ended Three Months Ended (In Thousands) Sales Proceeds Gains/(Losses) Sales Proceeds Gains/(Losses) Agency MBS $ 535,742 $ 3,563 $ 103,345 $ (2,272 ) Non-Agency MBS 1,054,980 151,095 70,818 8,823 CRT Securities 207,379 (24,992 ) 21,170 1,159 Total $ 1,798,101 $ 129,666 $ 195,333 $ 7,710 Six Months Ended Six Months Ended (In Thousands) Sales Proceeds Gains/(Losses) Sales Proceeds Gains/(Losses) Agency MBS $ 1,500,875 $ (19,291 ) $ 103,345 $ (2,272 ) Non-Agency MBS 1,318,842 107,951 196,912 26,976 CRT Securities 243,025 (27,011 ) 104,539 7,615 Total $ 3,062,742 $ 61,649 $ 404,796 $ 32,319
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 June 30, 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) Non-Agency MBS: Expected to Recover Par (1) $ 43,422 $ 6,372 5 $ — $ — — $ 43,422 $ 6,372 Total Non-Agency MBS 43,422 6,372 5 — — — 43,422 6,372 Total MBS 43,422 6,372 5 — — — 43,422 6,372 CRT securities (2) 59,477 3,303 8 — — — 59,477 3,303 Total MBS and CRT securities $ 102,899 $ 9,675 13 $ — $ — — $ 102,899 $ 9,675 (1) Based on management’s current estimates of future principal cash flows expected to be received. (2) Amounts disclosed at June 30, 2020 include CRT securities with a fair value of $59.5 million for which the fair value option has been elected. Such securities had unrealized losses of $3.3 million at June 30, 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 June 30, Six Months Ended June 30, (Dollars In Thousands) 2020 2019 2020 2019 Allowance for credit losses at beginning of period $ — $ — $ — $ — Current provision: — — — — Securities with no prior loss allowance — — 344,269 — Securities with a prior loss allowance — — — — Write-offs, including allowance related to securities the Company intends to sell — — (344,269 ) — 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 and six months ended June 30, 2020 and 2019 : Three Months Ended Three Months Ended (In Thousands) Discount Accretable (1) Discount Accretable Discount (1) Balance at beginning of period $ (389,472 ) $ (90,968 ) $ (501,619 ) $ (130,147 ) Impact of RMBS Issuer Settlement (2) — — — (833 ) Accretion of discount — 932 — 14,551 Realized credit losses 1,409 — 9,917 — Purchases — — (624 ) 409 Sales/Redemptions 387,394 81,606 8,171 2,856 Transfers/release of credit reserve — — 4,589 (4,589 ) Balance at end of period $ (669 ) $ (8,430 ) $ (479,566 ) $ (117,753 ) Six Months Ended Six 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) — — — (1,688 ) Accretion of discount — 10,820 — 27,858 Realized credit losses 5,868 — 17,420 — Purchases — — (624 ) 291 Sales/Redemptions 436,885 76,056 11,363 19,202 Net impairment losses recognized in earnings (11,513 ) — — — Transfers/release of credit reserve 4,689 (4,689 ) 8,391 (8,391 ) Balance at end of period $ (669 ) $ (8,430 ) $ (479,566 ) $ (117,753 ) (1) Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. (2) Includes the impact of $833,000 and $1.7 million of cash proceeds (a one-time payment) received by the Company during the three and six months ended June 30, 2019 , respectively, 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 and six months ended June 30, 2020 and 2019 : Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2020 2019 2020 2019 AOCI from AFS securities: Unrealized gain on AFS securities at beginning of period $ 148,910 $ 422,261 $ 392,722 $ 417,167 Unrealized (loss)/gain on Agency MBS, net (394 ) 13,555 (161 ) 21,880 Unrealized gain on Non-Agency MBS, net 8,644 7,598 354,317 19,060 Unrealized gain on MSR term notes, net 40,465 2,855 39,347 3,367 Reclassification adjustment for MBS sales included in net income (144,736 ) (6,371 ) (389,067 ) (21,576 ) Reclassification adjustment for impairment included in net income — — (344,269 ) — Change in AOCI from AFS securities (96,021 ) 17,637 (339,833 ) 22,731 Balance at end of period $ 52,889 $ 439,898 $ 52,889 $ 439,898
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 and six months ended June 30, 2020 and 2019 : Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2020 2019 2020 2019 Agency MBS Coupon interest $ 402 $ 22,938 $ 14,038 $ 47,566 Effective yield adjustment (1) (412 ) (7,664 ) (5,186 ) (13,851 ) Interest income $ (10 ) $ 15,274 $ 8,852 $ 33,715 Legacy Non-Agency MBS Coupon interest $ 897 $ 22,861 $ 18,179 $ 47,133 Effective yield adjustment (2) 1,153 14,523 10,560 27,667 Interest income $ 2,050 $ 37,384 $ 28,739 $ 74,800 RPL/NPL MBS Coupon interest $ 1,228 $ 14,635 $ 6,811 $ 31,078 Effective yield adjustment (1)(3) 77 8 355 150 Interest income $ 1,305 $ 14,643 $ 7,166 $ 31,228 CRT securities Coupon interest $ 1,622 $ 5,477 $ 5,107 $ 11,595 Effective yield adjustment (2) 8 (383 ) (515 ) (301 ) Interest income $ 1,630 $ 5,094 $ 4,592 $ 11,294 MSR-related assets Coupon interest $ 6,133 $ 12,338 $ 20,340 $ 22,957 Effective yield adjustment (1)(2) 3,608 — 3,608 1 Interest income $ 9,741 $ 12,338 $ 23,948 $ 22,958 (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 less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or on the instrument’s contractual cash flows, depending on the relevant accounting standard. (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 six months ended June 30, 2020 and 2019

Other Assets (Tables)

Other Assets (Tables)	6 Months Ended
	Jun. 30, 2020
Other Assets [Abstract]
Schedule of other assets	The following table presents the components of the Company’s Other assets at June 30, 2020 and December 31, 2019 : (In Thousands) June 30, 2020 December 31, 2019 REO (1) $ 348,516 $ 411,659 Capital contributions made to loan origination partners 109,585 147,992 Other interest-earning assets 49,971 70,468 Interest receivable 49,588 70,986 Other MBS and loan related receivables 24,471 43,842 Other 31,343 39,304 Total Other Assets $ 613,474 $ 784,251 (1) Includes $53.0 million and $27.3 million of REO that is held-for-investment at June 30, 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 and six months ended June 30, 2020 and 2019 : Three Months Ended June 30, Six Months Ended June 30, (In Thousands) 2020 2019 2020 2019 Balance at beginning of period $ 411,473 $ 290,587 $ 411,659 $ 249,413 Adjustments to record at lower of cost or fair value (7,138 ) (1,315 ) (11,889 ) (5,388 ) Transfer from residential whole loans (1) 8,526 66,483 59,219 131,644 Purchases and capital improvements, net 3,192 5,274 8,798 11,197 Disposals (2) (67,537 ) (26,960 ) (119,271 ) (52,797 ) Balance at end of period $ 348,516 $ 334,069 $ 348,516 $ 334,069 Number of properties 1,352 1,362 1,352 1,362 (1) Includes net gain recorded on transfer of approximately $0.2 million and $6.5 million for the three months ended June 30, 2020 and 2019 , respectively; and approximately $3.2 million and $11.3 million for six months ended June 30, 2020 and 2019 , respectively. (2) During the three and six months ended June 30, 2020 , the Company sold 296 and 545 REO properties for consideration of $70.5 million and $125.3 million , realizing net gains of approximately $3.0 million and $6.1 million , respectively. During the three and six months ended June 30, 2019 , the Company sold 152 and 289 REO properties for consideration of $29.2 million and $57.0 million , realizing net gains of approximately $2.3 million and $3.7 million
Schedule of derivative instruments and balance sheet location	The following table presents the fair value of the Company’s derivative instruments at June 30, 2020 and December 31, 2019 : June 30, 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 June 30, 2020 and December 31, 2019 : (In Thousands) June 30, 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 June 30, 2020 and December 31, 2019 : June 30, 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 and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (Dollars in Thousands) 2020 2019 2020 2019 Interest (expense)/income attributable to Swaps $ — $ 692 $ (3,359 ) $ 1,883 Weighted average Swap rate paid — % 2.35 % 2.06 % 2.33 % Weighted average Swap rate received — % 2.46 % 1.63 % 2.48 %
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 and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands) 2020 2019 2020 2019 AOCI from derivative hedging instruments: Balance at beginning of period $ (71,208 ) $ (7,665 ) $ (22,675 ) $ 3,121 Net loss on Swaps — (19,706 ) (50,126 ) (30,151 ) Reclassification adjustment for losses/gains related to hedging instruments included in net income 64,032 (743 ) 65,625 (1,084 ) Balance at end of period $ (7,176 ) $ (28,114 ) $ (7,176 ) $ (28,114 )

Financing Agreements (Tables)

Financing Agreements (Tables)	6 Months Ended
	Jun. 30, 2020
Disclosure of Repurchase Agreements [Abstract]
Financing Agreements	The following tables present the components of the Company’s Financing agreements at June 30, 2020 and December 31, 2019 : June 30, 2020 (In Thousands) Unpaid Principal Balance Amortized Cost Balance Fair Value/Carrying Value (1) Financing agreements, at fair value Agreements with non-mark-to-market collateral provisions $ 2,036,597 $ 2,036,597 $ 2,036,597 Agreements with mark-to-market collateral provisions 1,656,248 1,656,248 1,656,248 Senior secured credit agreement 500,000 480,959 480,959 Other 27,000 18,360 20,520 Total Financing agreements, at fair value $ 4,219,845 $ 4,192,164 $ 4,194,324 Other financing agreements Securitized debt $ 498,136 $ 495,582 Convertible senior notes 230,000 224,563 Senior notes 100,000 96,887 Total Financing agreements at carrying value $ 828,136 $ 817,032 Total Financing agreements $ 5,047,981 $ 5,011,356 (1) Financing agreements at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. Other financing arrangements are reported at their carrying value (amortized cost basis) as the fair value option was not elected on these liabilities. Consequently, Total Financing agreements as presented reflects a summation of balances reported at fair value and carrying value. Set out below is information about the Company’s Financing agreements that existed as of December 31, 2019 . During the second quarter of 2020, outstanding repurchase agreement transactions at that time were renegotiated as part of a reinstatement agreement that was entered into by the Company on June 26, 2020. The Company elected to account for these reinstated transactions under the fair value option from the time these repurchase agreements were reinstated. Accordingly, as of June 30, 2020 such liabilities are reported as Financing agreements at fair value. December 31, 2019 (In Thousands) Unpaid Principal Balance Carrying Value Repurchase agreements $ 9,140,944 $ 9,139,821 Securitized debt 573,900 570,952 Convertible senior notes 230,000 223,971 Senior notes 100,000 96,862 Total Financing agreements at carrying value $ 10,044,844 $ 10,031,606
Financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral	The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at June 30, 2020 and December 31, 2019 : (Dollars in Thousands) June 30, December 31, Non-mark-to-market financing secured by residential whole loans at carrying value $ 1,778,845 $ — Fair value of residential whole loans at carrying value pledged as collateral under financing agreements $ 2,668,741 $ — Weighted average haircut on residential whole loans at carrying value 34.29 % — % Non-mark-to-market financing secured by residential whole loans at fair value $ 257,752 $ — Fair value of residential whole loans at fair value pledged as collateral under financing agreements $ 425,673 $ — Weighted average haircut on residential whole loans at fair value 32.80 % — %
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 financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at June 30, 2020 and December 31, 2019 : (Dollars in Thousands) June 30, December 31, Mark-to-market financing agreements secured by residential whole loans (1) $ 1,386,592 $ 4,743,094 Fair value of residential whole loans pledged as collateral under financing agreements (2) $ 2,166,740 $ 5,986,267 Weighted average haircut on residential whole loans (3) 33.81 % 20.07 % Mark-to-market financing agreement borrowings secured by Agency MBS $ — $ 1,557,675 Fair value of Agency MBS pledged as collateral under financing agreements $ — $ 1,656,373 Weighted average haircut on Agency MBS (3) — % 4.46 % Mark-to-market financing agreement borrowings secured by Legacy Non-Agency MBS $ 1,282 $ 1,121,802 Fair value of Legacy Non-Agency MBS pledged as collateral under financing agreements $ 2,564 $ 1,420,797 Weighted average haircut on Legacy Non-Agency MBS (3) 50.00 % 20.27 % Mark-to-market financing agreement borrowings secured by RPL/NPL MBS $ 29,785 $ 495,091 Fair value of RPL/NPL MBS pledged as collateral under financing agreements $ 51,540 $ 635,005 Weighted average haircut on RPL/NPL MBS (3) 38.10 % 21.52 % Mark-to-market financing agreements secured by CRT securities $ 54,469 $ 203,569 Fair value of CRT securities pledged as collateral under financing agreements $ 94,106 $ 252,175 Weighted average haircut on CRT securities (3) 42.40 % 18.84 % Mark-to-market financing agreements secured by MSR-related assets $ 146,642 $ 962,515 Fair value of MSR-related assets pledged as collateral under financing agreements $ 255,035 $ 1,217,002 Weighted average haircut on MSR-related assets (3) 38.24 % 21.18 % Mark-to-market financing agreements secured by other interest-earning assets $ 37,478 $ 57,198 Fair value of other interest-earning assets pledged as collateral under financing agreements $ 48,471 $ 61,708 Weighted average haircut on other interest-earning assets (3) 20.00 % 22.01 % (1) Excludes $0 and $1.1 million of unamortized debt issuance costs at June 30, 2020 and December 31, 2019 , respectively. (2) At June 30, 2020 and December 31, 2019 , includes RPL/NPL MBS with an aggregate fair value of $179.1 million and $238.8 million , respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. (3) 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 (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at June 30, 2020 and December 31, 2019 : June 30, 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 $ 3,367,675 3.52 % $ 4,472,120 2.55 % Over 30 days to 3 months 266,837 3.83 2,746,384 3.43 Over 3 months to 12 months 58,333 4.40 1,014,441 3.36 Over 12 months — — 907,999 3.44 Total financing agreements $ 3,692,845 3.55 % $ 9,140,944 2.99 % Less debt issuance costs — 1,123 Total financing agreements less debt issuance costs $ 3,692,845 $ 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 financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at June 30, 2020 : June 30, 2020 Counterparty Rating (1) Amount at Risk (2) Weighted Average Months to Repricing for Repurchase Agreements Percent of Stockholders’ Equity Counterparty (Dollars in Thousands) Barclays Bank BBB/Aa3/A $ 857,112 1 34.0 % Credit Suisse BBB+/Baa2/A- 639,993 1 25.4 Wells Fargo (3) A+/Aa2/AA- 377,036 0 15.0 Athene (4) BBB+/N/A/BBB+ 171,786 1 6.8 Goldman Sachs (5) BBB+/A3/A 162,224 3 6.4 (1) As rated at June 30, 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 financing 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) Includes $367.0 million at risk with Wells Fargo Bank, NA and approximately $10.1 million at risk with Wells Fargo Securities LLC. (4) Includes amounts at risk with various Athene affiliates that collectively exceed 5% of stockholders’ equity. (5) Includes $20.4 million at risk with Goldman Sachs and $141.8 million at risk with Goldman Sachs Bank USA.

Other Liabilities (Tables)

Other Liabilities (Tables)	6 Months Ended
	Jun. 30, 2020
Other Liabilities [Abstract]
Other Liabilities	The following table presents the components of the Company’s Other liabilities at June 30, 2020 and December 31, 2019 : (In Thousands) June 30, 2020 December 31, 2019 Dividends and dividend equivalents payable $ — $ 90,749 Accrued interest payable 7,165 18,238 Accrued expenses and other 27,836 42,819 Total Other Liabilities $ 35,001 $ 151,806

Stockholders' Equity (Tables)

Stockholders' Equity (Tables)	6 Months Ended
	Jun. 30, 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 and six months ended June 30, 2020 : Three Months Ended Six Months Ended (In Thousands) Net Unrealized Gain/(Loss) on AFS Securities Net (Loss) on Swaps Total AOCI Net Unrealized Net Gain/(Loss) on Swaps Total AOCI Balance at beginning of period $ 148,910 $ (71,208 ) $ 77,702 $ 392,722 $ (22,675 ) $ 370,047 OCI before reclassifications 48,715 — 48,715 393,503 (50,126 ) 343,377 Amounts reclassified from AOCI (1) (144,736 ) 64,032 (80,704 ) (733,336 ) 65,625 (667,711 ) Net OCI during the period (2) (96,021 ) 64,032 (31,989 ) (339,833 ) 15,499 (324,334 ) Balance at end of period $ 52,889 $ (7,176 ) $ 45,713 $ 52,889 $ (7,176 ) $ 45,713 (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 and six months ended June 30, 2019 : Three Months Ended Six Months Ended (In Thousands) Net Unrealized Gain/(Loss) on AFS Securities Net Gain on Swaps Total AOCI Net Unrealized Gain/(Loss) on AFS Securities Net (Loss)/Gain on Swaps Total AOCI Balance at beginning of period $ 422,261 $ (7,665 ) $ 414,596 $ 417,167 $ 3,121 $ 420,288 OCI before reclassifications 24,008 (19,706 ) 4,302 44,307 (30,151 ) 14,156 Amounts reclassified from AOCI (1) (6,371 ) (743 ) (7,114 ) (21,576 ) (1,084 ) (22,660 ) Net OCI during the period (2) 17,637 (20,449 ) (2,812 ) 22,731 (31,235 ) (8,504 ) Balance at end of period $ 439,898 $ (28,114 ) $ 411,784 $ 439,898 $ (28,114 ) $ 411,784 (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 and six months ended June 30, 2020 : Three Months Ended Six 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 $ (144,736 ) $ (389,067 ) 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 $ (144,736 ) $ (733,336 ) Swaps designated as cash flow hedges: Reclassification adjustment for losses related to hedging instruments included in net income 64,032 65,625 Other, net Total Swaps designated as cash flow hedges $ 64,032 $ 65,625 Total reclassifications for period $ (80,704 ) $ (667,711 ) The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three and six months ended June 30, 2019 : Three Months Ended Six 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 $ (6,371 ) $ (21,576 ) Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans Total AFS Securities $ (6,371 ) $ (21,576 ) Amortization of de-designated hedging instruments (743 ) (1,084 ) Total reclassifications for period $ (7,114 ) $ (22,660 )

EPS Calculation (Tables)

EPS Calculation (Tables)	6 Months Ended
	Jun. 30, 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 earnings/(loss) and shares used in calculating basic and diluted earnings/(loss) per share for the three and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands, Except Per Share Amounts) 2020 2019 2020 2019 Basic Earnings/(Loss) per Share: Net income/(loss) to common stockholders $ 96,578 $ 93,040 $ (812,417 ) $ 181,897 Dividends declared on preferred stock (8,144 ) (3,750 ) (13,359 ) (7,500 ) Dividends, dividend equivalents and undistributed earnings allocated to participating securities (297 ) (276 ) — (532 ) Net income/(loss) to common stockholders - basic $ 88,137 $ 89,014 $ (825,776 ) $ 173,865 Basic weighted average common shares outstanding 453,205 450,538 453,092 450,449 Basic Earnings/(Loss) per Share $ 0.19 $ 0.20 $ (1.82 ) $ 0.39 Diluted Earnings/(Loss) per Share: Net income/(loss) to common stockholders - basic $ 88,137 $ 89,014 (825,776 ) 173,865 Interest expense on Convertible Senior Notes 3,893 1,206 — 1,206 Net income/(loss) to common stockholders - diluted $ 92,030 $ 90,220 $ (825,776 ) $ 175,071 Basic weighted average common shares outstanding 453,205 450,538 453,092 450,449 Effect of assumed Convertible Senior Notes conversion to common shares 28,920 8,898 — 4,474 Effect of Warrants 375 — — — Diluted weighted average common shares outstanding (1) 482,500 459,436 453,092 454,923 Diluted Earnings/(Loss) per Share $ 0.19 $ 0.20 $ (1.82 ) $ 0.38 (1) At June 30, 2020 , the Company had approximately 38.6 million equity instruments outstanding that were not included in the calculation of diluted EPS for the six months ended June 30, 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 $7.63 and approximately 37.0 million warrants with a weighted average exercise price of $1.87

Equity Compensation, Employme_2

Equity Compensation, Employment Agreements and Other Benefit Plans (Tables)	6 Months Ended
	Jun. 30, 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 and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands) 2020 2019 2020 2019 RSUs $ 1,554 $ 2,439 $ 2,827 $ 3,436 Total $ 1,554 $ 2,439 $ 2,827 $ 3,436
Schedule of expenses related to deferred compensation plans	The following table presents the Company’s expenses related to its Deferred Plans for the three and six months ended June 30, 2020 and 2019 : Three Months Ended Six Months Ended (In Thousands) 2020 2019 2020 2019 Non-employee directors $ 347 $ 39 $ (1,558 ) $ 325 Total $ 347 $ 39 $ (1,558 ) $ 325
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 June 30, 2020 and December 31, 2019 that had not been distributed and the Company’s associated liability for such deferrals at June 30, 2020 and December 31, 2019 : June 30, 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 $ 1,975 $ 940 $ 2,349 $ 3,071 Total $ 1,975 $ 940 $ 2,349 $ 3,071 (1) Represents the cumulative amounts that were deferred by participants through June 30, 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)	6 Months Ended
	Jun. 30, 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 June 30, 2020 and December 31, 2019 : June 30, 2020 (Dollars in Thousands) Fair Value (1) Valuation Technique Unobservable Input Weighted Average (2) Range Residential whole loans, at fair value $ 677,172 Discounted cash flow Discount rate 4.7 % 4.2-8.0% Prepayment rate 3.8 % 0.0-8.0% Default rate 5.5 % 0.0-34.1% Loss severity 12.8 % 0.0-100.0% $ 523,535 Liquidation model Discount rate 8.1 % 6.6-50.0% Annual change in home prices 0.2 % (4.0)-6.9% Liquidation timeline (in years) 2.0 0.8-4.8 Current value of underlying properties (3) $ 698 $5-$4,500 Total $ 1,200,707 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 $274,000 and $470,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at June 30, 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 $375,000 and $365,000 as of June 30, 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 June 30, 2020 and December 31, 2019 , on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at June 30, 2020 (In Thousands) Level 1 Level 2 Level 3 Total Assets: Residential whole loans, at fair value $ — $ — $ 1,200,981 $ 1,200,981 Non-Agency MBS — 54,237 — 54,237 CRT securities — 94,106 — 94,106 Term notes backed by MSR-related collateral — 224,782 — 224,782 Total assets carried at fair value $ — $ 373,125 $ 1,200,981 $ 1,574,106 Liabilities: Agreements with non-mark-to-market collateral provisions $ — $ 2,036,597 $ — $ 2,036,597 Agreements with mark-to-market collateral provisions — 1,656,248 — 1,656,248 Senior secured credit agreement — 480,959 — 480,959 Other — 20,520 — 20,520 Total liabilities carried at fair value $ — $ 4,194,324 $ — $ 4,194,324 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 and six months ended June 30, 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 June 30, Six Months Ended June 30, (In Thousands) 2020 2019 (1) 2020 2019 (1) Balance at beginning of period $ 1,243,792 $ 1,512,337 $ 1,381,583 $ 1,471,263 Purchases and capitalized advances (2) 4,679 5,299 8,198 135,388 Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings 2,010 21,188 (72,546 ) 20,128 Collection of principal, net of liquidation gains/(losses) (28,608 ) (43,072 ) (52,412 ) (74,823 ) Sales and repurchases (18,225 ) (898 ) (18,530 ) (1,216 ) Transfer to REO (2,667 ) (56,027 ) (45,312 ) (111,913 ) Balance at end of period $ 1,200,981 $ 1,438,827 $ 1,200,981 $ 1,438,827 (1) Excludes approximately $87.0 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of June 30, 2019 . (2) Included in the activity presented for the six months ended June 30, 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 and six months ended June 30, 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 June 30, Six Months Ended June 30, (In Thousands) 2019 2019 Balance at beginning of period $ 753,594 $ 538,499 Purchases 353,970 573,136 Collection of principal (4,392 ) (8,976 ) Changes in unrealized gains 2,854 3,367 Balance at end of period $ 1,106,026 $ 1,106,026
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 June 30, 2020 and December 31, 2019 : June 30, 2020 June 30, 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 3 $ 4,676,530 $ 4,651,188 $ 6,069,370 $ 6,248,745 Residential whole loans, at fair value 3 1,200,981 1,200,981 1,381,583 1,381,583 Non-Agency MBS 2 54,237 54,237 2,063,529 2,063,529 Agency MBS 2 — — 1,664,582 1,664,582 CRT securities 2 94,106 94,106 255,408 255,408 MSR-related assets (1) 2 and 3 254,228 255,036 1,217,002 1,217,002 Cash and cash equivalents 1 666,172 666,172 70,629 70,629 Restricted cash 1 7,680 7,680 64,035 64,035 Financial Liabilities (2) : Financing agreements with non-mark-to-market collateral provisions 2 2,036,597 2,036,597 — — Financing agreements with mark-to-market collateral provisions 2 1,656,248 1,656,248 9,139,821 9,156,209 Senior secured credit agreement 2 480,959 480,959 — — Securitized debt 2 516,102 498,114 570,952 575,353 Convertible senior notes 2 224,563 202,465 223,971 244,088 Senior notes 1 96,887 89,551 96,862 103,231 (1) Includes $29.4 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 June 30, 2020 and December 31, 2019 , respectively. (2) 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)	6 Months Ended
	Jun. 30, 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 June 30, 2020 and December 31, 2019 : (Dollars in Thousands) June 30, 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 $ 829,817 $ 802,817 Outstanding amount of Senior Bonds, at carrying value $ 495,582 (1) $ 570,952 (1) Outstanding amount of Senior Bonds, at fair value $ 20,520 $ — Weighted average fixed rate for Senior Bonds issued 3.79 % (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) $ 248,174 $ 275,174 Cash received $ 821,175 $ 802,815 (1) Net of $2.5 million and $2.9 million of deferred financing costs at June 30, 2020 and December 31, 2019 , respectively. (2) At June 30, 2020 and December 31, 2019 , $451.7 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 or more 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)	6 Months Ended
	Jun. 30, 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)	6 Months Ended
	Jun. 30, 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	Jun. 30, 2020	Dec. 31, 2019
Accounting Policies [Abstract]
Cash and cash equivalents	$ 666,172	$ 70,629
Overnight money market funds	613,400	39,600
Restricted cash	$ 7,680	$ 64,035

Summary of Significant Accoun_6

Summary of Significant Accounting Policies (Depreciation) (Details)	6 Months Ended
	Jun. 30, 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)	Jun. 30, 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)	6 Months Ended
	Jun. 30, 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, 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 ($)	6 Months Ended
	Jun. 30, 2020	Jun. 30, 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	$ 76,300,000

Summary of Significant Accou_11

Summary of Significant Accounting Policies (Accounting Standards Adopted in 2020) (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Mar. 31, 2020	Jan. 01, 2020	Dec. 31, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Allowance for loan loss	$ 136,589	$ 218,011		$ 3,025	$ 1,986	$ 1,651	$ 968
Cumulative Effect, Period of Adoption, Adjustment
New Accounting Pronouncements or Change in Accounting Principle [Line Items]
Allowance for loan loss			$ 8,300

Residential Whole Loans (Narrat

Residential Whole Loans (Narrative) (Details) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Mar. 31, 2020	Jun. 30, 2020	Dec. 31, 2019
Receivables [Abstract]
Total residential whole loans	$ 5,900,000,000		$ 5,900,000,000	$ 7,400,000,000
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loss on sale of financing receivable	(800,000)
Valuation allowance adjustment	70,181,000	$ (70,181,000)
Unpaid principal balance of loans	24,100,000		24,100,000
Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, sale	955,400,000		1,800,000,000
Realized loss on sale of financing receivable	(127,200,000)
Loss on sale of financing receivable			273,000,000
Valuation allowance adjustment	70,181,000	(70,181,000)
Purchased Performing Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Financing receivable, nonaccrual	171,600,000		171,600,000	$ 99,900,000
Purchased Credit Deteriorated Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Valuation allowance adjustment	0	$ 0
Financing receivable, nonaccrual	122,000,000		122,000,000
Interest income			$ 0
Non-QM Loans Related to Reversed Valuation Allowance
Accounts, Notes, Loans and Financing Receivable [Line Items]
Loss on sale of financing receivable	$ (57,000,000)

Residential Whole Loans (Reside

Residential Whole Loans (Residential Whole Loans, at Carrying Value) (Details) $ in Thousands		Jun. 30, 2020USD ($)loan	Jan. 01, 2020USD ($)	Dec. 31, 2019USD ($)loan
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans		$ 4,086,606		$ 5,370,653
Purchased Credit Deteriorated Loans		726,513		698,717
Total Residential whole loans, at carrying value	[1]	4,813,119		6,069,370
Allowance for credit losses on residential whole loans held at carrying value		(136,589)		(3,025)
Total Residential whole loans at carrying value, net		$ 4,676,530		$ 6,066,345
Number of loans | loan		14,689		17,082
Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans		$ 2,574,184		$ 3,707,245
Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans		862,895		1,026,097
Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans		494,248		460,742
Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans		$ 155,279		$ 176,569
Cumulative Effect, Period of Adoption, Adjustment
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Credit Deteriorated Loans			$ 62,600
[1]	Includes approximately $181.4 million and $186.4 million of Residential whole loans, at carrying value and $506.7 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at June 30, 2020 and December 31, 2019 , respectively. Such assets can be used only to settle the obligations of each respective VIE.

Residential Whole Loans (Intere

Residential Whole Loans (Interest Income Components) (Details) - Residential whole loans - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	$ 69,427	$ 57,879	$ 152,913	$ 107,499
Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	37,259	26,578	86,329	48,992
Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	13,312	13,256	28,639	23,189
Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	7,268	3,926	14,611	6,627
Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	2,253	3,122	4,853	6,295
Purchased Performing Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	60,092	46,882	134,432	85,103
Purchased credit impaired loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Interest income	$ 9,335	$ 10,997	$ 18,481	$ 22,396

Residential Whole Loans (Resi_2

Residential Whole Loans (Residential Whole Loans, at Carrying Value - Additional Information) (Details) - USD ($) $ in Thousands	6 Months Ended		12 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans	$ 4,086,606		$ 5,370,653
Purchased Credit Deteriorated Loans	726,513		698,717
Residential whole loans, at carrying value, total or weighted average	$ 4,813,119
Weighted Average LTV Ratio	80.00%
Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans	$ 2,574,184		3,707,245
Residential whole loans, at carrying value, total or weighted average	2,574,184
Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans	862,895		1,026,097
Residential whole loans, at carrying value, total or weighted average	862,895
Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans	494,248		460,742
Residential whole loans, at carrying value, total or weighted average	494,248
Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans	155,279		176,569
Residential whole loans, at carrying value, total or weighted average	$ 155,279
90 or more
Accounts, Notes, Loans and Financing Receivable [Line Items]
Weighted Average LTV Ratio	88.06%	89.69%
Settled Whole Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Residential whole loans, at carrying value, total or weighted average	$ 4,676,530		6,066,345
Amortized Cost Basis	4,813,119		6,069,370
Unpaid Principal Balance (“UPB”)	$ 4,862,531		$ 6,141,421
Weighted Average Coupon	5.86%		5.96%
Weighted Average Term to Maturity (Months)	272 months		288 months
Settled Whole Loans | Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans	$ 2,542,831		$ 3,706,857
Amortized Cost Basis	2,574,184		3,707,245
Unpaid Principal Balance (“UPB”)	$ 2,501,547		$ 3,592,701
Weighted Average Coupon	5.87%		5.96%
Weighted Average Term to Maturity (Months)	354 months		368 months
Weighted Average LTV Ratio	64.00%		67.00%
Weighted Average FICO Scores	712		716
Settled Whole Loans | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans	$ 832,895		$ 1,023,766
Amortized Cost Basis	862,895		1,026,097
Unpaid Principal Balance (“UPB”)	$ 862,895		$ 1,026,097
Weighted Average Coupon	7.26%		7.30%
Weighted Average Term to Maturity (Months)	6 months		8 months
Weighted Average LTV Ratio	63.00%		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	$ 487,317		$ 460,679
Amortized Cost Basis	494,248		460,741
Unpaid Principal Balance (“UPB”)	$ 489,947		$ 457,146
Weighted Average Coupon	6.28%		6.29%
Weighted Average Term to Maturity (Months)	321 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	$ 155,055		$ 176,569
Amortized Cost Basis	155,279		176,569
Unpaid Principal Balance (“UPB”)	$ 169,469		$ 192,151
Weighted Average Coupon	3.76%		4.24%
Weighted Average Term to Maturity (Months)	176 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	$ 658,432		$ 698,474
Amortized Cost Basis	726,513		698,718
Unpaid Principal Balance (“UPB”)	$ 838,673		$ 873,326
Weighted Average Coupon	4.46%		4.46%
Weighted Average Term to Maturity (Months)	291 months		294 months
Weighted Average LTV Ratio	79.00%		81.00%
Settled Whole Loans | Certain Rehabilitation Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Purchased Performing Loans	$ 280,600		$ 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]
Amortized Cost Basis	$ 2,502,521		$ 3,492,533
Settled Whole Loans | Current | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	620,315		868,281
Settled Whole Loans | Current | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	444,308		432,936
Settled Whole Loans | Current | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	150,800		187,683
Settled Whole Loans | 30-59 | Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	24,927		59,963
Settled Whole Loans | 30-59 | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	60,762		67,747
Settled Whole Loans | 30-59 | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	25,428		15,948
Settled Whole Loans | 30-59 | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	1,740		2,164
Settled Whole Loans | 60-89 | Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	23,192		19,605
Settled Whole Loans | 60-89 | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	65,226		27,437
Settled Whole Loans | 60-89 | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	12,730		2,047
Settled Whole Loans | 60-89 | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	442		430
Settled Whole Loans | 90 or more | Non-QM Loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	23,544		20,600
Settled Whole Loans | 90 or more | Rehabilitation loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	116,592		62,632
Settled Whole Loans | 90 or more | Single-family rental loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	11,782		6,215
Settled Whole Loans | 90 or more | Seasoned performing loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	2,297		1,874
Settled Whole Loans | 90 or more | Purchased credit impaired loans
Accounts, Notes, Loans and Financing Receivable [Line Items]
Amortized Cost Basis	$ 105,536		$ 108,998

Residential Whole Loans (Allowa

Residential Whole Loans (Allowance for Credit Losses) (Details) - USD ($) $ in Thousands	3 Months Ended				6 Months Ended
	Jun. 30, 2020	Mar. 31, 2020	Jun. 30, 2019	Mar. 31, 2019	Jun. 30, 2020
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Allowance for credit losses at December 31, 2019	$ 218,011	$ 3,025	$ 1,651	$ 968	$ 3,025
Transition adjustment on adoption of ASU 2016-13		70,555			70,600
Current provision	(10,614)	74,897	385	683
Write-offs	(627)	(647)	(50)	0	(1,274)
Valuation adjustment on loans held for sale	(70,181)	70,181
Allowance for credit and valuation losses at March 31, 2020	136,589	218,011	1,986	1,651	136,589
Residential whole loans, at carrying value	4,813,119				4,813,119
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 December 31, 2019	103,831	388	0	0	388
Transition adjustment on adoption of ASU 2016-13		6,904
Current provision	(2,297)	26,358	0	0
Write-offs	0	0	0	0
Valuation adjustment on loans held for sale	(70,181)	70,181
Allowance for credit and valuation losses at March 31, 2020	31,353	103,831	0	0	31,353
Rehabilitation loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Allowance for credit losses at December 31, 2019	35,633	2,331	500	0	2,331
Transition adjustment on adoption of ASU 2016-13		517
Current provision	(5,213)	33,213	0	500
Write-offs	(420)	(428)	(50)	0
Valuation adjustment on loans held for sale	0	0
Allowance for credit and valuation losses at March 31, 2020	30,000	35,633	450	500	30,000
Residential whole loans, at carrying value	181,800				181,800
Single-family rental loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Allowance for credit losses at December 31, 2019	7,431	62	0	0	62
Transition adjustment on adoption of ASU 2016-13		754
Current provision	(500)	6,615	0	0
Write-offs	0	0	0	0
Valuation adjustment on loans held for sale	0	0
Allowance for credit and valuation losses at March 31, 2020	6,931	7,431	0	0	6,931
Seasoned performing loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Allowance for credit losses at December 31, 2019	249	0	0	0	0
Transition adjustment on adoption of ASU 2016-13		19
Current provision	(25)	230	0	0
Write-offs	0	0	0	0
Valuation adjustment on loans held for sale	0	0
Allowance for credit and valuation losses at March 31, 2020	224	249	0	0	224
Purchased Credit Deteriorated Loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Allowance for credit losses at December 31, 2019	70,867	244	1,151	968	244
Transition adjustment on adoption of ASU 2016-13		62,361
Current provision	(2,579)	8,481	385	183
Write-offs	(207)	(219)	0	0
Valuation adjustment on loans held for sale	0	0
Allowance for credit and valuation losses at March 31, 2020	68,081	$ 70,867	$ 1,536	$ 1,151	68,081
Residential whole loans, at carrying value	100,000				100,000
Unfunded Loan Commitment
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Allowance for credit and valuation losses at March 31, 2020	2,100				2,100
Commitment to lend, unfunded	94,500				94,500
Non-QM Loans
Financing Receivable, Allowance for Credit Loss [Roll Forward]
Residential whole loans, at carrying value	$ 2,574,184				$ 2,574,184

Residential Whole Loans (Additi

Residential Whole Loans (Additional Credit Related Information) (Details) - USD ($) $ in Thousands	3 Months Ended				6 Months Ended	12 Months Ended
	Jun. 30, 2020	Mar. 31, 2020	Jun. 30, 2019	Mar. 31, 2019	Jun. 30, 2020	Dec. 31, 2019
Financing Receivable, Credit Quality Indicator [Line Items]
2020	$ 475,278				$ 475,278
2019	2,293,936				2,293,936
2018	1,039,676				1,039,676
2017	115,203				115,203
2016	14,905				14,905
Prior	874,121				874,121
Residential whole loans, at carrying value, total or weighted average	4,813,119				4,813,119
Gross write-offs, 2018					816
Gross write-offs, prior					426
Net write-offs, 2018					816
Net write-offs, 2018					426
Six Months Ended June 30, 2020 Gross write-offs	627	$ 647	$ 50	$ 0	1,274
Total Recoveries					0
Six Months Ended June 30, 2020 Net write-offs					1,274
Purchased Performing Loans	4,086,606				$ 4,086,606	$ 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	441,656				$ 441,656
2019	2,220,700				2,220,700
2018	1,006,151				1,006,151
2017	103,797				103,797
2016	11,278				11,278
Prior	576,468				576,468
Residential whole loans, at carrying value, total or weighted average	4,360,050				4,360,050
Debt-to-Value Ratio, 80 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2020	33,622				33,622
2019	73,236				73,236
2018	33,525				33,525
2017	11,406				11,406
2016	3,627				3,627
Prior	297,653				297,653
Residential whole loans, at carrying value, total or weighted average	453,069				453,069
Non-QM Loans
Financing Receivable, Credit Quality Indicator [Line Items]
2020	403,761				403,761
2019	1,305,594				1,305,594
2018	766,133				766,133
2017	90,825				90,825
2016	7,871				7,871
Prior	0				0
Residential whole loans, at carrying value, total or weighted average	2,574,184				2,574,184
Purchased Performing Loans	2,574,184				2,574,184	3,707,245
Non-QM Loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2020	375,156				375,156
2019	1,265,076				1,265,076
2018	733,368				733,368
2017	81,119				81,119
2016	7,718				7,718
Prior	0				0
Residential whole loans, at carrying value, total or weighted average	2,462,437				2,462,437
Non-QM Loans | Debt-to-Value Ratio, 80 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2020	28,605				28,605
2019	40,518				40,518
2018	32,765				32,765
2017	9,706				9,706
2016	153				153
Prior	0				0
Residential whole loans, at carrying value, total or weighted average	111,747				111,747
Rehabilitation loans
Financing Receivable, Credit Quality Indicator [Line Items]
2020	47,361				47,361
2019	676,368				676,368
2018	129,325				129,325
2017	9,841				9,841
2016	0				0
Prior	0				0
Residential whole loans, at carrying value, total or weighted average	862,895				862,895
Gross write-offs, 2018					816
Gross write-offs, prior					0
Net write-offs, 2018					816
Net write-offs, 2018					0
Six Months Ended June 30, 2020 Gross write-offs					848
Six Months Ended June 30, 2020 Net write-offs					848
Purchased Performing Loans	862,895				862,895	1,026,097
Rehabilitation loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2020	43,735				43,735
2019	659,139				659,139
2018	128,777				128,777
2017	8,141				8,141
2016	0				0
Prior	0				0
Residential whole loans, at carrying value, total or weighted average	839,792				839,792
Rehabilitation loans | Debt-to-Value Ratio, 80 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2020	3,626				3,626
2019	17,229				17,229
2018	548				548
2017	1,700				1,700
2016	0				0
Prior	0				0
Residential whole loans, at carrying value, total or weighted average	23,103				23,103
Single-family rental loans
Financing Receivable, Credit Quality Indicator [Line Items]
2020	24,156				24,156
2019	311,974				311,974
2018	144,218				144,218
2017	13,900				13,900
2016	0				0
Prior	0				0
Residential whole loans, at carrying value, total or weighted average	494,248				494,248
Purchased Performing Loans	494,248				494,248	460,742
Single-family rental loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2020	22,765				22,765
2019	296,485				296,485
2018	144,006				144,006
2017	13,900				13,900
2016	0				0
Prior	0				0
Residential whole loans, at carrying value, total or weighted average	477,156				477,156
Single-family rental loans | Debt-to-Value Ratio, 80 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2020	1,391				1,391
2019	15,489				15,489
2018	212				212
2017	0				0
2016	0				0
Prior	0				0
Residential whole loans, at carrying value, total or weighted average	17,092				17,092
Seasoned performing loans
Financing Receivable, Credit Quality Indicator [Line Items]
2020	0				0
2019	0				0
2018	0				0
2017	0				0
2016	80				80
Prior	155,199				155,199
Residential whole loans, at carrying value, total or weighted average	155,279				155,279
Purchased Performing Loans	155,279				155,279	176,569
Seasoned performing loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2020	0				0
2019	0				0
2018	0				0
2017	0				0
2016	80				80
Prior	147,302				147,302
Residential whole loans, at carrying value, total or weighted average	147,382				147,382
Seasoned performing loans | Debt-to-Value Ratio, 80 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2020	0				0
2019	0				0
2018	0				0
2017	0				0
2016	0				0
Prior	7,897				7,897
Residential whole loans, at carrying value, total or weighted average	7,897				7,897
Purchased Credit Deteriorated Loans
Financing Receivable, Credit Quality Indicator [Line Items]
2020	0				0
2019	0				0
2018	0				0
2017	637				637
2016	6,954				6,954
Prior	718,922				718,922
Residential whole loans, at carrying value, total or weighted average	726,513				726,513
Gross write-offs, prior					426
Net write-offs, 2018					426
Six Months Ended June 30, 2020 Gross write-offs					426
Total Recoveries					0
Six Months Ended June 30, 2020 Net write-offs					426
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, Less than 80 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2020	0				0
2019	0				0
2018	0				0
2017	637				637
2016	3,480				3,480
Prior	429,166				429,166
Residential whole loans, at carrying value, total or weighted average	433,283				433,283
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, 80 to 100 Percent
Financing Receivable, Credit Quality Indicator [Line Items]
2020	0				0
2019	0				0
2018	0				0
2017	0				0
2016	3,474				3,474
Prior	289,756				289,756
Residential whole loans, at carrying value, total or weighted average	293,230				293,230
Settled Whole Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Residential whole loans, at carrying value, total or weighted average	4,676,530				4,676,530	6,066,345
Settled Whole Loans | Non-QM Loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased Performing Loans	2,542,831				$ 2,542,831	$ 3,706,857
Ratio Loan-To-Value					64.00%	67.00%
Settled Whole Loans | Rehabilitation loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased Performing Loans	832,895				$ 832,895	$ 1,023,766
Ratio Loan-To-Value					63.00%	64.00%
Settled Whole Loans | Single-family rental loans
Financing Receivable, Credit Quality Indicator [Line Items]
Purchased Performing Loans	487,317				$ 487,317	$ 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	155,055				$ 155,055	$ 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	$ 280,600				$ 280,600	$ 269,200
Ratio Loan-To-Value					68.00%	69.00%

Residential Whole Loans (Fair V

Residential Whole Loans (Fair Value) (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2020USD ($)loan	Jun. 30, 2019loan	Dec. 31, 2019USD ($)
Accounts, Notes, Loans and Financing Receivable [Line Items]
Weighted Average LTV Ratio	80.00%
Total Residential whole loans, at fair value	$ 1,200,981		$ 1,381,583
Less than 60 Days Past Due:
Accounts, Notes, Loans and Financing Receivable [Line Items]
Outstanding principal balance	593,389		666,026
Aggregate fair value	$ 545,953		641,616
Weighted Average LTV Ratio	74.64%	76.69%
Number of loans | loan	2,981	3,159
60 Days to 89 Days Past Due:
Accounts, Notes, Loans and Financing Receivable [Line Items]
Outstanding principal balance	$ 79,684		58,160
Aggregate fair value	$ 69,303		53,485
Weighted Average LTV Ratio	82.43%	79.48%
Number of loans | loan	342	313
90 Days or More Past Due:
Accounts, Notes, Loans and Financing Receivable [Line Items]
Outstanding principal balance	$ 694,590		767,320
Aggregate fair value	$ 585,725		$ 686,482
Weighted Average LTV Ratio	88.06%	89.69%
Number of loans | loan	2,642	2,983

Residential Whole Loans (Fair_2

Residential Whole Loans (Fair Value Components of Net Income) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Receivables [Abstract]
Coupon payments and other income received	$ 18,171	$ 24,007	$ 37,207	$ 45,763
Net unrealized gains/(losses)	2,010	21,188	(72,546)	20,128
Net gain on transfers to REO	139	6,278	2,899	10,849
Total	$ 20,320	$ 51,473	$ (32,440)	$ 76,740

Residential Mortgage Securiti_3

Residential Mortgage Securities and MSR-Related Assets (Narrative) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 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	$ (5,094)	$ 0	$ (424,745)	$ 0
Available-for-sale, unrealized loss position, accumulated loss	9,675		9,675
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)
Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Available-for-sale, unrealized loss position, accumulated loss	$ 6,372		$ 6,372
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 ($)	Jun. 30, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	$ 166,670,000	$ 4,044,818,000
Purchase Premiums	2,052,000	67,108,000
Accretable Purchase Discounts	(8,559,000)	(90,694,000)
Discount Designated as Credit Reserve and OTTI	(21,437,000)	(436,598,000)
Amortized Cost	138,726,000	3,585,248,000
Gross Unrealized Gains	19,292,000	417,089,000
Gross Unrealized Losses	(9,675,000)	(18,818,000)
Net Unrealized Gain/(Loss)	9,617,000	398,271,000
Fair Value	148,343,000	3,983,519,000
Principal payments receivable		614,000
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face		1,604,583,000
Purchase Premiums		62,790,000
Accretable Purchase Discounts		(22,000)
Discount Designated as Credit Reserve and OTTI		0
Amortized Cost		1,667,965,000
Gross Unrealized Gains		15,326,000
Gross Unrealized Losses		(18,709,000)
Net Unrealized Gain/(Loss)		(3,383,000)
Fair Value		1,664,582,000
Agency MBS | Fannie Mae
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face		1,119,708,000
Purchase Premiums		43,249,000
Accretable Purchase Discounts		(22,000)
Discount Designated as Credit Reserve and OTTI		0
Amortized Cost		1,162,935,000
Gross Unrealized Gains		9,799,000
Gross Unrealized Losses		(14,741,000)
Net Unrealized Gain/(Loss)		(4,942,000)
Fair Value		1,157,993,000
Agency MBS | Freddie Mac
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face		480,879,000
Purchase Premiums		19,468,000
Accretable Purchase Discounts		0
Discount Designated as Credit Reserve and OTTI		0
Amortized Cost		500,961,000
Gross Unrealized Gains		5,475,000
Gross Unrealized Losses		(3,968,000)
Net Unrealized Gain/(Loss)		1,507,000
Fair Value		502,468,000
Agency MBS | Ginnie Mae
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face		3,996,000
Purchase Premiums		73,000
Accretable Purchase Discounts		0
Discount Designated as Credit Reserve and OTTI		0
Amortized Cost		4,069,000
Gross Unrealized Gains		52,000
Gross Unrealized Losses		0
Net Unrealized Gain/(Loss)		52,000
Fair Value		4,121,000
Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	62,361,000	2,195,303,000
Purchase Premiums	0	0
Accretable Purchase Discounts	(8,430,000)	(90,617,000)
Discount Designated as Credit Reserve and OTTI	(669,000)	(436,598,000)
Amortized Cost	53,262,000	1,668,088,000
Gross Unrealized Gains	7,347,000	395,459,000
Gross Unrealized Losses	(6,372,000)	(18,000)
Net Unrealized Gain/(Loss)	975,000	395,441,000
Fair Value	54,237,000	2,063,529,000
Expected to Recover Par
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	59,512,000	722,477,000
Purchase Premiums	0	0
Accretable Purchase Discounts	(8,430,000)	(16,661,000)
Discount Designated as Credit Reserve and OTTI	0	0
Amortized Cost	51,082,000	705,816,000
Gross Unrealized Gains	6,962,000	19,861,000
Gross Unrealized Losses	(6,372,000)	(9,000)
Net Unrealized Gain/(Loss)	590,000	19,852,000
Fair Value	51,672,000	725,668,000
Expected to Recover Less Than Par
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	2,849,000	1,472,826,000
Purchase Premiums	0	0
Accretable Purchase Discounts	0	(73,956,000)
Discount Designated as Credit Reserve and OTTI	(669,000)	(436,598,000)
Amortized Cost	2,180,000	962,272,000
Gross Unrealized Gains	385,000	375,598,000
Gross Unrealized Losses	0	(9,000)
Net Unrealized Gain/(Loss)	385,000	375,589,000
Fair Value	$ 2,565,000	$ 1,337,861,000
Percentage of current face amount of Non-Agency MBS to be recovered	99.00%	80.00%
Total MBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face		$ 3,799,886,000
Purchase Premiums		62,790,000
Accretable Purchase Discounts		(90,639,000)
Discount Designated as Credit Reserve and OTTI		(436,598,000)
Amortized Cost		3,336,053,000
Gross Unrealized Gains		410,785,000
Gross Unrealized Losses		(18,727,000)
Net Unrealized Gain/(Loss)		392,058,000
Fair Value		3,728,111,000
CRT securities
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	$ 104,309,000	244,932,000
Purchase Premiums	2,052,000	4,318,000
Accretable Purchase Discounts	(129,000)	(55,000)
Discount Designated as Credit Reserve and OTTI	(20,768,000)	0
Amortized Cost	85,464,000	249,195,000
Gross Unrealized Gains	11,945,000	6,304,000
Gross Unrealized Losses	(3,303,000)	(91,000)
Net Unrealized Gain/(Loss)	8,642,000	6,213,000
Fair Value	94,106,000	255,408,000
RPL/NPL MBS
Debt Securities, Available-for-sale [Line Items]
Principal/ Current Face	59,400,000	632,300,000
Amortized Cost	51,000,000	631,800,000
Fair Value	51,500,000	635,000,000
CRT, Fair Value Option
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gains	495,000	6,300,000
Gross Unrealized Losses	(3,300,000)	(91,000)
Fair Value	$ 63,400,000	255,400,000
Agency MBS, Fair Value Option
Debt Securities, Available-for-sale [Line Items]
Gross Unrealized Gains		4,500,000
Gross Unrealized Losses		0
Debt securities, fair value option		$ 280,300,000

Residential Mortgage Securiti_5

Residential Mortgage Securities and MSR-Related Assets (Sale of MBS) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Debt Securities, Available-for-sale [Line Items]
Sales Proceeds	$ 1,798,101	$ 195,333	$ 3,062,742	$ 404,796
Gains/(Losses)	129,666	7,710	61,649	32,319
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Sales Proceeds	535,742	103,345	1,500,875	103,345
Gains/(Losses)	3,563	(2,272)	(19,291)	(2,272)
Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Sales Proceeds	1,054,980	70,818	1,318,842	196,912
Gains/(Losses)	151,095	8,823	107,951	26,976
CRT securities
Debt Securities, Available-for-sale [Line Items]
Sales Proceeds	207,379	21,170	243,025	104,539
Gains/(Losses)	$ (24,992)	$ 1,159	$ (27,011)	$ 7,615

Residential Mortgage Securiti_6

Residential Mortgage Securities and MSR-Related Assets (Unrealized Losses) (Details) $ in Thousands	Jun. 30, 2020USD ($)security	Dec. 31, 2019USD ($)
Fair Value
Less than 12 Months	$ 102,899
12 Months or more	0
Total	102,899
Unrealized Losses
Less than 12 Months	9,675
12 Months or more	0
Total	$ 9,675
Number of Securities
Less than 12 months (in security) | security	13
12 months or more (in security) | security	0
Available-for-sale securities	$ 148,343	$ 3,983,519
Gross unrealized losses	9,675	18,818
Non-Agency MBS
Fair Value
Less than 12 Months	43,422
12 Months or more	0
Total	43,422
Unrealized Losses
Less than 12 Months	6,372
12 Months or more	0
Total	$ 6,372
Number of Securities
Less than 12 months (in security) | security	5
12 months or more (in security) | security	0
Available-for-sale securities	$ 54,237	2,063,529
Gross unrealized losses	6,372	18
Expected to Recover Par
Fair Value
Less than 12 Months	43,422
12 Months or more	0
Total	43,422
Unrealized Losses
Less than 12 Months	6,372
12 Months or more	0
Total	$ 6,372
Number of Securities
Less than 12 months (in security) | security	5
12 months or more (in security) | security	0
Available-for-sale securities	$ 51,672	725,668
Gross unrealized losses	6,372	9
Total MBS
Fair Value
Less than 12 Months	43,422
12 Months or more	0
Total	43,422
Unrealized Losses
Less than 12 Months	6,372
12 Months or more	0
Total	$ 6,372
Number of Securities
Less than 12 months (in security) | security	5
12 months or more (in security) | security	0
Available-for-sale securities		3,728,111
Gross unrealized losses		18,727
CRT securities
Fair Value
Less than 12 Months	$ 59,477
12 Months or more	0
Total	59,477
Unrealized Losses
Less than 12 Months	3,303
12 Months or more	0
Total	$ 3,303
Number of Securities
Less than 12 months (in security) | security	8
12 months or more (in security) | security	0
Available-for-sale securities	$ 94,106	255,408
Gross unrealized losses	3,303	$ 91
CRT in Loss Positions Only, Fair Value Option
Number of Securities
Available-for-sale securities	59,500
Gross unrealized losses	$ 3,300

Residential Mortgage Securiti_7

Residential Mortgage Securities and MSR-Related Assets (Purchase Discounts) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Changes in the components of the purchase discount on Non-Agency MBS
Realized credit losses	$ 0	$ 0	$ (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	(389,472)	(501,619)	(436,598)	(516,116)
Impact of RMBS Issuer Settlement	0	0	0	0
Accretion of discount	0	0	0	0
Realized credit losses	1,409	9,917	5,868	17,420
Purchases	0	(624)	0	(624)
Sales/Redemptions	387,394	8,171	436,885	11,363
Net impairment losses recognized in earnings			(11,513)	0
Transfers/release of credit reserve	0	4,589	4,689	8,391
Balance at end of period	(669)	(479,566)	(669)	(479,566)
Accretable Discount | Non-Agency MBS
Changes in the components of the purchase discount on Non-Agency MBS
Balance at beginning of period	(90,968)	(130,147)	(90,617)	(155,025)
Impact of RMBS Issuer Settlement	0	(833)	0	(1,688)
Accretion of discount	932	14,551	10,820	27,858
Realized credit losses	0	0	0	0
Purchases	0	409	0	291
Sales/Redemptions	81,606	2,856	76,056	19,202
Net impairment losses recognized in earnings			0	0
Transfers/release of credit reserve	0	(4,589)	(4,689)	(8,391)
Balance at end of period	$ (8,430)	(117,753)	$ (8,430)	(117,753)
Jp Morgan Chase
Changes in the components of the purchase discount on Non-Agency MBS
Proceeds from legal settlements		$ 833		$ 1,700

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		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Debt Securities, Available-for-sale, Allowance for Credit Loss [Line Items]
Allowance for credit losses at beginning of period	$ 0	$ 0	$ 0	$ 0
Securities with no prior loss allowance	0	0	344,269,000	0
Securities with a prior loss allowance	0	0	0	0
Write-offs, including allowance related to securities the Company intends to sell	0	0	(344,269,000)	0
Allowance for credit losses at end of period	$ 0	$ 0	$ 0	$ 0

Residential Mortgage Securiti_9

Residential Mortgage Securities and MSR-Related Assets (MSR Related Assets - Narrative) (Details) - USD ($)	3 Months Ended	6 Months Ended	12 Months Ended
	Jun. 30, 2020	Jun. 30, 2020	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	$ 224,782,000	$ 224,782,000	$ 1,157,463,000
Amortized costs	184,300,000	184,300,000	1,200,000,000
Gross unrealized gains	40,500,000	$ 40,500,000	$ 5,200,000
Weighted average yield		12.87%	4.75%
Weighted average to maturity		9 years 8 months 12 days	5 years 3 months 18 days
Proceeds from sale of MSR	574,900,000	$ 711,700,000
Realized losses	53,300,000	28,700,000
Impairment		280,800,000
Corporate Loan
Debt Securities, Available-for-sale [Line Items]
Commitment to lend				$ 100,000,000
Amount drawn	$ 31,800,000	$ 31,800,000
Interest coupon rate	5.26%	5.26%
Debt term		2 months
Commitment period on undrawn amount		2 months
Minimum | Corporate Loan
Debt Securities, Available-for-sale [Line Items]
Commitment fee on undrawn amount	0.25%	0.25%
Maximum | Corporate Loan
Debt Securities, Available-for-sale [Line Items]
Commitment fee on undrawn amount	1.00%	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		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
AOCI from AFS Securities:
Unrealized gain on AFS securities at beginning of period	$ 148,910	$ 422,261	$ 392,722	$ 417,167
Unrealized (loss)/gain on AFS securities, net	48,715	24,008	393,503	44,307
Reclassification adjustment for MBS sales included in net income	(144,736)	(6,371)	(389,067)	(21,576)
Reclassification adjustment for impairment included in net income	0	0	344,269	0
Change in AOCI from AFS securities	(96,021)	17,637	(339,833)	22,731
Balance at end of period	52,889	439,898	52,889	439,898
Agency MBS
AOCI from AFS Securities:
Unrealized (loss)/gain on AFS securities, net	(394)	13,555	(161)	21,880
Non-Agency MBS
AOCI from AFS Securities:
Unrealized (loss)/gain on AFS securities, net	8,644	7,598	354,317	19,060
MSR-related assets
AOCI from AFS Securities:
Unrealized (loss)/gain on AFS securities, net	$ 40,465	$ 2,855	$ 39,347	$ 3,367

Residential Mortgage Securit_11

Residential Mortgage Securities and MSR-Related Assets (Interest Income) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Debt Securities, Available-for-sale [Line Items]
Interest income	$ 4,975	$ 72,395	$ 49,349	$ 151,037
Agency MBS
Debt Securities, Available-for-sale [Line Items]
Coupon interest	402	22,938	14,038	47,566
Effective yield adjustment	(412)	(7,664)	(5,186)	(13,851)
Interest income	(10)	15,274	8,852	33,715
Legacy Non-Agency MBS
Debt Securities, Available-for-sale [Line Items]
Coupon interest	897	22,861	18,179	47,133
Effective yield adjustment	1,153	14,523	10,560	27,667
Interest income	2,050	37,384	28,739	74,800
RPL/NPL MBS
Debt Securities, Available-for-sale [Line Items]
Coupon interest	1,228	14,635	6,811	31,078
Effective yield adjustment	77	8	355	150
Interest income	1,305	14,643	7,166	31,228
Accretion Income			277	148
CRT securities
Debt Securities, Available-for-sale [Line Items]
Coupon interest	1,622	5,477	5,107	11,595
Effective yield adjustment	8	(383)	(515)	(301)
Interest income	1,630	5,094	4,592	11,294
MSR-related assets
Debt Securities, Available-for-sale [Line Items]
Coupon interest	6,133	12,338	20,340	22,957
Effective yield adjustment	3,608	0	3,608	1
Interest income	$ 9,741	$ 12,338	$ 23,948	$ 22,958

Other Assets (Details)

Other Assets (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Mar. 31, 2020	Dec. 31, 2019	Jun. 30, 2019	Mar. 31, 2019	Dec. 31, 2018
Other Assets [Abstract]
REO	$ 348,516	$ 411,473	$ 411,659	$ 334,069	$ 290,587	$ 249,413
Capital contributions made to loan origination partners	109,585		147,992
Other interest-earning assets	49,971		70,468
Interest receivable	49,588		70,986
Other MBS and loan related receivables	24,471		43,842
Other	31,343		39,304
Total Other Assets	613,474		784,251
Real estate held-for-investment	$ 53,000		$ 27,300

Other Assets (Real Estate Owned

Other Assets (Real Estate Owned) (Details) $ in Thousands	Jun. 30, 2020USD ($)property	Mar. 31, 2020USD ($)	Dec. 31, 2019USD ($)property	Jun. 30, 2019USD ($)property	Mar. 31, 2019USD ($)	Dec. 31, 2018USD ($)
Real Estate Properties [Line Items]
Number of real estate owned properties | property	1,352		1,652	1,362
Real estate owned	$ 348,516	$ 411,473	$ 411,659	$ 334,069	$ 290,587	$ 249,413
Residential Whole Loans acquired through foreclosure ordered in lieu	345,000
Carrying Value
Real Estate Properties [Line Items]
Mortgage loans in process of foreclosure	142,900
Estimated Fair Value
Real Estate Properties [Line Items]
Mortgage loans in process of foreclosure	$ 486,400

Other Assets (Real Estate Own_2

Other Assets (Real Estate Owned - Activity) (Details) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020USD ($)property	Jun. 30, 2019USD ($)property	Jun. 30, 2020USD ($)property	Jun. 30, 2019USD ($)property	Dec. 31, 2019property
Real Estate Owned [Roll Forward]
Balance at beginning of period	$ 411,473	$ 290,587	$ 411,659	$ 249,413
Adjustments to record at lower of cost or fair value	(7,138)	(1,315)	(11,889)	(5,388)
Transfer from residential whole loans	8,526	66,483	59,219	131,644
Purchases and capital improvements, net	3,192	5,274	8,798	11,197
Disposals	(67,537)	(26,960)	(119,271)	(52,797)
Balance at end of period	$ 348,516	$ 334,069	$ 348,516	$ 334,069
Number of properties | property	1,352	1,362	1,352	1,362	1,652
Gain recorded on transfer from residential whole loans to real estate owned	$ 200	$ 6,500	$ 3,200	$ 11,300
Properties sold during period | property	296	152	545	289
Proceeds from sale of real estate	$ 70,500	$ 29,200	$ 125,300	$ 57,000
Gain on sales of real estate owned	$ 3,000	$ 2,300	$ 6,104	$ 3,692

Other Assets (Capital Contribut

Other Assets (Capital Contributions Made to Loan Origination Partners) (Details) - Loan Originators $ in Millions	3 Months Ended	6 Months Ended
	Jun. 30, 2020USD ($)	Jun. 30, 2020USD ($)
Other Assets [Line Items]
Equity method investments	$ 31.7	$ 31.7
Equity investment, convertible notes	75	75
Impairment on investment	7.1	65.2
Company’s residential whole loans at carrying value are serviced by entities the Company has an investment in	973.7	973.7
Preferred Stock
Other Assets [Line Items]
Equity method investments	$ 68	$ 68

Other Assets (Derivative Instru

Other Assets (Derivative Instruments Narrative) (Details ) $ in Millions	6 Months Ended
	Jun. 30, 2020USD ($)
Derivative [Line Items]
Derivative, terminated amount	$ 4,100
Swap | Hedging
Derivative [Line Items]
Reclassification of hedge gain (loss) from AOCI	(49.9)
Loss on derivative	$ (7.2)

Other Assets (Derivative Inst_2

Other Assets (Derivative Instruments - Balance Sheet Location) (Details) - Swap - USD ($) $ in Thousands	Jun. 30, 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		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
AOCI from derivative hedging instruments:
Balance at beginning of period	$ (71,208)	$ (7,665)	$ (22,675)	$ 3,121
Net loss on Swaps	0	(19,706)	(50,126)	(30,151)
Reclassification adjustment for losses/(gains) related to hedging instruments included in net income	64,032	(743)	65,625	(1,084)
Balance at end of period	(7,176)	(28,114)	(7,176)	(28,114)
Interest Rate Contract
Derivative [Line Items]
Assets pledged	0		0		$ 19,018
Swaps, at fair value
Derivative [Line Items]
Aggregate notional amount of derivatives	$ 0		$ 0		$ 3,172,000
Weighted average fixed-pay rate	0.00%		0.00%		2.24%
Weighted Average Variable Interest Rate	0.00%		0.00%		1.81%
Interest (expense)/income attributable to Swaps	$ 0	$ 692	$ (3,359)	$ 1,883
Weighted average Swap rate paid	0.00%	2.35%	2.06%	2.33%
Weighted average Swap rate received	0.00%	2.46%	1.63%	2.48%
Swaps, at fair value | Over 3 months to 6 months
Derivative [Line Items]
Aggregate notional amount of derivatives	$ 0		$ 0		$ 200,000
Weighted average fixed-pay rate	0.00%		0.00%		2.05%
Weighted Average Variable Interest Rate	0.00%		0.00%		1.70%
Swaps, at fair value | Over 6 months to 12 months
Derivative [Line Items]
Aggregate notional amount of derivatives	$ 0		$ 0		$ 1,430,000
Weighted average fixed-pay rate	0.00%		0.00%		2.30%
Weighted Average Variable Interest Rate	0.00%		0.00%		1.77%
Swaps, at fair value | Over 12 months to 24 months
Derivative [Line Items]
Aggregate notional amount of derivatives	$ 0		$ 0		$ 1,300,000
Weighted average fixed-pay rate	0.00%		0.00%		2.11%
Weighted Average Variable Interest Rate	0.00%		0.00%		1.86%
Swaps, at fair value | Over 24 months to 36 months
Derivative [Line Items]
Aggregate notional amount of derivatives	$ 0		$ 0		$ 20,000
Weighted average fixed-pay rate	0.00%		0.00%		1.38%
Weighted Average Variable Interest Rate	0.00%		0.00%		1.90%
Swaps, at fair value | Over 36 months to 48 months
Derivative [Line Items]
Aggregate notional amount of derivatives	$ 0		$ 0		$ 222,000
Weighted average fixed-pay rate	0.00%		0.00%		2.88%
Weighted Average Variable Interest Rate	0.00%		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		$ 0		$ 2,241
Restricted cash | Interest Rate Contract
Derivative [Line Items]
Assets pledged	$ 0		0		$ 16,777
Swap | Hedging
Derivative [Line Items]
Loss on derivative			7,200
Swap | Non-Hedging
Derivative [Line Items]
Loss on derivative		$ 7,400	4,300	$ 16,300
Realized loss		$ 6,300	$ 9,400	$ 14,100

Financing Agreements (Financing

Financing Agreements (Financing Agreements) (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Jun. 26, 2020	Dec. 31, 2019
Financing Agreements [Line Items]
Unpaid Principal Balance	$ 5,047,981		$ 10,044,844
Fair value / Carrying Value	5,011,356		10,031,606
Agreements with non-mark-to-market collateral provisions
Financing Agreements [Line Items]
Unpaid Principal Balance	2,036,597
Amortized Cost Balance	2,036,597
Fair value / Carrying Value	2,036,597
Agreements with mark-to-market collateral provisions
Financing Agreements [Line Items]
Unpaid Principal Balance	1,656,248
Amortized Cost Balance	1,656,248
Fair value / Carrying Value	1,656,248	$ 1,650,000
Senior secured credit agreement
Financing Agreements [Line Items]
Unpaid Principal Balance	500,000
Amortized Cost Balance	480,959
Fair value / Carrying Value	480,959
Other
Financing Agreements [Line Items]
Unpaid Principal Balance	27,000
Amortized Cost Balance	18,360
Fair value / Carrying Value	20,520
Total Financing agreements, at fair value
Financing Agreements [Line Items]
Unpaid Principal Balance	4,219,845
Amortized Cost Balance	4,192,164
Fair value / Carrying Value	4,194,324
Repurchase agreements
Financing Agreements [Line Items]
Unpaid Principal Balance			9,140,944
Fair value / Carrying Value			9,139,821
Securitized debt
Financing Agreements [Line Items]
Unpaid Principal Balance	498,136		573,900
Fair value / Carrying Value	495,582		570,952
Convertible senior notes
Financing Agreements [Line Items]
Unpaid Principal Balance	230,000		230,000
Fair value / Carrying Value	224,563		223,971
Senior notes
Financing Agreements [Line Items]
Unpaid Principal Balance	100,000		100,000
Fair value / Carrying Value	96,887		$ 96,862
Total Financing agreements at carrying value
Financing Agreements [Line Items]
Unpaid Principal Balance	828,136
Fair value / Carrying Value	$ 817,032

Financing Agreements (Financi_2

Financing Agreements (Financing Agreements, at Fair Values Narrative) (Details) - USD ($) $ in Thousands	Jun. 26, 2020	Jun. 30, 2020	Dec. 31, 2019
Financing Agreements [Line Items]
Agreement amount		$ 5,047,981	$ 10,044,844
Financial instruments		5,011,356	$ 10,031,606
Senior secured credit agreement
Financing Agreements [Line Items]
Agreement amount		500,000
Financial instruments		480,959
Agreements with mark-to-market collateral provisions
Financing Agreements [Line Items]
Agreement amount		1,656,248
Financial instruments	$ 1,650,000	1,656,248
Agreements with non-mark-to-market collateral provisions
Financing Agreements [Line Items]
Agreement amount		2,036,597
Financial instruments		2,036,597
Non Mark to Market Financing Facilities
Financing Agreements [Line Items]
Financial instruments		1,600,000
Debt instrument term	2 years
Non Mark to Market Financing Facilities on Rehabilitation Loans
Financing Agreements [Line Items]
Debt outstanding		$ 474,600
Minimum | Agreements with mark-to-market collateral provisions
Financing Agreements [Line Items]
Debt instrument term		1 month
Maximum | Agreements with mark-to-market collateral provisions
Financing Agreements [Line Items]
Debt instrument term		3 months

Financing Agreements (Borrowing

Financing Agreements (Borrowings Under Repurchase Agreement And Associated Assets Pledged as Collateral) (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under repurchase agreements	$ 5,700,000	$ 11,300,000
Agreements with mark-to-market collateral provisions
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value		0
Fair value of securities pledged as collateral under repurchase agreements	$ 2,668,741	$ 0
Weighted average haircut (percent)	34.29%	0.00%
Financing agreements	$ 1,778,845
Agreements with non-mark-to-market collateral provisions
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value		$ 0
Fair value of securities pledged as collateral under repurchase agreements	$ 425,673	$ 0
Weighted average haircut (percent)	32.80%	0.00%
Financing agreements	$ 257,752
Residential whole loans
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	1,386,592	$ 4,743,094
Fair value of securities pledged as collateral under repurchase agreements	$ 2,166,740	$ 5,986,267
Weighted average haircut (percent)	33.81%	20.07%
Agency MBS
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 0	$ 1,557,675
Fair value of securities pledged as collateral under repurchase agreements	$ 0	$ 1,656,373
Weighted average haircut (percent)	0.00%	4.46%
Non-Agency MBS
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 1,282	$ 1,121,802
Fair value of securities pledged as collateral under repurchase agreements	$ 2,564	$ 1,420,797
Weighted average haircut (percent)	50.00%	20.27%
RPL/NPL MBS
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 29,785	$ 495,091
Fair value of securities pledged as collateral under repurchase agreements	$ 51,540	$ 635,005
Weighted average haircut (percent)	38.10%	21.52%
CRT securities
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 54,469	$ 203,569
Fair value of securities pledged as collateral under repurchase agreements	$ 94,106	$ 252,175
Weighted average haircut (percent)	42.40%	18.84%
MSR-related assets
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 146,642	$ 962,515
Fair value of securities pledged as collateral under repurchase agreements	$ 255,035	$ 1,217,002
Weighted average haircut (percent)	38.24%	21.18%
Other Interest Earning Assets
Assets Sold under Agreements to Repurchase [Line Items]
Carrying Value	$ 37,478	$ 57,198
Fair value of securities pledged as collateral under repurchase agreements	$ 48,471	$ 61,708
Weighted average haircut (percent)	20.00%	22.01%
Repurchase Agreement Borrowings
Assets Sold under Agreements to Repurchase [Line Items]
Financing agreements	$ 3,692,845	$ 9,140,944
Unamortized debt issuance expense	0	1,123
Loan Securitization
Assets Sold under Agreements to Repurchase [Line Items]
Fair value of securities pledged as collateral under repurchase agreements	179,100	238,800
MSR Asset Financing
Assets Sold under Agreements to Repurchase [Line Items]
Cash pledged as collateral	$ 7,700	$ 25,200

Financing Agreements (Borrowi_2

Financing Agreements (Borrowings Under Repurchase Agreement) (Details) - Repurchase Agreement Borrowings - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Debt Securities, Available-for-sale [Line Items]
Other financing agreements	$ 3,692,845	$ 9,140,944
Weighted Average Interest Rate	3.55%	2.99%
Less debt issuance costs	$ 0	$ 1,123
Total repurchase agreements less debt issuance costs	3,692,845	9,139,821
Within 30 days
Debt Securities, Available-for-sale [Line Items]
Other financing agreements	$ 3,367,675	$ 4,472,120
Weighted Average Interest Rate	3.52%	2.55%
Over 30 days to 3 months
Debt Securities, Available-for-sale [Line Items]
Other financing agreements	$ 266,837	$ 2,746,384
Weighted Average Interest Rate	3.83%	3.43%
Over 3 months to 12 months
Debt Securities, Available-for-sale [Line Items]
Other financing agreements	$ 58,333	$ 1,014,441
Weighted Average Interest Rate	4.40%	3.36%
Over 12 months
Debt Securities, Available-for-sale [Line Items]
Other financing agreements	$ 0	$ 907,999
Weighted Average Interest Rate	0.00%	3.44%

Financing Agreements (Counterpa

Financing Agreements (Counterparty for Repurchase Agreement) (Details) $ in Thousands	6 Months Ended
	Jun. 30, 2020USD ($)counterparty	Dec. 31, 2019counterparty
Repurchase agreements counterparty risk
Number of counterparties | counterparty	9	28
Threshold of stockholders' equity at risk with single counterparty to repurchase agreements or linked transactions (greater than) (percent)	5.00%
Barclays Bank
Repurchase agreements counterparty risk
Amount at Risk	$ 857,112
Weighted Average Months to Maturity for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	34.00%
Credit Suisse
Repurchase agreements counterparty risk
Amount at Risk	$ 639,993
Weighted Average Months to Maturity for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	25.40%
Wells Fargo
Repurchase agreements counterparty risk
Amount at Risk	$ 377,036
Weighted Average Months to Maturity for Repurchase Agreements	0 months
Percent of Stockholders’ Equity	15.00%
Wells Fargo Bank, NA
Repurchase agreements counterparty risk
Amount at Risk	$ 367,000
Wells Fargo Securities LLC
Repurchase agreements counterparty risk
Amount at Risk	10,100
Athene
Repurchase agreements counterparty risk
Amount at Risk	$ 171,786
Weighted Average Months to Maturity for Repurchase Agreements	1 month
Percent of Stockholders’ Equity	6.80%
Goldman Sachs
Repurchase agreements counterparty risk
Amount at Risk	$ 162,224
Weighted Average Months to Maturity for Repurchase Agreements	3 months
Percent of Stockholders’ Equity	6.40%
Goldman Sachs Lending Partners
Repurchase agreements counterparty risk
Amount at Risk	$ 20,400
Goldman Sachs Bank USA
Repurchase agreements counterparty risk
Amount at Risk	$ 141,800

Financing Agreements (Securitiz

Financing Agreements (Securitized Debt) (Details)	Jun. 30, 2020	Dec. 31, 2019
Asset-backed Securities, Securitized Loans and Receivables
Debt Instrument [Line Items]
Weighted average interest rate	3.79%	3.68%

Financing Agreements (Senior Se

Financing Agreements (Senior Secured Credit Agreement - Narrative) (Details) - Senior Secured Term Loan Facility	Jun. 26, 2020USD ($)
Repurchase agreements counterparty risk
Debt instrument, face amount	$ 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
First Three Years
Repurchase agreements counterparty risk
Stated interest rate	3.75%
After Third Year
Repurchase agreements counterparty risk
Stated interest rate	4.50%

Financing Agreements (Convertib

Financing Agreements (Convertible Senior Notes) (Details)	Jun. 03, 2019USD ($)$ / shares	Jun. 30, 2020USD ($)	Jun. 30, 2019USD ($)
Debt Instrument [Line Items]
Proceeds from issuance of Series C Preferred Stock		$ 0	$ 223,444,000
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

Financing Agreements (Senior No

Financing Agreements (Senior Notes) (Details) - Senior Notes $ in Millions	Apr. 11, 2012USD ($)
Debt Instrument [Line Items]
Proceeds from issuance of debt	$ 100
Proceed from debt net of offering expenses and underwriting discount	$ 96.6
Stated interest rate	8.00%
Effective interest rate	8.31%
Redemption price as percentage of principal amount	100.00%

Collateral Positions (Details)

Collateral Positions (Details) - USD ($) $ in Millions	Jun. 30, 2020	Dec. 31, 2019
Collateral Positions
Fair value of securities pledged as collateral under repurchase agreements	$ 5,700	$ 11,300
Accrued interest on assets	$ 45.2	$ 57.2

Offsetting Assets and Liabili_2

Offsetting Assets and Liabilities (Narrative) (Details) - USD ($)	Jun. 30, 2020	Dec. 31, 2019
Offsetting [Abstract]
Fair value of financial instruments pledged against the repurchase agreements and other advances	$ 5,700,000,000	$ 11,200,000,000
Fair value of securities pledged against the swaps	$ 0	$ 2,200,000

Other Liabilities (Details)

Other Liabilities (Details) - USD ($) $ in Thousands	Jun. 30, 2020	Dec. 31, 2019
Other Liabilities [Abstract]
Dividends and dividend equivalents payable	$ 0	$ 90,749
Accrued interest payable	7,165	18,238
Accrued expenses and other	27,836	42,819
Total Other Liabilities	$ 35,001	$ 151,806

Commitments and Contingencies (

Commitments and Contingencies (Lease Commitments) (Details) $ in Thousands	3 Months Ended	6 Months Ended
	Jun. 30, 2020USD ($)	Jun. 30, 2020USD ($)lease
Lease Commitments
Number of operating leases | lease		3
Corporate headquarters
Lease Commitments
Lease cost	$ 734	$ 1,400
New Corporate Headquarters Location
Lease Commitments
Lease term	15 years	15 years
Renewal term	5 years	5 years
Lease liability	$ 4,600	$ 4,600

Commitments and Contingencies_2

Commitments and Contingencies (Representations and Warranties in Connection with Loan Securitization Transactions) (Details)	Jun. 30, 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	Jun. 30, 2020USD ($)
Other Commitments [Line Items]
Commitment to lend	$ 150
Amount drawn	$ 106.8

Commitments and Contingencies_4

Commitments and Contingencies (Rehabilitation Loan Commitments) (Details) $ in Millions	Jun. 30, 2020USD ($)
Commitments and Contingencies Disclosure [Abstract]
Unfunded commitment for rehabilitation loans	$ 94.5

Stockholders' Equity (Narrative

Stockholders' Equity (Narrative) (Details)	Aug. 06, 2020$ / shares	Jul. 01, 2020$ / shares	Jun. 30, 2020USD ($)$ / sharesshares	Jun. 15, 2020USD ($)$ / sharesshares	Mar. 02, 2020USD ($)	Feb. 28, 2020$ / sharesshares	Feb. 14, 2020$ / shares	Apr. 15, 2013$ / sharesshares	Mar. 31, 2020quarterdirector	Jun. 30, 2020USD ($)$ / sharesshares	Jun. 30, 2019$ / shares	Mar. 31, 2019$ / shares	Jun. 30, 2020USD ($)quarterdirector$ / sharesshares	Jun. 30, 2019USD ($)	Jun. 30, 2020USD ($)$ / 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)											$ 0.20	$ 0.20
Proceeds from issuance of redeemable preferred stock | $													$ 275,000,000	$ 0
Aggregate number of shares of common stock authorized (in shares) | shares			874,300,000							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		6,616,355
Number of shares called by warrant (in shares) | shares				37,039,106
Proceeds from issuance of warrants | $				$ 495,000,000									$ 14,041,000	$ 0
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		8,800,000
Common shares issued through DRSPP (in shares) | shares										26,417			133,366		34,512,134
Net proceeds from shares issued through DRSPP | $										$ 48,429			$ 740,408		$ 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	8,000,000
Preferred stock, par value (in dollars per share)			$ 0.01							$ 0.01			$ 0.01		$ 0.01	$ 0.01
Dividend declared per share, preferred stock (in dollars per share)		$ 0.9375					$ 0.46875				$ 0.46875	$ 0.46875
Amount of preferred dividends in arrears | $										$ 7,500,000
Amount of preferred dividends in arrears (USD per share)			$ 0.93750
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		11,000,000
Preferred stock, par value (in dollars per share)			$ 0.01							$ 0.01			$ 0.01		$ 0.01
Amount of preferred dividends in arrears | $													$ 5,900,000
Amount of preferred dividends in arrears (USD per share)													$ 0.53264
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)								$ 0.01
Preferred stock, liquidation preference (in dollars per share)			$ 25					25		$ 25			$ 25		$ 25	$ 25
Preferred stock, redemption price (in dollars per share)								$ 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
Percentage required for making material changes								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)						$ 0.01
Preferred stock, liquidation preference (in dollars per share)						25
Preferred stock, redemption price (in dollars per share)						$ 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
Warrant
Stockholders' Equity
Proceeds from issuance of warrants | $				$ 14,000,000
At The Market
Stockholders' Equity
At-the-market, maximum potential proceeds | $																		$ 400,000,000
Sales commission of gross sales price																		2.00%
Number of shares issued (in shares) | shares										0
Value remaining outstanding for future offerings | $			$ 390,000,000							$ 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%
Exercise Price Range One
Stockholders' Equity
Warrant exercise price (usd per share)				$ 1.66
Exercise Price Range Two
Stockholders' Equity
Warrant exercise price (usd per share)				$ 2.08
Debt
Stockholders' Equity
Proceeds from issuance of warrants | $				$ 481,000,000
Subsequent Event
Stockholders' Equity
Common stock, cash dividends declared (in dollars per share)	$ 0.05
Subsequent Event | Series B Preferred Stock
Stockholders' Equity
Dividend declared per share, preferred stock (in dollars per share)		0.93750
Subsequent Event | Series C Preferred Stock
Stockholders' Equity
Dividend declared per share, preferred stock (in dollars per share)		$ 0.53264

Stockholders' Equity (Accumulat

Stockholders' Equity (Accumulated Other Comprehensive Income/(Loss)) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Components of accumulated other comprehensive income/(loss)
Balance	$ 2,440,675	$ 3,404,531	$ 3,383,952	$ 3,416,101
OCI before reclassifications	48,715		343,377	14,156
Amounts reclassified from AOCI	(80,704)	(7,114)	(667,711)	(22,660)
Other Comprehensive Income/(Loss)	(31,989)	(2,812)	(324,334)	(8,504)
Balance	2,521,051	3,403,373	2,521,051	3,403,373
Total AOCI
Components of accumulated other comprehensive income/(loss)
Balance	77,702	414,596	370,047	420,288
OCI before reclassifications		4,302
Amounts reclassified from AOCI		(7,114)
Other Comprehensive Income/(Loss)		(2,812)
Balance	45,713	411,784	45,713	411,784
Net Unrealized Gain/(Loss) on AFS Securities
Components of accumulated other comprehensive income/(loss)
Balance	148,910	422,261	392,722	417,167
OCI before reclassifications	48,715	24,008	393,503	44,307
Amounts reclassified from AOCI	(144,736)	(6,371)	(733,336)	(21,576)
Other Comprehensive Income/(Loss)	(96,021)	17,637	(339,833)	22,731
Balance	52,889	439,898	52,889	439,898
Net (Loss)/Gain on Swaps
Components of accumulated other comprehensive income/(loss)
Balance	(71,208)	(7,665)	(22,675)	3,121
OCI before reclassifications	0	(19,706)	(50,126)	(30,151)
Amounts reclassified from AOCI	64,032	(743)	65,625	(1,084)
Other Comprehensive Income/(Loss)	64,032	(20,449)	15,499	(31,235)
Balance	$ (7,176)	$ (28,114)	$ (7,176)	$ (28,114)

Stockholders' Equity (Amounts R

Stockholders' Equity (Amounts Reclassified out of AOCI) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Amounts Reclassified from AOCI
Net income/(loss) to common stockholders - basic	$ 88,137	$ 89,014	$ (825,776)	$ 173,865
Total reclassifications for period	(80,704)	(7,114)	(667,711)	(22,660)
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	(144,736)	(6,371)	(389,067)	(21,576)
Impairment recognized in earnings	0		(344,269)
Net income/(loss) to common stockholders - basic	(144,736)	(6,371)	(733,336)	(21,576)
Amounts Reclassified from AOCI | Accumulated Net Gain (Loss) from Cash Flow Hedges Attributable to Parent
Amounts Reclassified from AOCI
Total Swaps designated as cash flow hedges	$ 64,032		$ 65,625
Amortization of de-designated hedging instruments		$ (743)		$ (1,084)

EPS Calculation (Details)

EPS Calculation (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands	3 Months Ended				6 Months Ended
	Jun. 30, 2020	Mar. 31, 2020	Jun. 30, 2019	Mar. 31, 2019	Jun. 30, 2020	Jun. 30, 2019
Basic Earnings/(Loss) per Share:
Net income/(loss) to common stockholders	$ 96,578	$ (908,995)	$ 93,040	$ 88,857	$ (812,417)	$ 181,897
Dividends declared on preferred stock	(8,144)		(3,750)	$ (3,750)	(13,359)	(7,500)
Dividends, dividend equivalents and undistributed earnings allocated to participating securities	(297)		(276)		0	(532)
Net income/(loss) to common stockholders - basic	$ 88,137		$ 89,014		$ (825,776)	$ 173,865
Basic weighted average common shares outstanding (in shares)	453,205		450,538		453,092	450,449
Basic (Loss)/Earnings per Share (usd per share)	$ 0.19		$ 0.20		$ (1.82)	$ 0.39
Diluted Earnings/(Loss) per Share:
Net income/(loss) to common stockholders - basic	$ 88,137		$ 89,014		$ (825,776)	$ 173,865
Interest expense on Convertible Senior Notes	3,893		1,206		0	1,206
Net income/(loss) to common stockholders - diluted	$ 92,030		$ 90,220		$ (825,776)	$ 175,071
Basic weighted average common shares outstanding (in shares)	453,205		450,538		453,092	450,449
Effect of assumed Convertible Senior Notes conversion to common shares (in shares)	28,920		8,898		0	4,474
Effect of Warrants (in shares)	375		0		0	0
Diluted weighted average common shares outstanding (in shares)	482,500		459,436		453,092	454,923
Diluted EPS (usd per share)	$ 0.19		$ 0.20		$ (1.82)	$ 0.38
Anti-dilutive securities excluded from diluted earnings per share calculations (in shares)					38,600
RSUs
Diluted Earnings/(Loss) per Share:
Weighted average grant date fair value (in dollars per share)	7.63				$ 7.63
Warrant
Diluted Earnings/(Loss) per Share:
Anti-dilutive securities excluded from diluted earnings per share calculations (in shares)					37,000
Weighted average grant date fair value (in dollars per share)	$ 1.87				$ 1.87

Equity Compensation, Employme_3

Equity Compensation, Employment Agreements and Other Benefit Plans (Narrative) (Details) - USD ($)	3 Months Ended			6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Sep. 30, 2018	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Share based compensation
Maximum shares authorized for grant	18,000,000			18,000,000
Shares available for grant (in shares)	14,800,000			14,800,000
RSUs
Share based compensation
Awards granted (in shares)		160,025	0	1,204,713	912,525
Forfeitures (in shares)				0	20,000
Unrecognized compensation cost	$ 9,700,000			$ 9,700,000		$ 5,500,000
Period for recognizing unrecognized compensation cost				2 years 1 month 6 days
Restricted shares of common stock
Share based compensation
Awards granted (in shares)	79,545			79,545	0
Share-based awards outstanding (in shares)	0			0
Dividend Equivalent Rights
Share based compensation
Equivalent rights payment		$ 256,000		$ 276,000	$ 497,000
Equity Compensation Plan
Share based compensation
Maximum number of common shares that can be granted to participant in any one year				2,000,000
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		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019
Share based compensation
Allocated expense	$ 1,554	$ 2,439	$ 2,827	$ 3,436
RSUs
Share based compensation
Allocated expense	$ 1,554	$ 2,439	$ 2,827	$ 3,436

Equity Compensation, Employme_5

Equity Compensation, Employment Agreements and Other Benefit Plans (Details 2) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020USD ($)officer	Jun. 30, 2019USD ($)	Jun. 30, 2020USD ($)officer	Jun. 30, 2019USD ($)	Dec. 31, 2019USD ($)
Deferred Compensation Activity
Number of officers having employment agreements with the company | officer	4		4
Deferred Compensation Plans
Deferred Compensation Activity
Deferrable compensation by the employee, maximum			100.00%
Non-employee directors	$ 347	$ 39	$ (1,558)	$ 325
Undistributed Income Deferred	1,975		1,975		$ 2,349
Liability Under Deferred Plans	940		940		3,071
Deferred Compensation Plans | Non-employee directors
Deferred Compensation Activity
Non-employee directors	347	39	(1,558)	325
Undistributed Income Deferred	1,975		1,975		2,349
Liability Under Deferred Plans	940		$ 940		$ 3,071
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	$ 125	$ 240	$ 229

Fair Value of Financial Instr_3

Fair Value of Financial Instruments (Fair Value Hierarchy) (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Assets:
Residential whole loans, at fair value	[1]	$ 1,200,981	$ 1,381,583
Available-for-sale securities		148,343	3,983,519
Total assets carried at fair value		1,574,106	6,522,565
Liabilities:
Other		20,520
Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value		1,200,981	1,381,583
Liabilities:
Total liabilities carried at fair value		4,194,324
Non-Agency MBS
Assets:
Available-for-sale securities		54,237	2,063,529
Agency MBS
Assets:
Available-for-sale securities			1,664,582
CRT securities
Assets:
Available-for-sale securities		94,106	255,408
Term notes backed by MSR-related collateral
Assets:
Term notes backed by MSR related collateral		224,782	1,157,463
Agreements with non-mark-to-market collateral provisions
Liabilities:
Liabilities carried at fair value		2,036,597
Agreements with mark-to-market collateral provisions
Liabilities:
Liabilities carried at fair value		1,656,248
Senior secured credit agreement
Liabilities:
Liabilities carried at fair value		480,959
Level 1
Assets:
Total assets carried at fair value		0	0
Liabilities:
Other		0
Level 1 | Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value		0	0
Liabilities:
Total liabilities carried at fair value		0
Level 1 | Non-Agency MBS
Assets:
Available-for-sale securities		0	0
Level 1 | Agency MBS
Assets:
Available-for-sale securities			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 1 | Agreements with non-mark-to-market collateral provisions
Liabilities:
Liabilities carried at fair value		0
Level 1 | Agreements with mark-to-market collateral provisions
Liabilities:
Liabilities carried at fair value		0
Level 1 | Senior secured credit agreement
Liabilities:
Liabilities carried at fair value		0
Level 2
Assets:
Total assets carried at fair value		373,125	5,140,982
Liabilities:
Other		20,520
Level 2 | Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value		0	0
Liabilities:
Total liabilities carried at fair value		4,194,324
Level 2 | Non-Agency MBS
Assets:
Available-for-sale securities		54,237	2,063,529
Level 2 | Agency MBS
Assets:
Available-for-sale securities			1,664,582
Level 2 | CRT securities
Assets:
Available-for-sale securities		94,106	255,408
Level 2 | Term notes backed by MSR-related collateral
Assets:
Term notes backed by MSR related collateral		224,782	1,157,463
Level 2 | Agreements with non-mark-to-market collateral provisions
Liabilities:
Liabilities carried at fair value		2,036,597
Level 2 | Agreements with mark-to-market collateral provisions
Liabilities:
Liabilities carried at fair value		1,656,248
Level 2 | Senior secured credit agreement
Liabilities:
Liabilities carried at fair value		480,959
Level 3
Assets:
Total assets carried at fair value		1,200,981	1,381,583
Liabilities:
Other		0
Level 3 | Residential whole loans, at fair value
Assets:
Residential whole loans, at fair value		1,200,981	1,381,583
Liabilities:
Total liabilities carried at fair value		0
Level 3 | Non-Agency MBS
Assets:
Available-for-sale securities		0	0
Level 3 | Agency MBS
Assets:
Available-for-sale securities			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
Level 3 | Agreements with non-mark-to-market collateral provisions
Liabilities:
Liabilities carried at fair value		0
Level 3 | Agreements with mark-to-market collateral provisions
Liabilities:
Liabilities carried at fair value		0
Level 3 | Senior secured credit agreement
Liabilities:
Liabilities carried at fair value		$ 0
[1]	Includes approximately $181.4 million and $186.4 million of Residential whole loans, at carrying value and $506.7 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at June 30, 2020 and December 31, 2019 , respectively. Such assets can be used only to settle the obligations of each respective VIE.

Fair Value of Financial Instr_4

Fair Value of Financial Instruments (Level 3 Assets) (Details) - USD ($) $ in Thousands	3 Months Ended		6 Months Ended
	Jun. 30, 2020	Jun. 30, 2019	Jun. 30, 2020	Jun. 30, 2019	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		$ 87,000		$ 87,000	$ 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	$ 1,243,792	1,512,337	$ 1,381,583	1,471,263
Purchases and capitalized advances	4,679	5,299	8,198	135,388
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings	2,010	21,188	(72,546)	20,128
Collection of principal, net of liquidation gains/(losses)	(28,608)	(43,072)	(52,412)	(74,823)
Sales and repurchases	(18,225)	(898)	(18,530)	(1,216)
Transfer to REO	(2,667)	(56,027)	(45,312)	(111,913)
Balance at end of period	$ 1,200,981	1,438,827	$ 1,200,981	1,438,827
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		753,594		538,499
Purchases and capitalized advances		353,970		573,136
Collection of principal, net of liquidation gains/(losses)		(4,392)		(8,976)
Changes in unrealized gain/(losses)		2,854		3,367
Balance at end of period		$ 1,106,026		$ 1,106,026

Fair Value of Financial Instr_5

Fair Value of Financial Instruments (Fair Value Methodology) (Details) $ in Thousands	6 Months Ended		12 Months Ended
	Jun. 30, 2020USD ($)	Jun. 30, 2019USD ($)	Dec. 31, 2019USD ($)
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Residential whole loans, at fair value	$ 1,200,707		$ 1,381,113
Purchases excluded from level 2 fair value	274		470
Discounted cash flow
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Residential whole loans, at fair value	677,172		829,842
Liquidation model
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Residential whole loans, at fair value	523,535		551,271
Simple average amount	$ 375		$ 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	(4.00%)	2.40%
Liquidation timeline (in years)	9 months 18 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	0.042		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	0.080		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	0.047		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	0.066		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	0.081		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		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	0.080		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	0.038		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	0.20%		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	0.341		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	0.055		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)	2 years		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	0.128		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	$ 698		$ 684

Fair Value of Financial Instr_6

Fair Value of Financial Instruments (Carrying Value vs Fair Value) (Details) - USD ($) $ in Thousands		Jun. 30, 2020	Dec. 31, 2019
Financial Assets:
Residential whole loans, carrying value	[1]	$ 4,813,119	$ 6,069,370
Residential whole loans, at fair value	[1]	1,200,981	1,381,583
Available-for-sale securities		148,343	3,983,519
MSR-related assets		254,228	1,217,002
Restricted cash		7,680	64,035
Carrying Value
Financial Assets:
MSR-related assets		254,228	1,217,002
Cash and cash equivalents		666,172	70,629
Restricted cash		7,680	64,035
Financial Liabilities (2):
Securitized debt		516,102	570,952
Convertible Senior Notes		224,563	223,971
Senior notes		96,887	96,862
Estimated Fair Value
Financial Assets:
MSR-related assets		255,036	1,217,002
Cash and cash equivalents		666,172	70,629
Restricted cash		7,680	64,035
Financial Liabilities (2):
Securitized debt		498,114	575,353
Convertible Senior Notes		202,465	244,088
Senior notes		89,551	103,231
Agency MBS
Financial Assets:
Available-for-sale securities			1,664,582
Agency MBS | Carrying Value
Financial Assets:
Available-for-sale securities		0	1,664,582
Agency MBS | Estimated Fair Value
Financial Assets:
Available-for-sale securities		0	1,664,582
Non-Agency MBS
Financial Assets:
Available-for-sale securities		54,237	2,063,529
Non-Agency MBS | Carrying Value
Financial Assets:
Available-for-sale securities		54,237	2,063,529
Non-Agency MBS | Estimated Fair Value
Financial Assets:
Available-for-sale securities		54,237	2,063,529
CRT securities
Financial Assets:
Available-for-sale securities		94,106	255,408
CRT securities | Carrying Value
Financial Assets:
Available-for-sale securities		94,106	255,408
CRT securities | Estimated Fair Value
Financial Assets:
Available-for-sale securities		94,106	255,408
Residential whole loans, at fair value
Financial Assets:
Residential whole loans, at fair value		1,200,981	1,381,583
Residential whole loans, at fair value | Carrying Value
Financial Assets:
Residential whole loans, carrying value		4,676,530	6,069,370
Residential whole loans, at fair value		1,200,981	1,381,583
Residential whole loans, at fair value | Estimated Fair Value
Financial Assets:
Residential whole loans, carrying value		4,651,188	6,248,745
Residential whole loans, at fair value		1,200,981	1,381,583
Agreements with non-mark-to-market collateral provisions
Financial Liabilities (2):
Financing agreements with mark-to-market collateral provisions		257,752
Agreements with non-mark-to-market collateral provisions | Carrying Value
Financial Liabilities (2):
Financing agreements with mark-to-market collateral provisions		2,036,597	0
Agreements with non-mark-to-market collateral provisions | Estimated Fair Value
Financial Liabilities (2):
Financing agreements with mark-to-market collateral provisions		2,036,597	0
Agreements with mark-to-market collateral provisions
Financial Liabilities (2):
Financing agreements with mark-to-market collateral provisions		1,778,845
Agreements with mark-to-market collateral provisions | Carrying Value
Financial Liabilities (2):
Financing agreements with mark-to-market collateral provisions		1,656,248	9,139,821
Agreements with mark-to-market collateral provisions | Estimated Fair Value
Financial Liabilities (2):
Financing agreements with mark-to-market collateral provisions		1,656,248	9,156,209
Senior secured credit agreement | Carrying Value
Financial Liabilities (2):
Financing agreements with mark-to-market collateral provisions		480,959	0
Senior secured credit agreement | Estimated Fair Value
Financial Liabilities (2):
Financing agreements with mark-to-market collateral provisions		480,959	0
Level 3 | Agency MBS
Financial Assets:
Available-for-sale securities			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		1,200,981	1,381,583
Fair Value, Nonrecurring | Carrying Value
Financial Assets:
MSR-related assets		$ 29,400	$ 59,500
[1]	Includes approximately $181.4 million and $186.4 million of Residential whole loans, at carrying value and $506.7 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at June 30, 2020 and December 31, 2019 , respectively. Such assets can be used only to settle the obligations of each respective VIE.

Fair Value of Financial Instr_7

Fair Value of Financial Instruments (Narrative) (Details) - USD ($) $ in Millions	Jun. 30, 2020	Dec. 31, 2019
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Other real estate, fair value	$ 59.2	$ 131.6

Use of Special Purpose Entiti_3

Use of Special Purpose Entities and Variable Interest Entities (Loan Securitization Transaction) (Details) - Asset-backed Securities, Securitized Loans and Receivables - USD ($) $ in Thousands	3 Months Ended	6 Months Ended
	Jun. 30, 2020	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Variable Interest Entity [Line Items]
Aggregate fair value	$ 1,290,029	$ 1,290,029		$ 1,290,029
Principal amount of Securitized debt	27,000	27,000
Outstanding amount of Senior Bonds, at carrying value	495,582	495,582		570,952
Outstanding amount of Senior Bonds, at fair value	20,520	20,520		0
Outstanding amount of Senior Bonds	$ 516,100	$ 516,100		$ 571,000
Weighted average interest rate	3.79%	3.79%		3.68%
Weighted average contractual maturity of Senior Bonds		29 years	30 years
Cash received	$ 18,400	$ 821,175	$ 802,815
Debt issuance cost	2,500	2,500		$ 2,900
Senior notes
Variable Interest Entity [Line Items]
Principal amount of Securitized debt	829,817	829,817		802,817
Proceeds from Senior bond sold with Step up feature		$ 451,700	$ 493,200
Debt instrument, basis spread on variable rate		3.00%
Debt instrument, coupon step-up period			36 months
Senior Support Certificates
Variable Interest Entity [Line Items]
Principal amount of Securitized debt	$ 248,174	$ 248,174		$ 275,174

Use of Special Purpose Entiti_4

Use of Special Purpose Entities and Variable Interest Entities (Narrative) (Details) - USD ($) $ in Thousands		3 Months Ended	6 Months Ended
		Jun. 30, 2020	Jun. 30, 2020	Jun. 30, 2019	Dec. 31, 2019
Variable Interest Entity [Line Items]
Residential whole loans, carrying value	[1]	$ 4,813,119	$ 4,813,119		$ 6,069,370
Residential whole loans, at fair value	[1]	1,200,981	1,200,981		1,381,583
Residential whole loans, net		4,676,530	4,676,530		6,066,345
Total residential whole loans		5,900,000	5,900,000		7,400,000
Asset-backed Securities, Securitized Loans and Receivables
Variable Interest Entity [Line Items]
Debt instrument, face amount		27,000	27,000
Proceeds from issuance of debt		18,400	821,175	$ 802,815
Residential whole loans, carrying value		181,400	181,400		186,400
Residential whole loans, at fair value		506,700	506,700		567,400
Securitized debt		516,100	516,100		571,000
Asset-backed Securities, Securitized Loans and Receivables | Other Assets
Variable Interest Entity [Line Items]
Real estate owned at fair value		98,700	98,700		137,800
Senior Bonds | Asset-backed Securities, Securitized Loans and Receivables
Variable Interest Entity [Line Items]
Debt instrument, face amount		$ 829,817	$ 829,817		$ 802,817
[1]	Includes approximately $181.4 million and $186.4 million of Residential whole loans, at carrying value and $506.7 million and $567.4 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at June 30, 2020 and December 31, 2019 , respectively. Such assets can be used only to settle the obligations of each respective VIE.

Subsequent Events (Narrative) (

Subsequent Events (Narrative) (Details) - $ / shares	Aug. 06, 2020	Jul. 01, 2020	Feb. 14, 2020	Jun. 30, 2019	Mar. 31, 2019
Subsequent Event [Line Items]
Common stock, cash dividends declared (in dollars per share)				$ 0.20	$ 0.20
Subsequent Event
Subsequent Event [Line Items]
Common stock, cash dividends declared (in dollars per share)	$ 0.05
Series B Preferred Stock
Subsequent Event [Line Items]
Dividend declared per share, preferred stock (in dollars per share)		$ 0.9375	$ 0.46875	$ 0.46875	$ 0.46875
Series B Preferred Stock | Subsequent Event
Subsequent Event [Line Items]
Dividend declared per share, preferred stock (in dollars per share)		0.93750
Series C Preferred Stock | Subsequent Event
Subsequent Event [Line Items]
Dividend declared per share, preferred stock (in dollars per share)		$ 0.53264