Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2020 | Nov. 03, 2020 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2020 | |
Document Transition Report | false | |
Entity File Number | 001-34506 | |
Entity Registrant Name | TWO HARBORS INVESTMENT CORP. | |
Entity Central Index Key | 0001465740 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2020 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 27-0312904 | |
Entity Address, Address Line One | 601 Carlson Parkway, Suite 1400 | |
Entity Address, City or Town | Minnetonka, | |
Entity Address, State or Province | MN | |
Entity Address, Postal Zip Code | 55305 | |
City Area Code | 612 | |
Local Phone Number | 453-4100 | |
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 | 273,699,768 | |
Common Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | TWO | |
Security Exchange Name | NYSE | |
Series A Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 8.125% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | TWO PRA | |
Security Exchange Name | NYSE | |
Series B Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.625% Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | TWO PRB | |
Security Exchange Name | NYSE | |
Series C Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.25% Series C Cumulative Redeemable Preferred Stock | |
Trading Symbol | TWO PRC | |
Security Exchange Name | NYSE | |
Series D Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.75% Series D Cumulative Redeemable Preferred Stock | |
Trading Symbol | TWO PRD | |
Security Exchange Name | NYSE | |
Series E Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.50% Series E Cumulative Redeemable Preferred Stock | |
Trading Symbol | TWO PRE | |
Security Exchange Name | NYSE |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
ASSETS | |||
Available-for-sale securities, at fair value (amortized cost $15,879,431; allowance for credit losses $25,495) | $ 16,574,321 | $ 31,406,328 | |
Mortgage servicing rights, at fair value | 1,257,503 | 1,909,444 | |
Cash and cash equivalents | 1,615,074 | 558,136 | |
Restricted cash | 596,951 | 1,058,690 | |
Accrued interest receivable | 50,140 | 92,634 | |
Due from counterparties | 118,819 | 318,963 | |
Derivative assets, at fair value | 97,889 | 188,051 | |
Reverse repurchase agreements | 82,410 | 220,000 | |
Other assets | 194,543 | 169,376 | |
Total Assets | [1] | 20,587,650 | 35,921,622 |
Liabilities | |||
Repurchase agreements | 16,376,696 | 29,147,463 | |
Federal Home Loan Bank advances | 0 | 210,000 | |
Revolving credit facilities | 274,830 | 300,000 | |
Term notes payable | 395,328 | 394,502 | |
Convertible senior notes | 285,843 | 284,954 | |
Derivative liabilities, at fair value | 3,551 | 6,740 | |
Due to counterparties | 109,200 | 259,447 | |
Dividends payable | 57,268 | 128,125 | |
Accrued interest payable | 12,304 | 149,626 | |
Commitments and Contingencies | 0 | 0 | |
Other liabilities | 52,958 | 70,299 | |
Total Liabilities | [1] | 17,567,978 | 30,951,156 |
Stockholders' Equity | |||
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized and 40,050,000 and 40,050,000 shares issued and outstanding, respectively ($1,001,250 and $1,001,250 liquidation preference, respectively) | 977,501 | 977,501 | |
Common stock, par value $0.01 per share; 450,000,000 shares authorized and 273,694,411 and 272,935,731 shares issued and outstanding, respectively | 2,737 | 2,729 | |
Additional paid-in capital | 5,161,491 | 5,154,764 | |
Accumulated other comprehensive income | 720,340 | 689,400 | |
Cumulative earnings | 814,585 | 2,655,891 | |
Cumulative distributions to stockholders | (4,656,982) | (4,509,819) | |
Total Stockholders’ Equity | 3,019,672 | 4,970,466 | |
Total Liabilities and Stockholders’ Equity | $ 20,587,650 | $ 35,921,622 | |
[1] | The condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities, or VIEs. At September 30, 2020 and December 31, 2019, assets of the VIEs totaled $430,725 and $395,008, and liabilities of the VIEs totaled $430,725 and $395,008, respectively. See Note 3 - Variable Interest Entities for additional information. |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Available-for-sale securities, amortized cost | $ 15,879,431 | $ 30,711,157 | |
Available-for-sale securities, allowance for credit losses | $ (25,495) | $ 0 | |
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 | |
Preferred shares authorized (in shares) | 50,000,000 | 50,000,000 | |
Preferred shares issued (in shares) | 40,050,000 | 40,050,000 | |
Preferred shares outstanding (in shares) | 40,050,000 | 40,050,000 | |
Preferred stock liquidation preference | $ 1,001,250 | $ 1,001,250 | |
Common stock par value per share (in usd per share) | $ 0.01 | $ 0.01 | |
Common shares authorized (in shares) | 450,000,000 | 450,000,000 | |
Common shares issued (in shares) | 273,694,411 | 272,935,731 | |
Common shares outstanding (in shares) | 273,694,411 | 272,935,731 | |
Assets of consolidated variable interest entities | [1] | $ 20,587,650 | $ 35,921,622 |
Liabilities of consolidated variable interest entities | [1] | 17,567,978 | 30,951,156 |
Variable Interest Entity, Primary Beneficiary [Member] | Assets, Total [Member] | |||
Assets of consolidated variable interest entities | 430,725 | 395,008 | |
Variable Interest Entity, Primary Beneficiary [Member] | Liabilities, Total [Member] | |||
Liabilities of consolidated variable interest entities | $ 430,725 | $ 395,008 | |
[1] | The condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities, or VIEs. At September 30, 2020 and December 31, 2019, assets of the VIEs totaled $430,725 and $395,008, and liabilities of the VIEs totaled $430,725 and $395,008, respectively. See Note 3 - Variable Interest Entities for additional information. |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Interest income: | ||||
Available-for-sale securities | $ 89,200 | $ 242,023 | $ 443,614 | $ 731,716 |
Other | 516 | 7,717 | 8,936 | 24,536 |
Total interest income | 89,716 | 249,740 | 452,550 | 756,252 |
Interest expense: | ||||
Repurchase agreements | 18,652 | 176,450 | 222,068 | 501,361 |
Federal Home Loan Bank advances | 0 | 391 | 1,747 | 10,406 |
Revolving credit facilities | 2,391 | 3,964 | 8,748 | 15,316 |
Term notes payable | 3,321 | 5,475 | 11,678 | 5,706 |
Convertible senior notes | 4,821 | 4,797 | 14,366 | 14,256 |
Total interest expense | 29,185 | 191,077 | 258,607 | 547,045 |
Net interest income | 60,531 | 58,663 | 193,943 | 209,207 |
Other-than-temporary impairments: | ||||
Total other-than-temporary impairment losses | 0 | (5,950) | 0 | (11,004) |
Other income (loss): | ||||
(Loss) gain on investment securities | (9,107) | 248,828 | (1,037,222) | 251,977 |
Servicing income | 99,114 | 126,025 | 342,802 | 373,922 |
Loss on servicing asset | (112,763) | (234,514) | (938,219) | (675,920) |
Gain (loss) on interest rate swap, cap and swaption agreements | 1,401 | 70,620 | (296,117) | (101,414) |
Gain on other derivative instruments | 65,596 | 85,856 | 8,734 | 270,798 |
Other income | 84 | 495 | 948 | 277 |
Total other income (loss) | 44,325 | 297,310 | (1,919,074) | 119,640 |
Expenses: | ||||
Management fees | 5,759 | 16,839 | 31,738 | 42,556 |
Servicing expenses | 26,197 | 17,696 | 70,049 | 54,354 |
Other operating expenses | 18,976 | 13,344 | 47,892 | 42,913 |
Restructuring charges | (139,788) | 0 | 6,000 | 0 |
Total expenses | (88,856) | 47,879 | 155,679 | 139,823 |
Income (loss) before income taxes | 193,712 | 302,144 | (1,880,810) | 178,020 |
Benefit from income taxes | (8,202) | (3,556) | (39,504) | (11,188) |
Net income (loss) | 201,914 | 305,700 | (1,841,306) | 189,208 |
Dividends on preferred stock | 18,950 | 18,951 | 56,851 | 56,851 |
Net income (loss) attributable to common stockholders | $ 182,964 | $ 286,749 | $ (1,898,157) | $ 132,357 |
Basic loss per weighted average common share (in usd per share) | $ 0.67 | $ 1.05 | $ (6.94) | $ 0.50 |
Diluted loss per weighted average common share (in usd per share) | 0.64 | 1 | (6.94) | 0.50 |
Dividends declared per common share (in usd per share) | $ 0.14 | $ 0.40 | $ 0.33 | $ 1.27 |
Weighted average basic common shares outstanding (in shares) | 273,705,785 | 272,897,575 | 273,567,998 | 266,114,772 |
Weighted average diluted common shares outstanding (in shares) | 291,876,935 | 291,053,718 | 273,567,998 | 266,114,772 |
Comprehensive (loss) income: | ||||
Net income (loss) | $ 201,914 | $ 305,700 | $ (1,841,306) | $ 189,208 |
Other comprehensive income (loss), net of tax: | ||||
Unrealized gain (loss) on available-for-sale securities | 36,216 | (29,164) | 30,940 | 637,537 |
Other comprehensive income (loss) | 36,216 | (29,164) | 30,940 | 637,537 |
Comprehensive income (loss) | 238,130 | 276,536 | (1,810,366) | 826,745 |
Dividends on preferred stock | 18,950 | 18,951 | 56,851 | 56,851 |
Comprehensive income (loss) attributable to common stockholders | $ 219,180 | $ 257,585 | $ (1,867,217) | $ 769,894 |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Cumulative effect of adoption of new accounting principle | Stockholders' equity, adjusted balance | Preferred Stock | Preferred StockStockholders' equity, adjusted balance | Common Stock | Common StockStockholders' equity, adjusted balance | Additional Paid-in Capital | Additional Paid-in CapitalStockholders' equity, adjusted balance | Accumulated Other Comprehensive Income (Loss) | Accumulated Other Comprehensive Income (Loss)Stockholders' equity, adjusted balance | Cumulative Earnings | Cumulative EarningsCumulative effect of adoption of new accounting principle | Cumulative EarningsStockholders' equity, adjusted balance | Cumulative Distributions to Stockholders | Cumulative Distributions to StockholdersStockholders' equity, adjusted balance |
Stockholders' equity at beginning of period at Dec. 31, 2018 | $ 4,254,489 | $ 442 | $ 4,254,047 | $ 977,501 | $ 977,501 | $ 2,481 | $ 2,481 | $ 4,809,616 | $ 4,809,616 | $ 110,817 | $ 110,817 | $ 2,332,371 | $ 442 | $ 2,331,929 | $ (3,978,297) | $ (3,978,297) |
Net income (loss) | (25,935) | (25,935) | ||||||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 327,840 | 327,840 | ||||||||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | (28,312) | (28,312) | ||||||||||||||
Other comprehensive income (loss), net of tax | 356,152 | 356,152 | ||||||||||||||
Issuance of stock, net of offering costs | 335,278 | 243 | 335,035 | |||||||||||||
Preferred dividends declared | (18,950) | (18,950) | ||||||||||||||
Common dividends declared | (128,229) | (128,229) | ||||||||||||||
Non-cash equity award compensation | 1,861 | 4 | 1,857 | |||||||||||||
Stockholders' equity at end of period at Mar. 31, 2019 | 4,774,224 | 977,501 | 2,728 | 5,146,508 | 466,969 | 2,305,994 | (4,125,476) | |||||||||
Stockholders' equity at beginning of period at Dec. 31, 2018 | 4,254,489 | 442 | $ 4,254,047 | 977,501 | $ 977,501 | 2,481 | $ 2,481 | 4,809,616 | $ 4,809,616 | 110,817 | $ 110,817 | 2,332,371 | $ 442 | $ 2,331,929 | (3,978,297) | $ (3,978,297) |
Other comprehensive income (loss), net of tax | 637,537 | |||||||||||||||
Repurchase of common stock | (19) | |||||||||||||||
Stockholders' equity at end of period at Sep. 30, 2019 | 5,019,580 | 977,501 | 2,729 | 5,151,554 | 748,354 | 2,521,137 | (4,381,695) | |||||||||
Stockholders' equity at beginning of period at Mar. 31, 2019 | 4,774,224 | 977,501 | 2,728 | 5,146,508 | 466,969 | 2,305,994 | (4,125,476) | |||||||||
Net income (loss) | (90,557) | (90,557) | ||||||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 296,637 | 296,637 | ||||||||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | (13,912) | (13,912) | ||||||||||||||
Other comprehensive income (loss), net of tax | 310,549 | 310,549 | ||||||||||||||
Issuance of stock, net of offering costs | 171 | 0 | 171 | |||||||||||||
Preferred dividends declared | (18,950) | (18,950) | ||||||||||||||
Common dividends declared | (109,160) | (109,160) | ||||||||||||||
Non-cash equity award compensation | 2,497 | 1 | 2,496 | |||||||||||||
Stockholders' equity at end of period at Jun. 30, 2019 | 4,868,774 | 977,501 | 2,729 | 5,149,175 | 777,518 | 2,215,437 | (4,253,586) | |||||||||
Net income (loss) | 305,700 | 305,700 | ||||||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 191,676 | 191,676 | ||||||||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | 220,840 | 220,840 | ||||||||||||||
Other comprehensive income (loss), net of tax | (29,164) | (29,164) | ||||||||||||||
Issuance of stock, net of offering costs | 217 | 0 | 217 | |||||||||||||
Repurchase of common stock | (19) | 0 | (19) | |||||||||||||
Preferred dividends declared | (18,951) | (18,951) | ||||||||||||||
Common dividends declared | (109,158) | (109,158) | ||||||||||||||
Non-cash equity award compensation | 2,181 | 0 | 2,181 | |||||||||||||
Stockholders' equity at end of period at Sep. 30, 2019 | 5,019,580 | 977,501 | 2,729 | 5,151,554 | 748,354 | 2,521,137 | (4,381,695) | |||||||||
Stockholders' equity at beginning of period at Dec. 31, 2019 | 4,970,466 | 0 | 977,501 | 2,729 | 5,154,764 | 689,400 | 2,655,891 | (4,509,819) | ||||||||
Net income (loss) | (1,869,656) | (1,869,656) | ||||||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 234,926 | 234,926 | ||||||||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | 432,996 | 432,996 | ||||||||||||||
Other comprehensive income (loss), net of tax | (198,070) | (198,070) | ||||||||||||||
Issuance of stock, net of offering costs | 142 | 0 | 142 | |||||||||||||
Repurchase of common stock | (1,064) | (1) | (1,063) | |||||||||||||
Non-cash equity award compensation | 2,315 | 7 | 2,308 | |||||||||||||
Stockholders' equity at end of period at Mar. 31, 2020 | 2,904,133 | 977,501 | 2,735 | 5,156,151 | 491,330 | 786,235 | (4,509,819) | |||||||||
Stockholders' equity at beginning of period at Dec. 31, 2019 | 4,970,466 | $ 0 | 977,501 | 2,729 | 5,154,764 | 689,400 | 2,655,891 | (4,509,819) | ||||||||
Other comprehensive income (loss), net of tax | 30,940 | |||||||||||||||
Repurchase of common stock | (1,100) | |||||||||||||||
Stockholders' equity at end of period at Sep. 30, 2020 | 3,019,672 | 977,501 | 2,737 | 5,161,491 | 720,340 | 814,585 | (4,656,982) | |||||||||
Stockholders' equity at beginning of period at Mar. 31, 2020 | 2,904,133 | 977,501 | 2,735 | 5,156,151 | 491,330 | 786,235 | (4,509,819) | |||||||||
Net income (loss) | (173,564) | (173,564) | ||||||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 231,099 | 231,099 | ||||||||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | 38,305 | 38,305 | ||||||||||||||
Other comprehensive income (loss), net of tax | 192,794 | 192,794 | ||||||||||||||
Issuance of stock, net of offering costs | 95 | 0 | 95 | |||||||||||||
Preferred dividends declared | (37,901) | (37,901) | ||||||||||||||
Common dividends declared | (51,936) | (51,936) | ||||||||||||||
Non-cash equity award compensation | 2,315 | 2 | 2,313 | |||||||||||||
Stockholders' equity at end of period at Jun. 30, 2020 | 2,835,936 | 977,501 | 2,737 | 5,158,559 | 684,124 | 612,671 | (4,599,656) | |||||||||
Net income (loss) | 201,914 | 201,914 | ||||||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 36,216 | 36,216 | ||||||||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | 0 | 0 | ||||||||||||||
Other comprehensive income (loss), net of tax | 36,216 | 36,216 | ||||||||||||||
Issuance of stock, net of offering costs | 75 | 0 | 75 | |||||||||||||
Repurchase of common stock | 0 | |||||||||||||||
Preferred dividends declared | (18,950) | (18,950) | ||||||||||||||
Common dividends declared | (38,376) | (38,376) | ||||||||||||||
Non-cash equity award compensation | 2,857 | 0 | 2,857 | |||||||||||||
Stockholders' equity at end of period at Sep. 30, 2020 | $ 3,019,672 | $ 977,501 | $ 2,737 | $ 5,161,491 | $ 720,340 | $ 814,585 | $ (4,656,982) |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2020 | Sep. 30, 2019 | |
Cash Flows From Operating Activities: | ||
Net (loss) income from continuing operations | $ (1,841,306) | $ 189,208 |
Adjustments to reconcile net (loss) income from continuing operations to net cash provided by operating activities: | ||
Amortization of premiums and discounts on investment securities, net | 167,609 | 119,175 |
Amortization of deferred debt issuance costs on term notes payable and convertible senior notes | 1,715 | 1,096 |
Other-than-temporary impairment losses | 0 | 11,004 |
Provision for credit losses on investment securities | 53,931 | 0 |
Realized and unrealized losses (gains) on investment securities | 983,291 | (251,977) |
Loss (gain) on servicing asset | 938,219 | 675,920 |
Realized and unrealized losses (gains) on interest rate swaps, caps and swaptions | 227,989 | 167,160 |
Unrealized (gain) loss on other derivative instruments | (20,665) | (36,439) |
Equity based compensation | 7,487 | 6,539 |
Net change in assets and liabilities: | ||
Decrease (increase) in accrued interest receivable | 42,494 | (732) |
(Increase) decrease in deferred income taxes, net | (50,728) | (33,287) |
(Decrease) increase in accrued interest payable | (137,322) | (37,212) |
Change in other operating assets and liabilities, net | 5,696 | 40,629 |
Net cash provided by operating activities | 378,410 | 851,084 |
Cash Flows From Investing Activities: | ||
Purchases of available-for-sale securities | (6,433,637) | (18,406,882) |
Proceeds from sales of available-for-sale securities | 16,969,870 | 14,065,573 |
Principal payments on available-for-sale securities | 3,120,922 | 2,334,729 |
Purchases of trading securities | (1,052,500) | 0 |
Proceeds from sales of trading securities | 1,053,477 | 0 |
Purchases of mortgage servicing rights, net of purchase price adjustments | (284,456) | (333,506) |
(Payments for) proceeds from sales of mortgage servicing rights | (1,822) | (530) |
(Purchases) short sales of derivative instruments, net | (28,862) | (76,739) |
(Payments for termination and settlement) proceeds from sales and settlement of derivative instruments, net | (91,489) | (768,010) |
Payments for reverse repurchase agreements | (1,928,977) | (1,480,150) |
Proceeds from reverse repurchase agreements | 2,066,567 | 2,061,390 |
Increase (decrease) in due to counterparties, net | 49,897 | (59,434) |
Change in other investing assets and liabilities, net | 2,508 | 37,737 |
Net cash provided by (used in) investing activities | 13,441,498 | (2,625,822) |
Cash Flows From Financing Activities: | ||
Proceeds from repurchase agreements | 74,561,271 | 202,963,685 |
Principal payments on repurchase agreements | (87,332,038) | (200,530,025) |
Proceeds from Federal Home Loan Bank advances | 585,000 | 0 |
Principal payments on Federal Home Loan Bank advances | (795,000) | (815,024) |
Proceeds from revolving credit facilities | 143,000 | 450,000 |
Principal payments on revolving credit facilities | (168,170) | (460,000) |
Proceeds from issuance of term notes payable | 0 | 393,918 |
Proceeds from issuance of common stock, net of offering costs | 312 | 335,666 |
Repurchase of common stock | (1,064) | (19) |
Dividends paid on preferred stock | (56,851) | (56,851) |
Dividends paid on common stock | (161,169) | (353,989) |
Net cash (used in) provided by financing activities | (13,224,709) | 1,927,361 |
Net increase in cash, cash equivalents and restricted cash | 595,199 | 152,623 |
Cash, cash equivalents and restricted cash at beginning of period | 1,616,826 | 1,097,764 |
Cash, cash equivalents and restricted cash at end of period | 2,212,025 | 1,250,387 |
Supplemental Disclosure of Cash Flow Information: | ||
Cash paid for interest | 392,276 | 581,333 |
Cash paid (received) for taxes, net | 9,535 | 16,946 |
Noncash Activities: | ||
Cumulative effect of adoption of new accounting principle | 3,019,672 | 5,019,580 |
Dividends declared but not paid at end of period | $ 57,268 | $ 128,109 |
Organization and Operations
Organization and Operations | 9 Months Ended |
Sep. 30, 2020 | |
Organization and Operations [Abstract] | |
Organization and Operations | Organization and Operations Two Harbors Investment Corp. is a Maryland corporation that, through its wholly owned subsidiaries (collectively, the Company), invests in and manages Agency residential mortgage-backed securities, or Agency RMBS, mortgage servicing rights, or MSR, and other financial assets. The investment portfolio as a whole is managed by the Company’s Chief Investment Officer and resources are allocated and financial performance is assessed on a consolidated basis. The Company’s common stock is listed on the NYSE under the symbol “TWO”. The Company was incorporated on May 21, 2009, and commenced operations as a publicly traded company on October 28, 2009, upon completion of a merger with Capitol Acquisition Corp., or Capitol, which became a wholly owned indirect subsidiary of the Company as a result of the merger. The Company has elected to be treated as a real estate investment trust, or REIT, as defined under the Internal Revenue Code of 1986, as amended, or the Code, for U.S. federal income tax purposes. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income which will not be qualifying income for REIT purposes. The Company has designated certain of its subsidiaries as taxable REIT subsidiaries, or TRSs, as defined in the Code, to engage in such activities. In the first quarter of 2020, the Company experienced unprecedented market conditions as a result of the global COVID-19 pandemic, including unusually significant spread widening in both Agency RMBS and non-Agency securities. In response, the Company focused its efforts on raising excess liquidity and de-risking its portfolio. On March 25, 2020, the Company sold substantially all of its non-Agency securities in order to eliminate the risks posed by continued margin calls and ongoing funding concerns associated with the significant spread widening on these assets. During the first quarter, the Company also sold approximately one-third of its Agency RMBS in order to reduce risk and raise cash to establish a strong defensive liquidity position to weather potential ongoing economic and market instability. Since then, the Company has added modestly to its Agency RMBS and MSR portfolio, deploying risk as the market entered a period of stabilization and asset price recovery. Through August 14, 2020, the Company was externally managed and advised by PRCM Advisers LLC, a subsidiary of Pine River Capital Management L.P., or Pine River, under the terms of a Management Agreement between the Company and PRCM Advisers. The Company terminated the Management Agreement effective August 14, 2020 for “cause” in accordance with Section 15(a) thereof. On August 15, 2020, the Company completed its transition to self-management and directly hired the senior management team and other personnel who had historically provided services to the Company. |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2020 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | Basis of Presentation and Significant Accounting Policies Consolidation and Basis of Presentation The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or U.S. GAAP, have been condensed or omitted according to such SEC rules and regulations. However, management believes that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading. The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. All trust entities in which the Company holds investments that are considered variable interest entities, or VIEs, for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Whenever the Company has both the power to direct the activities of a trust that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trust. Certain prior period amounts have been reclassified to conform to the current period presentation. The accompanying condensed consolidated financial statements should be read in conjunction with the 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 September 30, 2020 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2020 should not be construed as indicative of the results to be expected for future periods or the full year. Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. , valuation changes due to supply and demand in the market, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. Significant Accounting Policies Included in Note 2 to the Consolidated Financial Statements of the Company’s 2019 Annual Report on Form 10-K is a summary of the Company’s significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the Company’s consolidated financial condition and results of operations for the nine months ended September 30, 2020. Recently Issued and/or Adopted Accounting Standards Measurement of Credit Losses on Financial Instruments On January 1, 2020, the Company adopted Accounting Standards Update (ASU) No. 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments , which changed the impairment model for most financial assets and certain other instruments. Allowances for credit losses on available-for-sale, or AFS, debt securities are recognized, rather than direct reductions in the amortized cost of the investments, regardless of whether the impairment is considered to be other-than-temporary. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. The ASU requires certain recurring disclosures. The Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on AFS securities. The estimated allowance for credit losses is equal to the difference between the prepayment adjusted contractual cash flows with no credit losses and the prepayment adjusted expected cash flows with credit losses, discounted at the effective interest rate on the AFS security that was in effect upon adoption of the standard. The contractual cash flows and expected cash flows are based on management’s best estimate and take into consideration current prepayment assumptions, lifetime expected losses based on past loss experience, current market conditions, and reasonable and supportable forecasts of future conditions. The allowance for credit losses causes an increase in the AFS security amortized cost and recognizes an allowance for credit losses in the same amount. The allowance for credit losses recognized in connection with adopting the guidance in Topic 326 on January 1, 2020 was equal to the present value of the credit reserve in place on December 31, 2019. As a result, no cumulative effect adjustment to opening cumulative earnings was required. The adoption of this ASU impacts the Company’s accounting for the purchase of certain beneficial interests with purchased credit deterioration or when there is a “significant” difference between contractual cash flows and expected cash flows. For these securities, the Company records an allowance for credit losses with an increase in amortized cost above the purchase price of the same amount. Subsequent adverse or favorable changes in expected cash flows are recognized immediately in earnings as a provision for or reduction in credit losses, respectively. Adverse changes are reflected as an increase to the allowance for credit losses and favorable changes are reflected as a decrease to the allowance for credit losses. The allowance for credit losses is limited to the difference between the beneficial interest’s fair value and its amortized cost, and any remaining adverse changes in these circumstances are reflected as a prospective adjustment to accretable yield. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective adjustment to accretable yield. The Company does not adjust the effective interest rate in subsequent periods for prepayment assumption changes or variable-rate changes. Any changes in the allowance for credit losses due to the time-value-of-money are accounted for in the condensed consolidated statements of comprehensive income (loss) as provision for credit losses rather than a reduction to interest income. The standard applies to Agency and non-Agency securities that are accounted for as beneficial interests under Accounting Standards Codification (ASC) 325-40, Investments-Other: Beneficial Interests in Securitized Financial Assets , and ASC 310-30, Receivables: Loans and Debt Securities Acquired with Deteriorated Credit Quality , or ASC 310-30. Only beneficial interests that were previously accounted for as purchased credit impaired under ASC 310-30 were accounted for as purchased credit deteriorated under Topic 326 on the transition date. Upon adoption of this ASU, the Company established an allowance for credit losses on AFS securities accounted for as purchased credit-impaired assets under ASC 310-30 in an unrealized loss position and with no other-than-temporary impairments, or OTTI, recognized in periods prior to transition. The effective interest rates on these debt securities remained unchanged. On January 1, 2020, the $30.7 billion net amortized cost basis of AFS securities was inclusive of a $244.9 million allowance for credit loss. The Company used a prospective transition approach for debt securities for which OTTI had been recognized prior to January 1, 2020. As a result, the amortized cost basis remained the same before and after the effective date. The effective interest rate on these debt securities also remained unchanged. Amounts previously recognized in accumulated other comprehensive income as of January 1, 2020 relating to improvements in cash flows expected to be collected are accreted into income over the remaining life of the asset. Recoveries of amounts previously written off relating to improvements in cash flows after January 1, 2020 are recorded in earnings when received. Issuer’s Accounting for Debt and Equity Instruments In August 2020, the FASB issued ASU No. 2020-06 to simplify an issuer’s accounting for convertible instruments and its application of the derivatives scope exception for contracts in its own equity. Under the new guidance, only conversion features associated with a convertible debt instrument issued at a substantial premium and those that are considered embedded derivatives in accordance with derivatives guidance will be accounted for separate from the convertible instrument. Additionally, for contracts in an entity’s own equity, the new guidance eliminates some of the requirements for equity classification. The guidance also addresses how convertible instruments are accounted for in the diluted earnings per share calculation and requires enhanced disclosures about the terms of convertible instruments and contracts in an entity’s own equity. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2021, with early adoption permitted. The Company has determined this ASU will not have an impact on the Company’s financial condition, results of operations or financial statement disclosures. |
Variable Interest Entities
Variable Interest Entities | 9 Months Ended |
Sep. 30, 2020 | |
Variable Interest Entities [Abstract] | |
Variable Interest Entities | Variable Interest Entities During the second quarter of 2019, the Company formed a new trust entity, or the Issuer Trust, for the purpose of financing MSR through securitization. On June 27, 2019, the Company, through the Issuer Trust, completed an MSR securitization transaction pursuant to which, through two of the Company’s wholly owned subsidiaries, MSR is pledged to the Issuer Trust and in return, the Issuer Trust issued (a) an aggregate principal amount of $400.0 million in term notes to qualified institutional buyers and (b) a variable funding note, or VFN, with a maximum principal balance of $1.0 billion to one of the subsidiaries, in each case secured on a pari passu basis. The term notes bear interest at a rate equal to one-month LIBOR plus 2.80% per annum. The term notes will mature on June 25, 2024 or, if extended pursuant to the terms of the related indenture supplement, June 25, 2026 (unless earlier redeemed in accordance with their terms). The Issuer Trust is considered a VIE for financial reporting purposes and, thus, was reviewed for consolidation under the applicable consolidation guidance. As the Company has both the power to direct the activities of the Issuer Trust that most significantly impact the entity’s performance, and the obligation to absorb losses or the right to receive benefits of the entity that could be significant, the Company consolidates the trust. Additionally, in accordance with arrangements entered into in connection with the securitization transaction, the Company has direct financial obligations payable to the Issuer Trust, which, in turn, support the Issuer Trust’s obligations to noteholders under the securitization transaction. The following table presents a summary of the assets and liabilities of all consolidated trusts as reported on the condensed consolidated balance sheets as of September 30, 2020 and December 31, 2019: (in thousands) September 30, December 31, Note receivable (1) $ 395,328 $ 394,502 Cash and cash equivalents — 200 Restricted cash 35,200 — Accrued interest receivable (1) 197 306 Total Assets $ 430,725 $ 395,008 Term notes payable $ 395,328 $ 394,502 Accrued interest payable 197 306 Other liabilities 35,200 200 Total Liabilities $ 430,725 $ 395,008 ____________________ (1) Receivables due from a wholly owned subsidiary of the Company to the Issuer Trust are eliminated in consolidation in accordance with U.S. GAAP. |
Available-for-Sale Securities,
Available-for-Sale Securities, at Fair Value | 9 Months Ended |
Sep. 30, 2020 | |
Debt Securities, Available-for-sale [Abstract] | |
Available-for-Sale Securities, at Fair Value | Available-for-Sale Securities, at Fair Value The Company holds both Agency and non-Agency AFS investment securities which are carried at fair value on the condensed consolidated balance sheets. In the first quarter of 2020, the Company experienced unprecedented market conditions as a result of the global COVID-19 pandemic, including unusually significant spread widening in both Agency RMBS and non-Agency securities. In response, the Company focused its efforts on raising excess liquidity and de-risking its portfolio. On March 25, 2020, the Company sold substantially all of its non-Agency securities in order to eliminate the risks posed by continued margin calls and ongoing funding concerns associated with the significant spread widening on these assets. During the first quarter, the Company also sold approximately one-third of its Agency RMBS in order to reduce risk and raise cash to establish a strong defensive liquidity position to weather potential ongoing economic and market instability. Since then, the Company has added modestly to its Agency RMBS portfolio, deploying risk as the market entered a period of stabilization and asset price recovery. The following table presents the Company’s AFS investment securities by collateral type as of September 30, 2020 and December 31, 2019: (in thousands) September 30, December 31, Agency Federal National Mortgage Association $ 13,607,826 $ 21,252,575 Federal Home Loan Mortgage Corporation 2,603,002 6,070,500 Government National Mortgage Association 345,500 454,980 Non-Agency 17,993 3,628,273 Total available-for-sale securities $ 16,574,321 $ 31,406,328 At September 30, 2020 and December 31, 2019, the Company pledged AFS securities with a carrying value of $16.6 billion and $29.8 billion, respectively, as collateral for repurchase agreements and advances from the Federal Home Loan Bank of Des Moines, or the FHLB. See Note 11 - Repurchase Agreements and Note 12 - Federal Home Loan Bank of Des Moines Advances . At September 30, 2020 and December 31, 2019, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing , to be considered linked transactions and, therefore, classified as derivatives. The Company is not required to consolidate variable interest entities, or VIEs, for which it has concluded it does not have both the power to direct the activities of the VIEs that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant. The Company’s investments in these unconsolidated VIEs include all non-Agency securities, which are classified within available-for-sale securities, at fair value on the condensed consolidated balance sheets. As of September 30, 2020 and December 31, 2019, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $18.0 million and $3.6 billion, respectively. The following tables present the amortized cost and carrying value of AFS securities by collateral type as of September 30, 2020 and December 31, 2019: September 30, 2020 (in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Amortized Cost Allowance for Credit Losses Unrealized Gain Unrealized Loss Carrying Value Agency: Principal and interest $ 15,040,007 $ 688,566 $ (14) $ 15,728,559 $ — $ 722,176 $ (349) $ 16,450,386 Interest-only 2,189,734 126,068 — 126,068 (19,241) 12,298 (13,183) 105,942 Total Agency 17,229,741 814,634 (14) 15,854,627 (19,241) 734,474 (13,532) 16,556,328 Non-Agency: Principal and interest 2,429 7 (38) 2,398 — 141 — 2,539 Interest-only 2,714,583 22,406 — 22,406 (6,254) 62 (760) 15,454 Total Non-Agency 2,717,012 22,413 (38) 24,804 (6,254) 203 (760) 17,993 Total $ 19,946,753 $ 837,047 $ (52) $ 15,879,431 $ (25,495) $ 734,677 $ (14,292) $ 16,574,321 December 31, 2019 (in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Credit Reserve Purchase Discount Amortized Cost Unrealized Gain Unrealized Loss Carrying Value Agency: Principal and interest $ 26,239,544 $ 986,343 $ (19) $ — $ 27,225,868 $ 424,818 $ (8,815) $ 27,641,871 Interest-only 2,601,693 169,811 — — 169,811 13,724 (47,351) 136,184 Total Agency 28,841,237 1,156,154 (19) — 27,395,679 438,542 (56,166) 27,778,055 Non-Agency: Principal and interest 5,498,654 8,980 (560,140) (1,711,951) 3,235,543 341,583 (23,263) 3,553,863 Interest-only 4,356,603 79,935 — — 79,935 3,039 (8,564) 74,410 Total Non-Agency 9,855,257 88,915 (560,140) (1,711,951) 3,315,478 344,622 (31,827) 3,628,273 Total $ 38,696,494 $ 1,245,069 $ (560,159) $ (1,711,951) $ 30,711,157 $ 783,164 $ (87,993) $ 31,406,328 The following tables present the carrying value of the Company’s AFS securities by rate type as of September 30, 2020 and December 31, 2019: September 30, 2020 (in thousands) Agency Non-Agency Total Adjustable Rate $ 11,798 $ 16,235 $ 28,033 Fixed Rate 16,544,530 1,758 16,546,288 Total $ 16,556,328 $ 17,993 $ 16,574,321 December 31, 2019 (in thousands) Agency Non-Agency Total Adjustable Rate $ 14,584 $ 3,344,287 $ 3,358,871 Fixed Rate 27,763,471 283,986 28,047,457 Total $ 27,778,055 $ 3,628,273 $ 31,406,328 The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of September 30, 2020: September 30, 2020 (in thousands) Agency Non-Agency Total < 1 year $ 2,316 $ 3,150 $ 5,466 ≥ 1 and < 3 years 215,402 14,843 230,245 ≥ 3 and < 5 years 14,444,913 — 14,444,913 ≥ 5 and < 10 years 1,892,932 — 1,892,932 ≥ 10 years 765 — 765 Total $ 16,556,328 $ 17,993 $ 16,574,321 Measurement of Allowances for Credit Losses on AFS Securities (Subsequent to the Adoption of Topic 326) Following the adoption of Topic 326 on January 1, 2020, the Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on both Agency and non-Agency AFS securities that are not accounted for under the fair value option. The estimated allowance for credit losses is equal to the difference between the prepayment adjusted contractual cash flows with no credit losses and the prepayment adjusted expected cash flows with credit losses, discounted at the effective interest rate on the AFS security that was in effect upon adoption of the standard. The contractual cash flows and expected cash flows are based on management’s best estimate and take into consideration current prepayment assumptions, lifetime expected losses based on past loss experience, current market conditions, and reasonable and supportable forecasts of future conditions. The allowance for credit losses on Agency AFS securities relates to prepayment assumption changes on interest-only Agency RMBS. The allowance for credit losses causes an increase in the AFS security amortized cost and recognizes an allowance for credit losses in the same amount, with the provision for credit losses recognized in earnings (within (loss) gain on investment securities) and the balance of the unrealized loss recognized in either other comprehensive income (loss), net of tax, or (loss) gain on investment securities, depending on the accounting treatment. The following table presents the changes for the three and nine months ended September 30, 2020 in the allowance for credit losses on Agency and non-Agency AFS securities: Three Months Ended Nine Months Ended September 30, September 30, 2020 2020 (in thousands) Agency Non-Agency Total Agency Non-Agency Total Allowance for credit losses at beginning of period $ (30,634) $ (11,949) $ (42,583) $ — $ (244,876) $ (244,876) Additions: On securities for which credit losses were not previously recorded (86) — (86) (32,882) (11,404) (44,286) Arising from purchases of securities accounted for as purchased credit deteriorated — — — — — — Reductions: For securities sold — — — — 246,792 246,792 Due to the intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost — — — — — — Increase (decrease) on securities with previously recorded credit losses (558) (6,456) (7,014) 1,604 (11,249) (9,645) Writeoffs 12,037 12,151 24,188 12,037 17,018 29,055 Recoveries of amounts previously written off — — — — (2,535) (2,535) Allowance for credit losses at end of period $ (19,241) $ (6,254) $ (25,495) $ (19,241) $ (6,254) $ (25,495) The following table presents the components comprising the carrying value of AFS securities for which an allowance for credit losses has not been recorded by length of time that the securities had an unrealized loss position as of September 30, 2020 (subsequent to the adoption of Topic 326). At September 30, 2020, the Company held 833 AFS securities; of the securities for which an allowance for credit losses has not been recorded, 8 were in an unrealized loss position for less than twelve consecutive months and 11 were in an unrealized loss position for more than twelve consecutive months. September 30, 2020 Unrealized Loss Position for Less than 12 Months 12 Months or More Total (in thousands) Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Agency $ 17,991 $ (4,598) $ 12,962 $ (437) $ 30,953 $ (5,035) Non-Agency — — — — — — Total $ 17,991 $ (4,598) $ 12,962 $ (437) $ 30,953 $ (5,035) Evaluating AFS Securities for Other-Than-Temporary Impairments (Prior to the Adoption of Topic 326) In evaluating AFS securities for OTTI prior to the adoption of Topic 326, the Company determined whether there had been a significant adverse quarterly change in the cash flow expectations for a security. The Company compared the amortized cost of each security in an unrealized loss position against the present value of expected future cash flows of the security. The Company also considered whether there had been a significant adverse change in the regulatory and/or economic environment as part of this analysis. If the amortized cost of the security was greater than the present value of expected future cash flows using the original yield as the discount rate, an other-than-temporary credit impairment had occurred. If the Company did not intend to sell and would not be more likely than not required to sell the security, the credit loss was recognized in earnings and the balance of the unrealized loss was recognized in either other comprehensive income (loss), net of tax, or (loss) gain on investment securities, depending on the accounting treatment. If the Company intended to sell the security or would be more likely than not required to sell the security, the full unrealized loss was recognized in earnings. During the three and nine months ended September 30, 2019, the Company recorded $6.0 million and $11.0 million in other-than-temporary credit impairments on a total of sixteen non-Agency securities where the future expected cash flows for each security were less than its amortized cost. At September 30, 2019, the Company did not intend to sell the securities and determined that it was not more likely than not that the Company would be required to sell the securities; therefore, only the projected credit loss was recognized in earnings. As of September 30, 2020, the Company no longer held any of the securities for which OTTI had been recognized prior to January 1, 2020. The following table presents the changes in cumulative credit losses related to OTTI for the three and nine months ended September 30, 2020 and 2019: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2020 2019 2020 2019 Cumulative other-than-temporary credit losses at beginning of period $ — $ (9,376) $ (17,021) $ (6,865) Additions: Other-than-temporary impairments not previously recognized — (5,950) — (10,353) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments — — — (651) Reductions: Decreases related to other-than-temporary impairments on securities paid down — — — 1,703 Decreases related to other-than-temporary impairments on securities sold — 1,613 17,021 2,453 Cumulative other-than-temporary credit losses at end of period $ — $ (13,713) $ — $ (13,713) Cumulative credit losses related to OTTI are reduced for securities sold as well as for securities that mature, are paid down, or are prepaid such that the outstanding principal balance is reduced to zero. Additionally, increases in cash flows expected to be collected over the remaining life of the security cause a reduction in the cumulative credit loss. Prior to the adoption of Topic 326 on January 1, 2020, when the Company purchased a credit-sensitive AFS security at a significant discount to its face value, the Company did not amortize into income a significant portion of this discount that the Company was entitled to earn because the Company did not expect to collect the entire discount due to the inherent credit risk of the security. The Company may have also recorded an OTTI for a portion of its investment in the security in an unrealized loss position to the extent the Company believed that the amortized cost would exceed the present value of expected future cash flows. The amount of principal that the Company did not amortize into income was designated as a credit reserve on the security, with unamortized net discounts or premiums amortized into income over time to the extent realizable. The following table presents the changes for the nine months ended September 30, 2019 in the net unamortized discount/premium and designated credit reserve on non-Agency AFS securities: Nine Months Ended September 30, 2019 (in thousands) Designated Credit Reserve Net Unamortized Discount/Premium Total Beginning balance at January 1 $ (1,322,762) $ (603,591) $ (1,926,353) Acquisitions (471,746) 10,524 (461,222) Accretion of net discount — 27,782 27,782 Realized credit losses 18,668 — 18,668 Reclassification adjustment for other-than-temporary impairments (6,847) — (6,847) Transfers from (to) 34,157 (34,157) — Sales, calls, other 24,892 226,923 251,815 Ending balance at September 30 $ (1,723,638) $ (372,519) $ (2,096,157) The following table presents the components comprising the carrying value of AFS securities not deemed to be other-than-temporarily impaired by length of time that the securities had an unrealized loss position as of December 31, 2019 (prior to the adoption of Topic 326). At December 31, 2019, the Company held 1,237 AFS securities, of which 122 were in an unrealized loss position for less than twelve consecutive months and 151 were in an unrealized loss position for more than twelve consecutive months. December 31, 2019 Unrealized Loss Position for Less than 12 Months 12 Months or More Total (in thousands) Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Agency $ 3,322,894 $ (6,645) $ 524,739 $ (49,521) $ 3,847,633 $ (56,166) Non-Agency 647,849 (18,416) 210,988 (13,411) 858,837 (31,827) Total $ 3,970,743 $ (25,061) $ 735,727 $ (62,932) $ 4,706,470 $ (87,993) Gross Realized Gains and Losses Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within (loss) gain on investment securities in the Company’s condensed consolidated statements of comprehensive income (loss). The following table presents details around sales of AFS securities during the three and nine months ended September 30, 2020 and 2019: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2020 2019 2020 2019 Proceeds from sales of available-for-sale securities $ — $ 6,111,897 $ 16,969,870 $ 14,065,573 Amortized cost of available-for-sale securities sold — (5,861,630) (17,947,686) (13,809,174) Total realized gains (losses) on sales, net $ — $ 250,267 $ (977,816) $ 256,399 Gross realized gains $ — $ 254,655 $ 280,885 $ 380,808 Gross realized losses — (4,388) (1,258,701) (124,409) Total realized gains (losses) on sales, net $ — $ 250,267 $ (977,816) $ 256,399 |
Servicing Activities
Servicing Activities | 9 Months Ended |
Sep. 30, 2020 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |
Servicing Activities | Servicing Activities Mortgage Servicing Rights, at Fair Value A wholly owned subsidiary of the Company has approvals from Fannie Mae and Freddie Mac to own and manage MSR, which represent the right to control the servicing of residential mortgage loans. The Company and its subsidiaries do not originate or directly service mortgage loans, and instead contract with appropriately licensed subservicers to handle substantially all servicing functions in the name of the subservicer for the loans underlying the Company’s MSR. The following table summarizes activity related to MSR for the three and nine months ended September 30, 2020 and 2019. Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2020 2019 2020 2019 Balance at beginning of period $ 1,279,195 $ 1,800,826 $ 1,909,444 $ 1,993,440 Purchases of mortgage servicing rights 88,706 76,588 294,040 341,110 Sales of mortgage servicing rights — 905 1,814 905 Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model 41,429 (144,071) (570,347) (477,710) Other changes in fair value (1) (154,184) (90,529) (367,864) (198,585) Other changes (2) 2,357 7,837 (9,584) (7,604) Balance at end of period (3) $ 1,257,503 $ 1,651,556 $ 1,257,503 $ 1,651,556 ____________________ (1) Other changes in fair value primarily represents changes due to the realization of expected cash flows. (2) Other changes includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. (3) Based on the principal balance of the loans underlying the MSR reported by servicers on a month lag, adjusted for current month purchases. At September 30, 2020 and December 31, 2019, the Company pledged MSR with a carrying value of $1.0 billion and $1.6 billion, respectively, as collateral for repurchase agreements, revolving credit facilities and term notes payable. See Note 11 - Repurchase Agreements , Note 13 - Revolving Credit Facilities and Note 14 - Term Notes Payable . As of September 30, 2020 and December 31, 2019, the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows: (dollars in thousands, except per loan data) September 30, December 31, Weighted average prepayment speed: 21.4 % 14.8 % Impact on fair value of 10% adverse change $ (103,057) $ (88,459) Impact on fair value of 20% adverse change $ (193,815) $ (188,209) Weighted average delinquency: 2.4 % 0.9 % Impact on fair value of 10% adverse change $ (2,159) $ (7,470) Impact on fair value of 20% adverse change $ (3,894) $ (15,020) Weighted average discount rate: 5.1 % 7.2 % Impact on fair value of 10% adverse change $ (19,684) $ (49,274) Impact on fair value of 20% adverse change $ (38,195) $ (95,963) Weighted average per loan annual cost to service: $ 68.63 $ 66.62 Impact on fair value of 10% adverse change $ (18,506) $ (23,932) Impact on fair value of 20% adverse change $ (37,096) $ (48,054) These assumptions and sensitivities are hypothetical and should be considered with caution. Changes in fair value based on 10% and 20% variations in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value may not be linear. Also, the effect of a variation in a particular assumption on the fair value of MSR is calculated without changing any other assumptions. In reality, changes in one factor may result in changes in another ( e.g. , increased market interest rates may result in lower prepayments and increased credit losses) that could magnify or counteract the sensitivities. Further, these sensitivities show only the change in the asset balances and do not show any expected change in the fair value of the instruments used to manage the interest rates and prepayment risks associated with these assets. Risk Mitigation Activities The primary risk associated with the Company’s MSR is interest rate risk and the resulting impact on prepayments. A significant decline in interest rates could lead to higher-than-expected prepayments that could reduce the value of the MSR. The Company economically hedges the impact of these risks primarily with its Agency RMBS portfolio. Mortgage Servicing Income The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive income (loss) for the three and nine months ended September 30, 2020 and 2019: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2020 2019 2020 2019 Servicing fee income $ 96,332 $ 106,700 $ 318,686 $ 327,184 Ancillary and other fee income 391 499 1,388 1,302 Float income 2,391 18,826 22,728 45,436 Total $ 99,114 $ 126,025 $ 342,802 $ 373,922 Mortgage Servicing Advances As the servicer of record for the MSR assets, the Company may be required to advance principal and interest payments to security holders, and intermittent tax and insurance payments to local authorities and insurance companies on mortgage loans that are in forbearance, delinquency or default. The Company is responsible for funding these advances, potentially for an extended period of time, before receiving reimbursement from Fannie Mae and Freddie Mac. Servicing advances are priority cash flows in the event of a loan principal reduction or foreclosure and ultimate liquidation of the real estate-owned property, thus making their collection reasonably assured. These servicing advances totaled $37.8 million and $45.6 million and were included in other assets on the condensed consolidated balance sheets as of September 30, 2020 and December 31, 2019, respectively. At September 30, 2020, mortgage loans in 60+ day delinquent status (whether or not subject to forbearance) accounted for approximately 4.1% of the aggregate principal balance of loans for which the Company had servicing advance funding obligations. During the three months ended September 30, 2020, the Company entered into a new revolving credit facility to finance its servicing advance obligations. At September 30, 2020, the Company had pledged servicing advances with a carrying value of $11.1 million as collateral for this revolving credit facility. See Note 13 - Revolving Credit Facilities . Serviced Mortgage Assets The Company’s total serviced mortgage assets consist of residential mortgage loans underlying its MSR asset, off-balance sheet residential mortgage loans owned by other entities for which the Company acts as servicing administrator, and other assets. The following table presents the number of loans and unpaid principal balance of the mortgage assets for which the Company manages the servicing as of September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Mortgage servicing rights 719,344 $ 156,444,362 793,470 $ 175,882,142 Residential mortgage loans 2,139 1,372,188 3,157 2,033,951 Other assets — — 71 12,511 Total serviced mortgage assets 721,483 $ 157,816,550 796,698 $ 177,928,604 |
Cash, Cash Equivalents and Rest
Cash, Cash Equivalents and Restricted Cash | 9 Months Ended |
Sep. 30, 2020 | |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | |
Cash, Cash Equivalents and Restricted Cash | Cash, Cash Equivalents and Restricted Cash Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. The Company is required to maintain certain cash balances with counterparties for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings in restricted accounts. The Company has also placed cash in a restricted account pursuant to a letter of credit on an office space lease. The following table presents the Company’s restricted cash balances as of September 30, 2020 and December 31, 2019: (in thousands) September 30, December 31, Restricted cash balances held by trading counterparties: For securities trading activity $ 45,000 $ 45,050 For derivatives trading activity 57,355 94,570 For servicing activities 2,438 — As restricted collateral for borrowings 492,098 919,010 Total restricted cash balances held by trading counterparties 596,891 1,058,630 Restricted cash balance pursuant to letter of credit on office lease 60 60 Total $ 596,951 $ 1,058,690 The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company’s condensed consolidated balance sheets as of September 30, 2020 and December 31, 2019 that sum to the total of the same such amounts shown in the statements of cash flows: (in thousands) September 30, December 31, Cash and cash equivalents $ 1,615,074 $ 558,136 Restricted cash 596,951 1,058,690 Total cash, cash equivalents and restricted cash $ 2,212,025 $ 1,616,826 |
Derivative Instruments and Hedg
Derivative Instruments and Hedging Activities | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities | Derivative Instruments and Hedging Activities The Company enters into a variety of derivative and non-derivative instruments in connection with its risk management activities. The primary objective for executing these derivative and non-derivative instruments is to mitigate the Company’s economic exposure to future events that are outside its control, principally cash flow volatility associated with interest rate risk (including associated prepayment risk). Specifically, the Company enters into derivative and non-derivative instruments to economically hedge interest rate risk or “duration mismatch (or gap)” by adjusting the duration of its floating-rate borrowings into fixed-rate borrowings to more closely match the duration of its assets. This particularly applies to floating-rate borrowing agreements with maturities or interest rate resets of less than six months. Typically, the interest receivable terms ( e.g. , LIBOR or the OIS rate) of certain derivatives match the terms of the underlying debt, resulting in an effective conversion of the rate of the related borrowing agreement from floating to fixed. The objective is to manage the cash flows associated with current and anticipated interest payments on borrowings, as well as the ability to roll or refinance borrowings at the desired amount by adjusting the duration. To help manage the adverse impact of interest rate changes on the value of the Company’s portfolio as well as its cash flows, the Company may, at times, enter into various forward contracts, including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, caps and total return swaps. In executing on the Company’s current risk management strategy, the Company has entered into interest rate swap agreements and TBAs. The Company has also entered into a number of non-derivative instruments to manage interest rate risk, principally MSR and Agency interest-only securities (see discussion below). The following summarizes the Company’s significant asset and liability classes, the risk exposure for these classes, and the Company’s risk management activities used to mitigate these risks. The discussion includes both derivative and non-derivative instruments used as part of these risk management activities. Any of the Company’s derivative and non-derivative instruments may be entered into in conjunction with one another in order to mitigate risks. As a result, the following discussions of each type of instrument should be read as a collective representation of the Company’s risk mitigation efforts and should not be considered independent of one another. While the Company uses derivative and non-derivative instruments to achieve the Company’s risk management activities, it is possible that these instruments will not effectively mitigate all or a substantial portion of the Company’s market rate risk. In addition, the Company might elect, at times, not to enter into certain hedging arrangements in order to maintain compliance with REIT requirements. Balance Sheet Presentation In accordance with ASC 815, Derivatives and Hedging , the Company records derivative financial instruments on its condensed consolidated balance sheets as assets or liabilities at fair value. Changes in fair value are accounted for depending on the use of the derivative instruments and whether they are designated or qualifying as hedge instruments. Due to the volatility of the interest rate and credit markets and difficulty in effectively matching pricing or cash flows, the Company has not designated any current derivatives as hedging instruments. The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading derivatives as of September 30, 2020 and December 31, 2019. September 30, 2020 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 67,468 $ 338,646 $ — $ — Interest rate swap agreements — — — 12,394,818 Swaptions, net 10,791 6,000,000 — — TBAs 18,460 3,947,000 (3,551) 2,289,000 U.S. Treasury futures 1,170 866,600 — — Total $ 97,889 $ 11,152,246 $ (3,551) $ 14,683,818 December 31, 2019 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 69,469 $ 397,137 $ — $ — Interest rate swap agreements 102,268 2,725,000 — 36,977,470 Swaptions, net 7,801 1,257,000 — — TBAs 8,011 9,584,000 (6,711) (2,157,000) U.S. Treasury futures 502 380,000 — — Markit IOS total return swaps — — (29) 41,890 Total $ 188,051 $ 14,343,137 $ (6,740) $ 34,862,360 Comprehensive Income (Loss) Statement Presentation The Company has not applied hedge accounting to its current derivative portfolio held to mitigate interest rate risk and credit risk. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its derivative instruments. The following table summarizes the location and amount of gains and losses on derivative instruments reported in the condensed consolidated statements of comprehensive income (loss): Derivative Instruments Location of Gain (Loss) Recognized in Income Amount of Gain (Loss) Recognized in Income Three Months Ended Nine Months Ended (in thousands) September 30, September 30, 2020 2019 2020 2019 Interest rate risk management TBAs Gain on other derivative instruments $ 60,993 $ 82,964 $ (29,385) $ 221,439 Short U.S. Treasuries Gain on other derivative instruments — — — (6,801) U.S. Treasury futures Gain on other derivative instruments 4,448 (359) 26,956 46,089 Put and call options for TBAs Gain on other derivative instruments — — — (7,666) Interest rate swaps - Payers Gain (loss) on interest rate swap, cap and swaption agreements 8,269 (172,856) (1,151,119) (834,426) Interest rate swaps - Receivers Gain (loss) on interest rate swap, cap and swaption agreements (7,879) 211,086 904,492 664,313 Swaptions Gain (loss) on interest rate swap, cap and swaption agreements 1,011 32,390 (49,490) 76,383 Interest rate caps Gain (loss) on interest rate swap, cap and swaption agreements — — — (7,684) Markit IOS total return swaps Gain on other derivative instruments — (888) (2,430) (1,365) Non-risk management Inverse interest-only securities Gain on other derivative instruments 155 4,139 13,593 19,102 Total $ 66,997 $ 156,476 $ (287,383) $ 169,384 For the three and nine months ended September 30, 2020, the Company recognized $0.8 million of income and $68.1 million of expense, respectively, for the accrual and/or settlement of the net interest expense associated with its interest rate swaps and caps. The income results from receiving either a floating interest rate (LIBOR or the OIS rate) or a fixed interest rate and paying either a fixed interest rate or a floating interest rate (LIBOR or the OIS rate) on an average $7.6 billion and $32.0 billion notional, respectively. For the three and nine months ended September 30, 2019, the Company recognized $19.2 million and $65.7 million, respectively, of income for the accrual and/or settlement of the net interest expense associated with its interest rate swaps and caps. The income results from paying either a fixed interest rate or a floating interest rate (LIBOR or the OIS rate) and receiving either a floating interest rate (LIBOR or the OIS rate) or a fixed interest rate on an average $41.2 billion and $39.8 billion notional, respectively. The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the three and nine months ended September 30, 2020 and 2019: Three Months Ended September 30, 2020 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 361,933 $ — $ (23,287) $ 338,646 $ 350,876 $ — Interest rate swap agreements 4,479,000 7,915,818 — 12,394,818 7,595,385 — Swaptions, net — 6,000,000 — 6,000,000 239,130 — TBAs, net 3,236,000 21,358,000 (18,358,000) 6,236,000 4,760,456 82,490 U.S. Treasury futures — 2,552,500 (1,685,900) 866,600 986,795 3,291 Total $ 8,076,933 $ 37,826,318 $ (20,067,187) $ 25,836,064 $ 13,932,642 $ 85,781 Three Months Ended September 30, 2019 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 436,611 $ — $ (20,668) $ 415,943 $ 427,222 $ — Interest rate swap agreements 40,470,277 17,874,435 (16,511,217) 41,833,495 41,180,308 38,044 Interest rate cap contracts — — — — — — Swaptions, net 3,875,000 1,000,000 (3,125,000) 1,750,000 2,650,815 37,365 TBAs, net 9,422,000 40,347,000 (39,906,000) 9,863,000 9,107,707 94,505 U.S. Treasury futures 1,300,000 3,567,000 (4,547,000) 320,000 657,022 26,939 Markit IOS total return swaps 45,536 — (1,769) 43,767 46,088 — Total $ 55,549,424 $ 62,788,435 $ (64,111,654) $ 54,226,205 $ 54,069,162 $ 196,853 Nine Months Ended September 30, 2020 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 397,137 $ — $ (58,491) $ 338,646 $ 370,379 $ — Interest rate swap agreements 39,702,470 56,403,253 (83,710,905) 12,394,818 32,006,660 (334,502) Swaptions, net 1,257,000 7,017,000 (2,274,000) 6,000,000 956,387 (50,700) TBAs, net 7,427,000 41,431,000 (42,622,000) 6,236,000 3,809,515 (42,993) U.S. Treasury futures (380,000) 10,782,500 (9,535,900) 866,600 681,497 26,295 Markit IOS total return swaps 41,890 — (41,890) — 13,547 (2,077) Total $ 48,445,497 $ 115,633,753 $ (138,243,186) $ 25,836,064 $ 37,837,985 $ (403,977) Nine Months Ended September 30, 2019 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 476,299 $ — $ (60,356) $ 415,943 $ 447,082 $ — Interest rate swap agreements 29,523,605 32,373,068 (20,063,178) 41,833,495 38,402,820 41,975 Interest rate cap contracts 2,500,000 — (2,500,000) — 1,417,216 (8,690) Swaptions, net 63,000 14,200,000 (12,513,000) 1,750,000 3,259,802 63,139 TBAs, net 6,484,000 119,252,000 (115,873,000) 9,863,000 8,905,264 242,102 Short U.S. Treasuries (800,000) — 800,000 — (61,097) (23,172) U.S. Treasury futures — 8,077,000 (7,757,000) 320,000 691,414 47,565 Put and call options for TBAs, net (1,767,000) — 1,767,000 — (147,606) (32,962) Markit IOS total return swaps 48,265 — (4,498) 43,767 45,964 — Total $ 36,528,169 $ 173,902,068 $ (156,204,032) $ 54,226,205 $ 52,960,859 $ 329,957 ____________________ (1) Excludes net interest paid or received in full settlement of the net interest spread liability. Cash flow activity related to derivative instruments is reflected within the operating activities and investing activities sections of the condensed consolidated statements of cash flows. Realized gains and losses and derivative fair value adjustments are reflected within the realized and unrealized loss on interest rate swaps, caps and swaptions and unrealized gain on other derivative instruments line items within the operating activities section of the condensed consolidated statements of cash flows. The remaining cash flow activity related to derivative instruments is reflected within the (purchases) short sales of other derivative instruments, (payments for termination and settlement) proceeds from sales and settlements of derivative instruments, net and increase (decrease) in due to counterparties, net line items within the investing activities section of the condensed consolidated statements of cash flows. Interest Rate Sensitive Assets/Liabilities The Company’s Agency RMBS portfolio is generally subject to change in value when mortgage rates decline or increase, depending on the type of investment. Rising mortgage rates generally result in a decline in the value of the Company’s fixed-rate Agency principal and interest (P&I) RMBS. To mitigate the impact of this risk on the Company’s fixed-rate Agency P&I RMBS portfolio, the Company maintains a portfolio of fixed-rate interest-only securities and MSR, which increase in value when interest rates increase. As of September 30, 2020 and December 31, 2019, the Company had $48.7 million and $122.2 million, respectively, of interest-only securities, and $1.3 billion and $1.9 billion, respectively, of MSR in place to primarily hedge its Agency RMBS. Interest-only securities are included in AFS securities, at fair value, in the condensed consolidated balance sheets. The Company monitors its borrowings under repurchase agreements, FHLB advances and revolving credit facilities, which are generally floating-rate debt, in relation to the rate profile of its portfolio. In connection with its risk management activities, the Company enters into a variety of derivative and non-derivative instruments to economically hedge interest rate risk or duration mismatch (or gap) by adjusting the duration of its floating-rate borrowings into fixed-rate borrowings to more closely match the duration of its assets. This particularly applies to borrowing agreements with maturities or interest rate resets of less than six months. Typically, the interest receivable terms ( e.g. , LIBOR or the OIS rate) of certain derivatives match the terms of the underlying debt, resulting in an effective conversion of the rate of the related borrowing agreement from floating to fixed. The objective is to manage the cash flows associated with current and anticipated interest payments on borrowings, as well as the ability to roll or refinance borrowings at the desired amount by adjusting the duration. To help manage the adverse impact of interest rate changes on the value of the Company’s portfolio as well as its cash flows, the Company may, at times, enter into various forward contracts, including short securities, TBAs, options, futures, swaps, caps, credit default swaps and total return swaps. In executing on the Company’s current interest rate risk management strategy, the Company has entered into TBAs and interest rate swap agreements. TBAs. At times, the Company may use TBAs as a means of deploying capital until targeted investments are available or to take advantage of temporary displacements, funding advantages or valuation differentials in the marketplace. Additionally, the Company may use TBAs independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. TBAs are forward contracts for the purchase (long notional positions) or sale (short notional positions) of Agency RMBS. The issuer, coupon and stated maturity of the Agency RMBS are predetermined as well as the trade price, face amount and future settle date (published each month by the Securities Industry and Financial Markets Association). However, the specific Agency RMBS to be delivered upon settlement is not known at the time of the TBA transaction. As a result, and because physical delivery of the Agency RMBS upon settlement cannot be assured, the Company accounts for TBAs as derivative instruments. The Company may hold both long and short notional TBA positions, which are disclosed on a gross basis according to the unrealized gain or loss position of each TBA contract regardless of long or short notional position. The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of September 30, 2020 and December 31, 2019: September 30, 2020 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 8,789,000 $ 9,196,682 $ 9,210,143 $ 16,768 $ (3,307) Sale contracts (2,553,000) (2,700,653) (2,699,205) 1,692 (244) TBAs, net $ 6,236,000 $ 6,496,029 $ 6,510,938 $ 18,460 $ (3,551) December 31, 2019 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 10,223,000 $ 10,557,745 $ 10,565,556 $ 8,011 $ (200) Sale contracts (2,796,000) (2,902,858) (2,909,369) — (6,511) TBAs, net $ 7,427,000 $ 7,654,887 $ 7,656,187 $ 8,011 $ (6,711) ___________________ (1) Notional amount represents the face amount of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period-end. (4) Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the condensed consolidated balance sheets. U.S. Treasury Futures. The Company may use U.S. Treasury futures independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of September 30, 2020 and December 31, 2019, the Company had purchased U.S. Treasury futures with a notional amount of $866.6 million and $380.0 million and a fair market value of $1.2 million and $0.5 million included in derivative assets, at fair value, on the condensed consolidated balance sheet as of September 30, 2020 and December 31, 2019, respectively. Interest Rate Swap Agreements . The Company may use interest rate swaps independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of September 30, 2020 and December 31, 2019, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a floating interest rate (LIBOR or the OIS rate): (notional in thousands) September 30, 2020 Swaps Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2022 $ 7,415,818 0.042 % 0.090 % 1.91 2023 2,281,500 0.023 % 0.090 % 2.73 2024 and Thereafter 1,497,500 0.257 % 0.090 % 6.74 Total $ 11,194,818 0.067 % 0.090 % 2.72 (notional in thousands) December 31, 2019 Swaps Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2020 $ 3,640,000 1.806 % 1.937 % 0.83 2021 15,740,977 1.681 % 1.910 % 1.47 2022 2,578,640 1.911 % 1.901 % 2.74 2023 215,000 3.057 % 1.910 % 3.90 2024 and Thereafter 8,739,092 2.224 % 1.935 % 7.20 Total $ 30,913,709 1.878 % 1.921 % 3.14 Additionally, as of September 30, 2020 and December 31, 2019, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk whereby the Company pays interest at a floating interest rate (LIBOR or the OIS rate): (notional in thousands) September 30, 2020 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2024 and Thereafter $ 1,200,000 0.090 % 0.442 % 9.68 Total $ 1,200,000 0.090 % 0.442 % 9.68 (notional in thousands) December 31, 2019 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2020 $ 250,000 1.953 % 2.258 % 0.06 2021 915,000 1.894 % 2.516 % 1.10 2022 — — % — % 0.00 2023 — — % — % 0.00 2024 and Thereafter 7,623,761 1.937 % 2.232 % 8.64 Total $ 8,788,761 1.933 % 2.262 % 7.61 Interest Rate Swaptions . The Company may use interest rate swaptions (agreements to enter into interest rate swaps in the future for which the Company would either pay or receive a fixed rate) independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of September 30, 2020 and December 31, 2019, the Company had the following outstanding interest rate swaptions that were utilized as macro-economic hedges: September 30, 2020 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Basis Fair Value Average Months to Expiration Notional Amount Average Pay Rate Average Receive Rate Average Term (Years) Purchase contracts: Payer < 6 Months $ 5,780 $ 6,942 3.36 $ 3,000,000 1.23 % SOFR 10.0 Receiver < 6 Months $ 4,000 $ 3,849 3.36 $ 3,000,000 SOFR 0.23 % 10.0 December 31, 2019 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Pay Rate Average Receive Rate Average Term (Years) Purchase contracts: Payer < 6 Months $ 24,700 $ 16,095 3.20 $ 7,525,000 2.27 % 3M Libor 10.0 Receiver < 6 Months $ 4,100 $ 342 1.10 $ 500,000 3M Libor 1.55 % 10.0 Sale contracts: Receiver < 6 Months $ (20,800) $ (8,636) 3.24 $ (6,768,000) 3M Libor 1.28 % 10.0 Markit IOS Total Return Swaps . The Company may use total return swaps (agreements whereby the Company receives or makes payments based on the total return of an underlying instrument or index, such as the Markit IOS Index, in exchange for fixed or floating rate interest payments) independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. The Company enters into total return swaps to help mitigate the potential impact of larger increases or decreases in interest rates on the performance of our portfolio (referred to as “convexity risk”). Total return swaps based on the Markit IOS Index are intended to synthetically replicate the performance of interest-only securities. The Company did not hold any total return swaps as of September 30, 2020. As of December 31, 2019, the Company had the following total return swap agreements in place: (notional and dollars in thousands) December 31, 2019 Maturity Date Current Notional Amount Fair Value Cost Basis Unrealized Gain (Loss) January 12, 2043 $ (18,625) $ 5 $ (30) $ 35 January 12, 2044 (23,265) (34) (29) (5) Total $ (41,890) $ (29) $ (59) $ 30 Credit Risk The Company’s exposure to credit losses on its Agency RMBS portfolio is limited due to implicit or explicit backing from the GSEs. The payment of principal and interest on the Freddie Mac and Fannie Mae mortgage-backed securities are guaranteed by those respective agencies, and the payment of principal and interest on the Ginnie Mae mortgage-backed securities are backed by the full faith and credit of the U.S. government. For non-Agency securities, the Company may enter into credit default swaps to hedge credit risk. In future periods, the Company could enhance its credit risk protection, enter into further paired derivative positions, including both long and short credit default swaps, and/or seek opportunistic trades in the event of a market disruption (see discussion under “ Non-Risk Management Activities ” below). The Company also has processes and controls in place to monitor, analyze, manage and mitigate its credit risk with respect to non-Agency securities. Derivative financial instruments contain an element of credit risk if counterparties are unable to meet the terms of the agreements. Credit risk associated with derivative financial instruments is measured as the net replacement cost should the counterparties that owe the Company under such contracts completely fail to perform under the terms of these contracts, assuming there are no recoveries of underlying collateral, as measured by the market value of the derivative financial instruments. As of September 30, 2020, the fair value of derivative financial instruments as an asset and liability position was $97.9 million and $3.6 million, respectively. |
Reverse Repurchase Agreements
Reverse Repurchase Agreements | 9 Months Ended |
Sep. 30, 2020 | |
Reverse Repurchase Agreements [Abstract] | |
Reverse Repurchase Agreements | Reverse Repurchase AgreementsAs of September 30, 2020 and December 31, 2019, the Company had $82.8 million and $215.6 million in amounts due to counterparties as collateral for reverse repurchase agreements that could be pledged, delivered or otherwise used, with a fair value of $82.4 million and $220.0 million, respectively. |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 9 Months Ended |
Sep. 30, 2020 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities Certain of the Company’s repurchase agreements are governed by underlying agreements that provide for a right of setoff in the event of default by either party to the agreement. The Company also has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association, or ISDA, or central clearing exchange agreements, in the case of centrally cleared interest rate swaps. The Company and the counterparty or clearing agency are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. Additionally, the Company’s centrally cleared interest rate swaps require that the Company posts an initial margin amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap’s maximum estimated single-day price movement. The Company also exchanges variation margin based upon daily changes in fair value, as measured by the exchange. Under U.S. GAAP, if the Company has a valid right of setoff, it may offset the related asset and liability and report the net amount. Based on rules governing certain central clearing activities, the exchange of variation margin is considered a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, the Company accounts for the receipt or payment of variation margin on Chicago Mercantile Exchange, or CME, and London Clearing House, or LCH, cleared positions as a direct reduction to the carrying value of the interest rate swap asset or liability. The receipt or payment of initial margin is accounted for separate from the interest rate swap asset or liability. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Company’s condensed consolidated balance sheets when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the condensed consolidated statements of cash flows. The Company presents derivative assets and liabilities (other than centrally cleared interest rate swaps) subject to master netting arrangements or similar agreements on a net basis, based on derivative type and counterparty, in its condensed consolidated balance sheets. Separately, the Company presents cash collateral subject to such arrangements (other than variation margin on centrally cleared interest rate swaps) on a net basis, based on counterparty, in its condensed consolidated balance sheets. However, the Company does not offset repurchase agreements, reverse repurchase agreements or derivative assets and liabilities (other than centrally cleared interest rate swaps) with the associated cash collateral on its condensed consolidated balance sheets. The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of September 30, 2020 and December 31, 2019: September 30, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 101,787 $ (3,898) $ 97,889 $ (3,551) $ — $ 94,338 Reverse repurchase agreements 82,410 — 82,410 — (82,410) — Total Assets $ 184,197 $ (3,898) $ 180,299 $ (3,551) $ (82,410) $ 94,338 Liabilities Repurchase agreements $ (16,376,696) $ — $ (16,376,696) $ 16,376,696 $ — $ — Derivative liabilities (7,449) 3,898 (3,551) 3,551 — — Total Liabilities $ (16,384,145) $ 3,898 $ (16,380,247) $ 16,380,247 $ — $ — December 31, 2019 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 494,822 $ (306,771) $ 188,051 $ (6,740) $ — $ 181,311 Reverse repurchase agreements 220,000 — 220,000 — (215,565) 4,435 Total Assets $ 714,822 $ (306,771) $ 408,051 $ (6,740) $ (215,565) $ 185,746 Liabilities Repurchase agreements $ (29,147,463) $ — $ (29,147,463) $ 29,147,463 $ — $ — Derivative liabilities (313,511) 306,771 (6,740) 6,740 — — Total Liabilities $ (29,460,974) $ 306,771 $ (29,154,203) $ 29,154,203 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Fair Value Fair Value Measurements ASC 820, Fair Value Measurements and Disclosures, or ASC 820, defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets ( i.e. , observable inputs) and the lowest priority to data lacking transparency ( i.e. , unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC 820 establishes a three-level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels: Level 1 Inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity. Level 2 Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities. Level 3 Unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation. The following are descriptions of the valuation methodologies used to measure material assets and liabilities at fair value and details of the valuation models, key inputs to those models and significant assumptions utilized. Available-for-sale securities . The Company holds a portfolio of AFS securities that are carried at fair value in the condensed consolidated balance sheets and primarily comprised of Agency RMBS and non-Agency securities. The Company determines the fair value of its Agency RMBS based upon prices obtained from third-party brokers and pricing vendors received using bid price, which are deemed indicative of market activity. The third-party pricing vendors use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. In determining the fair value of its non-Agency securities, management judgment may be used to arrive at fair value that considers prices obtained from third-party pricing vendors and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels, and credit losses). The Company classified 99.89% and 0.11% of its AFS securities as Level 2 and Level 3 fair value assets, respectively, at September 30, 2020. AFS securities account for 92.4% of all assets reported at fair value at September 30, 2020. Mortgage servicing rights . The Company holds a portfolio of MSR that are carried at fair value on the condensed consolidated balance sheets. The Company determines fair value of its MSR based on prices obtained from third-party pricing vendors. Although MSR transactions may be observable in the marketplace, the details of those transactions are not necessarily reflective of the value of the Company’s MSR portfolio. Third-party vendors use both observable market data and unobservable market data (including forecasted prepayment speeds, delinquency levels, discount rates and cost to service) as inputs into models, which help to inform their best estimates of fair value market price. As a result, the Company classified 100% of its MSR as Level 3 fair value assets at September 30, 2020. Derivative instruments . The Company may enter into a variety of derivative financial instruments as part of its hedging strategies. The Company principally executes over-the-counter, or OTC, derivative contracts, such as interest rate swaps, caps, swaptions, put and call options for TBAs and Markit IOS total return swaps. The Company utilizes third-party brokers to value its financial derivative instruments. The Company classified 100% of the interest rate swaps and swaptions reported at fair value as Level 2 at September 30, 2020. The Company did not hold any interest rate caps, put and call options for TBAs or Markit IOS total return swaps at September 30, 2020. The Company may also enter into certain other derivative financial instruments, such as TBAs, short U.S. Treasuries, U.S. Treasury futures and inverse interest-only securities. These instruments are similar in form to the Company’s AFS securities and the Company utilizes third-party vendors to value TBAs, short U.S. Treasuries, U.S. Treasury futures and inverse interest-only securities. The Company classified 100% of its inverse interest-only securities at fair value as Level 2 at September 30, 2020. The Company reported 100% of its TBAs and U.S. Treasury futures as Level 1 as of September 30, 2020. The Company did not hold any short U.S. Treasuries at September 30, 2020. The Company’s policy is to minimize credit exposure related to financial derivatives used for hedging by limiting the hedge counterparties to major banks, financial institutions, exchanges, and private investors who meet established capital and credit guidelines as well as by limiting the amount of exposure to any individual counterparty. The Company has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by ISDA, or central clearing exchange agreements, in the case of centrally cleared interest rate swaps. Additionally, both the Company and the counterparty or clearing agency are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or to the counterparty or clearing agency is considered materially mitigated. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit. The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities. Recurring Fair Value Measurements September 30, 2020 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 16,556,328 $ 17,993 $ 16,574,321 Mortgage servicing rights — — 1,257,503 1,257,503 Derivative assets 19,630 78,259 — 97,889 Total assets $ 19,630 $ 16,634,587 $ 1,275,496 $ 17,929,713 Liabilities Derivative liabilities $ 3,551 $ — $ — $ 3,551 Total liabilities $ 3,551 $ — $ — $ 3,551 Recurring Fair Value Measurements December 31, 2019 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 31,157,154 $ 249,174 $ 31,406,328 Mortgage servicing rights — — 1,909,444 1,909,444 Derivative assets 8,513 179,538 — 188,051 Total assets $ 8,513 $ 31,336,692 $ 2,158,618 $ 33,503,823 Liabilities Derivative liabilities $ 6,711 $ 29 $ — $ 6,740 Total liabilities $ 6,711 $ 29 $ — $ 6,740 The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application of certain impairment measures under U.S. GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of September 30, 2020, the Company did not have any assets or liabilities measured at fair value on a nonrecurring basis in the periods presented. The valuation of Level 3 instruments requires significant judgment by the third-party pricing vendors and/or management. The third-party pricing vendors and/or management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the third-party pricing vendors in the absence of market information. Assumptions used by the third-party pricing vendors due to lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s condensed consolidated financial statements. The Company’s valuation committee reviews all valuations that are based on pricing information received from third-party pricing vendors. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable. In addition, the Company performs back-testing of pricing information to validate price information and identify any pricing trends of a third-party pricing vendors. In determining fair value, third-party pricing vendors use various valuation approaches, including market and income approaches. Inputs that are used in determining fair value of an instrument may include pricing information, credit data, volatility statistics, and other factors. In addition, inputs can be either observable or unobservable. The availability of observable inputs can vary by instrument and is affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. The third-party pricing vendor uses prices and inputs that are current as of the measurement date, including during periods of market dislocations. In periods of market dislocation, the availability of prices and inputs may be reduced for many instruments. This condition could cause an instrument to be reclassified to or from various levels within the fair value hierarchy. Securities that are priced using third-party broker quotations are valued at the bid price (in the case of long positions) or the ask price (in the case of short positions) at the close of trading on the date as of which value is determined. Exchange-traded securities for which no bid or ask price is available are valued at the last traded price. OTC derivative contracts, including interest rate swaps, caps and swaption agreements, put and call options for TBAs and U.S. Treasuries, constant maturity swaps, credit default swaps, U.S. Treasury futures and Markit IOS total return swaps, are valued by the Company using observable inputs, specifically quotations received from third-party brokers. The following tables present the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis: Three Months Ended Nine Months Ended September 30, 2020 September 30, 2020 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Available-For-Sale Securities Mortgage Servicing Rights Beginning of period level 3 fair value $ 3,860 $ 1,279,195 $ 249,174 $ 1,909,444 Gains (losses) included in net income (loss): Realized (losses) gains, net (1,577) (154,192) (5,968) (372,616) Unrealized (losses) gains, net — 41,429 (1) — (565,603) (1) Provision for credit losses (6,456) — (7,352) — Net gains (losses) included in net income (loss) (8,033) (112,763) (13,320) (938,219) Other comprehensive income (loss) 2,846 — (21,492) — Purchases — 88,706 — 294,040 Sales — 8 (214,673) 1,822 Settlements — 2,357 — (9,584) Gross transfers into level 3 19,320 — 23,785 — Gross transfers out of level 3 — — (5,481) — End of period level 3 fair value $ 17,993 $ 1,257,503 $ 17,993 $ 1,257,503 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ — $ 45,027 (2) $ — $ (439,795) (2) Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period $ 2,846 $ — $ 3,610 $ — ____________________ (1) The change in unrealized gains or losses on MSR was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income (loss). (2) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income (loss). The Company transferred certain AFS securities from Level 2 to Level 3 and from Level 3 to Level 2 based the observability of inputs during the nine months ended September 30, 2020. No additional AFS securities transfers between Level 1, Level 2 or Level 3 were made during the nine months ended September 30, 2020. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. The Company used multiple third-party pricing vendors in the fair value measurement of its Level 3 AFS securities. The significant unobservable inputs used by the third-party pricing vendors included expected default, severity and discount rate. Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. The Company also used multiple third-party pricing vendors in the fair value measurement of its Level 3 MSR. The tables below present information about the significant unobservable market data used by the third-party pricing vendors as inputs into models utilized to inform their best estimates of the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at September 30, 2020 and December 31, 2019: September 30, 2020 Valuation Technique Unobservable Input (1) Range Weighted Average (2) Discounted cash flow Constant prepayment speed 14.7 - 25.1 % 21.4% Delinquency 1.6 - 2.7 % 2.4% Discount rate 4.7 - 7.7 % 5.1% Per loan annual cost to service $64.78 - $79.87 $68.63 December 31, 2019 Valuation Technique Unobservable Input (1) Range Weighted Average (2) Discounted cash flow Constant prepayment speed 12.6 - 16.4 % 14.8% Delinquency 0.7 - 1.0 % 0.9% Discount rate 6.4 - 7.8 % 7.2% Per loan annual cost to service $63.38 - $78.04 $66.62 ___________________ (1) Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates. (2) Calculated by averaging the weighted average significant unobservable inputs used by the multiple third-party pricing vendors in the fair value measurement of MSR. Fair Value of Financial Instruments In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the condensed consolidated balance sheets, for which fair value can be estimated. The following describes the Company’s methods for estimating the fair value for financial instruments. • AFS securities, MSR, and derivative assets and liabilities are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the Fair Value Measurements section of this Note 10. • Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments. The Company categorizes the fair value measurement of these assets as Level 1. • Reverse repurchase agreements have a carrying value which approximates fair value due to their short-term nature. The Company categorizes the fair value measurement of these assets as Level 2. • The carrying value of repurchase agreements, FHLB advances and revolving credit facilities that mature in less than one year generally approximates fair value due to the short maturities. As of September 30, 2020, the Company had outstanding borrowings of $214.8 million under revolving credit facilities that are considered long-term. The Company’s long-term revolving credit facilities have floating rates based on an index plus a spread and the credit spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these borrowings are at market and thus carrying value approximates fair value. The Company categorizes the fair value measurement of these liabilities as Level 2. • Term notes payable are recorded at outstanding principal balance, net of any unamortized deferred debt issuance costs. In determining the fair value of term notes payable, management judgment may be used to arrive at fair value that considers prices obtained from third-party pricing vendors, broker quotes received and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels, and credit losses). The Company categorizes the fair value measurement of these liabilities as Level 2. • Convertible senior notes are carried at their unpaid principal balance, net of any unamortized deferred issuance costs. The Company estimates the fair value of its convertible senior notes using the market transaction price nearest to September 30, 2020. The Company categorizes the fair value measurement of these assets as Level 2. The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets Available-for-sale securities $ 16,574,321 $ 16,574,321 $ 31,406,328 $ 31,406,328 Mortgage servicing rights $ 1,257,503 $ 1,257,503 $ 1,909,444 $ 1,909,444 Cash and cash equivalents $ 1,615,074 $ 1,615,074 $ 558,136 $ 558,136 Restricted cash $ 596,951 $ 596,951 $ 1,058,690 $ 1,058,690 Derivative assets $ 97,889 $ 97,889 $ 188,051 $ 188,051 Reverse repurchase agreements $ 82,410 $ 82,410 $ 220,000 $ 220,000 Other assets $ 13,292 $ 13,292 24,352 24,352 Liabilities Repurchase agreements $ 16,376,696 $ 16,376,696 $ 29,147,463 $ 29,147,463 Federal Home Loan Bank advances $ — $ — $ 210,000 $ 210,000 Revolving credit facilities $ 274,830 $ 274,830 $ 300,000 $ 300,000 Term notes payable $ 395,328 $ 387,625 $ 394,502 $ 400,000 Convertible senior notes $ 285,843 $ 287,394 $ 284,954 $ 299,147 Derivative liabilities $ 3,551 $ 3,551 $ 6,740 $ 6,740 |
Repurchase Agreements
Repurchase Agreements | 9 Months Ended |
Sep. 30, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Repurchase Agreements As of September 30, 2020 and December 31, 2019, the Company had outstanding $16.4 billion and $29.1 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps and caps, the repurchase agreements had a weighted average borrowing rate of 0.29% and 2.14% and weighted average remaining maturities of 83 and 77 days as of September 30, 2020 and December 31, 2019, respectively. At September 30, 2020 and December 31, 2019, the repurchase agreement balances were as follows: (in thousands) September 30, December 31, Short-term $ 16,376,696 $ 29,147,463 Long-term — — Total $ 16,376,696 $ 29,147,463 At September 30, 2020 and December 31, 2019, the repurchase agreements had the following characteristics and remaining maturities: September 30, 2020 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 3,754,489 $ — $ 36,500 $ — $ 3,790,989 30 to 59 days 3,903,905 2,371 14,082 — 3,920,358 60 to 89 days — — — — — 90 to 119 days 3,644,581 — — — 3,644,581 120 to 364 days 5,019,249 — 1,519 — 5,020,768 Total $ 16,322,224 $ 2,371 $ 52,101 $ — $ 16,376,696 Weighted average borrowing rate 0.28 % 2.30 % 1.02 % — % 0.29 % December 31, 2019 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 5,112,681 $ 193,235 $ — $ — $ 5,305,916 30 to 59 days 6,074,151 212,998 13,223 — 6,300,372 60 to 89 days 6,355,887 329,493 1,905 — 6,687,285 90 to 119 days 4,227,589 489,352 23,276 — 4,740,217 120 to 364 days 5,532,219 306,529 12,310 262,615 6,113,673 Total $ 27,302,527 $ 1,531,607 $ 50,714 $ 262,615 $ 29,147,463 Weighted average borrowing rate 2.08 % 2.90 % 2.70 % 3.51 % 2.14 % The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements: (in thousands) September 30, December 31, Available-for-sale securities, at fair value $ 16,550,904 $ 29,575,948 Mortgage servicing rights, at fair value — 530,222 Restricted cash 456,898 919,010 Due from counterparties 32,507 102,365 Derivative assets, at fair value 66,785 68,874 Total $ 17,107,094 $ 31,196,419 Although the transactions under repurchase agreements represent committed borrowings until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls. Additionally, certain repurchase facilities secured by MSR may be over-collateralized due to operational considerations. As of both September 30, 2020 and December 31, 2019, the net carrying value of assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest, with any individual counterparty or group of related counterparties did not exceed 10% of total stockholders’ equity. The Company does not anticipate any defaults by its repurchase agreement counterparties. There can be no assurance, however, that any such default or defaults will not occur. |
Federal Home Loan Bank of Des M
Federal Home Loan Bank of Des Moines Advances | 9 Months Ended |
Sep. 30, 2020 | |
Advances from Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank of Des Moines Advances | Federal Home Loan Bank of Des Moines Advances The Company’s wholly owned subsidiary, TH Insurance Holdings Company LLC, or TH Insurance, is a member of the FHLB. As a member of the FHLB, TH Insurance has access to a variety of products and services offered by the FHLB, including secured advances. However, the Company did not have any outstanding secured advances or credit capacity available as of September 30, 2020. As of December 31, 2019, TH Insurance had $210.0 million in outstanding secured advances with a weighted average borrowing rate of 2.00%. The ability to borrow from the FHLB is subject to the Company’s continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with the FHLB. Each advance requires approval by the FHLB and is secured by collateral in accordance with the FHLB’s credit and collateral guidelines, as may be revised from time to time by the FHLB. Eligible collateral may include Agency RMBS and certain non-Agency securities with a rating of A and above. On January 11, 2016, the Federal Housing Finance Agency, or FHFA, released a final rule regarding membership in the Federal Home Loan Bank system. Among other effects, the final rule excludes captive insurers from membership eligibility, including the Company’s subsidiary member, TH Insurance. Since TH Insurance was admitted as a member in 2013, it is eligible for a membership grace period that runs through February 19, 2021, during which new advances or renewals that mature beyond the grace period will be prohibited; however, any existing advances that mature beyond this grace period will be permitted to remain in place subject to their terms insofar as the Company maintains good standing with the FHLB. If any new advances or renewals occur, TH Insurance’s outstanding advances will be limited to 40% of its total assets. At September 30, 2020 and December 31, 2019, FHLB advances had the following remaining maturities: (in thousands) September 30, December 31, ≤ 1 year $ — $ 160,000 > 1 and ≤ 3 years — — > 3 and ≤ 5 years — — > 5 and ≤ 10 years — — > 10 years — 50,000 Total $ — $ 210,000 At December 31, 2019, the Company pledged AFS securities with a carrying value of $226.5 million as collateral for advances from the FHLB. In addition, as a condition to membership in the FHLB, the Company is required to purchase and hold a certain amount of FHLB stock, which is based, in part, upon the outstanding principal balance of advances from the FHLB. At September 30, 2020 and December 31, 2019, the Company had stock in the FHLB totaling $10.0 million and $12.5 million, respectively, which is included in other assets on the condensed consolidated balance sheets. FHLB stock is considered a non-marketable, long-term investment, is carried at cost and is subject to recoverability testing under applicable accounting standards. This stock can only be redeemed or sold at its par value, and only to the FHLB. Accordingly, when evaluating FHLB stock for impairment, the Company considers the ultimate recoverability of the par value rather than recognizing temporary declines in value. As of September 30, 2020 and December 31, 2019, the Company had not recognized an impairment charge related to its FHLB stock. |
Revolving Credit Facilities
Revolving Credit Facilities | 9 Months Ended |
Sep. 30, 2020 | |
Revolving Credit Facilities [Abstract] | |
Revolving Credit Facilities | Revolving Credit FacilitiesTo finance MSR assets and related servicing advance obligations, the Company has entered into revolving credit facilities collateralized by the value of the MSR and/or servicing advances pledged. As of September 30, 2020 and December 31, 2019, the Company had outstanding short- and long-term borrowings under revolving credit facilities of $274.8 million and $300.0 million with a weighted average borrowing rate of 2.94% and 4.26% and weighted average remaining maturities of 1.3 and 1.2 years, respectively. At September 30, 2020 and December 31, 2019, borrowings under revolving credit facilities had the following remaining maturities: (in thousands) September 30, December 31, Within 30 days $ — $ — 30 to 59 days — — 60 to 89 days — — 90 to 119 days — — 120 to 364 days 60,000 — One year and over 214,830 300,000 Total $ 274,830 $ 300,000 Although the transactions under revolving credit facilities represent committed borrowings from the time of funding until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets below a designated threshold would require the Company to provide additional collateral or pay down the facility. As of September 30, 2020 and December 31, 2019, MSR with a carrying value of $485.9 million and $449.5 million, respectively, was pledged as collateral for the Company’s future payment obligations under its MSR revolving credit facilities. As of September 30, 2020, servicing advances with a carrying value of $11.1 million were pledged as collateral for the Company’s future payment obligations under its servicing advance revolving credit facility. The Company did not have any outstanding borrowings under the servicing advance revolving credit facility as of September 30, 2020. The Company does not anticipate any defaults by its revolving credit facility counterparties, although there can be no assurance that any such default or defaults will not occur. |
Term Notes Payable
Term Notes Payable | 9 Months Ended |
Sep. 30, 2020 | |
Term Notes Payable [Abstract] | |
Term Notes Payable | Term Notes PayableThe debt issued in connection with the Company’s on-balance sheet securitization is classified as term notes payable and carried at outstanding principal balance, net of any unamortized deferred debt issuance costs, on the Company’s condensed consolidated balance sheets. As of September 30, 2020 and December 31, 2019, the outstanding amount due on term notes payable was $395.3 million and $394.5 million, net of deferred debt issuance costs, with a weighted average interest rate of 2.95% and 4.59% and weighted average remaining maturities of 3.7 years and 4.5 years. At September 30, 2020 and December 31, 2019, the Company pledged MSR with a carrying value of $539.2 million and $575.1 million and weighted average underlying loan coupon of 4.09% and 4.25%, respectively, as collateral for term notes payable. |
Convertible Senior Notes
Convertible Senior Notes | 9 Months Ended |
Sep. 30, 2020 | |
Debt Disclosure [Abstract] | |
Convertible Senior Notes | Convertible Senior Notes In January 2017, the Company closed an underwritten public offering of $287.5 million aggregate principal amount of convertible senior notes due 2022. The net proceeds from the offering were approximately $282.2 million after deducting underwriting discounts and estimated offering expenses payable by the Company. The notes are unsecured, pay interest semiannually at a rate of 6.25% per annum and are convertible at the option of the holder into shares of the Company’s common stock. As of September 30, 2020 and December 31, 2019, the notes had a conversion rate of 63.2040 and 63.1793 shares of common stock per $1,000 principal amount of the notes, respectively . The outstanding amount due on the convertible senior notes as of September 30, 2020 and December 31, 2019 was $285.8 million and $285.0 million, respectively, net of deferred issuance costs. |
Commitment and Contingencies
Commitment and Contingencies | 9 Months Ended |
Sep. 30, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies The following represent the material commitments and contingencies of the Company as of September 30, 2020: Legal and regulatory. From time to time, the Company may be subject to liability under laws and government regulations and various claims and legal actions arising in the ordinary course of business. Under ASC 450, Contingencies , or ASC 450, liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimated. The actual costs of resolving legal claims may be substantially higher or lower than the amounts established or the range of reasonably possible loss disclosed for those claims. As previously disclosed, on April 13, 2020, the Company announced that it had elected not to renew the Management Agreement with PRCM Advisers. Subsequently, on July 15, 2020, the Company provided PRCM Advisers with a notice of termination of the Management Agreement for “cause” in accordance with Section 15(a) of the Management Agreement. The Company terminated the Management Agreement for “cause” on the basis of certain material breaches and certain events of gross negligence on the part of PRCM Advisers in the performance of its duties under the Management Agreement. On July 21, 2020, PRCM Advisers filed a complaint against the Company in the United States District Court for the Southern District of New York. Subsequently, PRCM Advisers filed an amended complaint, or the Federal Complaint, on September 4, 2020. The Federal Complaint alleges, among other things, the misappropriation of trade secrets in violation of both the Defend Trade Secrets Act and New York common law, breach of contract, breach of the implied covenant of good faith and fair dealing, unfair competition and business practices, unjust enrichment, conversion, and tortious interference with contract. The Federal Complaint seeks, among other things, an order enjoining the Company from making any use of or disclosing PRCM Advisers’ trade secret, proprietary, or confidential information; damages in an amount to be determined at a hearing and/or trial; disgorgement of the Company’s wrongfully obtained profits; and fees and costs incurred by PRCM Advisers in pursuing the action. On September 25, 2020, the Company filed a motion to dismiss the Federal Complaint. PRCM Advisers thereafter filed an opposition to the motion to dismiss on October 16, 2020, and on October 26, 2020, the Company filed its reply. The Company’s board of directors believes the Federal Complaint is without merit and that the Company has fully complied with the terms of the Management Agreement. Separately, the staff of the SEC is conducting a non-public investigation in connection with the Company's decisions not to renew its Management Agreement with PRCM Advisers on the basis of unfair compensation payable to PRCM Advisers in accordance with Section 13(a)(ii) of the Management Agreement and to terminate its Management Agreement with PRCM Advisers for “cause” in accordance with Section 15 of the Management Agreement. The Company is cooperating with the SEC. The Company cannot predict the duration or outcome of the SEC investigation or the extent of any impact it may have on the Company. As of September 30, 2020, the Company’s condensed consolidated financial statements do not recognize a contingency liability or disclose a range of reasonably possible loss under ASC 450 because management does not believe that a loss or expense related to the Federal Complaint or the SEC Investigation is probable or reasonably estimable. The specific factors that limit the Company’s ability to reasonably estimate a loss or expense related to the Federal Complaint or the SEC Investigation include that both matters are in early stages and no amount of damages has been specified. If and when management believes losses associated with the Federal Complaint or the SEC Investigation are a probable future event that may result in a loss or expense to the Company and the loss or expense is reasonably estimable, the Company will recognize a contingency liability and resulting loss in such period. Based on information currently available, management is not aware of any other legal or regulatory claims that would have a material effect on the Company’s condensed consolidated financial statements and therefore no accrual is required as of September 30, 2020. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2020 | |
Equity [Abstract] | |
Stockholders' Equity | Equity Redeemable Preferred Stock The following is a summary of the Company’s series of cumulative redeemable preferred stock issued and outstanding as of September 30, 2020. In the event of a voluntary or involuntary liquidation, dissolution or winding up of the Company, each series of preferred stock will rank on parity with one another and rank senior to the Company's common stock with respect to the payment of the dividends and the distribution of assets. (dollars in thousands) Class of Stock Issuance Date Shares Issued and Outstanding Carrying Value Contractual Rate Redemption Eligible Date (1) Fixed to Floating Rate Conversion Date (2) Floating Annual Rate (3) Fixed-to-Floating Rate Series A March 14, 2017 5,750,000 $ 138,872 8.125 % April 27, 2027 April 27, 2027 3M LIBOR + 5.660% Series B July 19, 2017 11,500,000 278,094 7.625 % July 27, 2027 July 27, 2027 3M LIBOR + 5.352% Series C November 27, 2017 11,800,000 285,585 7.250 % January 27, 2025 January 27, 2025 3M LIBOR + 5.011% Fixed Rate Series D July 31, 2018 3,000,000 74,964 7.750 % July 31, 2018 N/A N/A Series E July 31, 2018 8,000,000 199,986 7.500 % July 31, 2018 N/A N/A Total 40,050,000 $ 977,501 ____________________ (1) Subject to the Company’s right under limited circumstances to redeem the preferred stock earlier than the redemption eligible date disclosed in order to preserve its qualification as a REIT or following a change in control of the Company. (2) For the fixed-to-floating rate redeemable preferred stock, the dividend rate will remain at an annual fixed rate of the $25.00 per share liquidation preference from the issuance date up to but not including the transition date disclosed within. Effective the conversion date and onward, dividends will accumulate on a floating rate basis according to the terms disclosed within (3) below. (3) On and after the fixed to floating rate conversion date, the dividend will accumulate and be payable quarterly at a percentage of the $25.00 per share liquidation preference equal to an annual floating rate of three-month LIBOR plus the spread indicated within each preferred class. For each series of preferred stock, the Company may redeem the stock on or after the redemption date in whole or in part, at any time or from time to time. The Company may also purchase shares of preferred stock from time to time in the open market by tender or in privately negotiated transactions. Each series of preferred stock has a par value of $0.01 per share and a liquidation and redemption price of $25.00, plus any accumulated and unpaid dividends thereon up to, but excluding, the redemption date. Through September 30, 2020, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. Distributions to Preferred Stockholders On March 24, 2020, as a result of the volatile market conditions related to the COVID-19 pandemic, the Company announced that it had suspended its first quarter 2020 preferred stock dividends in order to preserve liquidity and long-term stockholder value. Subsequently, on April 6, 2020, the Company’s board of directors declared its first quarter 2020 preferred stock dividends, as detailed below. Pursuant to their terms, all unpaid dividends on the Company’s preferred stock accrue without interest. The following table presents cash dividends declared by the Company on its preferred stock from December 31, 2018 through September 30, 2020: Declaration Date Record Date Payment Date Cash Dividend Per Preferred Share Series A Preferred Stock: September 21, 2020 October 12, 2020 October 27, 2020 $ 0.507810 June 18, 2020 July 10, 2020 July 27, 2020 $ 0.507810 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.507810 December 17, 2019 January 10, 2020 January 27, 2020 $ 0.507810 September 19, 2019 October 11, 2019 October 28, 2019 $ 0.507810 June 19, 2019 July 12, 2019 July 29, 2019 $ 0.507810 March 19, 2019 April 12, 2019 April 29, 2019 $ 0.507810 Series B Preferred Stock: September 21, 2020 October 12, 2020 October 27, 2020 $ 0.476560 June 18, 2020 July 10, 2020 July 27, 2020 $ 0.476560 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.476560 December 17, 2019 January 10, 2020 January 27, 2020 $ 0.476560 September 19, 2019 October 11, 2019 October 28, 2019 $ 0.476560 June 19, 2019 July 12, 2019 July 29, 2019 $ 0.476560 March 19, 2019 April 12, 2019 April 29, 2019 $ 0.476560 Series C Preferred Stock: September 21, 2020 October 12, 2020 October 27, 2020 $ 0.453130 June 18, 2020 July 10, 2020 July 27, 2020 $ 0.453130 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.453130 December 17, 2019 January 10, 2020 January 27, 2020 $ 0.453130 September 19, 2019 October 11, 2019 October 28, 2019 $ 0.453130 June 19, 2019 July 12, 2019 July 29, 2019 $ 0.453130 March 19, 2019 April 12, 2019 April 29, 2019 $ 0.453130 Series D Preferred Stock: September 21, 2020 October 1, 2020 October 15, 2020 $ 0.484375 June 18, 2020 July 1, 2020 July 15, 2020 $ 0.484375 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.484375 December 17, 2019 January 1, 2020 January 15, 2020 $ 0.484375 September 19, 2019 October 1, 2019 October 15, 2019 $ 0.484375 June 19, 2019 July 1, 2019 July 15, 2019 $ 0.484375 March 19, 2019 April 1, 2019 April 15, 2019 $ 0.484375 Series E Preferred Stock: September 21, 2020 October 1, 2020 October 15, 2020 $ 0.468750 June 18, 2020 July 1, 2020 July 15, 2020 $ 0.468750 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.468750 December 17, 2019 January 1, 2020 January 15, 2020 $ 0.468750 September 19, 2019 October 1, 2019 October 15, 2019 $ 0.468750 June 19, 2019 July 1, 2019 July 15, 2019 $ 0.468750 March 19, 2019 April 1, 2019 April 15, 2019 $ 0.468750 Common Stock Public Offering On March 21, 2019, the Company completed a public offering of 18,000,000 shares of its common stock at a price of $13.76 per share. On March 22, 2019, an additional 2,700,000 shares were sold by the Company to the underwriters of the offering pursuant to an overallotment option. The net proceeds to the Company were approximately $284.5 million, after deducting offering expenses of approximately $0.3 million. As of September 30, 2020, the Company had 273,694,411 shares of common stock outstanding. The following table presents a reconciliation of the common shares outstanding for the three and nine months ended September 30, 2020 and 2019: Number of common shares Common shares outstanding, December 31, 2018 248,085,721 Issuance of common stock 24,399,107 Issuance of restricted stock (1) 412,074 Repurchase of common stock (1,500) Common shares outstanding, September 30, 2019 272,895,402 Common shares outstanding, December 31, 2019 272,935,731 Issuance of common stock 50,729 Issuance of restricted stock (1) 813,251 Repurchase of common stock (105,300) Common shares outstanding, September 30, 2020 273,694,411 ____________________ (1) Represents shares of restricted stock granted under the Second Restated 2009 Equity Incentive Plan, net of forfeitures, of which 1,223,020 restricted shares remained subject to vesting requirements at September 30, 2020. Distributions to Common Stockholders On March 24, 2020, as a result of the volatile market conditions related to the COVID-19 pandemic, the Company announced that it had suspended its first quarter 2020 common stock dividend in order to preserve liquidity and long-term stockholder value. Subsequently, on April 6, 2020, the Company’s board of directors declared an interim common stock dividend of $0.05 per share, as detailed below. The following table presents cash dividends declared by the Company on its common stock from December 31, 2018 through September 30, 2020: Declaration Date Record Date Payment Date Cash Dividend Per Common Share September 21, 2020 October 1, 2020 October 29, 2020 $ 0.140000 June 18, 2020 June 30, 2020 July 29, 2020 $ 0.140000 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.050000 December 17, 2019 December 31, 2019 January 24, 2020 $ 0.400000 September 19, 2019 September 30, 2019 October 28, 2019 $ 0.400000 June 19, 2019 July 1, 2019 July 29, 2019 $ 0.400000 March 19, 2019 March 29, 2019 April 29, 2019 $ 0.470000 Dividend Reinvestment and Direct Stock Purchase Plan The Company sponsors a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of the Company’s common stock by reinvesting some or all of the cash dividends received on shares of the Company’s common stock. Stockholders may also make optional cash purchases of shares of the Company’s common stock subject to certain limitations detailed in the plan prospectus. The plan allows for the issuance of up to an aggregate of 3,750,000 shares of the Company’s common stock. As of September 30, 2020, 320,717 shares have been issued under the plan for total proceeds of approximately $5.3 million, of which 13,968 and 50,729 shares were issued for total proceeds of $0.1 million and $0.3 million during the three and nine months ended September 30, 2020, respectively. During the three and nine months ended September 30, 2019, 8,651 and 33,807 shares were issued for total proceeds of $0.1 million and $0.5 million, respectively. Share Repurchase Program The Company’s share repurchase program allows for the repurchase of up to an aggregate of 37,500,000 shares of the Company’s common stock. Shares may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to a trading plan in accordance with Rules 10b5-1 and 10b-18 under the Securities Exchange Act of 1934, as amended, or the Exchange Act, or by any combination of such methods. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The share repurchase program does not require the purchase of any minimum number of shares, and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. The share repurchase program does not have an expiration date. As of September 30, 2020, a total of 12,174,300 shares had been repurchased by the Company under the program at an aggregate cost of $201.5 million; of these, 105,300 shares were repurchased at a total cost of $1.1 million during the nine months ended September 30, 2020. During both the three and nine months ended September 30, 2019, 1,500 shares were repurchased for a total cost of $19 thousand. No shares were repurchased during the three months ended September 30, 2020. At-the-Market Offerings The Company is party to an equity distribution agreement under which the Company is authorized to sell up to an aggregate of 35,000,000 shares of its common stock from time to time in any method permitted by law deemed to be an “at the market” offering as defined in Rule 415 under the Securities Act of 1933, as amended, or the Securities Act. As of September 30, 2020, 7,490,235 shares of common stock had been sold under the Company’s at the market offering program for total accumulated net proceeds of approximately $128.6 million, of which 3,665,300 shares were sold for net proceeds of $50.6 million during the nine months ended September 30, 2019. No shares were sold during the three and nine months ended September 30, 2020 or the three months ended September 30, 2019. Accumulated Other Comprehensive Income Accumulated other comprehensive income at September 30, 2020 and December 31, 2019 was as follows: (in thousands) September 30, December 31, Available-for-sale securities Unrealized gains $ 722,380 $ 730,043 Unrealized losses (2,040) (40,643) Accumulated other comprehensive income $ 720,340 $ 689,400 Reclassifications out of Accumulated Other Comprehensive Income The Company reclassifies unrealized gains and losses on AFS securities in accumulated other comprehensive income to net income (loss) upon the recognition of any other-than-temporary impairments and realized gains and losses on sales, net of income tax effects, as individual securities are impaired or sold. The following table summarizes reclassifications out of accumulated other comprehensive income for the three and nine months ended September 30, 2020 and 2019: Affected Line Item in the Statements of Comprehensive Income (Loss) Amount Reclassified out of Accumulated Other Comprehensive Income Three Months Ended Nine Months Ended (in thousands) September 30, September 30, 2020 2019 2020 2019 Other-than-temporary impairments on AFS securities Total other-than-temporary impairment losses $ — $ 5,950 $ — $ 11,004 Realized gains on sales of certain AFS securities, net of tax (Loss) gain on investment securities — (226,790) (471,301) (189,620) Total $ — $ (220,840) $ (471,301) $ (178,616) |
Equity Incentive Plan
Equity Incentive Plan | 9 Months Ended |
Sep. 30, 2020 | |
Share-based Payment Arrangement [Abstract] | |
Equity Incentive Plan | Equity Incentive Plan The Company’s Second Restated 2009 Equity Incentive Plan, or the Plan, provides incentive compensation to attract and retain qualified directors, officers, personnel and other parties who may provide significant services to the Company. The Plan is administered by the compensation committee of the Company’s board of directors. The compensation committee has the full authority to administer and interpret the Plan, to authorize the granting of awards, to determine the eligibility of potential recipients to receive an award, to determine the number of shares of common stock to be covered by each award (subject to the individual participant limitations provided in the Plan), to determine the terms, provisions and conditions of each award (which may not be inconsistent with the terms of the Plan), to prescribe the form of instruments evidencing awards and to take any other actions and make all other determinations that it deems necessary or appropriate in connection with the Plan or the administration or interpretation thereof. In connection with this authority, the compensation committee may, among other things, establish performance goals that must be met in order for awards to be granted or to vest, or for the restrictions on any such awards to lapse. The Company’s Plan provides for grants of restricted common stock, phantom shares, dividend equivalent rights and other equity-based awards, subject to a ceiling of 6,500,000 shares available for issuance under the Plan. The Plan allows for the Company’s board of directors to expand the types of awards available under the Plan to include long-term incentive plan units in the future. If an award granted under the Plan expires or terminates, the shares subject to any portion of the award that expires or terminates without having been exercised or paid, as the case may be, will again become available for the issuance of additional awards. Unless earlier terminated by the Company’s board of directors, no new award may be granted under the Plan after the tenth anniversary of the date that the Plan was approved by the Company’s board of directors. No award may be granted under the Plan to any person who, assuming 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. During the nine months ended September 30, 2020 and 2019, the Company granted 168,942 and 60,108 shares of common stock, respectively, to its independent directors pursuant to the Plan. The estimated fair value of these awards was $4.75 and $13.35 per share on grant date, based on the adjusted closing price of the Company’s common stock on the NYSE on such date. The shares underlying the grants are subject to a one Additionally, during the nine months ended September 30, 2020 and 2019, the Company granted 686,770 and 455,174 shares of restricted common stock, respectively, to the Company’s executive officers and other eligible individuals, pursuant to the terms of the Plan and the associated award agreements. The estimated fair value of these awards was $15.23 and $14.40 per share on grant date, based on the adjusted closing market price of the Company’s common stock on the NYSE on such date. The shares underlying the grants vest in three The following table summarizes the activity related to restricted common stock for the nine months ended September 30, 2020 and 2019: Nine Months Ended September 30, 2020 2019 Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 1,062,901 $ 15.26 1,593,701 $ 15.81 Granted 855,712 13.16 515,282 14.28 Vested (653,132) (15.30) (803,523) (15.59) Forfeited (42,461) (14.58) (103,208) (15.52) Outstanding at End of Period 1,223,020 $ 13.80 1,202,252 $ 15.33 For the three and nine months ended September 30, 2020, the Company recognized compensation related to restricted common stock granted pursuant to the Plan of $2.9 million and $7.5 million, respectively. For the three and nine months ended September 30, 2019, the Company recognized compensation related to restricted common stock granted pursuant to the Plan of $2.2 million and $6.5 million, respectively. |
Restructuring Charges
Restructuring Charges | 9 Months Ended |
Sep. 30, 2020 | |
Restructuring and Related Activities [Abstract] | |
Restructuring Charges | Restructuring Charges On April 13, 2020, the Company announced that it had elected to not renew the Management Agreement with PRCM Advisers on the basis of unfair compensation payable to the manager pursuant to Section 13(a)(ii) of the Management Agreement. As a result, the Company had expected the Management Agreement to terminate on September 19, 2020 , at which time the Company would have been required to pay a termination fee equal to three times the sum of the average annual base management fee earned by PRCM Advisers during the 24-month period immediately preceding the date of termination, c alculated as of the end of the most recently completed fiscal quarter prior to the date of termination , pursuant to the terms of the Management Agreement. The termination fee was calculated to be $139.8 million based on results as of June 30, 2020. On July 15, 2020, the Company provided PRCM Advisers with a notice of termination of the Management Agreement for “cause” on the basis of certain material breaches of the Management Agreement by PRCM Advisers, its agents and/or its assignees that are incapable of being cured within the time period set forth therein and certain events of gross negligence on the part of PRCM Advisers in the performance of its duties under the Management Agreement. The Management Agreement subsequently terminated on August 14, 2020. No termination fee was payable to PRCM Advisers in connection with such termination pursuant to Section 15(a) of the Management Agreement. The following table presents a reconciliation of accrued restructuring charges incurred, paid and adjusted in connection with the termination of the Management Agreement for the three and nine months ended September 30, 2020: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2020 2020 Accrued restructuring costs at beginning of period $ 142,317 $ — Costs incurred and charged to expense — 145,788 Costs paid (2,235) (5,706) Non-cash adjustments (139,788) (139,788) Accrued restructuring costs at end of period $ 294 $ 294 In connection with the termination of the Management Agreement for cause, the Company reversed the $139.8 million accrued fee attributable to the non-renewal during the three months ended September 30, 2020. For the nine months ended September 30, 2020, the Company incurred a total of $6.0 million in contract termination costs, which includes all estimated costs incurred for legal and advisory services provided to facilitate the termination of the Management Agreement. In accordance with ASC 420, Exit or Disposal Cost Obligations , all contract termination costs are included within restructuring charges on the Company’s condensed consolidated statements of comprehensive income (loss) for the three and nine months ended September 30, 2020. Accrued restructuring costs are included in other liabilities on the Company’s condensed consolidated balance sheet as of September 30, 2020. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2020 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the three and nine months ended September 30, 2020 and 2019, the Company qualified to be taxed as a REIT under the Code for U.S. federal income tax purposes. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes its net taxable income to stockholders, and does not engage in prohibited transactions. The Company intends to distribute 100% of its REIT taxable income and comply with all requirements to continue to qualify as a REIT. The majority of states also recognize the Company’s REIT status. The Company’s TRSs file separate tax returns and are fully taxed as standalone U.S. C corporations. It is assumed that the Company will retain its REIT status and will incur no REIT level taxation as it intends to comply with the REIT regulations and annual distribution requirements. During the three and nine months ended September 30, 2020, the Company’s TRSs recognized a benefit from income taxes of $8.2 million and $39.5 million, respectively. The benefit recognized for the three months ended September 30, 2020 was primarily due to losses recognized on MSR. The benefit recognized for the nine months ended September 30, 2020 was primarily due to losses recognized on MSR, offset by net gains recognized on derivative instruments held in the Company’s TRSs. During the three and nine months ended September 30, 2019, the Company’s TRSs recognized a benefit from income taxes of $3.6 million and $11.2 million, respectively, which was primarily due to losses recognized on MSR, offset by net gains recognized on derivative instruments held in the Company’s TRSs. Based on the Company’s evaluation, it has been concluded that there are no significant uncertain tax positions requiring recognition in the Company’s condensed consolidated financial statements of a contingent tax liability for uncertain tax positions. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these condensed consolidated financial statements. |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share 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 nine months ended September 30, 2020 and 2019: Three Months Ended Nine Months Ended September 30, September 30, (in thousands, except share data) 2020 2019 2020 2019 Numerator: Net income (loss) $ 201,914 $ 305,700 $ (1,841,306) $ 189,208 Dividends on preferred stock 18,950 18,951 56,851 56,851 Net income (loss) attributable to common stockholders - basic 182,964 286,749 (1,898,157) 132,357 Interest expense attributable to convertible notes (1) 4,812 4,779 — — Net income (loss) attributable to common stockholders - diluted $ 187,776 $ 291,528 $ (1,898,157) $ 132,357 Denominator: Weighted average common shares outstanding 272,415,242 271,689,878 272,315,905 264,871,455 Weighted average restricted stock shares 1,290,543 1,207,697 1,252,093 1,243,317 Basic weighted average shares outstanding 273,705,785 272,897,575 273,567,998 266,114,772 Effect of dilutive shares issued in an assumed conversion 18,171,150 18,156,143 — — Diluted weighted average shares outstanding 291,876,935 291,053,718 273,567,998 266,114,772 Earnings (Loss) Per Share Basic $ 0.67 $ 1.05 $ (6.94) $ 0.50 Diluted $ 0.64 $ 1.00 $ (6.94) $ 0.50 ___________________ (1) If applicable, includes a nondiscretionary adjustment for the assumed change in the management fee calculation. For the nine months ended September 30, 2020, excluded from the calculation of diluted earnings per share is the effect of adding back $14.3 million of interest expense, net of a nondiscretionary adjustment for the assumed change in the management fee calculation, and 18,171,150 weighted average common share equivalents related to the assumed conversion of the Company’s convertible senior notes, as their inclusion would be antidilutive. For the nine months ended September 30, 2019, excluded from the calculation of diluted earnings per share is the effect of adding back $14.2 million of interest expense, net of a nondiscretionary adjustment for the assumed change in the management fee calculation, and 18,116,911 weighted average common share equivalents related to the assumed conversion of the Company’s convertible senior notes, as their inclusion would be antidilutive. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2020 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions The following summary provides disclosure of the material transactions with affiliates of the Company. Through August 14, 2020, the Company was externally managed and advised by PRCM Advisers under the terms of a Management Agreement between the Company and PRCM Advisers. The Company terminated the Management Agreement effective August 14, 2020 for “cause” in accordance with Section 15(a) thereof. On August 15, 2020, the Company completed its transition to self-management and directly hired the senior management team and other personnel who had historically provided services to the Company. Prior to the termination of the Management Agreement, PRCM Advisers was responsible for administering the Company’s business activities and day-to-day operations, at all times subject to the supervision and oversight of the Company’s board of directors. Under the Management Agreement, PRCM Advisers was required to provide the Company with its personnel, including its executive officers, investment professionals and other support personnel. The Company did not have its own employees. Each of the Company’s executive officers was an employee or partner of an affiliate of Pine River. The Company paid PRCM Advisers a management fee equal to 1.5% per annum, calculated and payable quarterly in arrears, of the Company’s stockholders’ equity, and reimbursed it for certain expenses, as described below. For purposes of calculating the management fee, the Company’s stockholders’ equity represented the sum of the net proceeds from all issuances of the Company’s equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus the Company’s retained earnings at the end of the most recently completed calendar quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less the consolidated stockholders’ equity of Granite Point Mortgage Trust Inc. and its subsidiaries, or Granite Point, during the time Granite Point was consolidated on the Company’s balance sheet (i.e. prior to the Company’s distribution of its shares of Granite Point common stock to the Company’s common stockholders in 2017), the weighted average cost basis of Granite Point common stock purchased by the Company, the outstanding principal balance of the promissory note due from the sale of Granite Point preferred stock and any amount that the Company has paid for repurchases of its common stock since inception, and excluding any unrealized gains, losses or other items that do not affect realized net income (regardless of whether such items are included in other comprehensive income or loss, or in net income). In connection with the Company’s acquisition of CYS Investments, Inc., or CYS, effective July 31, 2018, the Management Agreement was amended to reduce the base management fee with respect to the additional equity under management resulting from the merger from 1.5% to 0.75% from the effective time of the merger through the first anniversary of the effective time. Effective July 31, 2019, the management fee reduction on the equity acquired in the CYS transaction expired. The base management fee was subject to other adjustments from time to time, as described in the Management Agreement. In accordance with the Management Agreement, the Company incurred $5.8 million and $31.7 million as a management fee to PRCM Advisers for the three and nine months ended September 30, 2020, respectively, and $16.8 million and $42.6 million as a management fee to PRCM Advisers for the three and nine months ended September 30, 2019, respectively. Additionally, prior to the termination of the Management Agreement, the Company reimbursed PRCM Advisers for (i) the Company’s allocable share of the compensation paid by PRCM Advisers to its personnel serving as the Company’s principal financial officer and general counsel and personnel employed by PRCM Advisers as in-house legal, tax, accounting, consulting, auditing, administrative, information technology, valuation, computer programming and development and back-office resources to the Company, and (ii) any amounts for personnel of PRCM Advisers’ affiliates arising under a shared facilities and services agreement. In accordance the Management Agreement, expense reimbursements to PRCM Advisers were required to be made in cash on a quarterly basis following the end of each quarter. The Company reimbursed PRCM Advisers for direct and allocated costs incurred by PRCM Advisers on behalf of the Company of approximately $3.2 million and $19.3 million for the three and nine months ended September 30, 2020, respectively, and $4.8 million and $23.0 million for the three and nine months ended September 30, 2019, respectively. Subsequent to the transition to self-management, the Company no longer pays a management fee to, or reimburses the expenses of, PRCM Advisers. Expenses for which the Company previously reimbursed PRCM Advisers are now borne directly by the Company. The Company is also now responsible for the compensation of the Company’s Chief Executive Officer, Chief Investment Officer and investment professionals, which was previously the responsibility of PRCM Advisers. The Company recognized $2.9 million and $7.5 million of compensation during the three and nine months ended September 30, 2020, respectively, and $2.2 million and $6.5 million of compensation during the three and nine months ended September 30, 2019, respectively, related to restricted common stock issued to employees providing significant services to the Company and the Company’s independent directors pursuant to the Plan. See Note 18 - Equity Incentive Plan for additional information. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent EventsEvents subsequent to September 30, 2020 were evaluated through the date these condensed consolidated financial statements were issued and no other additional events were identified requiring further disclosure in these condensed consolidated financial statements. |
Basis of Presentation and Sig_2
Basis of Presentation and Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2020 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Consolidation and Basis of Presentation | Consolidation and Basis of Presentation The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or U.S. GAAP, have been condensed or omitted according to such SEC rules and regulations. However, management believes that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading. The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. All trust entities in which the Company holds investments that are considered variable interest entities, or VIEs, for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Whenever the Company has both the power to direct the activities of a trust that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trust. Certain prior period amounts have been reclassified to conform to the current period presentation. The accompanying condensed consolidated financial statements should be read in conjunction with the 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 September 30, 2020 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2020 should not be construed as indicative of the results to be expected for future periods or the full year. |
Use of Estimates | Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. , valuation changes due to supply and demand in the market, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. |
Recently Issued and/or Adopted Accounting Standards | Recently Issued and/or Adopted Accounting Standards Measurement of Credit Losses on Financial Instruments On January 1, 2020, the Company adopted Accounting Standards Update (ASU) No. 2016-13, Financial Instruments-Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments , which changed the impairment model for most financial assets and certain other instruments. Allowances for credit losses on available-for-sale, or AFS, debt securities are recognized, rather than direct reductions in the amortized cost of the investments, regardless of whether the impairment is considered to be other-than-temporary. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. The ASU requires certain recurring disclosures. The Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on AFS securities. The estimated allowance for credit losses is equal to the difference between the prepayment adjusted contractual cash flows with no credit losses and the prepayment adjusted expected cash flows with credit losses, discounted at the effective interest rate on the AFS security that was in effect upon adoption of the standard. The contractual cash flows and expected cash flows are based on management’s best estimate and take into consideration current prepayment assumptions, lifetime expected losses based on past loss experience, current market conditions, and reasonable and supportable forecasts of future conditions. The allowance for credit losses causes an increase in the AFS security amortized cost and recognizes an allowance for credit losses in the same amount. The allowance for credit losses recognized in connection with adopting the guidance in Topic 326 on January 1, 2020 was equal to the present value of the credit reserve in place on December 31, 2019. As a result, no cumulative effect adjustment to opening cumulative earnings was required. The adoption of this ASU impacts the Company’s accounting for the purchase of certain beneficial interests with purchased credit deterioration or when there is a “significant” difference between contractual cash flows and expected cash flows. For these securities, the Company records an allowance for credit losses with an increase in amortized cost above the purchase price of the same amount. Subsequent adverse or favorable changes in expected cash flows are recognized immediately in earnings as a provision for or reduction in credit losses, respectively. Adverse changes are reflected as an increase to the allowance for credit losses and favorable changes are reflected as a decrease to the allowance for credit losses. The allowance for credit losses is limited to the difference between the beneficial interest’s fair value and its amortized cost, and any remaining adverse changes in these circumstances are reflected as a prospective adjustment to accretable yield. If the allowance for credit losses has been reduced to zero, the remaining favorable changes are reflected as a prospective adjustment to accretable yield. The Company does not adjust the effective interest rate in subsequent periods for prepayment assumption changes or variable-rate changes. Any changes in the allowance for credit losses due to the time-value-of-money are accounted for in the condensed consolidated statements of comprehensive income (loss) as provision for credit losses rather than a reduction to interest income. The standard applies to Agency and non-Agency securities that are accounted for as beneficial interests under Accounting Standards Codification (ASC) 325-40, Investments-Other: Beneficial Interests in Securitized Financial Assets , and ASC 310-30, Receivables: Loans and Debt Securities Acquired with Deteriorated Credit Quality , or ASC 310-30. Only beneficial interests that were previously accounted for as purchased credit impaired under ASC 310-30 were accounted for as purchased credit deteriorated under Topic 326 on the transition date. Upon adoption of this ASU, the Company established an allowance for credit losses on AFS securities accounted for as purchased credit-impaired assets under ASC 310-30 in an unrealized loss position and with no other-than-temporary impairments, or OTTI, recognized in periods prior to transition. The effective interest rates on these debt securities remained unchanged. On January 1, 2020, the $30.7 billion net amortized cost basis of AFS securities was inclusive of a $244.9 million allowance for credit loss. The Company used a prospective transition approach for debt securities for which OTTI had been recognized prior to January 1, 2020. As a result, the amortized cost basis remained the same before and after the effective date. The effective interest rate on these debt securities also remained unchanged. Amounts previously recognized in accumulated other comprehensive income as of January 1, 2020 relating to improvements in cash flows expected to be collected are accreted into income over the remaining life of the asset. Recoveries of amounts previously written off relating to improvements in cash flows after January 1, 2020 are recorded in earnings when received. Issuer’s Accounting for Debt and Equity Instruments In August 2020, the FASB issued ASU No. 2020-06 to simplify an issuer’s accounting for convertible instruments and its application of the derivatives scope exception for contracts in its own equity. Under the new guidance, only conversion features associated with a convertible debt instrument issued at a substantial premium and those that are considered embedded derivatives in accordance with derivatives guidance will be accounted for separate from the convertible instrument. Additionally, for contracts in an entity’s own equity, the new guidance eliminates some of the requirements for equity classification. The guidance also addresses how convertible instruments are accounted for in the diluted earnings per share calculation and requires enhanced disclosures about the terms of convertible instruments and contracts in an entity’s own equity. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2021, with early adoption permitted. The Company has determined this ASU will not have an impact on the Company’s financial condition, results of operations or financial statement disclosures. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Variable Interest Entities [Abstract] | |
Schedule of Variable Interest Entities | The following table presents a summary of the assets and liabilities of all consolidated trusts as reported on the condensed consolidated balance sheets as of September 30, 2020 and December 31, 2019: (in thousands) September 30, December 31, Note receivable (1) $ 395,328 $ 394,502 Cash and cash equivalents — 200 Restricted cash 35,200 — Accrued interest receivable (1) 197 306 Total Assets $ 430,725 $ 395,008 Term notes payable $ 395,328 $ 394,502 Accrued interest payable 197 306 Other liabilities 35,200 200 Total Liabilities $ 430,725 $ 395,008 ____________________ (1) Receivables due from a wholly owned subsidiary of the Company to the Issuer Trust are eliminated in consolidation in accordance with U.S. GAAP. |
Available-for-Sale Securities_2
Available-for-Sale Securities, at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Debt Securities, Available-for-sale [Abstract] | |
Debt Securities, Available-for-sale | The following table presents the Company’s AFS investment securities by collateral type as of September 30, 2020 and December 31, 2019: (in thousands) September 30, December 31, Agency Federal National Mortgage Association $ 13,607,826 $ 21,252,575 Federal Home Loan Mortgage Corporation 2,603,002 6,070,500 Government National Mortgage Association 345,500 454,980 Non-Agency 17,993 3,628,273 Total available-for-sale securities $ 16,574,321 $ 31,406,328 |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the amortized cost and carrying value of AFS securities by collateral type as of September 30, 2020 and December 31, 2019: September 30, 2020 (in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Amortized Cost Allowance for Credit Losses Unrealized Gain Unrealized Loss Carrying Value Agency: Principal and interest $ 15,040,007 $ 688,566 $ (14) $ 15,728,559 $ — $ 722,176 $ (349) $ 16,450,386 Interest-only 2,189,734 126,068 — 126,068 (19,241) 12,298 (13,183) 105,942 Total Agency 17,229,741 814,634 (14) 15,854,627 (19,241) 734,474 (13,532) 16,556,328 Non-Agency: Principal and interest 2,429 7 (38) 2,398 — 141 — 2,539 Interest-only 2,714,583 22,406 — 22,406 (6,254) 62 (760) 15,454 Total Non-Agency 2,717,012 22,413 (38) 24,804 (6,254) 203 (760) 17,993 Total $ 19,946,753 $ 837,047 $ (52) $ 15,879,431 $ (25,495) $ 734,677 $ (14,292) $ 16,574,321 December 31, 2019 (in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Credit Reserve Purchase Discount Amortized Cost Unrealized Gain Unrealized Loss Carrying Value Agency: Principal and interest $ 26,239,544 $ 986,343 $ (19) $ — $ 27,225,868 $ 424,818 $ (8,815) $ 27,641,871 Interest-only 2,601,693 169,811 — — 169,811 13,724 (47,351) 136,184 Total Agency 28,841,237 1,156,154 (19) — 27,395,679 438,542 (56,166) 27,778,055 Non-Agency: Principal and interest 5,498,654 8,980 (560,140) (1,711,951) 3,235,543 341,583 (23,263) 3,553,863 Interest-only 4,356,603 79,935 — — 79,935 3,039 (8,564) 74,410 Total Non-Agency 9,855,257 88,915 (560,140) (1,711,951) 3,315,478 344,622 (31,827) 3,628,273 Total $ 38,696,494 $ 1,245,069 $ (560,159) $ (1,711,951) $ 30,711,157 $ 783,164 $ (87,993) $ 31,406,328 |
Debt Securities, Available-for-sale, Classified by Rate Type | The following tables present the carrying value of the Company’s AFS securities by rate type as of September 30, 2020 and December 31, 2019: September 30, 2020 (in thousands) Agency Non-Agency Total Adjustable Rate $ 11,798 $ 16,235 $ 28,033 Fixed Rate 16,544,530 1,758 16,546,288 Total $ 16,556,328 $ 17,993 $ 16,574,321 December 31, 2019 (in thousands) Agency Non-Agency Total Adjustable Rate $ 14,584 $ 3,344,287 $ 3,358,871 Fixed Rate 27,763,471 283,986 28,047,457 Total $ 27,778,055 $ 3,628,273 $ 31,406,328 |
Debt Securities, Available-for-sale, Weighted Average Life Classifications | The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of September 30, 2020: September 30, 2020 (in thousands) Agency Non-Agency Total < 1 year $ 2,316 $ 3,150 $ 5,466 ≥ 1 and < 3 years 215,402 14,843 230,245 ≥ 3 and < 5 years 14,444,913 — 14,444,913 ≥ 5 and < 10 years 1,892,932 — 1,892,932 ≥ 10 years 765 — 765 Total $ 16,556,328 $ 17,993 $ 16,574,321 |
Debt Securities, Available-for-sale, Allowance for Credit Losses | The following table presents the changes for the three and nine months ended September 30, 2020 in the allowance for credit losses on Agency and non-Agency AFS securities: Three Months Ended Nine Months Ended September 30, September 30, 2020 2020 (in thousands) Agency Non-Agency Total Agency Non-Agency Total Allowance for credit losses at beginning of period $ (30,634) $ (11,949) $ (42,583) $ — $ (244,876) $ (244,876) Additions: On securities for which credit losses were not previously recorded (86) — (86) (32,882) (11,404) (44,286) Arising from purchases of securities accounted for as purchased credit deteriorated — — — — — — Reductions: For securities sold — — — — 246,792 246,792 Due to the intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost — — — — — — Increase (decrease) on securities with previously recorded credit losses (558) (6,456) (7,014) 1,604 (11,249) (9,645) Writeoffs 12,037 12,151 24,188 12,037 17,018 29,055 Recoveries of amounts previously written off — — — — (2,535) (2,535) Allowance for credit losses at end of period $ (19,241) $ (6,254) $ (25,495) $ (19,241) $ (6,254) $ (25,495) |
Sebt Securities, Available-for-sale, in Unrealized Loss Positions | The following table presents the components comprising the carrying value of AFS securities for which an allowance for credit losses has not been recorded by length of time that the securities had an unrealized loss position as of September 30, 2020 (subsequent to the adoption of Topic 326). At September 30, 2020, the Company held 833 AFS securities; of the securities for which an allowance for credit losses has not been recorded, 8 were in an unrealized loss position for less than twelve consecutive months and 11 were in an unrealized loss position for more than twelve consecutive months. September 30, 2020 Unrealized Loss Position for Less than 12 Months 12 Months or More Total (in thousands) Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Agency $ 17,991 $ (4,598) $ 12,962 $ (437) $ 30,953 $ (5,035) Non-Agency — — — — — — Total $ 17,991 $ (4,598) $ 12,962 $ (437) $ 30,953 $ (5,035) |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | The following table presents the changes in cumulative credit losses related to OTTI for the three and nine months ended September 30, 2020 and 2019: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2020 2019 2020 2019 Cumulative other-than-temporary credit losses at beginning of period $ — $ (9,376) $ (17,021) $ (6,865) Additions: Other-than-temporary impairments not previously recognized — (5,950) — (10,353) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments — — — (651) Reductions: Decreases related to other-than-temporary impairments on securities paid down — — — 1,703 Decreases related to other-than-temporary impairments on securities sold — 1,613 17,021 2,453 Cumulative other-than-temporary credit losses at end of period $ — $ (13,713) $ — $ (13,713) |
Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves | The following table presents the changes for the nine months ended September 30, 2019 in the net unamortized discount/premium and designated credit reserve on non-Agency AFS securities: Nine Months Ended September 30, 2019 (in thousands) Designated Credit Reserve Net Unamortized Discount/Premium Total Beginning balance at January 1 $ (1,322,762) $ (603,591) $ (1,926,353) Acquisitions (471,746) 10,524 (461,222) Accretion of net discount — 27,782 27,782 Realized credit losses 18,668 — 18,668 Reclassification adjustment for other-than-temporary impairments (6,847) — (6,847) Transfers from (to) 34,157 (34,157) — Sales, calls, other 24,892 226,923 251,815 Ending balance at September 30 $ (1,723,638) $ (372,519) $ (2,096,157) |
Schedule of Unrealized Loss on Investments | The following table presents the components comprising the carrying value of AFS securities not deemed to be other-than-temporarily impaired by length of time that the securities had an unrealized loss position as of December 31, 2019 (prior to the adoption of Topic 326). At December 31, 2019, the Company held 1,237 AFS securities, of which 122 were in an unrealized loss position for less than twelve consecutive months and 151 were in an unrealized loss position for more than twelve consecutive months. December 31, 2019 Unrealized Loss Position for Less than 12 Months 12 Months or More Total (in thousands) Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Agency $ 3,322,894 $ (6,645) $ 524,739 $ (49,521) $ 3,847,633 $ (56,166) Non-Agency 647,849 (18,416) 210,988 (13,411) 858,837 (31,827) Total $ 3,970,743 $ (25,061) $ 735,727 $ (62,932) $ 4,706,470 $ (87,993) |
Schedule of Realized Gain (Loss) | The following table presents details around sales of AFS securities during the three and nine months ended September 30, 2020 and 2019: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2020 2019 2020 2019 Proceeds from sales of available-for-sale securities $ — $ 6,111,897 $ 16,969,870 $ 14,065,573 Amortized cost of available-for-sale securities sold — (5,861,630) (17,947,686) (13,809,174) Total realized gains (losses) on sales, net $ — $ 250,267 $ (977,816) $ 256,399 Gross realized gains $ — $ 254,655 $ 280,885 $ 380,808 Gross realized losses — (4,388) (1,258,701) (124,409) Total realized gains (losses) on sales, net $ — $ 250,267 $ (977,816) $ 256,399 |
Servicing Activities (Tables)
Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |
Schedule of Servicing Assets at Fair Value | The following table summarizes activity related to MSR for the three and nine months ended September 30, 2020 and 2019. Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2020 2019 2020 2019 Balance at beginning of period $ 1,279,195 $ 1,800,826 $ 1,909,444 $ 1,993,440 Purchases of mortgage servicing rights 88,706 76,588 294,040 341,110 Sales of mortgage servicing rights — 905 1,814 905 Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model 41,429 (144,071) (570,347) (477,710) Other changes in fair value (1) (154,184) (90,529) (367,864) (198,585) Other changes (2) 2,357 7,837 (9,584) (7,604) Balance at end of period (3) $ 1,257,503 $ 1,651,556 $ 1,257,503 $ 1,651,556 ____________________ (1) Other changes in fair value primarily represents changes due to the realization of expected cash flows. (2) Other changes includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. (3) Based on the principal balance of the loans underlying the MSR reported by servicers on a month lag, adjusted for current month purchases. |
Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets | As of September 30, 2020 and December 31, 2019, the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows: (dollars in thousands, except per loan data) September 30, December 31, Weighted average prepayment speed: 21.4 % 14.8 % Impact on fair value of 10% adverse change $ (103,057) $ (88,459) Impact on fair value of 20% adverse change $ (193,815) $ (188,209) Weighted average delinquency: 2.4 % 0.9 % Impact on fair value of 10% adverse change $ (2,159) $ (7,470) Impact on fair value of 20% adverse change $ (3,894) $ (15,020) Weighted average discount rate: 5.1 % 7.2 % Impact on fair value of 10% adverse change $ (19,684) $ (49,274) Impact on fair value of 20% adverse change $ (38,195) $ (95,963) Weighted average per loan annual cost to service: $ 68.63 $ 66.62 Impact on fair value of 10% adverse change $ (18,506) $ (23,932) Impact on fair value of 20% adverse change $ (37,096) $ (48,054) |
Components of Servicing Revenue | The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive income (loss) for the three and nine months ended September 30, 2020 and 2019: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2020 2019 2020 2019 Servicing fee income $ 96,332 $ 106,700 $ 318,686 $ 327,184 Ancillary and other fee income 391 499 1,388 1,302 Float income 2,391 18,826 22,728 45,436 Total $ 99,114 $ 126,025 $ 342,802 $ 373,922 |
Schedule of Total Serviced Mortgage Assets | The following table presents the number of loans and unpaid principal balance of the mortgage assets for which the Company manages the servicing as of September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Mortgage servicing rights 719,344 $ 156,444,362 793,470 $ 175,882,142 Residential mortgage loans 2,139 1,372,188 3,157 2,033,951 Other assets — — 71 12,511 Total serviced mortgage assets 721,483 $ 157,816,550 796,698 $ 177,928,604 |
Cash, Cash Equivalents and Re_2
Cash, Cash Equivalents and Restricted Cash (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | |
Schedule of Restricted Cash and Cash Equivalents | The following table presents the Company’s restricted cash balances as of September 30, 2020 and December 31, 2019: (in thousands) September 30, December 31, Restricted cash balances held by trading counterparties: For securities trading activity $ 45,000 $ 45,050 For derivatives trading activity 57,355 94,570 For servicing activities 2,438 — As restricted collateral for borrowings 492,098 919,010 Total restricted cash balances held by trading counterparties 596,891 1,058,630 Restricted cash balance pursuant to letter of credit on office lease 60 60 Total $ 596,951 $ 1,058,690 |
Schedule of Cash, Cash Equivalents and Restricted Cash | The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company’s condensed consolidated balance sheets as of September 30, 2020 and December 31, 2019 that sum to the total of the same such amounts shown in the statements of cash flows: (in thousands) September 30, December 31, Cash and cash equivalents $ 1,615,074 $ 558,136 Restricted cash 596,951 1,058,690 Total cash, cash equivalents and restricted cash $ 2,212,025 $ 1,616,826 |
Derivative Instruments and He_2
Derivative Instruments and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading derivatives as of September 30, 2020 and December 31, 2019. September 30, 2020 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 67,468 $ 338,646 $ — $ — Interest rate swap agreements — — — 12,394,818 Swaptions, net 10,791 6,000,000 — — TBAs 18,460 3,947,000 (3,551) 2,289,000 U.S. Treasury futures 1,170 866,600 — — Total $ 97,889 $ 11,152,246 $ (3,551) $ 14,683,818 December 31, 2019 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 69,469 $ 397,137 $ — $ — Interest rate swap agreements 102,268 2,725,000 — 36,977,470 Swaptions, net 7,801 1,257,000 — — TBAs 8,011 9,584,000 (6,711) (2,157,000) U.S. Treasury futures 502 380,000 — — Markit IOS total return swaps — — (29) 41,890 Total $ 188,051 $ 14,343,137 $ (6,740) $ 34,862,360 |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | The following table summarizes the location and amount of gains and losses on derivative instruments reported in the condensed consolidated statements of comprehensive income (loss): Derivative Instruments Location of Gain (Loss) Recognized in Income Amount of Gain (Loss) Recognized in Income Three Months Ended Nine Months Ended (in thousands) September 30, September 30, 2020 2019 2020 2019 Interest rate risk management TBAs Gain on other derivative instruments $ 60,993 $ 82,964 $ (29,385) $ 221,439 Short U.S. Treasuries Gain on other derivative instruments — — — (6,801) U.S. Treasury futures Gain on other derivative instruments 4,448 (359) 26,956 46,089 Put and call options for TBAs Gain on other derivative instruments — — — (7,666) Interest rate swaps - Payers Gain (loss) on interest rate swap, cap and swaption agreements 8,269 (172,856) (1,151,119) (834,426) Interest rate swaps - Receivers Gain (loss) on interest rate swap, cap and swaption agreements (7,879) 211,086 904,492 664,313 Swaptions Gain (loss) on interest rate swap, cap and swaption agreements 1,011 32,390 (49,490) 76,383 Interest rate caps Gain (loss) on interest rate swap, cap and swaption agreements — — — (7,684) Markit IOS total return swaps Gain on other derivative instruments — (888) (2,430) (1,365) Non-risk management Inverse interest-only securities Gain on other derivative instruments 155 4,139 13,593 19,102 Total $ 66,997 $ 156,476 $ (287,383) $ 169,384 |
Schedule of Notional Amounts of Outstanding Derivative Positions | The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the three and nine months ended September 30, 2020 and 2019: Three Months Ended September 30, 2020 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 361,933 $ — $ (23,287) $ 338,646 $ 350,876 $ — Interest rate swap agreements 4,479,000 7,915,818 — 12,394,818 7,595,385 — Swaptions, net — 6,000,000 — 6,000,000 239,130 — TBAs, net 3,236,000 21,358,000 (18,358,000) 6,236,000 4,760,456 82,490 U.S. Treasury futures — 2,552,500 (1,685,900) 866,600 986,795 3,291 Total $ 8,076,933 $ 37,826,318 $ (20,067,187) $ 25,836,064 $ 13,932,642 $ 85,781 Three Months Ended September 30, 2019 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 436,611 $ — $ (20,668) $ 415,943 $ 427,222 $ — Interest rate swap agreements 40,470,277 17,874,435 (16,511,217) 41,833,495 41,180,308 38,044 Interest rate cap contracts — — — — — — Swaptions, net 3,875,000 1,000,000 (3,125,000) 1,750,000 2,650,815 37,365 TBAs, net 9,422,000 40,347,000 (39,906,000) 9,863,000 9,107,707 94,505 U.S. Treasury futures 1,300,000 3,567,000 (4,547,000) 320,000 657,022 26,939 Markit IOS total return swaps 45,536 — (1,769) 43,767 46,088 — Total $ 55,549,424 $ 62,788,435 $ (64,111,654) $ 54,226,205 $ 54,069,162 $ 196,853 Nine Months Ended September 30, 2020 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 397,137 $ — $ (58,491) $ 338,646 $ 370,379 $ — Interest rate swap agreements 39,702,470 56,403,253 (83,710,905) 12,394,818 32,006,660 (334,502) Swaptions, net 1,257,000 7,017,000 (2,274,000) 6,000,000 956,387 (50,700) TBAs, net 7,427,000 41,431,000 (42,622,000) 6,236,000 3,809,515 (42,993) U.S. Treasury futures (380,000) 10,782,500 (9,535,900) 866,600 681,497 26,295 Markit IOS total return swaps 41,890 — (41,890) — 13,547 (2,077) Total $ 48,445,497 $ 115,633,753 $ (138,243,186) $ 25,836,064 $ 37,837,985 $ (403,977) Nine Months Ended September 30, 2019 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 476,299 $ — $ (60,356) $ 415,943 $ 447,082 $ — Interest rate swap agreements 29,523,605 32,373,068 (20,063,178) 41,833,495 38,402,820 41,975 Interest rate cap contracts 2,500,000 — (2,500,000) — 1,417,216 (8,690) Swaptions, net 63,000 14,200,000 (12,513,000) 1,750,000 3,259,802 63,139 TBAs, net 6,484,000 119,252,000 (115,873,000) 9,863,000 8,905,264 242,102 Short U.S. Treasuries (800,000) — 800,000 — (61,097) (23,172) U.S. Treasury futures — 8,077,000 (7,757,000) 320,000 691,414 47,565 Put and call options for TBAs, net (1,767,000) — 1,767,000 — (147,606) (32,962) Markit IOS total return swaps 48,265 — (4,498) 43,767 45,964 — Total $ 36,528,169 $ 173,902,068 $ (156,204,032) $ 54,226,205 $ 52,960,859 $ 329,957 ____________________ (1) Excludes net interest paid or received in full settlement of the net interest spread liability. |
Schedule of TBA Positions | The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of September 30, 2020 and December 31, 2019: September 30, 2020 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 8,789,000 $ 9,196,682 $ 9,210,143 $ 16,768 $ (3,307) Sale contracts (2,553,000) (2,700,653) (2,699,205) 1,692 (244) TBAs, net $ 6,236,000 $ 6,496,029 $ 6,510,938 $ 18,460 $ (3,551) December 31, 2019 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 10,223,000 $ 10,557,745 $ 10,565,556 $ 8,011 $ (200) Sale contracts (2,796,000) (2,902,858) (2,909,369) — (6,511) TBAs, net $ 7,427,000 $ 7,654,887 $ 7,656,187 $ 8,011 $ (6,711) ___________________ (1) Notional amount represents the face amount of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period-end. (4) Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the condensed consolidated balance sheets. |
Schedule of Interest Rate Swap Payers | As of September 30, 2020 and December 31, 2019, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a floating interest rate (LIBOR or the OIS rate): (notional in thousands) September 30, 2020 Swaps Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2022 $ 7,415,818 0.042 % 0.090 % 1.91 2023 2,281,500 0.023 % 0.090 % 2.73 2024 and Thereafter 1,497,500 0.257 % 0.090 % 6.74 Total $ 11,194,818 0.067 % 0.090 % 2.72 (notional in thousands) December 31, 2019 Swaps Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2020 $ 3,640,000 1.806 % 1.937 % 0.83 2021 15,740,977 1.681 % 1.910 % 1.47 2022 2,578,640 1.911 % 1.901 % 2.74 2023 215,000 3.057 % 1.910 % 3.90 2024 and Thereafter 8,739,092 2.224 % 1.935 % 7.20 Total $ 30,913,709 1.878 % 1.921 % 3.14 |
Schedule of Interest Rate Swap Receivers | Additionally, as of September 30, 2020 and December 31, 2019, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk whereby the Company pays interest at a floating interest rate (LIBOR or the OIS rate): (notional in thousands) September 30, 2020 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2024 and Thereafter $ 1,200,000 0.090 % 0.442 % 9.68 Total $ 1,200,000 0.090 % 0.442 % 9.68 (notional in thousands) December 31, 2019 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2020 $ 250,000 1.953 % 2.258 % 0.06 2021 915,000 1.894 % 2.516 % 1.10 2022 — — % — % 0.00 2023 — — % — % 0.00 2024 and Thereafter 7,623,761 1.937 % 2.232 % 8.64 Total $ 8,788,761 1.933 % 2.262 % 7.61 |
Schedule of Interest Rate Swaptions | As of September 30, 2020 and December 31, 2019, the Company had the following outstanding interest rate swaptions that were utilized as macro-economic hedges: September 30, 2020 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Basis Fair Value Average Months to Expiration Notional Amount Average Pay Rate Average Receive Rate Average Term (Years) Purchase contracts: Payer < 6 Months $ 5,780 $ 6,942 3.36 $ 3,000,000 1.23 % SOFR 10.0 Receiver < 6 Months $ 4,000 $ 3,849 3.36 $ 3,000,000 SOFR 0.23 % 10.0 December 31, 2019 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Pay Rate Average Receive Rate Average Term (Years) Purchase contracts: Payer < 6 Months $ 24,700 $ 16,095 3.20 $ 7,525,000 2.27 % 3M Libor 10.0 Receiver < 6 Months $ 4,100 $ 342 1.10 $ 500,000 3M Libor 1.55 % 10.0 Sale contracts: Receiver < 6 Months $ (20,800) $ (8,636) 3.24 $ (6,768,000) 3M Libor 1.28 % 10.0 |
Schedule of Total Return Swaps | As of December 31, 2019, the Company had the following total return swap agreements in place: (notional and dollars in thousands) December 31, 2019 Maturity Date Current Notional Amount Fair Value Cost Basis Unrealized Gain (Loss) January 12, 2043 $ (18,625) $ 5 $ (30) $ 35 January 12, 2044 (23,265) (34) (29) (5) Total $ (41,890) $ (29) $ (59) $ 30 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Offsetting [Abstract] | |
Offsetting Assets | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of September 30, 2020 and December 31, 2019: September 30, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 101,787 $ (3,898) $ 97,889 $ (3,551) $ — $ 94,338 Reverse repurchase agreements 82,410 — 82,410 — (82,410) — Total Assets $ 184,197 $ (3,898) $ 180,299 $ (3,551) $ (82,410) $ 94,338 Liabilities Repurchase agreements $ (16,376,696) $ — $ (16,376,696) $ 16,376,696 $ — $ — Derivative liabilities (7,449) 3,898 (3,551) 3,551 — — Total Liabilities $ (16,384,145) $ 3,898 $ (16,380,247) $ 16,380,247 $ — $ — December 31, 2019 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 494,822 $ (306,771) $ 188,051 $ (6,740) $ — $ 181,311 Reverse repurchase agreements 220,000 — 220,000 — (215,565) 4,435 Total Assets $ 714,822 $ (306,771) $ 408,051 $ (6,740) $ (215,565) $ 185,746 Liabilities Repurchase agreements $ (29,147,463) $ — $ (29,147,463) $ 29,147,463 $ — $ — Derivative liabilities (313,511) 306,771 (6,740) 6,740 — — Total Liabilities $ (29,460,974) $ 306,771 $ (29,154,203) $ 29,154,203 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. |
Offsetting Liabilities | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of September 30, 2020 and December 31, 2019: September 30, 2020 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 101,787 $ (3,898) $ 97,889 $ (3,551) $ — $ 94,338 Reverse repurchase agreements 82,410 — 82,410 — (82,410) — Total Assets $ 184,197 $ (3,898) $ 180,299 $ (3,551) $ (82,410) $ 94,338 Liabilities Repurchase agreements $ (16,376,696) $ — $ (16,376,696) $ 16,376,696 $ — $ — Derivative liabilities (7,449) 3,898 (3,551) 3,551 — — Total Liabilities $ (16,384,145) $ 3,898 $ (16,380,247) $ 16,380,247 $ — $ — December 31, 2019 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 494,822 $ (306,771) $ 188,051 $ (6,740) $ — $ 181,311 Reverse repurchase agreements 220,000 — 220,000 — (215,565) 4,435 Total Assets $ 714,822 $ (306,771) $ 408,051 $ (6,740) $ (215,565) $ 185,746 Liabilities Repurchase agreements $ (29,147,463) $ — $ (29,147,463) $ 29,147,463 $ — $ — Derivative liabilities (313,511) 306,771 (6,740) 6,740 — — Total Liabilities $ (29,460,974) $ 306,771 $ (29,154,203) $ 29,154,203 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities. Recurring Fair Value Measurements September 30, 2020 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 16,556,328 $ 17,993 $ 16,574,321 Mortgage servicing rights — — 1,257,503 1,257,503 Derivative assets 19,630 78,259 — 97,889 Total assets $ 19,630 $ 16,634,587 $ 1,275,496 $ 17,929,713 Liabilities Derivative liabilities $ 3,551 $ — $ — $ 3,551 Total liabilities $ 3,551 $ — $ — $ 3,551 Recurring Fair Value Measurements December 31, 2019 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 31,157,154 $ 249,174 $ 31,406,328 Mortgage servicing rights — — 1,909,444 1,909,444 Derivative assets 8,513 179,538 — 188,051 Total assets $ 8,513 $ 31,336,692 $ 2,158,618 $ 33,503,823 Liabilities Derivative liabilities $ 6,711 $ 29 $ — $ 6,740 Total liabilities $ 6,711 $ 29 $ — $ 6,740 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables present the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis: Three Months Ended Nine Months Ended September 30, 2020 September 30, 2020 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Available-For-Sale Securities Mortgage Servicing Rights Beginning of period level 3 fair value $ 3,860 $ 1,279,195 $ 249,174 $ 1,909,444 Gains (losses) included in net income (loss): Realized (losses) gains, net (1,577) (154,192) (5,968) (372,616) Unrealized (losses) gains, net — 41,429 (1) — (565,603) (1) Provision for credit losses (6,456) — (7,352) — Net gains (losses) included in net income (loss) (8,033) (112,763) (13,320) (938,219) Other comprehensive income (loss) 2,846 — (21,492) — Purchases — 88,706 — 294,040 Sales — 8 (214,673) 1,822 Settlements — 2,357 — (9,584) Gross transfers into level 3 19,320 — 23,785 — Gross transfers out of level 3 — — (5,481) — End of period level 3 fair value $ 17,993 $ 1,257,503 $ 17,993 $ 1,257,503 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ — $ 45,027 (2) $ — $ (439,795) (2) Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period $ 2,846 $ — $ 3,610 $ — ____________________ (1) The change in unrealized gains or losses on MSR was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income (loss). (2) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income (loss). |
Fair Value Inputs, Assets, Quantitative Information | The tables below present information about the significant unobservable market data used by the third-party pricing vendors as inputs into models utilized to inform their best estimates of the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at September 30, 2020 and December 31, 2019: September 30, 2020 Valuation Technique Unobservable Input (1) Range Weighted Average (2) Discounted cash flow Constant prepayment speed 14.7 - 25.1 % 21.4% Delinquency 1.6 - 2.7 % 2.4% Discount rate 4.7 - 7.7 % 5.1% Per loan annual cost to service $64.78 - $79.87 $68.63 December 31, 2019 Valuation Technique Unobservable Input (1) Range Weighted Average (2) Discounted cash flow Constant prepayment speed 12.6 - 16.4 % 14.8% Delinquency 0.7 - 1.0 % 0.9% Discount rate 6.4 - 7.8 % 7.2% Per loan annual cost to service $63.38 - $78.04 $66.62 ___________________ (1) Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates. |
Fair Value, by Balance Sheet Grouping | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at September 30, 2020 and December 31, 2019: September 30, 2020 December 31, 2019 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets Available-for-sale securities $ 16,574,321 $ 16,574,321 $ 31,406,328 $ 31,406,328 Mortgage servicing rights $ 1,257,503 $ 1,257,503 $ 1,909,444 $ 1,909,444 Cash and cash equivalents $ 1,615,074 $ 1,615,074 $ 558,136 $ 558,136 Restricted cash $ 596,951 $ 596,951 $ 1,058,690 $ 1,058,690 Derivative assets $ 97,889 $ 97,889 $ 188,051 $ 188,051 Reverse repurchase agreements $ 82,410 $ 82,410 $ 220,000 $ 220,000 Other assets $ 13,292 $ 13,292 24,352 24,352 Liabilities Repurchase agreements $ 16,376,696 $ 16,376,696 $ 29,147,463 $ 29,147,463 Federal Home Loan Bank advances $ — $ — $ 210,000 $ 210,000 Revolving credit facilities $ 274,830 $ 274,830 $ 300,000 $ 300,000 Term notes payable $ 395,328 $ 387,625 $ 394,502 $ 400,000 Convertible senior notes $ 285,843 $ 287,394 $ 284,954 $ 299,147 Derivative liabilities $ 3,551 $ 3,551 $ 6,740 $ 6,740 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements By Term, Short or Long | At September 30, 2020 and December 31, 2019, the repurchase agreement balances were as follows: (in thousands) September 30, December 31, Short-term $ 16,376,696 $ 29,147,463 Long-term — — Total $ 16,376,696 $ 29,147,463 |
Schedule of Repurchase Agreements by Maturity | At September 30, 2020 and December 31, 2019, the repurchase agreements had the following characteristics and remaining maturities: September 30, 2020 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 3,754,489 $ — $ 36,500 $ — $ 3,790,989 30 to 59 days 3,903,905 2,371 14,082 — 3,920,358 60 to 89 days — — — — — 90 to 119 days 3,644,581 — — — 3,644,581 120 to 364 days 5,019,249 — 1,519 — 5,020,768 Total $ 16,322,224 $ 2,371 $ 52,101 $ — $ 16,376,696 Weighted average borrowing rate 0.28 % 2.30 % 1.02 % — % 0.29 % December 31, 2019 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 5,112,681 $ 193,235 $ — $ — $ 5,305,916 30 to 59 days 6,074,151 212,998 13,223 — 6,300,372 60 to 89 days 6,355,887 329,493 1,905 — 6,687,285 90 to 119 days 4,227,589 489,352 23,276 — 4,740,217 120 to 364 days 5,532,219 306,529 12,310 262,615 6,113,673 Total $ 27,302,527 $ 1,531,607 $ 50,714 $ 262,615 $ 29,147,463 Weighted average borrowing rate 2.08 % 2.90 % 2.70 % 3.51 % 2.14 % |
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets | The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements: (in thousands) September 30, December 31, Available-for-sale securities, at fair value $ 16,550,904 $ 29,575,948 Mortgage servicing rights, at fair value — 530,222 Restricted cash 456,898 919,010 Due from counterparties 32,507 102,365 Derivative assets, at fair value 66,785 68,874 Total $ 17,107,094 $ 31,196,419 |
Federal Home Loan Bank of Des_2
Federal Home Loan Bank of Des Moines Advances (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Advances from Federal Home Loan Banks [Abstract] | |
Schedule of Maturities of Federal Home Loan Bank Advances | At September 30, 2020 and December 31, 2019, FHLB advances had the following remaining maturities: (in thousands) September 30, December 31, ≤ 1 year $ — $ 160,000 > 1 and ≤ 3 years — — > 3 and ≤ 5 years — — > 5 and ≤ 10 years — — > 10 years — 50,000 Total $ — $ 210,000 |
Revolving Credit Facilities (Ta
Revolving Credit Facilities (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Revolving Credit Facilities [Abstract] | |
Schedule of Line of Credit Facilities | At September 30, 2020 and December 31, 2019, borrowings under revolving credit facilities had the following remaining maturities: (in thousands) September 30, December 31, Within 30 days $ — $ — 30 to 59 days — — 60 to 89 days — — 90 to 119 days — — 120 to 364 days 60,000 — One year and over 214,830 300,000 Total $ 274,830 $ 300,000 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Equity [Abstract] | |
Preferred Stock | The following is a summary of the Company’s series of cumulative redeemable preferred stock issued and outstanding as of September 30, 2020. In the event of a voluntary or involuntary liquidation, dissolution or winding up of the Company, each series of preferred stock will rank on parity with one another and rank senior to the Company's common stock with respect to the payment of the dividends and the distribution of assets. (dollars in thousands) Class of Stock Issuance Date Shares Issued and Outstanding Carrying Value Contractual Rate Redemption Eligible Date (1) Fixed to Floating Rate Conversion Date (2) Floating Annual Rate (3) Fixed-to-Floating Rate Series A March 14, 2017 5,750,000 $ 138,872 8.125 % April 27, 2027 April 27, 2027 3M LIBOR + 5.660% Series B July 19, 2017 11,500,000 278,094 7.625 % July 27, 2027 July 27, 2027 3M LIBOR + 5.352% Series C November 27, 2017 11,800,000 285,585 7.250 % January 27, 2025 January 27, 2025 3M LIBOR + 5.011% Fixed Rate Series D July 31, 2018 3,000,000 74,964 7.750 % July 31, 2018 N/A N/A Series E July 31, 2018 8,000,000 199,986 7.500 % July 31, 2018 N/A N/A Total 40,050,000 $ 977,501 ____________________ (1) Subject to the Company’s right under limited circumstances to redeem the preferred stock earlier than the redemption eligible date disclosed in order to preserve its qualification as a REIT or following a change in control of the Company. (2) For the fixed-to-floating rate redeemable preferred stock, the dividend rate will remain at an annual fixed rate of the $25.00 per share liquidation preference from the issuance date up to but not including the transition date disclosed within. Effective the conversion date and onward, dividends will accumulate on a floating rate basis according to the terms disclosed within (3) below. |
Preferred Dividends Declared | The following table presents cash dividends declared by the Company on its preferred stock from December 31, 2018 through September 30, 2020: Declaration Date Record Date Payment Date Cash Dividend Per Preferred Share Series A Preferred Stock: September 21, 2020 October 12, 2020 October 27, 2020 $ 0.507810 June 18, 2020 July 10, 2020 July 27, 2020 $ 0.507810 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.507810 December 17, 2019 January 10, 2020 January 27, 2020 $ 0.507810 September 19, 2019 October 11, 2019 October 28, 2019 $ 0.507810 June 19, 2019 July 12, 2019 July 29, 2019 $ 0.507810 March 19, 2019 April 12, 2019 April 29, 2019 $ 0.507810 Series B Preferred Stock: September 21, 2020 October 12, 2020 October 27, 2020 $ 0.476560 June 18, 2020 July 10, 2020 July 27, 2020 $ 0.476560 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.476560 December 17, 2019 January 10, 2020 January 27, 2020 $ 0.476560 September 19, 2019 October 11, 2019 October 28, 2019 $ 0.476560 June 19, 2019 July 12, 2019 July 29, 2019 $ 0.476560 March 19, 2019 April 12, 2019 April 29, 2019 $ 0.476560 Series C Preferred Stock: September 21, 2020 October 12, 2020 October 27, 2020 $ 0.453130 June 18, 2020 July 10, 2020 July 27, 2020 $ 0.453130 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.453130 December 17, 2019 January 10, 2020 January 27, 2020 $ 0.453130 September 19, 2019 October 11, 2019 October 28, 2019 $ 0.453130 June 19, 2019 July 12, 2019 July 29, 2019 $ 0.453130 March 19, 2019 April 12, 2019 April 29, 2019 $ 0.453130 Series D Preferred Stock: September 21, 2020 October 1, 2020 October 15, 2020 $ 0.484375 June 18, 2020 July 1, 2020 July 15, 2020 $ 0.484375 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.484375 December 17, 2019 January 1, 2020 January 15, 2020 $ 0.484375 September 19, 2019 October 1, 2019 October 15, 2019 $ 0.484375 June 19, 2019 July 1, 2019 July 15, 2019 $ 0.484375 March 19, 2019 April 1, 2019 April 15, 2019 $ 0.484375 Series E Preferred Stock: September 21, 2020 October 1, 2020 October 15, 2020 $ 0.468750 June 18, 2020 July 1, 2020 July 15, 2020 $ 0.468750 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.468750 December 17, 2019 January 1, 2020 January 15, 2020 $ 0.468750 September 19, 2019 October 1, 2019 October 15, 2019 $ 0.468750 June 19, 2019 July 1, 2019 July 15, 2019 $ 0.468750 March 19, 2019 April 1, 2019 April 15, 2019 $ 0.468750 |
Schedule of Stock by Class | The following table presents a reconciliation of the common shares outstanding for the three and nine months ended September 30, 2020 and 2019: Number of common shares Common shares outstanding, December 31, 2018 248,085,721 Issuance of common stock 24,399,107 Issuance of restricted stock (1) 412,074 Repurchase of common stock (1,500) Common shares outstanding, September 30, 2019 272,895,402 Common shares outstanding, December 31, 2019 272,935,731 Issuance of common stock 50,729 Issuance of restricted stock (1) 813,251 Repurchase of common stock (105,300) Common shares outstanding, September 30, 2020 273,694,411 ____________________ (1) Represents shares of restricted stock granted under the Second Restated 2009 Equity Incentive Plan, net of forfeitures, of which 1,223,020 restricted shares remained subject to vesting requirements at September 30, 2020. |
Common Dividends Declared | The following table presents cash dividends declared by the Company on its common stock from December 31, 2018 through September 30, 2020: Declaration Date Record Date Payment Date Cash Dividend Per Common Share September 21, 2020 October 1, 2020 October 29, 2020 $ 0.140000 June 18, 2020 June 30, 2020 July 29, 2020 $ 0.140000 April 6, 2020 April 16, 2020 April 29, 2020 $ 0.050000 December 17, 2019 December 31, 2019 January 24, 2020 $ 0.400000 September 19, 2019 September 30, 2019 October 28, 2019 $ 0.400000 June 19, 2019 July 1, 2019 July 29, 2019 $ 0.400000 March 19, 2019 March 29, 2019 April 29, 2019 $ 0.470000 |
Schedule of Accumulated Other Comprehensive Income (Loss) | Accumulated other comprehensive income at September 30, 2020 and December 31, 2019 was as follows: (in thousands) September 30, December 31, Available-for-sale securities Unrealized gains $ 722,380 $ 730,043 Unrealized losses (2,040) (40,643) Accumulated other comprehensive income $ 720,340 $ 689,400 |
Reclassification out of Accumulated Other Comprehensive Income | The following table summarizes reclassifications out of accumulated other comprehensive income for the three and nine months ended September 30, 2020 and 2019: Affected Line Item in the Statements of Comprehensive Income (Loss) Amount Reclassified out of Accumulated Other Comprehensive Income Three Months Ended Nine Months Ended (in thousands) September 30, September 30, 2020 2019 2020 2019 Other-than-temporary impairments on AFS securities Total other-than-temporary impairment losses $ — $ 5,950 $ — $ 11,004 Realized gains on sales of certain AFS securities, net of tax (Loss) gain on investment securities — (226,790) (471,301) (189,620) Total $ — $ (220,840) $ (471,301) $ (178,616) |
Equity Incentive Plan (Tables)
Equity Incentive Plan (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Share-based Payment Arrangement [Abstract] | |
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity | The following table summarizes the activity related to restricted common stock for the nine months ended September 30, 2020 and 2019: Nine Months Ended September 30, 2020 2019 Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 1,062,901 $ 15.26 1,593,701 $ 15.81 Granted 855,712 13.16 515,282 14.28 Vested (653,132) (15.30) (803,523) (15.59) Forfeited (42,461) (14.58) (103,208) (15.52) Outstanding at End of Period 1,223,020 $ 13.80 1,202,252 $ 15.33 |
Restructuring Charges (Tables)
Restructuring Charges (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Restructuring and Related Activities [Abstract] | |
Restructuring Charges | The following table presents a reconciliation of accrued restructuring charges incurred, paid and adjusted in connection with the termination of the Management Agreement for the three and nine months ended September 30, 2020: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2020 2020 Accrued restructuring costs at beginning of period $ 142,317 $ — Costs incurred and charged to expense — 145,788 Costs paid (2,235) (5,706) Non-cash adjustments (139,788) (139,788) Accrued restructuring costs at end of period $ 294 $ 294 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2020 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted | 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 nine months ended September 30, 2020 and 2019: Three Months Ended Nine Months Ended September 30, September 30, (in thousands, except share data) 2020 2019 2020 2019 Numerator: Net income (loss) $ 201,914 $ 305,700 $ (1,841,306) $ 189,208 Dividends on preferred stock 18,950 18,951 56,851 56,851 Net income (loss) attributable to common stockholders - basic 182,964 286,749 (1,898,157) 132,357 Interest expense attributable to convertible notes (1) 4,812 4,779 — — Net income (loss) attributable to common stockholders - diluted $ 187,776 $ 291,528 $ (1,898,157) $ 132,357 Denominator: Weighted average common shares outstanding 272,415,242 271,689,878 272,315,905 264,871,455 Weighted average restricted stock shares 1,290,543 1,207,697 1,252,093 1,243,317 Basic weighted average shares outstanding 273,705,785 272,897,575 273,567,998 266,114,772 Effect of dilutive shares issued in an assumed conversion 18,171,150 18,156,143 — — Diluted weighted average shares outstanding 291,876,935 291,053,718 273,567,998 266,114,772 Earnings (Loss) Per Share Basic $ 0.67 $ 1.05 $ (6.94) $ 0.50 Diluted $ 0.64 $ 1.00 $ (6.94) $ 0.50 ___________________ (1) If applicable, includes a nondiscretionary adjustment for the assumed change in the management fee calculation. |
Basis of Presentation and Sig_3
Basis of Presentation and Significant Accounting Policies Measurement of Credit Losses on Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Jun. 30, 2020 | Jan. 01, 2020 | Dec. 31, 2019 |
Basis of Presentation and Significant Accounting Policies [Abstract] | ||||
Available-for-sale securities, amortized cost | $ 15,879,431 | $ 30,711,157 | ||
Available-for-sale securities, allowance for credit losses | $ 25,495 | $ 42,583 | $ 244,876 | $ 0 |
Variable Interest Entities Secu
Variable Interest Entities Securitization of Mortgage Servicing Rights (Details) $ in Millions | 9 Months Ended |
Sep. 30, 2020USD ($) | |
Debt Instrument [Line Items] | |
Variable funding note maximum principal balance | $ 1,000 |
Term Notes Payable [Member] | |
Debt Instrument [Line Items] | |
Aggregate principal amount | $ 400 |
Interest rate spread | 2.80% |
Variable Interest Entities (Det
Variable Interest Entities (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | |
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | [1] | $ 20,587,650 | $ 35,921,622 |
Liabilities of consolidated variable interest entities | [1] | 17,567,978 | 30,951,156 |
Variable Interest Entity, Primary Beneficiary [Member] | Notes Receivable [Member] | |||
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | 395,328 | 394,502 | |
Variable Interest Entity, Primary Beneficiary [Member] | Cash and Cash Equivalents [Member] | |||
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | 0 | 200 | |
Variable Interest Entity, Primary Beneficiary [Member] | Restricted Cash and Cash Equivalents [Member] | |||
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | 35,200 | 0 | |
Variable Interest Entity, Primary Beneficiary [Member] | Accrued Interest Receivable [Member] | |||
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | 197 | 306 | |
Variable Interest Entity, Primary Beneficiary [Member] | Assets, Total [Member] | |||
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | 430,725 | 395,008 | |
Variable Interest Entity, Primary Beneficiary [Member] | Term Notes Payable [Member] | |||
Variable Interest Entity [Line Items] | |||
Liabilities of consolidated variable interest entities | 395,328 | 394,502 | |
Variable Interest Entity, Primary Beneficiary [Member] | Accrued Interest Payable [Member] | |||
Variable Interest Entity [Line Items] | |||
Liabilities of consolidated variable interest entities | 197 | 306 | |
Variable Interest Entity, Primary Beneficiary [Member] | Other Liabilities [Member] | |||
Variable Interest Entity [Line Items] | |||
Liabilities of consolidated variable interest entities | 35,200 | 200 | |
Variable Interest Entity, Primary Beneficiary [Member] | Liabilities, Total [Member] | |||
Variable Interest Entity [Line Items] | |||
Liabilities of consolidated variable interest entities | $ 430,725 | $ 395,008 | |
[1] | The condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities, or VIEs. At September 30, 2020 and December 31, 2019, assets of the VIEs totaled $430,725 and $395,008, and liabilities of the VIEs totaled $430,725 and $395,008, respectively. See Note 3 - Variable Interest Entities for additional information. |
Available-for-Sale Securities_3
Available-for-Sale Securities, at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 16,574,321 | $ 31,406,328 |
Available-for-sale securities, at fair value, pledged as collateral for borrowings | 16,600,000 | 29,800,000 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 13,607,826 | 21,252,575 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 2,603,002 | 6,070,500 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 345,500 | 454,980 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 17,993 | $ 3,628,273 |
Available-for-Sale Securities_4
Available-for-Sale Securities, at Fair Value Nonconsolidated Variable Interest Entities (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Variable Interest Entity [Line Items] | ||
Available-for-sale securities, at fair value | $ 16,574,321 | $ 31,406,328 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Available-for-sale securities, at fair value | 18,000 | 3,600,000 |
Maximum exposure to loss of nonconsolidated Variable Interest Entities | $ 18,000 | $ 3,628,300 |
Schedule of Available-for-sale
Schedule of Available-for-sale Securities Reconciliation (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Jun. 30, 2020 | Jan. 01, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | $ 19,946,753 | $ 38,696,494 | ||
Unamortized Premium | 837,047 | 1,245,069 | ||
Accretable Purchase Discount | 52 | 560,159 | ||
Credit Reserve Purchase Discount | 1,711,951 | |||
Amortized Cost | 15,879,431 | 30,711,157 | ||
Allowance for Credit Losses | (25,495) | $ (42,583) | $ (244,876) | 0 |
Unrealized Gain | 734,677 | 783,164 | ||
Unrealized Loss | 14,292 | 87,993 | ||
Available-for-sale securities, at fair value | 16,574,321 | 31,406,328 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 17,229,741 | 28,841,237 | ||
Unamortized Premium | 814,634 | 1,156,154 | ||
Accretable Purchase Discount | 14 | 19 | ||
Credit Reserve Purchase Discount | 0 | |||
Amortized Cost | 15,854,627 | 27,395,679 | ||
Allowance for Credit Losses | (19,241) | 30,634 | 0 | |
Unrealized Gain | 734,474 | 438,542 | ||
Unrealized Loss | 13,532 | 56,166 | ||
Available-for-sale securities, at fair value | 16,556,328 | 27,778,055 | ||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 2,717,012 | 9,855,257 | ||
Unamortized Premium | 22,413 | 88,915 | ||
Accretable Purchase Discount | 38 | 560,140 | ||
Credit Reserve Purchase Discount | 1,711,951 | |||
Amortized Cost | 24,804 | 3,315,478 | ||
Allowance for Credit Losses | (6,254) | $ 11,949 | $ 244,876 | |
Unrealized Gain | 203 | 344,622 | ||
Unrealized Loss | 760 | 31,827 | ||
Available-for-sale securities, at fair value | 17,993 | 3,628,273 | ||
Interest-Only-Strip [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 2,189,734 | 2,601,693 | ||
Unamortized Premium | 126,068 | 169,811 | ||
Accretable Purchase Discount | 0 | 0 | ||
Credit Reserve Purchase Discount | 0 | |||
Amortized Cost | 126,068 | 169,811 | ||
Allowance for Credit Losses | (19,241) | |||
Unrealized Gain | 12,298 | 13,724 | ||
Unrealized Loss | 13,183 | 47,351 | ||
Available-for-sale securities, at fair value | 105,942 | 136,184 | ||
Interest-Only-Strip [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 2,714,583 | 4,356,603 | ||
Unamortized Premium | 22,406 | 79,935 | ||
Accretable Purchase Discount | 0 | 0 | ||
Credit Reserve Purchase Discount | 0 | |||
Amortized Cost | 22,406 | 79,935 | ||
Allowance for Credit Losses | (6,254) | |||
Unrealized Gain | 62 | 3,039 | ||
Unrealized Loss | 760 | 8,564 | ||
Available-for-sale securities, at fair value | 15,454 | 74,410 | ||
Fixed Income Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 15,040,007 | 26,239,544 | ||
Unamortized Premium | 688,566 | 986,343 | ||
Accretable Purchase Discount | 14 | 19 | ||
Credit Reserve Purchase Discount | 0 | |||
Amortized Cost | 15,728,559 | 27,225,868 | ||
Allowance for Credit Losses | 0 | |||
Unrealized Gain | 722,176 | 424,818 | ||
Unrealized Loss | 349 | 8,815 | ||
Available-for-sale securities, at fair value | 16,450,386 | 27,641,871 | ||
Fixed Income Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 2,429 | 5,498,654 | ||
Unamortized Premium | 7 | 8,980 | ||
Accretable Purchase Discount | 38 | 560,140 | ||
Credit Reserve Purchase Discount | 1,711,951 | |||
Amortized Cost | 2,398 | 3,235,543 | ||
Allowance for Credit Losses | 0 | |||
Unrealized Gain | 141 | 341,583 | ||
Unrealized Loss | 0 | 23,263 | ||
Available-for-sale securities, at fair value | $ 2,539 | $ 3,553,863 |
Available-for-sale Securities C
Available-for-sale Securities Classified by Rate Type (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Adjustable Rate | $ 28,033 | $ 3,358,871 |
Fixed Rate | 16,546,288 | 28,047,457 |
Available-for-sale securities, at fair value | 16,574,321 | 31,406,328 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Adjustable Rate | 11,798 | 14,584 |
Fixed Rate | 16,544,530 | 27,763,471 |
Available-for-sale securities, at fair value | 16,556,328 | 27,778,055 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Adjustable Rate | 16,235 | 3,344,287 |
Fixed Rate | 1,758 | 283,986 |
Available-for-sale securities, at fair value | $ 17,993 | $ 3,628,273 |
Available-for-Sale Securities_5
Available-for-Sale Securities, Weighted Average Life Classifications (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | $ 5,466 | |
Greater than 1 year and less than or equal to 3 years | 230,245 | |
Greater than 3 years and less than or equal to 5 years | 14,444,913 | |
Greater than 5 years and less than or equal to 10 years | 1,892,932 | |
Greater than 10 years | 765 | |
Available-for-sale securities, at fair value | 16,574,321 | $ 31,406,328 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | 2,316 | |
Greater than 1 year and less than or equal to 3 years | 215,402 | |
Greater than 3 years and less than or equal to 5 years | 14,444,913 | |
Greater than 5 years and less than or equal to 10 years | 1,892,932 | |
Greater than 10 years | 765 | |
Available-for-sale securities, at fair value | 16,556,328 | 27,778,055 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | 3,150 | |
Greater than 1 year and less than or equal to 3 years | 14,843 | |
Greater than 3 years and less than or equal to 5 years | 0 | |
Greater than 5 years and less than or equal to 10 years | 0 | |
Greater than 10 years | 0 | |
Available-for-sale securities, at fair value | $ 17,993 | $ 3,628,273 |
Available-for-sale Securities_6
Available-for-sale Securities, Rollforward of the Allowance for Credit Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2020 | Sep. 30, 2020 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Allowance for credit losses at beginning of period | $ (42,583) | $ 0 |
Additions on securities for which credit losses were not previously recorded | (86) | (44,286) |
Additions arising from purchases of securities accounted for as purchased credit deteriorated | 0 | 0 |
Reductions for securities sold | 0 | 246,792 |
Reductions due to the intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost | 0 | 0 |
Increase (decrease) on securities with previously recorded credit losses | (7,014) | (9,645) |
Writeoffs | 24,188 | 29,055 |
Recoveries of amounts previously written off | 0 | (2,535) |
Allowance for credit losses at end of period | (25,495) | (25,495) |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Allowance for credit losses at beginning of period | 30,634 | |
Additions on securities for which credit losses were not previously recorded | 86 | 32,882 |
Additions arising from purchases of securities accounted for as purchased credit deteriorated | 0 | 0 |
Reductions for securities sold | 0 | 0 |
Reductions due to the intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost | 0 | 0 |
Increase (decrease) on securities with previously recorded credit losses | 558 | (1,604) |
Writeoffs | (12,037) | (12,037) |
Recoveries of amounts previously written off | 0 | 0 |
Allowance for credit losses at end of period | (19,241) | (19,241) |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Allowance for credit losses at beginning of period | 11,949 | |
Additions on securities for which credit losses were not previously recorded | 0 | 11,404 |
Additions arising from purchases of securities accounted for as purchased credit deteriorated | 0 | 0 |
Reductions for securities sold | 0 | (246,792) |
Reductions due to the intent to sell or more likely than not will be required to sell the security before recovery of its amortized cost | 0 | 0 |
Increase (decrease) on securities with previously recorded credit losses | 6,456 | 11,249 |
Writeoffs | (12,151) | (17,018) |
Recoveries of amounts previously written off | 0 | 2,535 |
Allowance for credit losses at end of period | $ (6,254) | $ (6,254) |
Schedule of Available-for-sal_2
Schedule of Available-for-sale Debt Securities in Unrealized Loss Positions (Details) $ in Thousands | Sep. 30, 2020USD ($)numberOfPositions | Dec. 31, 2019USD ($)numberOfPositions |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Number of Positions | numberOfPositions | 833 | 1,237 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Number of Positions | numberOfPositions | 8 | 122 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Number of Positions | numberOfPositions | 11 | 151 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 17,991 | $ 3,970,743 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (4,598) | (25,061) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 12,962 | 735,727 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (437) | (62,932) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 30,953 | 4,706,470 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 5,035 | 87,993 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 17,991 | 3,322,894 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (4,598) | (6,645) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 12,962 | 524,739 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (437) | (49,521) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 30,953 | 3,847,633 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 5,035 | 56,166 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 0 | 647,849 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | (18,416) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 210,988 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | (13,411) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 0 | 858,837 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 0 | $ 31,827 |
Available-for-Sale Securities_7
Available-for-Sale Securities, at Fair Value Other than Temporary Impairment, Credit Losses Recognized in Earnings (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020USD ($) | Sep. 30, 2019USD ($) | Sep. 30, 2020USD ($) | Sep. 30, 2019USD ($)numberOfPositions | |
Debt Securities, Available-for-sale [Abstract] | ||||
Other-than-temporary impairment losses | $ (6,000) | $ (11,000) | ||
Other than Temporary Impairment Losses, Investments, Number, Available-for-sale Securities | numberOfPositions | 16 | |||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||
Cumulative other-than-temporary credit losses at beginning of period | $ 0 | (9,376) | $ (17,021) | $ (6,865) |
Other-than-temporary impairments not previously recognized | 0 | (5,950) | 0 | (10,353) |
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 0 | 0 | 0 | (651) |
Decreases related to other-than-temporary impairments on securities paid down | 0 | 0 | 0 | 1,703 |
Decreases related to other-than-temporary impairments on securities sold | 0 | 1,613 | 17,021 | 2,453 |
Cumulative other-than-temporary credit losses at end of period | $ 0 | $ (13,713) | $ 0 | $ (13,713) |
Schedule of Available-for-sal_3
Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves (Details) - Mortgage-backed Securities, Issued by Private Enterprises [Member] $ in Thousands | 9 Months Ended |
Sep. 30, 2019USD ($) | |
Debt Securities, Available-for-sale, Designated Credit Reserve [Member] | |
Debt Securities, Available-for-sale, Unamortized Discount [Roll Forward] | |
Total discount/premium on available-for-sale securities, beginning balance | $ (1,322,762) |
Acquisitions | (471,746) |
Accretion of net discount | 0 |
Realized credit losses | 18,668 |
Reclassification adjustment for other-than-temporary impairments | (6,847) |
Transfers from (to) | 34,157 |
Sales, calls, other | 24,892 |
Total discount/premium on available-for-sale securities, ending balance | (1,723,638) |
Debt Securities, Available-for-sale, Net Unamortized Discount/Premium [Member] | |
Debt Securities, Available-for-sale, Unamortized Discount [Roll Forward] | |
Total discount/premium on available-for-sale securities, beginning balance | (603,591) |
Acquisitions | 10,524 |
Accretion of net discount | 27,782 |
Realized credit losses | 0 |
Reclassification adjustment for other-than-temporary impairments | 0 |
Transfers from (to) | (34,157) |
Sales, calls, other | 226,923 |
Total discount/premium on available-for-sale securities, ending balance | (372,519) |
Debt Securities, Available-for-sale, Total Discount/Premium [Member] | |
Debt Securities, Available-for-sale, Unamortized Discount [Roll Forward] | |
Total discount/premium on available-for-sale securities, beginning balance | (1,926,353) |
Acquisitions | (461,222) |
Accretion of net discount | 27,782 |
Realized credit losses | 18,668 |
Reclassification adjustment for other-than-temporary impairments | (6,847) |
Transfers from (to) | 0 |
Sales, calls, other | 251,815 |
Total discount/premium on available-for-sale securities, ending balance | $ (2,096,157) |
Available-for-Sale Securities_8
Available-for-Sale Securities, at Fair Value Schedule of Unrealized Loss on Investments (Details) $ in Thousands | Sep. 30, 2020USD ($)numberOfPositions | Dec. 31, 2019USD ($)numberOfPositions |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Number of Positions | numberOfPositions | 833 | 1,237 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Number of Positions | numberOfPositions | 8 | 122 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Number of Positions | numberOfPositions | 11 | 151 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 17,991 | $ 3,970,743 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (4,598) | (25,061) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 12,962 | 735,727 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (437) | (62,932) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 30,953 | 4,706,470 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (5,035) | (87,993) |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 17,991 | 3,322,894 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (4,598) | (6,645) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 12,962 | 524,739 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (437) | (49,521) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 30,953 | 3,847,633 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (5,035) | (56,166) |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | 0 | 647,849 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | (18,416) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 210,988 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | (13,411) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 0 | 858,837 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 0 | $ (31,827) |
Available-for-Sale Securities_9
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Debt Securities, Available-for-sale [Abstract] | ||||
Proceeds from sales of available-for-sale securities | $ 0 | $ 6,111,897 | $ 16,969,870 | $ 14,065,573 |
Amortized cost of available-for-sale securities sold | 0 | (5,861,630) | (17,947,686) | (13,809,174) |
Gross realized gains | 0 | 254,655 | 280,885 | 380,808 |
Gross realized losses | 0 | (4,388) | (1,258,701) | (124,409) |
Total realized gains (losses) on sales, net | $ 0 | $ 250,267 | $ (977,816) | $ 256,399 |
Rollforward of Mortgage Servici
Rollforward of Mortgage Servicing Rights, at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | |||||
Mortgage servicing rights, at fair value, at beginning of period | $ 1,279,195 | $ 1,800,826 | $ 1,909,444 | $ 1,993,440 | |
Purchases of mortgage servicing rights | 88,706 | 76,588 | 294,040 | 341,110 | |
Sales of mortgage servicing rights | 0 | (905) | 1,814 | (905) | |
Changes in valuation inputs or assumptions used in the valuation model | 41,429 | (144,071) | (570,347) | (477,710) | |
Other changes in fair value | (154,184) | (90,529) | (367,864) | (198,585) | |
Other changes | 2,357 | 7,837 | (9,584) | (7,604) | |
Mortgage servicing rights, at fair value, at end of period | 1,257,503 | $ 1,651,556 | 1,257,503 | $ 1,651,556 | |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 1,000,000 | $ 1,000,000 | $ 1,600,000 |
Schedule of Mortgage Servicing
Schedule of Mortgage Servicing Rights Sensitivity Analysis of Fair Value (Details) $ in Thousands | Sep. 30, 2020USD ($) | Dec. 31, 2019USD ($) |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Impact on fair value of 10% adverse change in prepayment speed | $ (103,057) | $ (88,459) |
Impact on fair value of 20% adverse change in prepayment speed | (193,815) | (188,209) |
Impact on fair value of 10% adverse change in delinquency | (2,159) | (7,470) |
Impact on fair value of 20% adverse change in delinquency | (3,894) | (15,020) |
Impact on fair value of 10% adverse change in discount rate | (19,684) | (49,274) |
Impact on fair value of 20% adverse change in discount rate | (38,195) | (95,963) |
Impact on fair value of 10% adverse change in per loan annual cost to service | (18,506) | (23,932) |
Impact on fair value of 20% adverse change in per loan annual cost to service | $ (37,096) | $ (48,054) |
Measurement Input, Constant Prepayment Rate [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 0.214 | 0.148 |
Measurement Input, Delinquency [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 0.024 | 0.009 |
Measurement Input, Discount Rate [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 0.051 | 0.072 |
Measurement Input, Per Loan Annual Cost to Service [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 68.63 | 66.62 |
Components of Servicing Revenue
Components of Servicing Revenue (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |||||
Servicing fee income | $ 96,332 | $ 106,700 | $ 318,686 | $ 327,184 | |
Ancillary and other fee income | 391 | 499 | 1,388 | 1,302 | |
Float income | 2,391 | 18,826 | 22,728 | 45,436 | |
Servicing income | 99,114 | $ 126,025 | 342,802 | $ 373,922 | |
Servicing advances | $ 37,800 | $ 37,800 | $ 45,600 | ||
Mortgage servicing rights, delinquency rate | 4.10% | 4.10% | |||
Servicing advances pledged as collateral for borrowings | $ 11,100 | $ 11,100 |
Serviced Mortgage Assets (Detai
Serviced Mortgage Assets (Details) $ in Thousands | Sep. 30, 2020USD ($)loan | Dec. 31, 2019USD ($)loan |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 721,483 | 796,698 |
Unpaid Principal Balance | $ | $ 157,816,550 | $ 177,928,604 |
Mortgage Servicing Rights [Member] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 719,344 | 793,470 |
Unpaid Principal Balance | $ | $ 156,444,362 | $ 175,882,142 |
Residential Mortgage [Member] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 2,139 | 3,157 |
Unpaid Principal Balance | $ | $ 1,372,188 | $ 2,033,951 |
Other Assets [Member] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 0 | 71 |
Unpaid Principal Balance | $ | $ 0 | $ 12,511 |
Schedule of Restricted Cash and
Schedule of Restricted Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 596,951 | $ 1,058,690 |
Restricted Cash and Cash Equivalents Held for Securities Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 45,000 | 45,050 |
Restricted Cash and Cash Equivalents Held for Derivatives Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 57,355 | 94,570 |
Restricted Cash and Cash Equivalents Held for Servicing Activities [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 2,438 | 0 |
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 492,098 | 919,010 |
Restricted Cash and Cash Equivalents Held by Counterparties [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 596,891 | 1,058,630 |
Restricted Cash and Cash Equivalents for Lease [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 60 | $ 60 |
Schedule of Total Cash, Cash Eq
Schedule of Total Cash, Cash Equivalents and Restricted Cash (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Dec. 31, 2018 |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | ||||
Cash and cash equivalents | $ 1,615,074 | $ 558,136 | ||
Restricted cash | 596,951 | 1,058,690 | ||
Total cash, cash equivalents and restricted cash | $ 2,212,025 | $ 1,616,826 | $ 1,250,387 | $ 1,097,764 |
Schedule of Derivative Instrume
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($) | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 |
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | $ 25,836,064,000 | $ 8,076,933,000 | $ 48,445,497,000 | $ 54,226,205,000 | $ 55,549,424,000 | $ 36,528,169,000 |
Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 67,468,000 | 69,469,000 | ||||
U.S. Treasury Futures [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 866,600,000 | 380,000,000 | ||||
Markit IOS Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 29,000 | |||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 41,890,000 | |||||
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 97,889,000 | 188,051,000 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 11,152,246,000 | 14,343,137,000 | ||||
Derivative Financial Instruments, Assets [Member] | Inverse Interest-Only Securities [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 338,646,000 | 397,137,000 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 102,268,000 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 2,725,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 10,791,000 | 7,801,000 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 6,000,000,000 | 1,257,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | TBAs [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 18,460,000 | 8,011,000 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 3,947,000,000 | 9,584,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | U.S. Treasury Futures [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 1,170,000 | 502,000 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 866,600,000 | 380,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Markit IOS Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | |||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | |||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (3,551,000) | (6,740,000) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 14,683,818,000 | 34,862,360,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 12,394,818,000 | 36,977,470,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | TBAs [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (3,551,000) | (6,711,000) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 2,289,000,000 | 2,157,000,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | U.S. Treasury Futures [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | $ 0 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Markit IOS Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (29,000) | |||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | $ 41,890,000 |
Schedule of Derivative Instru_2
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | $ 66,997 | $ 156,476 | $ (287,383) | $ 169,384 |
TBAs [Member] | Gain on other derivative instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 60,993 | 82,964 | (29,385) | 221,439 |
Short US Treasuries [Member] | Gain on other derivative instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 0 | 0 | 0 | (6,801) |
U.S. Treasury Futures [Member] | Gain on other derivative instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 4,448 | (359) | 26,956 | 46,089 |
Put and Call Options for TBAs [Member] | Gain on other derivative instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 0 | 0 | 0 | (7,666) |
Interest Rate Swap [Member] | Long [Member] | Gain (loss) on interest rate swap, cap and swaption agreements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 8,269 | (172,856) | (1,151,119) | (834,426) |
Interest Rate Swap [Member] | Short [Member] | Gain (loss) on interest rate swap, cap and swaption agreements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | (7,879) | 211,086 | 904,492 | 664,313 |
Interest Rate Swaption [Member] | Gain (loss) on interest rate swap, cap and swaption agreements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 1,011 | 32,390 | (49,490) | 76,383 |
Interest Rate Cap [Member] | Gain (loss) on interest rate swap, cap and swaption agreements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 0 | 0 | 0 | (7,684) |
Markit IOS Total Return Swap [Member] | Gain on other derivative instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 0 | (888) | (2,430) | (1,365) |
Inverse Interest-Only Securities [Member] | Gain on other derivative instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | $ 155 | $ 4,139 | $ 13,593 | $ 19,102 |
Derivative Instruments and He_3
Derivative Instruments and Hedging Activities Interest Spread on Interest Rate Swaps and Caps (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Jun. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||
Derivative, Notional Amount | $ 25,836,064,000 | $ 54,226,205,000 | $ 25,836,064,000 | $ 54,226,205,000 | $ 8,076,933,000 | $ 48,445,497,000 | $ 55,549,424,000 | $ 36,528,169,000 |
Average Notional Amount | 13,932,642,000 | 54,069,162,000 | 37,837,985,000 | 52,960,859,000 | ||||
Interest Rate Contract [Member] | ||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||
Net interest expense (income) on interest rate swaps and caps | 800,000 | 19,200,000 | (68,100,000) | 65,700,000 | ||||
Net Long Position [Member] | Interest Rate Contract [Member] | ||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||
Average Notional Amount | $ 7,600,000,000 | $ 41,200,000,000 | $ 32,000,000,000 | $ 39,800,000,000 |
Schedule of Notional Amounts of
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | $ 8,076,933,000 | $ 55,549,424,000 | $ 48,445,497,000 | $ 36,528,169,000 |
Additions | 37,826,318,000 | 62,788,435,000 | 115,633,753,000 | 173,902,068,000 |
Settlement, Termination, Expiration or Exercise | (20,067,187,000) | (64,111,654,000) | (138,243,186,000) | (156,204,032,000) |
End of Period Notional Amount | 25,836,064,000 | 54,226,205,000 | 25,836,064,000 | 54,226,205,000 |
Average Notional Amount | (13,932,642,000) | (54,069,162,000) | (37,837,985,000) | (52,960,859,000) |
Realized Gain (Loss), net | 85,781,000 | 196,853,000 | (403,977,000) | 329,957,000 |
Inverse Interest-Only Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 0 | 0 | 0 | 0 |
Settlement, Termination, Expiration or Exercise | (23,287,000) | (20,668,000) | (58,491,000) | (60,356,000) |
Realized Gain (Loss), net | 0 | 0 | 0 | 0 |
Interest Rate Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 7,915,818,000 | 17,874,435,000 | 56,403,253,000 | 32,373,068,000 |
Settlement, Termination, Expiration or Exercise | 0 | (16,511,217,000) | (83,710,905,000) | (20,063,178,000) |
Realized Gain (Loss), net | 0 | 38,044,000 | (334,502,000) | 41,975,000 |
Interest Rate Cap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 0 | 0 | ||
Settlement, Termination, Expiration or Exercise | 0 | (2,500,000,000) | ||
Realized Gain (Loss), net | 0 | (8,690,000) | ||
Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 6,000,000,000 | 1,000,000,000 | 7,017,000,000 | 14,200,000,000 |
Settlement, Termination, Expiration or Exercise | 0 | (3,125,000,000) | (2,274,000,000) | (12,513,000,000) |
Realized Gain (Loss), net | 0 | 37,365,000 | (50,700,000) | 63,139,000 |
TBAs [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 21,358,000,000 | 40,347,000,000 | 41,431,000,000 | 119,252,000,000 |
Settlement, Termination, Expiration or Exercise | (18,358,000,000) | (39,906,000,000) | (42,622,000,000) | (115,873,000,000) |
Realized Gain (Loss), net | 82,490,000 | 94,505,000 | (42,993,000) | 242,102,000 |
Short US Treasuries [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 0 | |||
Settlement, Termination, Expiration or Exercise | 800,000,000 | |||
Realized Gain (Loss), net | (23,172,000) | |||
U.S. Treasury Futures [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 380,000,000 | |||
Additions | 2,552,500,000 | 3,567,000,000 | 10,782,500,000 | 8,077,000,000 |
Settlement, Termination, Expiration or Exercise | (1,685,900,000) | (4,547,000,000) | (9,535,900,000) | (7,757,000,000) |
End of Period Notional Amount | 866,600,000 | 866,600,000 | ||
Realized Gain (Loss), net | 3,291,000 | 26,939,000 | 26,295,000 | 47,565,000 |
Put and Call Options for TBAs [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 0 | |||
Settlement, Termination, Expiration or Exercise | 1,767,000,000 | |||
Realized Gain (Loss), net | (32,962,000) | |||
Markit IOS Total Return Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 41,890,000 | |||
Additions | 0 | 0 | 0 | |
Settlement, Termination, Expiration or Exercise | (1,769,000) | (41,890,000) | (4,498,000) | |
Realized Gain (Loss), net | 0 | (2,077,000) | 0 | |
Net Long Position [Member] | Inverse Interest-Only Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 361,933,000 | 436,611,000 | 397,137,000 | 476,299,000 |
End of Period Notional Amount | 338,646,000 | 415,943,000 | 338,646,000 | 415,943,000 |
Average Notional Amount | (350,876,000) | (427,222,000) | (370,379,000) | (447,082,000) |
Net Long Position [Member] | Interest Rate Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 4,479,000,000 | 40,470,277,000 | 39,702,470,000 | 29,523,605,000 |
End of Period Notional Amount | 12,394,818,000 | 41,833,495,000 | 12,394,818,000 | 41,833,495,000 |
Average Notional Amount | (7,595,385,000) | (41,180,308,000) | (32,006,660,000) | (38,402,820,000) |
Net Long Position [Member] | Interest Rate Cap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 0 | 2,500,000,000 | ||
End of Period Notional Amount | 0 | 0 | ||
Average Notional Amount | 0 | (1,417,216,000) | ||
Net Long Position [Member] | Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 0 | 3,875,000,000 | 1,257,000,000 | 63,000,000 |
End of Period Notional Amount | 6,000,000,000 | 1,750,000,000 | 6,000,000,000 | 1,750,000,000 |
Average Notional Amount | (239,130,000) | (2,650,815,000) | (956,387,000) | (3,259,802,000) |
Net Long Position [Member] | TBAs [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 3,236,000,000 | 9,422,000,000 | 7,427,000,000 | 6,484,000,000 |
End of Period Notional Amount | 6,236,000,000 | 9,863,000,000 | 6,236,000,000 | 9,863,000,000 |
Average Notional Amount | (4,760,456,000) | (9,107,707,000) | (3,809,515,000) | (8,905,264,000) |
Net Long Position [Member] | U.S. Treasury Futures [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 0 | 1,300,000,000 | 0 | |
End of Period Notional Amount | 866,600,000 | 320,000,000 | 866,600,000 | 320,000,000 |
Average Notional Amount | (986,795,000) | (657,022,000) | (681,497,000) | (691,414,000) |
Net Long Position [Member] | Markit IOS Total Return Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 45,536,000 | 41,890,000 | 48,265,000 | |
End of Period Notional Amount | $ 0 | 43,767,000 | 0 | 43,767,000 |
Average Notional Amount | (46,088,000) | (13,547,000) | (45,964,000) | |
Net Short Position [Member] | Short US Treasuries [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 800,000,000 | |||
End of Period Notional Amount | 0 | 0 | ||
Average Notional Amount | (61,097,000) | |||
Net Short Position [Member] | U.S. Treasury Futures [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | $ 380,000,000 | |||
Net Short Position [Member] | Put and Call Options for TBAs [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 1,767,000,000 | |||
End of Period Notional Amount | $ 0 | 0 | ||
Average Notional Amount | $ (147,606,000) |
Derivative Instruments and He_4
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 |
Derivatives, Fair Value [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 16,574,321 | $ 31,406,328 | ||||
Mortgage servicing rights, at fair value | 1,257,503 | $ 1,279,195 | 1,909,444 | $ 1,651,556 | $ 1,800,826 | $ 1,993,440 |
Interest-Only-Strip [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 48,700 | $ 122,200 |
Derivative Instruments and He_5
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) - USD ($) | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 25,836,064,000 | $ 8,076,933,000 | $ 48,445,497,000 | $ 54,226,205,000 | $ 55,549,424,000 | $ 36,528,169,000 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 11,152,246,000 | 14,343,137,000 | ||||
Fair Value | 97,889,000 | 188,051,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 14,683,818,000 | 34,862,360,000 | ||||
Fair Value | (3,551,000) | (6,740,000) | ||||
TBAs [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 3,947,000,000 | 9,584,000,000 | ||||
Fair Value | 18,460,000 | 8,011,000 | ||||
TBAs [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 2,289,000,000 | 2,157,000,000 | ||||
Fair Value | (3,551,000) | (6,711,000) | ||||
TBAs [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 8,789,000,000 | 10,223,000,000 | ||||
Cost Basis | 9,196,682,000 | 10,557,745,000 | ||||
Market Value | 9,210,143,000 | 10,565,556,000 | ||||
TBAs [Member] | Long [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 16,768,000 | 8,011,000 | ||||
TBAs [Member] | Long [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | (3,307,000) | (200,000) | ||||
TBAs [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 2,553,000,000 | 2,796,000,000 | ||||
Cost Basis | 2,700,653,000 | 2,902,858,000 | ||||
Market Value | 2,699,205,000 | 2,909,369,000 | ||||
TBAs [Member] | Short [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 1,692,000 | 0 | ||||
TBAs [Member] | Short [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | (244,000) | (6,511,000) | ||||
TBAs [Member] | Net Long Position [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 6,236,000,000 | $ 3,236,000,000 | 7,427,000,000 | $ 9,863,000,000 | $ 9,422,000,000 | $ 6,484,000,000 |
Cost Basis | 6,496,029,000 | 7,654,887,000 | ||||
Market Value | 6,510,938,000 | 7,656,187,000 | ||||
TBAs [Member] | Net Long Position [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 18,460,000 | 8,011,000 | ||||
TBAs [Member] | Net Long Position [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | $ (3,551,000) | $ (6,711,000) |
Derivative Instruments and He_6
Derivative Instruments and Hedging Activities U.S. Treasury Futures (Details) - USD ($) | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||||||
Notional | $ 25,836,064,000 | $ 8,076,933,000 | $ 48,445,497,000 | $ 54,226,205,000 | $ 55,549,424,000 | $ 36,528,169,000 |
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 14,683,818,000 | 34,862,360,000 | ||||
Fair Value | (3,551,000) | (6,740,000) | ||||
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 11,152,246,000 | 14,343,137,000 | ||||
Fair Value | 97,889,000 | 188,051,000 | ||||
U.S. Treasury Futures [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 866,600,000 | 380,000,000 | ||||
U.S. Treasury Futures [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 0 | 0 | ||||
Fair Value | 0 | 0 | ||||
U.S. Treasury Futures [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 866,600,000 | 380,000,000 | ||||
Fair Value | $ 1,170,000 | $ 502,000 |
Derivative Instruments and He_7
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Payers (Details) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2020 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | ||||||
Notional | $ 25,836,064,000 | $ 48,445,497,000 | $ 8,076,933,000 | $ 54,226,205,000 | $ 55,549,424,000 | $ 36,528,169,000 |
Interest Rate Swap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 11,194,818,000 | $ 30,913,709,000 | ||||
Weighted Average Variable Interest Rate | 0.09% | 1.921% | ||||
Weighted Average Remaining Maturity | 2 years 8 months 19 days | 3 years 1 month 20 days | ||||
Weighted Average Fixed Interest Rate | 0.067% | 1.878% | ||||
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 3,640,000,000 | |||||
Weighted Average Variable Interest Rate | 1.937% | |||||
Weighted Average Remaining Maturity | 9 months 29 days | |||||
Weighted Average Fixed Interest Rate | 1.806% | |||||
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 15,740,977,000 | |||||
Weighted Average Variable Interest Rate | 1.91% | |||||
Weighted Average Remaining Maturity | 1 year 5 months 19 days | |||||
Weighted Average Fixed Interest Rate | 1.681% | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 7,415,818,000 | $ 2,578,640,000 | ||||
Weighted Average Variable Interest Rate | 0.09% | 1.901% | ||||
Weighted Average Remaining Maturity | 1 year 10 months 28 days | 2 years 8 months 26 days | ||||
Weighted Average Fixed Interest Rate | 0.042% | 1.911% | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 2,281,500,000 | $ 215,000,000 | ||||
Weighted Average Variable Interest Rate | 0.09% | 1.91% | ||||
Weighted Average Remaining Maturity | 2 years 8 months 23 days | 3 years 10 months 24 days | ||||
Weighted Average Fixed Interest Rate | 0.023% | 3.057% | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 1,497,500,000 | $ 8,739,092,000 | ||||
Weighted Average Variable Interest Rate | 0.09% | 1.935% | ||||
Weighted Average Remaining Maturity | 6 years 8 months 26 days | 7 years 2 months 12 days | ||||
Weighted Average Fixed Interest Rate | 0.257% | 2.224% |
Derivative Instruments and He_8
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Receivers (Details) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2020 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | ||||||
Notional | $ 25,836,064,000 | $ 48,445,497,000 | $ 8,076,933,000 | $ 54,226,205,000 | $ 55,549,424,000 | $ 36,528,169,000 |
Interest Rate Swap [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 1,200,000,000 | $ 8,788,761,000 | ||||
Weighted Average Variable Interest Rate | 0.09% | 1.933% | ||||
Weighted Average Fixed Interest Rate | 0.442% | 2.262% | ||||
Weighted Average Remaining Maturity | 9 years 8 months 4 days | 7 years 7 months 9 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 250,000,000 | |||||
Weighted Average Variable Interest Rate | 1.953% | |||||
Weighted Average Fixed Interest Rate | 2.258% | |||||
Weighted Average Remaining Maturity | 21 days | |||||
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 915,000,000 | |||||
Weighted Average Variable Interest Rate | 1.894% | |||||
Weighted Average Fixed Interest Rate | 2.516% | |||||
Weighted Average Remaining Maturity | 1 year 1 month 6 days | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 0 | |||||
Weighted Average Variable Interest Rate | 0.00% | |||||
Weighted Average Fixed Interest Rate | 0.00% | |||||
Weighted Average Remaining Maturity | 0 years | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 0 | |||||
Weighted Average Variable Interest Rate | 0.00% | |||||
Weighted Average Fixed Interest Rate | 0.00% | |||||
Weighted Average Remaining Maturity | 0 years | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 1,200,000,000 | $ 7,623,761,000 | ||||
Weighted Average Variable Interest Rate | 0.09% | 1.937% | ||||
Weighted Average Fixed Interest Rate | 0.442% | 2.232% | ||||
Weighted Average Remaining Maturity | 9 years 8 months 4 days | 8 years 7 months 20 days |
Derivative Instruments and He_9
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2020 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 | |
Derivative [Line Items] | ||||||
Notional | $ 25,836,064,000 | $ 48,445,497,000 | $ 8,076,933,000 | $ 54,226,205,000 | $ 55,549,424,000 | $ 36,528,169,000 |
Interest Rate Swaption [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | (5,780,000) | (24,700,000) | ||||
Fair Value | $ 6,942,000 | $ 16,095,000 | ||||
Weighted Average Remaining Maturity | 3 months 11 days | 3 months 6 days | ||||
Interest Rate Swaption [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ (4,000,000) | $ (4,100,000) | ||||
Fair Value | $ 3,849,000 | $ 342,000 | ||||
Weighted Average Remaining Maturity | 3 months 11 days | 1 month 3 days | ||||
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ (20,800,000) | |||||
Fair Value | $ 8,636,000 | |||||
Weighted Average Remaining Maturity | 3 months 7 days | |||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 3,000,000,000 | $ 7,525,000,000 | ||||
Weighted Average Remaining Maturity | 10 years | 10 years | ||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 1.23% | 2.27% | ||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 3,000,000,000 | $ 500,000,000 | ||||
Weighted Average Remaining Maturity | 10 years | 10 years | ||||
Weighted Average Fixed Interest Rate | 0.23% | 1.55% | ||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 6,768,000,000 | |||||
Weighted Average Remaining Maturity | 10 years | |||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 1.28% |
Derivative Instruments and H_10
Derivative Instruments and Hedging Activities Schedule of Total Return Swaps (Details) - USD ($) | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||||||
Notional | $ 25,836,064,000 | $ 8,076,933,000 | $ 48,445,497,000 | $ 54,226,205,000 | $ 55,549,424,000 | $ 36,528,169,000 |
Markit IOS Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 41,890,000 | |||||
Fair Value | (29,000) | |||||
Cost Basis | (59,000) | |||||
Derivative, Unrealized Gains (Losses) | 30,000 | |||||
Markit IOS Total Return Swap [Member] | Maturity Date, 1/12/2043 [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 18,625,000 | |||||
Fair Value | 5,000 | |||||
Cost Basis | (30,000) | |||||
Derivative, Unrealized Gains (Losses) | 35,000 | |||||
Markit IOS Total Return Swap [Member] | Maturity Date, 1/12/2044 [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 23,265,000 | |||||
Fair Value | (34,000) | |||||
Cost Basis | (29,000) | |||||
Derivative, Unrealized Gains (Losses) | $ (5,000) |
Derivative Instruments and H_11
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Derivative assets, at fair value | $ 97,889 | $ 188,051 |
Derivative liabilities, at fair value | $ (3,551) | $ (6,740) |
Reverse Repurchase Agreements (
Reverse Repurchase Agreements (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Reverse Repurchase Agreements [Abstract] | ||
Amounts due to counterparties as collateral for reverse repurchase agreements | $ 82,800 | $ 215,600 |
Reverse repurchase agreements | $ 82,410 | $ 220,000 |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Offsetting [Abstract] | ||
Gross amount of recognized derivative assets | $ 101,787 | $ 494,822 |
Gross amount of derivative liabilities offset against derivative assets in the balance sheet | 3,898 | 306,771 |
Net amount of derivative assets presented in the balance sheet | 97,889 | 188,051 |
Gross amount of derivative liabilities not offset against derivative assets in the balance sheet | 3,551 | 6,740 |
Gross amount of cash collateral received not offset against derivative assets in the balance sheet | 0 | 0 |
Net amount of derivative assets after effects of amounts offset and not offset in the balance sheet | 94,338 | 181,311 |
Gross amount of recognized reverse repurchase agreements | 82,410 | 220,000 |
Gross amount of financial liabilities offset against reverse repurchase agreements in the balance sheet | 0 | 0 |
Net amount of reverse repurchase agreements presented in the balance sheet | 82,410 | 220,000 |
Gross amount of financial liabilities not offset against reverse repurchase agreements in the balance sheet | 0 | 0 |
Gross amount of cash collateral received not offset against reverse repurchase agreements in the balance sheet | (82,410) | (215,565) |
Net amount of reverse repurchase agreements after effects of amounts offset and not offset in the balance sheet | 0 | 4,435 |
Gross amount of recognized assets subject to master netting arrangements or similar agreements | 184,197 | 714,822 |
Gross amount of liabilities offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 3,898 | 306,771 |
Net amount of assets subject to master netting arrangements or similar agreements presented in the balance sheet | 180,299 | 408,051 |
Gross amount of liabilities not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 3,551 | 6,740 |
Gross amount of cash collateral received not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 82,410 | 215,565 |
Net amount of assets subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | 94,338 | 185,746 |
Gross amount of recognized repurchase agreements | 16,376,696 | 29,147,463 |
Gross amount of financial assets offset against repurchase agreements in the balance sheet | 0 | 0 |
Net amount of repurchase agreements presented in the balance sheet | 16,376,696 | 29,147,463 |
Gross amount of financial assets not offset against repurchase agreements in the balance sheet | 16,376,696 | 29,147,463 |
Gross amount of cash collateral pledged not offset against repurchase agreements in the balance sheet | 0 | 0 |
Net amount of repurchase agreements after effects of amounts offset and not offset in the balance sheet | 0 | 0 |
Gross amount of recognized derivative liabilities | 7,449 | 313,511 |
Gross amount of derivative assets offset against derivative liabilities in the balance sheet | 3,898 | 306,771 |
Net amount of derivative liabilities presented in the balance sheet | 3,551 | 6,740 |
Gross amount of derivatives assets not offset against derivative liabilities in the balance sheet | 3,551 | 6,740 |
Gross amount of cash collateral pledged not offset against derivative liabilities in the balance sheet | 0 | 0 |
Net amount of derivative liabilities after effects of amounts offset and not offset in the balance sheet | 0 | 0 |
Gross amount of recognized liabilities subject to master netting arrangements or similar agreements | 16,384,145 | 29,460,974 |
Gross amount of assets offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 3,898 | 306,771 |
Net amount of liabilities subject to master netting arrangements or similar agreements presented in the balance sheet | 16,380,247 | 29,154,203 |
Gross amount of assets not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 16,380,247 | 29,154,203 |
Gross amount of cash collateral pledged not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 0 | 0 |
Net amount of liabilities subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | $ 0 | $ 0 |
Fair Value, Measurement Inputs,
Fair Value, Measurement Inputs, Disclosure (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Debt Securities, Available-for-sale, Categorized as Level 2 Assets | 99.89% | |||||
Debt Securities, Available-for-sale, Categorized as Level 3 Assets | 0.11% | |||||
Assets Reported at Fair Value, Debt Securities, Available-for-sale | 92.40% | |||||
Mortgage Servicing Rights Categorized as Level 3 Assets | 100.00% | |||||
Over-the-Counter Derivatives Categorized as Level 2 Assets (Liabilities) | 100.00% | |||||
Other RMBS Classified as Derivatives Categorized as Level 2 Assets | 100.00% | |||||
Other Derivatives Categorized as Level 1 Assets (Liabilities) | 100.00% | |||||
Mortgage servicing rights | $ 1,257,503 | $ 1,279,195 | $ 1,909,444 | $ 1,651,556 | $ 1,800,826 | $ 1,993,440 |
Derivative assets, at fair value | 97,889 | 188,051 | ||||
Derivative liabilities, at fair value | 3,551 | 6,740 | ||||
Fair Value, Recurring [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale securities | 16,574,321 | 31,406,328 | ||||
Mortgage servicing rights | 1,257,503 | 1,909,444 | ||||
Derivative assets, at fair value | 97,889 | 188,051 | ||||
Total assets | 17,929,713 | 33,503,823 | ||||
Derivative liabilities, at fair value | 3,551 | 6,740 | ||||
Total liabilities | 3,551 | 6,740 | ||||
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale securities | 0 | 0 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Derivative assets, at fair value | 19,630 | 8,513 | ||||
Total assets | 19,630 | 8,513 | ||||
Derivative liabilities, at fair value | 3,551 | 6,711 | ||||
Total liabilities | 3,551 | 6,711 | ||||
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale securities | 16,556,328 | 31,157,154 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Derivative assets, at fair value | 78,259 | 179,538 | ||||
Total assets | 16,634,587 | 31,336,692 | ||||
Derivative liabilities, at fair value | 0 | 29 | ||||
Total liabilities | 0 | 29 | ||||
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale securities | 17,993 | 249,174 | ||||
Mortgage servicing rights | 1,257,503 | 1,909,444 | ||||
Derivative assets, at fair value | 0 | 0 | ||||
Total assets | 1,275,496 | 2,158,618 | ||||
Derivative liabilities, at fair value | 0 | 0 | ||||
Total liabilities | $ 0 | $ 0 |
Fair Value, Assets Measured on
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2020 | Sep. 30, 2020 | |
Available-for-sale Securities [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | $ 3,860 | $ 249,174 |
Realized (losses) gains | (1,577) | (5,968) |
Unrealized (losses) gains | 0 | 0 |
Provision for credit losses | (6,456) | (7,352) |
Total gains (losses) included in net income | (8,033) | (13,320) |
Other comprehensive income (loss) | 2,846 | (21,492) |
Purchases | 0 | 0 |
Sales | 0 | (214,673) |
Settlements | 0 | 0 |
Gross transfers into level 3 | 19,320 | 23,785 |
Gross transfers out of level 3 | 0 | (5,481) |
End of period level 3 fair value | 17,993 | 17,993 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 0 | 0 |
Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period | 2,846 | 3,610 |
Mortgage Servicing Rights [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | 1,279,195 | 1,909,444 |
Realized (losses) gains | (154,192) | (372,616) |
Unrealized (losses) gains | 41,429 | (565,603) |
Provision for credit losses | 0 | 0 |
Total gains (losses) included in net income | (112,763) | (938,219) |
Other comprehensive income (loss) | 0 | 0 |
Purchases | 88,706 | 294,040 |
Sales | (8) | (1,822) |
Settlements | 2,357 | (9,584) |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 1,257,503 | 1,257,503 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 45,027 | (439,795) |
Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period | $ 0 | $ 0 |
Fair Value, Quantitative Inform
Fair Value, Quantitative Information about Level 3 Fair Value Measurements (Details) | Sep. 30, 2020 | Dec. 31, 2019 |
Measurement Input, Constant Prepayment Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.214 | 0.148 |
Measurement Input, Constant Prepayment Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.147 | 0.126 |
Measurement Input, Constant Prepayment Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.251 | 0.164 |
Measurement Input, Delinquency [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.024 | 0.009 |
Measurement Input, Delinquency [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.016 | 0.007 |
Measurement Input, Delinquency [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.027 | 0.010 |
Measurement Input, Discount Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.051 | 0.072 |
Measurement Input, Discount Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.047 | 0.064 |
Measurement Input, Discount Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.077 | 0.078 |
Measurement Input, Per Loan Annual Cost to Service [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 68.63 | 66.62 |
Measurement Input, Per Loan Annual Cost to Service [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 64.78 | 63.38 |
Measurement Input, Per Loan Annual Cost to Service [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 79.87 | 78.04 |
Fair Value by Balance Sheet Gro
Fair Value by Balance Sheet Grouping (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Dec. 31, 2018 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 16,574,321 | $ 31,406,328 | ||||
Mortgage servicing rights, at fair value | 1,257,503 | $ 1,279,195 | 1,909,444 | $ 1,651,556 | $ 1,800,826 | $ 1,993,440 |
Cash and cash equivalents | 1,615,074 | 558,136 | ||||
Restricted cash | 596,951 | 1,058,690 | ||||
Derivative assets, at fair value | 97,889 | 188,051 | ||||
Reverse repurchase agreements | 82,410 | 220,000 | ||||
Other assets | 13,292 | 24,352 | ||||
Repurchase agreements | 16,376,696 | 29,147,463 | ||||
Federal Home Loan Bank advances | 0 | 210,000 | ||||
Revolving credit facilities | 274,830 | 300,000 | ||||
Term notes payable | 395,328 | 394,502 | ||||
Term notes payable, at fair value | 387,625 | 400,000 | ||||
Convertible senior notes | 285,843 | 284,954 | ||||
Convertible senior notes, at fair value | 287,394 | 299,147 | ||||
Derivative liabilities, at fair value | 3,551 | 6,740 | ||||
Maturity Over One Year [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Repurchase agreements | 0 | 0 | ||||
Revolving credit facilities | 214,830 | 300,000 | ||||
Federal Home Loan Bank of Des Moines [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Federal Home Loan Bank advances | $ 0 | $ 210,000 |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Disclosure of Repurchase Agreements [Abstract] | ||
Repurchase agreements | $ 16,376,696 | $ 29,147,463 |
Weighted average borrowing rate | 0.29% | 2.14% |
Weighted average remaining maturity | 83 days | 77 days |
Schedule of Repurchase Agreemen
Schedule of Repurchase Agreements by Term, Short or Long (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 16,376,696 | $ 29,147,463 |
Maturity up to One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 16,376,696 | 29,147,463 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Schedule of Repurchase Agreem_2
Schedule of Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 16,376,696 | $ 29,147,463 |
Weighted average borrowing rate | 0.29% | 2.14% |
US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 16,322,224 | $ 27,302,527 |
Weighted average borrowing rate | 0.28% | 2.08% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 2,371 | $ 1,531,607 |
Weighted average borrowing rate | 2.30% | 2.90% |
Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 52,101 | $ 50,714 |
Weighted average borrowing rate | 1.02% | 2.70% |
Mortgage Servicing Rights [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 262,615 |
Weighted average borrowing rate | 0.00% | 3.51% |
Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 3,790,989 | $ 5,305,916 |
Maturity up to 30 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 3,754,489 | 5,112,681 |
Maturity up to 30 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 193,235 |
Maturity up to 30 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 36,500 | 0 |
Maturity up to 30 days [Member] | Mortgage Servicing Rights [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 3,920,358 | 6,300,372 |
Maturity 30 to 59 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 3,903,905 | 6,074,151 |
Maturity 30 to 59 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,371 | 212,998 |
Maturity 30 to 59 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 14,082 | 13,223 |
Maturity 30 to 59 Days [Member] | Mortgage Servicing Rights [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 6,687,285 |
Maturity 60 to 89 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 6,355,887 |
Maturity 60 to 89 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 329,493 |
Maturity 60 to 89 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 1,905 |
Maturity 60 to 89 Days [Member] | Mortgage Servicing Rights [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 3,644,581 | 4,740,217 |
Maturity 90 to 119 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 3,644,581 | 4,227,589 |
Maturity 90 to 119 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 489,352 |
Maturity 90 to 119 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 23,276 |
Maturity 90 to 119 Days [Member] | Mortgage Servicing Rights [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 5,020,768 | 6,113,673 |
Maturity 120 to 364 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 5,019,249 | 5,532,219 |
Maturity 120 to 364 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 306,529 |
Maturity 120 to 364 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,519 | 12,310 |
Maturity 120 to 364 days [Member] | Mortgage Servicing Rights [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 262,615 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Schedule of Underlying Assets o
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 17,107,094 | $ 31,196,419 |
Available-for-sale Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 16,550,904 | 29,575,948 |
Mortgage Servicing Rights [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 0 | 530,222 |
Restricted Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 456,898 | 919,010 |
Due From Counterparties [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 32,507 | 102,365 |
Derivative Financial Instruments, Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 66,785 | $ 68,874 |
Repurchase Agreement Counterpar
Repurchase Agreement Counterparties with Whom Amount at Risk Exceeds 10 Percent of Stockholders' Equity (Details) | Sep. 30, 2020 |
Disclosure of Repurchase Agreements [Abstract] | |
Percent of equity of the amount at risk under repurchase agreements | 10.00% |
Federal Home Loan Bank of Des_3
Federal Home Loan Bank of Des Moines Advances (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank advances | $ 0 | $ 210,000 |
Maximum percent of FHLB advances to total assets | 40.00% | |
Federal Home Loan Bank of Des Moines [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank advances | $ 0 | $ 210,000 |
Weighted average borrowing rate | 0.00% | 2.00% |
Schedule of Maturities of Feder
Schedule of Maturities of Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $ 0 | $ 210,000 |
Maturity Within One Year [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 160,000 |
Maturity One to Three Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 0 |
Maturity Three to Five Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 0 |
Maturity Five to Ten Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 0 |
Maturity Over Ten Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $ 0 | $ 50,000 |
Underlying Assets of Federal Ho
Underlying Assets of Federal Home Loan Bank Advances (Details) - USD ($) $ in Millions | Sep. 30, 2020 | Dec. 31, 2019 |
Federal Home Loan Bank of Des Moines [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank stock | $ 10 | $ 12.5 |
Available-for-sale Securities [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Assets pledged as collateral for Federal Home Loan Bank advances | $ 226.5 |
Revolving Credit Facilities (De
Revolving Credit Facilities (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | $ 274,830 | $ 300,000 |
Weighted average borrowing rate | 2.94% | 4.26% |
Weighted average remaining maturity | 1 year 3 months 18 days | 1 year 2 months 12 days |
Schedule of Revolving Credit Fa
Schedule of Revolving Credit Facilities by Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | $ 274,830 | $ 300,000 |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | 1,000,000 | 1,600,000 |
Servicing advances pledged as collateral for borrowings | 11,100 | |
Maturity up to 30 days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 30 to 59 Days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 60 to 89 Days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 90 to 119 Days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 120 to 364 days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 60,000 | 0 |
Maturity Over One Year [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 214,830 | 300,000 |
Line of Credit [Member] | ||
Line of Credit Facility [Line Items] | ||
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 485,900 | $ 449,500 |
Term Notes Payable (Details)
Term Notes Payable (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2020 | Dec. 31, 2019 | |
Debt Instrument [Line Items] | ||
Term notes payable | $ 395,328 | $ 394,502 |
Weighted average interest rate | 2.95% | 4.59% |
Weighted average remaining maturities | 3 years 8 months 12 days | 4 years 6 months |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 1,000,000 | $ 1,600,000 |
Weighted average underlying loan coupon of mortgage servicing rights pledged as collateral for borrowings | 4.09% | 4.25% |
Term Notes Payable [Member] | ||
Debt Instrument [Line Items] | ||
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 539,200 | $ 575,100 |
Convertible Senior Notes (Detai
Convertible Senior Notes (Details) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2020USD ($) | Dec. 31, 2019USD ($) | Dec. 31, 2017USD ($) | |
Debt Instrument, Redemption [Line Items] | |||
Proceeds from convertible senior notes | $ 282,200 | ||
Convertible senior notes conversion ratio | 0.0632040 | 0.0631793 | |
Convertible senior notes | $ 285,843 | $ 284,954 | |
Convertible Debt [Member] | |||
Debt Instrument, Redemption [Line Items] | |||
Aggregate principal amount | $ 287,500 | ||
Convertible senior notes interest rate per annum | 6.25% |
Stockholders' Equity Redeemable
Stockholders' Equity Redeemable Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands | 9 Months Ended | |
Sep. 30, 2020 | Dec. 31, 2019 | |
Class of Stock [Line Items] | ||
Preferred shares outstanding (in shares) | 40,050,000 | 40,050,000 |
Preferred stock carrying value | $ 977,501 | |
Preferred stock liquidation preference per share (in usd per share) | $ 25 | |
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 |
Series A Preferred Stock [Member] | ||
Class of Stock [Line Items] | ||
Preferred shares outstanding (in shares) | 5,750,000 | |
Preferred stock carrying value | $ 138,872 | |
Preferred stock dividend rate | 8.125% | |
Preferred stock dividend variable rate spread | 5.66% | |
Series B Preferred Stock [Member] | ||
Class of Stock [Line Items] | ||
Preferred shares outstanding (in shares) | 11,500,000 | |
Preferred stock carrying value | $ 278,094 | |
Preferred stock dividend rate | 7.625% | |
Preferred stock dividend variable rate spread | 5.352% | |
Series C Preferred Stock [Member] | ||
Class of Stock [Line Items] | ||
Preferred shares outstanding (in shares) | 11,800,000 | |
Preferred stock carrying value | $ 285,585 | |
Preferred stock dividend rate | 7.25% | |
Preferred stock dividend variable rate spread | 5.011% | |
Series D Preferred Stock [Member] | ||
Class of Stock [Line Items] | ||
Preferred shares outstanding (in shares) | 3,000,000 | |
Preferred stock carrying value | $ 74,964 | |
Preferred stock dividend rate | 7.75% | |
Series E Preferred Stock [Member] | ||
Class of Stock [Line Items] | ||
Preferred shares outstanding (in shares) | 8,000,000 | |
Preferred stock carrying value | $ 199,986 | |
Preferred stock dividend rate | 7.50% |
Stockholders' Equity Schedule o
Stockholders' Equity Schedule of Preferred Dividends Declared (Details) - $ / shares | 3 Months Ended | ||||||
Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | |
Series A Preferred Stock [Member] | |||||||
Class of Stock [Line Items] | |||||||
Declaration Date | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | Dec. 17, 2019 | Sep. 19, 2019 | Jun. 19, 2019 | Mar. 19, 2019 |
Record Date | Oct. 12, 2020 | Jul. 10, 2020 | Apr. 16, 2020 | Jan. 10, 2020 | Oct. 11, 2019 | Jul. 12, 2019 | Apr. 12, 2019 |
Payment Date | Oct. 27, 2020 | Jul. 27, 2020 | Apr. 29, 2020 | Jan. 27, 2020 | Oct. 28, 2019 | Jul. 29, 2019 | Apr. 29, 2019 |
Dividends declared per preferred share (in usd per share) | $ 0.507810 | $ 0.507810 | $ 0.507810 | $ 0.507810 | $ 0.507810 | $ 0.507810 | $ 0.507810 |
Series B Preferred Stock [Member] | |||||||
Class of Stock [Line Items] | |||||||
Declaration Date | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | Dec. 17, 2019 | Sep. 19, 2019 | Jun. 19, 2019 | Mar. 19, 2019 |
Record Date | Oct. 12, 2020 | Jul. 10, 2020 | Apr. 16, 2020 | Jan. 10, 2020 | Oct. 11, 2019 | Jul. 12, 2019 | Apr. 12, 2019 |
Payment Date | Oct. 27, 2020 | Jul. 27, 2020 | Apr. 29, 2020 | Jan. 27, 2020 | Oct. 28, 2019 | Jul. 29, 2019 | Apr. 29, 2019 |
Dividends declared per preferred share (in usd per share) | $ 0.476560 | $ 0.476560 | $ 0.476560 | $ 0.476560 | $ 0.476560 | $ 0.476560 | $ 0.476560 |
Series C Preferred Stock [Member] | |||||||
Class of Stock [Line Items] | |||||||
Declaration Date | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | Dec. 17, 2019 | Sep. 19, 2019 | Jun. 19, 2019 | Mar. 19, 2019 |
Record Date | Oct. 12, 2020 | Jul. 10, 2020 | Apr. 16, 2020 | Jan. 10, 2020 | Oct. 11, 2019 | Jul. 12, 2019 | Apr. 12, 2019 |
Payment Date | Oct. 27, 2020 | Jul. 27, 2020 | Apr. 29, 2020 | Jan. 27, 2020 | Oct. 28, 2019 | Jul. 29, 2019 | Apr. 29, 2019 |
Dividends declared per preferred share (in usd per share) | $ 0.453130 | $ 0.453130 | $ 0.453130 | $ 0.453130 | $ 0.453130 | $ 0.453130 | $ 0.453130 |
Series D Preferred Stock [Member] | |||||||
Class of Stock [Line Items] | |||||||
Declaration Date | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | Dec. 17, 2019 | Sep. 19, 2019 | Jun. 19, 2019 | Mar. 19, 2019 |
Record Date | Oct. 1, 2020 | Jul. 1, 2020 | Apr. 16, 2020 | Jan. 1, 2020 | Oct. 1, 2019 | Jul. 1, 2019 | Apr. 1, 2019 |
Payment Date | Oct. 15, 2020 | Jul. 15, 2020 | Apr. 29, 2020 | Jan. 15, 2020 | Oct. 15, 2019 | Jul. 15, 2019 | Apr. 15, 2019 |
Dividends declared per preferred share (in usd per share) | $ 0.484375 | $ 0.484375 | $ 0.484375 | $ 0.484375 | $ 0.484375 | $ 0.484375 | $ 0.484375 |
Series E Preferred Stock [Member] | |||||||
Class of Stock [Line Items] | |||||||
Declaration Date | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | Dec. 17, 2019 | Sep. 19, 2019 | Jun. 19, 2019 | Mar. 19, 2019 |
Record Date | Oct. 1, 2020 | Jul. 1, 2020 | Apr. 16, 2020 | Jan. 1, 2020 | Oct. 1, 2019 | Jul. 1, 2019 | Apr. 1, 2019 |
Payment Date | Oct. 15, 2020 | Jul. 15, 2020 | Apr. 29, 2020 | Jan. 15, 2020 | Oct. 15, 2019 | Jul. 15, 2019 | Apr. 15, 2019 |
Dividends declared per preferred share (in usd per share) | $ 0.468750 | $ 0.468750 | $ 0.468750 | $ 0.468750 | $ 0.468750 | $ 0.468750 | $ 0.468750 |
Stockholders' Equity Public Off
Stockholders' Equity Public Offering (Details) - USD ($) $ / shares in Units, $ in Thousands | Mar. 22, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Mar. 21, 2019 |
Class of Stock [Line Items] | ||||
Proceeds from issuance of common stock, net of offering costs | $ 284,500 | $ 312 | $ 335,666 | |
Issuance costs incurred in common stock offering | $ 300 | |||
Common Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of stock issued during period (in shares) | 18,000,000 | 50,729 | 24,399,107 | |
Price per share of common stock issued during period (in usd per share) | $ 13.76 | |||
Over-Allotment Option [Member] | Common Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of stock issued during period (in shares) | 2,700,000 |
Stockholders' Equity Common Sto
Stockholders' Equity Common Stock Rollforward (Details) - shares | Mar. 22, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | Dec. 31, 2019 | Dec. 31, 2018 |
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||||||
Common shares outstanding at beginning of period (in shares) | 272,935,731 | ||||||
Number of shares of common stock repurchased during period (in shares) | 0 | (1,500) | (105,300) | (1,500) | |||
Common shares outstanding at end of period (in shares) | 273,694,411 | 273,694,411 | |||||
Number of nonvested restricted common shares outstanding (in shares) | 1,223,020 | 1,202,252 | 1,223,020 | 1,202,252 | 1,062,901 | 1,593,701 | |
Common Stock [Member] | |||||||
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||||||
Common shares outstanding at beginning of period (in shares) | 272,935,731 | 248,085,721 | |||||
Number of shares of stock issued during period (in shares) | 18,000,000 | 50,729 | 24,399,107 | ||||
Number of shares of restricted common stock issued during period (in shares) | 813,251 | 412,074 | |||||
Number of shares of common stock repurchased during period (in shares) | (105,300) | (1,500) | |||||
Common shares outstanding at end of period (in shares) | 273,694,411 | 272,895,402 | 273,694,411 | 272,895,402 |
Stockholders' Equity Schedule_2
Stockholders' Equity Schedule of Common Dividends Declared (Details) - $ / shares | Apr. 06, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Sep. 30, 2020 | Sep. 30, 2019 |
Class of Stock [Line Items] | ||||||||||
Dividends declared per common share (in usd per share) | $ 0.14 | $ 0.40 | $ 0.33 | $ 1.27 | ||||||
Common Stock [Member] | ||||||||||
Class of Stock [Line Items] | ||||||||||
Declaration Date | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | Dec. 17, 2019 | Sep. 19, 2019 | Jun. 19, 2019 | Mar. 19, 2019 | |||
Record Date | Oct. 1, 2020 | Jun. 30, 2020 | Apr. 16, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jul. 1, 2019 | Mar. 29, 2019 | |||
Payment Date | Oct. 29, 2020 | Jul. 29, 2020 | Apr. 29, 2020 | Jan. 24, 2020 | Oct. 28, 2019 | Jul. 29, 2019 | Apr. 29, 2019 | |||
Dividends declared per common share (in usd per share) | $ 0.05 | $ 0.140000 | $ 0.140000 | $ 0.050000 | $ 0.400000 | $ 0.400000 | $ 0.400000 | $ 0.470000 |
Stockholders' Equity Dividend R
Stockholders' Equity Dividend Reinvestment and Direct Stock Purchase Plan (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Equity [Abstract] | ||||
Number of common shares reserved for issuance under dividend reinvestment plan (in shares) | 3,750,000 | 3,750,000 | ||
Number of common shares issued from dividend reinvestment plan and outstanding as of period-end (in shares) | 320,717 | 320,717 | ||
Accumulated proceeds from issuance of common shares from dividend reinvestment plan | $ 5.3 | $ 5.3 | ||
Number of common shares issued during period from dividend reinvestment plan (in shares) | 13,968 | 8,651 | 50,729 | 33,807 |
Proceeds from issuance of common shares during period from dividend reinvestment plan | $ 0.1 | $ 0.1 | $ 0.3 | $ 0.5 |
Stockholders' Equity Share Repu
Stockholders' Equity Share Repurchase Program (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Equity [Abstract] | |||||
Number of shares authorized to be repurchased under stock repurchase program (in shares) | 37,500,000 | 37,500,000 | |||
Number of shares repurchased and retired to date (in shares) | 12,174,300 | 12,174,300 | |||
Cost of shares repurchased and retired to date | $ 201,500 | $ 201,500 | |||
Repurchase of common stock (in shares) | 0 | 1,500 | 105,300 | 1,500 | |
Repurchase of common stock | $ 0 | $ 1,064 | $ 19 | $ 1,100 | $ 19 |
Stockholders' Equity At-the-Mar
Stockholders' Equity At-the-Market Offering (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Subsidiary, Sale of Stock [Line Items] | ||||||||
Number of shares authorized to be sold under equity distribution agreement (in shares) | 35,000,000 | 35,000,000 | ||||||
Number of common shares issued under equity distribution agreement and outstanding as of period-end (in shares) | 7,490,235 | 7,490,235 | ||||||
Accumulated proceeds from issuance of common shares under equity distribution agreement | $ 128,600 | $ 128,600 | ||||||
Issuance of stock, net of offering costs | $ 75 | $ 95 | $ 142 | $ 217 | $ 171 | $ 335,278 | ||
At the Market Offering [Member] | ||||||||
Subsidiary, Sale of Stock [Line Items] | ||||||||
Number of shares of stock issued during period (in shares) | 0 | 0 | 0 | 3,665,300 | ||||
Issuance of stock, net of offering costs | $ 0 | $ 0 | $ 0 | $ 50,600 |
Stockholders' Equity Schedule_3
Stockholders' Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | Sep. 30, 2020 | Dec. 31, 2019 |
Equity [Abstract] | ||
Unrealized gains | $ 722,380 | $ 730,043 |
Unrealized losses | (2,040) | (40,643) |
Accumulated other comprehensive income | $ 720,340 | $ 689,400 |
Stockholders' Equity Reclassifi
Stockholders' Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Realized gains on sales of certain AFS securities, net of tax | $ 9,107 | $ (248,828) | $ 1,037,222 | $ (251,977) |
Amounts reclassified from accumulated other comprehensive income (loss) | 0 | (220,840) | 471,301 | (178,616) |
Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Other-than-temporary impairments on AFS securities | 0 | 5,950 | 0 | 11,004 |
Realized gains on sales of certain AFS securities, net of tax | $ 0 | $ (226,790) | $ (471,301) | $ (189,620) |
Equity Incentive Plan (Details)
Equity Incentive Plan (Details) - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Number of restricted common shares reserved for issuance under equity incentive plan (in shares) | 6,500,000 | 6,500,000 | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 855,712 | 515,282 | ||
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 13.16 | $ 14.28 | ||
Compensation costs related to restricted common stock | $ 2.9 | $ 2.2 | $ 7.5 | $ 6.5 |
Director [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 168,942 | 60,108 | ||
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 4.75 | $ 13.35 | ||
Award vesting period of restricted common shares granted during period under equity incentive plan | 1 year | |||
Key Employees [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 686,770 | 455,174 | ||
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 15.23 | $ 14.40 | ||
Award vesting period of restricted common shares granted during period under equity incentive plan | 3 years |
Equity Incentive Plan Schedule
Equity Incentive Plan Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity (Details) - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||||
Number of nonvested restricted common shares outstanding at beginning of period (in shares) | 1,062,901 | 1,593,701 | ||
Weighted average grant date fair value of nonvested restricted common shares outstanding at beginning of period (in usd per share) | $ 15.26 | $ 15.81 | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 855,712 | 515,282 | ||
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 13.16 | $ 14.28 | ||
Number of restricted common shares vested during period (in shares) | (653,132) | (803,523) | ||
Weighted average grant date fair value of restricted common shares vested during period (in usd per share) | $ (15.30) | $ (15.59) | ||
Number of restricted common shares forfeited during period (in shares) | (42,461) | (103,208) | ||
Weighted average grant date fair value of restricted common shares forfeited during period (in usd per share) | $ (14.58) | $ (15.52) | ||
Number of nonvested restricted common shares outstanding at end of period (in shares) | 1,223,020 | 1,202,252 | 1,223,020 | 1,202,252 |
Weighted average grant date fair value of nonvested restricted common shares outstanding at end of period (in usd per share) | $ 13.80 | $ 15.33 | $ 13.80 | $ 15.33 |
Compensation costs related to restricted common stock | $ 2.9 | $ 2.2 | $ 7.5 | $ 6.5 |
Restructuring Charges (Details)
Restructuring Charges (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 9 Months Ended | ||
Sep. 30, 2020USD ($)numberOfPositions | Sep. 30, 2019USD ($) | Jun. 30, 2020USD ($) | Sep. 30, 2020USD ($)numberOfPositions | Sep. 30, 2019USD ($) | |
Restructuring Cost and Reserve [Line Items] | |||||
Factor by which the average annual base management fee is multiplied for purposes of determining the management agreement termination fee | numberOfPositions | 3 | 3 | |||
Period over which the average annual base management fee is calculated for purposes of determining the management agreement termination fee | 24 months | ||||
Restructuring charges | $ (139,788) | $ 0 | $ 6,000 | $ 0 | |
Restructuring Reserve [Roll Forward] | |||||
Accrued restructuring costs at beginning of period | 142,317 | $ 0 | 0 | ||
Costs incurred and charged to expense | 0 | 145,788 | |||
Costs paid | (2,235) | (5,706) | |||
Non-cash adjustments | (139,788) | (139,788) | |||
Accrued restructuring costs at end of period | $ 294 | 142,317 | $ 294 | ||
Contract Termination [Member] | |||||
Restructuring Cost and Reserve [Line Items] | |||||
Restructuring charges | $ 139,800 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Income Tax Disclosure [Abstract] | ||||
Percent of REIT taxable income the entity intends to distribute | 100.00% | 100.00% | ||
Benefit from income taxes | $ (8,202) | $ (3,556) | $ (39,504) | $ (11,188) |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2020 | Sep. 30, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Earnings Per Share [Abstract] | ||||
Net income (loss) | $ 201,914 | $ 305,700 | $ (1,841,306) | $ 189,208 |
Dividends on preferred stock | 18,950 | 18,951 | 56,851 | 56,851 |
Net loss attributable to common stockholders | 182,964 | 286,749 | (1,898,157) | 132,357 |
Interest expense attributable to convertible notes | 4,812 | 4,779 | 0 | 0 |
Net income (loss) attributable to common stockholders - diluted | $ 187,776 | $ 291,528 | $ (1,898,157) | $ 132,357 |
Weighted average common shares outstanding (in shares) | 272,415,242 | 271,689,878 | 272,315,905 | 264,871,455 |
Weighted average restricted stock shares (in shares) | 1,290,543 | 1,207,697 | 1,252,093 | 1,243,317 |
Weighted average basic common shares outstanding (in shares) | 273,705,785 | 272,897,575 | 273,567,998 | 266,114,772 |
Effect of dilutive shares issued in an assumed conversion (in shares) | 18,171,150 | 18,156,143 | 0 | 0 |
Weighted average diluted common shares outstanding (in shares) | 291,876,935 | 291,053,718 | 273,567,998 | 266,114,772 |
Basic loss per weighted average common share (in usd per share) | $ 0.67 | $ 1.05 | $ (6.94) | $ 0.50 |
Diluted loss per weighted average common share (in usd per share) | $ 0.64 | $ 1 | $ (6.94) | $ 0.50 |
Interest expense attributable to antidilutive convertible notes excluded from computation of earnings per share | $ 14,300 | $ 14,200 | ||
Antidilutive convertible notes excluded from computation of earnings per share (in shares) | 18,171,150 | 18,116,911 |
Schedule of Related Party Trans
Schedule of Related Party Transactions, by Related Party (Details) - USD ($) $ in Thousands | 3 Months Ended | 7 Months Ended | 9 Months Ended | |||
Sep. 30, 2020 | Sep. 30, 2019 | Aug. 14, 2020 | Jul. 31, 2019 | Sep. 30, 2020 | Sep. 30, 2019 | |
Related Party Transaction [Line Items] | ||||||
Percent per annum of equity used to calculate management fees | 1.50% | |||||
Management fees | $ 5,759 | $ 16,839 | $ 31,738 | $ 42,556 | ||
Compensation costs related to restricted common stock | 2,900 | 2,200 | 7,500 | 6,500 | ||
PRCM Advisers LLC [Member] | ||||||
Related Party Transaction [Line Items] | ||||||
Percent per annum of additional equity used to calculate management fees | 0.75% | |||||
Management fees | 5,800 | 16,800 | 31,700 | 42,600 | ||
Direct and allocated costs incurred by manager | $ 3,200 | $ 4,800 | $ 19,300 | $ 23,000 |