Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2021 | Nov. 08, 2021 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2021 | |
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 | 2021 | |
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 | 1601 Utica Avenue South, Suite 900 | |
Entity Address, City or Town | St. Louis Park, | |
Entity Address, State or Province | MN | |
Entity Address, Postal Zip Code | 55416 | |
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 | 343,905,127 | |
Common Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | TWO | |
Security Exchange Name | NYSE | |
Series A Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 8.125% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | TWO PRA | |
Security Exchange Name | NYSE | |
Series B Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.625% Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | TWO PRB | |
Security Exchange Name | NYSE | |
Series C Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.25% Series C Cumulative Redeemable Preferred Stock | |
Trading Symbol | TWO PRC | |
Security Exchange Name | NYSE |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
ASSETS | |||
Available-for-sale securities, at fair value (amortized cost $6,369,038 and $14,043,175, respectively; allowance for credit losses $15,429 and $22,528, respectively) | $ 6,664,744 | $ 14,650,922 | |
Mortgage servicing rights, at fair value | 2,213,312 | 1,596,153 | |
Cash and cash equivalents | 1,076,216 | 1,384,764 | |
Restricted cash | 783,974 | 1,261,667 | |
Accrued interest receivable | 27,676 | 47,174 | |
Due from counterparties | 336,554 | 146,433 | |
Derivative assets, at fair value | 53,044 | 95,937 | |
Reverse repurchase agreements | 85,000 | 91,525 | |
Other assets | 244,028 | 241,346 | |
Total Assets | [1] | 11,484,548 | 19,515,921 |
Liabilities | |||
Repurchase agreements | 7,123,701 | 15,143,898 | |
Revolving credit facilities | 420,761 | 283,830 | |
Term notes payable | 396,479 | 395,609 | |
Convertible senior notes | 424,270 | 286,183 | |
Derivative liabilities, at fair value | 82,895 | 11,058 | |
Due to counterparties | 112,255 | 135,838 | |
Dividends payable | 67,311 | 65,480 | |
Accrued interest payable | 10,523 | 21,666 | |
Commitments and contingencies (see Note 15) | 0 | 0 | |
Other liabilities | 111,465 | 83,433 | |
Total Liabilities | [1] | 8,749,660 | 16,426,995 |
Stockholders' Equity | |||
Preferred stock, par value $0.01 per share; 100,000,000 shares authorized and 29,050,000 and 40,050,000 shares issued and outstanding, respectively ($726,250 and $1,001,250 liquidation preference, respectively) | 702,550 | 977,501 | |
Common stock, par value $0.01 per share; 700,000,000 shares authorized and 313,900,227 and 273,703,882 shares issued and outstanding, respectively | 3,139 | 2,737 | |
Additional paid-in capital | 5,429,155 | 5,163,794 | |
Accumulated other comprehensive income | 299,899 | 641,601 | |
Cumulative earnings | 1,214,277 | 1,025,756 | |
Cumulative distributions to stockholders | (4,914,132) | (4,722,463) | |
Total Stockholders’ Equity | 2,734,888 | 3,088,926 | |
Total Liabilities and Stockholders’ Equity | $ 11,484,548 | $ 19,515,921 | |
[1] | The condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities, or VIEs. At September 30, 2021 and December 31, 2020, assets of the VIEs totaled $435,434 and $496,810, and liabilities of the VIEs totaled $426,647 and $477,270, respectively. See Note 3 - Variable Interest Entities for additional information. |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Available-for-sale securities, amortized cost | $ 6,369,038 | $ 14,043,175 | |
Available-for-sale securities, allowance for credit losses | $ (15,429) | $ (22,528) | |
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 | |
Preferred shares authorized (in shares) | 100,000,000 | 50,000,000 | |
Preferred shares issued (in shares) | 40,050,000 | 40,050,000 | |
Preferred shares outstanding (in shares) | 29,050,000 | 40,050,000 | |
Preferred stock liquidation preference | $ 726,250 | $ 1,001,250 | |
Common stock par value per share (in usd per share) | $ 0.01 | $ 0.01 | |
Common shares authorized (in shares) | 700,000,000 | 450,000,000 | |
Common shares issued (in shares) | 313,900,227 | 273,703,882 | |
Common shares outstanding (in shares) | 313,900,227 | 273,703,882 | |
Assets of consolidated variable interest entities | [1] | $ 11,484,548 | $ 19,515,921 |
Liabilities of consolidated variable interest entities | [1] | 8,749,660 | 16,426,995 |
Variable Interest Entity, Primary Beneficiary [Member] | Total Assets | |||
Assets of consolidated variable interest entities | 435,434 | 496,810 | |
Variable Interest Entity, Primary Beneficiary [Member] | Total Liabilities | |||
Liabilities of consolidated variable interest entities | $ 426,647 | $ 477,270 | |
[1] | The condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities, or VIEs. At September 30, 2021 and December 31, 2020, assets of the VIEs totaled $435,434 and $496,810, and liabilities of the VIEs totaled $426,647 and $477,270, respectively. See Note 3 - Variable Interest Entities for additional information. |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Interest income: | ||||
Available-for-sale securities | $ 35,837 | $ 89,200 | $ 134,581 | $ 443,614 |
Other | 203 | 516 | 1,011 | 8,936 |
Total interest income | 36,040 | 89,716 | 135,592 | 452,550 |
Interest expense: | ||||
Repurchase agreements | 5,761 | 18,652 | 21,212 | 222,068 |
Revolving credit facilities | 5,605 | 2,391 | 17,375 | 8,748 |
Term notes payable | 3,249 | 3,321 | 9,685 | 11,678 |
Convertible senior notes | 7,267 | 4,821 | 20,743 | 14,366 |
Federal Home Loan Bank advances | 0 | 0 | 0 | 1,747 |
Total interest expense | 21,882 | 29,185 | 69,015 | 258,607 |
Net interest income | 14,158 | 60,531 | 66,577 | 193,943 |
Other income (loss): | ||||
Gain (loss) on investment securities | 28,642 | (9,107) | 119,991 | (1,037,222) |
Servicing income | 122,960 | 99,114 | 342,895 | 342,802 |
(Loss) gain on servicing asset | (42,500) | (112,763) | 16,887 | (938,219) |
(Loss) gain on interest rate swap and swaption agreements | (3,947) | 1,401 | 5,102 | (296,117) |
(Loss) gain on other derivative instruments | (15,019) | 65,596 | (239,718) | 8,734 |
Other income (loss) | 0 | 84 | (5,701) | 948 |
Total other income (loss) | 90,136 | 44,325 | 239,456 | (1,919,074) |
Expenses: | ||||
Management fees | 0 | 5,759 | 0 | 31,738 |
Servicing expenses | 21,041 | 26,197 | 64,668 | 70,049 |
Compensation and benefits | 9,198 | 10,099 | 28,645 | 26,503 |
Other operating expenses | 7,406 | 8,877 | 22,111 | 21,389 |
Restructuring charges | 0 | (139,788) | 0 | 6,000 |
Total expenses | 37,645 | (88,856) | 115,424 | 155,679 |
Income (loss) before income taxes | 66,649 | 193,712 | 190,609 | (1,880,810) |
Provision for (benefit from) income taxes | 325 | (8,202) | 2,088 | (39,504) |
Net income (loss) | 66,324 | 201,914 | 188,521 | (1,841,306) |
Dividends on preferred stock | 13,748 | 18,950 | 44,711 | 56,851 |
Net income (loss) attributable to common stockholders | $ 52,576 | $ 182,964 | $ 143,810 | $ (1,898,157) |
Basic earnings (loss) per weighted average common share | $ 0.17 | $ 0.67 | $ 0.50 | $ (6.94) |
Diluted earnings (loss) per weighted average common share | $ 0.17 | $ 0.64 | $ 0.49 | $ (6.94) |
Weighted average basic common shares (in shares) | 307,773,420 | 273,705,785 | 285,192,353 | 273,567,998 |
Weighted average diluted common shares (in shares) | 346,730,073 | 291,876,935 | 319,966,115 | 273,567,998 |
Comprehensive income (loss): | ||||
Net income (loss) | $ 66,324 | $ 201,914 | $ 188,521 | $ (1,841,306) |
Other comprehensive (loss) income, net of tax: | ||||
Unrealized (loss) gain on available-for-sale securities | (7,350) | 36,216 | (341,702) | 30,940 |
Other comprehensive (loss) income | (7,350) | 36,216 | (341,702) | 30,940 |
Comprehensive income (loss) | 58,974 | 238,130 | (153,181) | (1,810,366) |
Dividends on preferred stock | 13,748 | 18,950 | 44,711 | 56,851 |
Comprehensive income (loss) attributable to common stockholders | $ 45,226 | $ 219,180 | $ (197,892) | $ (1,867,217) |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Preferred Stock | Common Stock | Additional Paid-in Capital | Accumulated Other Comprehensive Income (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders |
Stockholders' equity at beginning of period at Dec. 31, 2019 | $ 4,970,466 | $ 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 | 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) |
Stockholders' equity at beginning of period at Dec. 31, 2020 | 3,088,926 | 977,501 | 2,737 | 5,163,794 | 641,601 | 1,025,756 | (4,722,463) |
Net income (loss) | 240,157 | 240,157 | |||||
Other comprehensive income (loss) before reclassifications, net of tax | (202,888) | (202,888) | |||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | (68,565) | (68,565) | |||||
Other comprehensive income (loss), net of tax | (271,453) | (271,453) | |||||
Redemption of preferred stock | (274,951) | (274,951) | |||||
Issuance of stock, net of offering costs | 99 | 0 | 99 | ||||
Preferred dividends declared | (17,216) | (17,216) | |||||
Common dividends declared | (46,636) | (46,636) | |||||
Non-cash equity award compensation | 1,790 | 0 | 1,790 | ||||
Stockholders' equity at end of period at Mar. 31, 2021 | 2,720,716 | 702,550 | 2,737 | 5,165,683 | 370,148 | 1,265,913 | (4,786,315) |
Stockholders' equity at beginning of period at Dec. 31, 2020 | 3,088,926 | 977,501 | 2,737 | 5,163,794 | 641,601 | 1,025,756 | (4,722,463) |
Other comprehensive income (loss), net of tax | (341,702) | ||||||
Repurchase of common stock | 0 | ||||||
Stockholders' equity at end of period at Sep. 30, 2021 | 2,734,888 | 702,550 | 3,139 | 5,429,155 | 299,899 | 1,214,277 | (4,914,132) |
Stockholders' equity at beginning of period at Mar. 31, 2021 | 2,720,716 | 702,550 | 2,737 | 5,165,683 | 370,148 | 1,265,913 | (4,786,315) |
Net income (loss) | (117,960) | (117,960) | |||||
Other comprehensive income (loss) before reclassifications, net of tax | (57,799) | (57,799) | |||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | (5,100) | (5,100) | |||||
Other comprehensive income (loss), net of tax | (62,899) | (62,899) | |||||
Issuance of stock, net of offering costs | 93 | 0 | 93 | ||||
Preferred dividends declared | (13,747) | (13,747) | |||||
Common dividends declared | (46,759) | (46,759) | |||||
Non-cash equity award compensation | 4,611 | 0 | 4,611 | ||||
Stockholders' equity at end of period at Jun. 30, 2021 | 2,484,055 | 702,550 | 2,737 | 5,170,387 | 307,249 | 1,147,953 | (4,846,821) |
Net income (loss) | 66,324 | 66,324 | |||||
Other comprehensive income (loss) before reclassifications, net of tax | 11,415 | 11,415 | |||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | (18,765) | (18,765) | |||||
Other comprehensive income (loss), net of tax | (7,350) | (7,350) | |||||
Issuance of stock, net of offering costs | 256,611 | 400 | 256,211 | ||||
Repurchase of common stock | 0 | ||||||
Preferred dividends declared | (13,748) | (13,748) | |||||
Common dividends declared | (53,563) | (53,563) | |||||
Non-cash equity award compensation | 2,559 | 2 | 2,557 | ||||
Stockholders' equity at end of period at Sep. 30, 2021 | $ 2,734,888 | $ 702,550 | $ 3,139 | $ 5,429,155 | $ 299,899 | $ 1,214,277 | $ (4,914,132) |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Cash Flows From Operating Activities: | ||
Net income (loss) | $ 188,521 | $ (1,841,306) |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||
Amortization of premiums and discounts on investment securities, net | 186,006 | 167,609 |
Amortization of deferred debt issuance costs on term notes payable and convertible senior notes | 2,145 | 1,715 |
Provision for credit losses on investment securities | 6,416 | 53,931 |
Realized and unrealized (gains) losses on investment securities | 126,407 | (983,291) |
(Gain) loss on servicing asset | (16,887) | 938,219 |
Realized and unrealized loss on interest rate swaps and swaptions | 3,387 | 227,989 |
Unrealized loss (gain) on other derivative instruments | 104,201 | (20,665) |
Equity based compensation | 8,960 | 7,487 |
Net change in assets and liabilities: | ||
Decrease in accrued interest receivable | 19,498 | 42,494 |
Decrease (increase) in deferred income taxes, net | 3,856 | (50,728) |
Decrease in accrued interest payable | (11,143) | (137,322) |
Change in other operating assets and liabilities, net | 11,494 | 5,696 |
Net cash provided by operating activities | 380,047 | 378,410 |
Cash Flows From Investing Activities: | ||
Purchases of available-for-sale securities | (157,102) | (6,433,637) |
Proceeds from sales of available-for-sale securities | 5,102,894 | 16,969,870 |
Principal payments on available-for-sale securities | 2,632,669 | 3,120,922 |
Purchases of trading securities | 0 | (1,052,500) |
Proceeds from sales of trading securities | 0 | 1,053,477 |
Purchases of mortgage servicing rights, net of purchase price adjustments | (632,626) | (284,456) |
(Payments for) proceeds from sales of mortgage servicing rights, net | 32,354 | (1,822) |
(Purchases) short sales of derivative instruments, net | (1,275) | (28,862) |
Proceeds from sales and settlement (payments for termination and settlement) of derivative instruments, net | 8,417 | (91,489) |
Payments for reverse repurchase agreements | (780,520) | (1,928,977) |
Proceeds from reverse repurchase agreements | 787,045 | 2,066,567 |
(Decrease) increase in due to counterparties, net | (213,704) | 49,897 |
Change in other investing assets and liabilities, net | 10,000 | 2,508 |
Net cash provided by investing activities | 6,788,152 | 13,441,498 |
Cash Flows From Financing Activities: | ||
Proceeds from repurchase agreements | 25,612,501 | 74,561,271 |
Principal payments on repurchase agreements | (33,632,698) | (87,332,038) |
Proceeds from revolving credit facilities | 296,500 | 143,000 |
Principal payments on revolving credit facilities | (159,569) | (168,170) |
Proceeds from convertible senior notes | 279,930 | 0 |
Repurchase of convertible senior notes | (143,118) | 0 |
Proceeds from Federal Home Loan Bank advances | 0 | 585,000 |
Principal payments on Federal Home Loan Bank advances | 0 | (795,000) |
Redemption of preferred stock | (274,951) | 0 |
Proceeds from issuance of common stock, net of offering costs | 256,803 | 312 |
Repurchase of common stock | 0 | (1,064) |
Dividends paid on preferred stock | (49,913) | (56,851) |
Dividends paid on common stock | (139,925) | (161,169) |
Net cash used in financing activities | (7,954,440) | (13,224,709) |
Net (decrease) increase in cash, cash equivalents and restricted cash | (786,241) | 595,199 |
Cash, cash equivalents and restricted cash at beginning of period | 2,646,431 | 1,616,826 |
Cash, cash equivalents and restricted cash at end of period | 1,860,190 | 2,212,025 |
Supplemental Disclosure of Cash Flow Information: | ||
Cash paid for interest | 72,023 | 392,276 |
Cash (received) paid for taxes, net | (22,239) | 9,535 |
Noncash Activities: | ||
Dividends declared but not paid at end of period | $ 67,311 | $ 57,268 |
Organization and Operations
Organization and Operations | 9 Months Ended |
Sep. 30, 2021 | |
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 is managed as a whole 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 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. 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. Late in the first quarter of 2020, the U.S. Federal Reserve, or the Fed, committed to unlimited purchases of Agency RMBS. The Fed’s actions were successful in helping to stabilize that market; however, the resulting historic spread tightening in the first half of 2021 made investments in Agency RMBS less attractive. As a result, the Company reduced its aggregate Agency RMBS/TBA position in the first half of 2021, although such position increased slightly in the third quarter. In the ordinary course of business, management makes investment decisions and allocates capital in accordance with its views on the changing risk/reward dynamics in the market and in the Company’s portfolio. Going forward, management expects the Company’s capital to be fully allocated to its strategy of pairing Agency RMBS and MSR. Through August 14, 2020, the Company was externally managed and advised by PRCM Advisers LLC, a subsidiary of Pine River Capital Management L.P., 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, 2021 | |
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, 2020. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2021 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2021 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, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the condensed 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 2020 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 financial condition and results of operations for the nine months ended September 30, 2021. Equity Incentive Plans The Company’s Second Restated 2009 Equity Incentive Plan, or the 2009 Plan, and the Company’s 2021 Equity Incentive Plan, or the 2021 Plan, or collectively, the Equity Incentive Plans, provide incentive compensation to attract and retain qualified directors, officers, personnel and other parties who may provide significant services to the Company. The Equity Incentive Plans are administered by the compensation committee of the Company’s board of directors. The Equity Incentive Plans permit the grants of restricted common stock, restricted stock units, or RSUs, performance-based awards (including performance share units, or PSUs), phantom shares, dividend equivalent rights and other equity-based awards. See Note 17 - Equity Incentive Plans for further details regarding the Equity Incentive Plans. Equity-based compensation costs are initially measured at the estimated fair value of the awards on the grant date. Valuation methods used and subsequent expense recognition is dependent upon each award’s service and performance conditions. The Company has elected not to estimate forfeitures when valuing equity-based awards and adjusts compensation costs as actual forfeitures occur. Compensation costs for equity-based awards subject only to service conditions are measured at the closing stock price on the grant date and are recognized as expense on a straight-line basis over the requisite service periods for the awards, adjusted for any forfeitures. Compensation costs for equity-based awards subject to market-based performance metrics are measured at the grant date using Monte Carlo simulations which incorporate assumptions for stock return volatility, dividend yield and risk-free interest rates. These initial valuation amounts are recognized as expense over the requisite performance periods, subject to adjustments only for actual forfeitures. Amortization of equity-based awards (non-cash equity compensation expense) is included within compensation and benefits on the condensed consolidated statements of comprehensive income (loss). Recently Issued and/or Adopted Accounting Standards Measurement of Credit Losses on Financial Instruments On January 1, 2020, the Company adopted 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 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 reversal of provision for 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. Any portion of the AFS securities that is deemed uncollectible results in a write-off of the uncollectible amortized cost with a corresponding reduction to the allowance for credit losses. Recoveries of amounts previously written off results in an increase to the allowance for credit losses. 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. Facilitation of the Effects of Reference Rate Reform on Financial Reporting In March 2020, the FASB issued ASU No. 2020-04 , which provides temporary optional expedients and exceptions on accounting for contract modifications and hedging relationships in anticipation of the replacement of the London Interbank Offered Rate, or LIBOR, with another reference rate. The guidance also provides a one-time election to sell held-to-maturity debt securities or to transfer such securities to the available-for-sale or trading category. The ASU was effective immediately for all entities and expires after December 31, 2022 . The Company’s adoption of this ASU did not have an impact on the Company’s financial condition, results of operations or financial statement disclosures. 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 early adoption of the ASU’s guidance results in the Company accounting for a convertible debt instrument without separately presenting in stockholders’ equity an embedded conversion feature. The Company accounts for a convertible debt instrument wholly as debt unless (1) a convertible instrument contains features that require bifurcation as a derivative under ASC 815, Derivatives and Hedging , or ASC 815, or (2) a convertible debt instrument was issued at a substantial premium. The Company’s early adoption of this ASU did 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, 2021 | |
Variable Interest Entities [Abstract] | |
Variable Interest Entities | Variable Interest Entities During the year ended December 31, 2019, the Company formed a trust entity, or the MSR Issuer Trust, for the purpose of financing MSR through securitization, pursuant to which, through two of the Company’s wholly owned subsidiaries, MSR is pledged to the MSR Issuer Trust and in return, the MSR Issuer Trust issues term notes to qualified institutional buyers and a variable funding note, or VFN, to one of the subsidiaries, in each case secured on a pari passu basis. In connection with the transaction, the Company also entered into a repurchase facility that is secured by the VFN issued in connection with the MSR securitization transaction, which is collateralized by the Company’s MSR. During the year ended December 31, 2020, the Company formed a trust entity, or the Servicing Advance Receivables Issuer Trust, for the purpose of financing servicing advances through a revolving credit facility, pursuant to which the Servicing Advance Receivables Issuer Trust issued a VFN backed by servicing advances pledged to the financing counterparty. Both the MSR Issuer Trust and the Servicing Advance Receivables Issuer Trust are considered VIEs for financial reporting purposes and, thus, were reviewed for consolidation under the applicable consolidation guidance. As the Company has both the power to direct the activities of the trusts 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 trusts. Additionally, in accordance with arrangements entered into in connection with the securitization transaction and the servicing advance revolving credit facility, the Company has direct financial obligations payable to both the MSR Issuer Trust and the Servicing Advance Receivables Issuer Trust, which, in turn, support the MSR Issuer Trust’s obligations to noteholders under the securitization transaction and the Servicing Advance Receivables Issuer Trust’s obligations to the financing counterparty. 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, 2021 and December 31, 2020: (in thousands) September 30, December 31, Note receivable (1) $ 396,479 $ 395,609 Restricted cash 10,840 72,530 Accrued interest receivable (1) 128 131 Other assets 27,987 28,540 Total Assets $ 435,434 $ 496,810 Term notes payable $ 396,479 $ 395,609 Revolving credit facilities 19,200 9,000 Accrued interest payable 180 156 Other liabilities 10,788 72,505 Total Liabilities $ 426,647 $ 477,270 ____________________ (1) Receivables due from a wholly owned subsidiary of the Company to the trusts 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, 2021 | |
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. The following table presents the Company’s AFS investment securities by collateral type as of September 30, 2021 and December 31, 2020: (in thousands) September 30, December 31, Agency: Federal National Mortgage Association $ 5,209,904 $ 11,486,658 Federal Home Loan Mortgage Corporation 1,237,751 2,837,103 Government National Mortgage Association 208,916 314,130 Non-Agency 8,173 13,031 Total available-for-sale securities $ 6,664,744 $ 14,650,922 At September 30, 2021 and December 31, 2020, the Company pledged AFS securities with a carrying value of $6.5 billion and $14.6 billion, respectively, as collateral for repurchase agreements. See Note 11 - Repurchase Agreements . At September 30, 2021 and December 31, 2020, 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, 2021 and December 31, 2020, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $8.2 million and $13.0 million, respectively. The following tables present the amortized cost and carrying value of AFS securities by collateral type as of September 30, 2021 and December 31, 2020: September 30, 2021 (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 $ 5,720,782 $ 247,747 $ (13) $ 5,968,516 $ — $ 285,088 $ (371) $ 6,253,233 Interest-only 3,931,227 387,003 — 387,003 (14,000) 39,515 (9,180) 403,338 Total Agency 9,652,009 634,750 (13) 6,355,519 (14,000) 324,603 (9,551) 6,656,571 Non-Agency 1,611,480 12,476 (28) 13,519 (1,429) 41 (3,958) 8,173 Total $ 11,263,489 $ 647,226 $ (41) $ 6,369,038 $ (15,429) $ 324,644 $ (13,509) $ 6,664,744 December 31, 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 $ 13,103,355 $ 605,253 $ (14) $ 13,708,594 $ — $ 629,079 $ (420) $ 14,337,253 Interest-only 3,649,556 315,876 — 315,876 (17,889) 15,680 (13,029) 300,638 Total Agency 16,752,911 921,129 (14) 14,024,470 (17,889) 644,759 (13,449) 14,637,891 Non-Agency 2,095,365 16,408 (36) 18,705 (4,639) 109 (1,144) 13,031 Total $ 18,848,276 $ 937,537 $ (50) $ 14,043,175 $ (22,528) $ 644,868 $ (14,593) $ 14,650,922 The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of September 30, 2021: September 30, 2021 (in thousands) Agency Non-Agency Total < 1 year $ 4,816 $ 8,173 $ 12,989 ≥ 1 and < 3 years 104,832 — 104,832 ≥ 3 and < 5 years 4,158,698 — 4,158,698 ≥ 5 and < 10 years 2,387,194 — 2,387,194 ≥ 10 years 1,031 — 1,031 Total $ 6,656,571 $ 8,173 $ 6,664,744 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, as detailed in Note 2 - Basis of Presentation and Significant Accounting Policies . The following tables present the changes for the three and nine months ended September 30, 2021 and 2020 in the allowance for credit losses on Agency and non-Agency AFS securities: Three Months Ended September 30, 2021 Nine Months Ended September 30, 2021 (in thousands) Agency Non-Agency Total Agency Non-Agency Total Allowance for credit losses at beginning of period $ (15,154) $ (2,611) $ (17,765) $ (17,889) $ (4,639) $ (22,528) Additions on securities for which credit losses were not previously recorded (26) — (26) (57) (3,850) (3,907) Decrease (increase) on securities with previously recorded credit losses (1,156) 1,023 (133) (3,293) 784 (2,509) Write-offs 2,336 159 2,495 7,239 6,276 13,515 Allowance for credit losses at end of period $ (14,000) $ (1,429) $ (15,429) $ (14,000) $ (1,429) $ (15,429) Three Months Ended September 30, 2020 Nine Months Ended September 30, 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) Reductions for securities sold — — — — 246,792 246,792 Decrease (increase) on securities with previously recorded credit losses (558) (6,456) (7,014) 1,604 (11,249) (9,645) Write-offs 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 tables present 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, 2021 and December 31, 2020 (subsequent to the adoption of Topic 326). At September 30, 2021 and December 31, 2020, the Company held 771 and 823 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 26 and 13 were in an unrealized loss position for less than twelve consecutive months and 0 and 13 were in an unrealized loss position for more than twelve consecutive months, respectively. September 30, 2021 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 $ 29,995 $ (4,222) $ — $ — $ 29,995 $ (4,222) Non-Agency 4,542 (611) — — 4,542 (611) Total $ 34,537 $ (4,833) $ — $ — $ 34,537 $ (4,833) December 31, 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 $ 367,660 $ (1,705) $ 24,006 $ (4,454) $ 391,666 $ (6,159) Non-Agency — — — — — — Total $ 367,660 $ (1,705) $ 24,006 $ (4,454) $ 391,666 $ (6,159) 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 (loss) income, net of tax, or gain (loss) 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. 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. As of December 31, 2019, the Company’s cumulative credit losses related to OTTI totaled $17.0 million. During the three months ended March 31, 2020, the Company sold all securities for which OTTI had been recognized prior to January 1, 2020, reducing the Company’s cumulative credit losses related to OTTI to zero. Gross Realized Gains and Losses Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within gain (loss) 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, 2021 and 2020: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2021 2020 2021 2020 Proceeds from sales of available-for-sale securities $ 502,349 $ — $ 5,102,894 $ 16,969,870 Amortized cost of available-for-sale securities sold (481,751) — (4,998,583) (17,947,686) Total realized gains (losses) on sales, net $ 20,598 $ — $ 104,311 $ (977,816) Gross realized gains $ 20,598 $ — $ 133,583 $ 280,885 Gross realized losses — — (29,272) (1,258,701) Total realized gains (losses) on sales, net $ 20,598 $ — $ 104,311 $ (977,816) |
Servicing Activities
Servicing Activities | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 and 2020. Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2021 2020 2021 2020 Balance at beginning of period $ 2,020,106 $ 1,279,195 $ 1,596,153 $ 1,909,444 Purchases of mortgage servicing rights 282,719 88,706 656,468 294,040 Sales of mortgage servicing rights (43,411) — (43,411) 1,814 Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (1) 112,871 41,429 541,654 (570,347) Other changes in fair value (2) (144,314) (154,184) (513,710) (367,864) Other changes (3) (14,659) 2,357 (23,842) (9,584) Balance at end of period (4) $ 2,213,312 $ 1,257,503 $ 2,213,312 $ 1,257,503 ____________________ (1) Includes the impact of acquiring MSR at a cost different from fair value. (2) Primarily represents changes due to the realization of expected cash flows. (3) Includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. (4) 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, 2021 and December 31, 2020, the Company pledged MSR with a carrying value of $2.1 billion and $1.1 billion, respectively, as collateral for repurchase agreements, revolving credit facilities and term notes payable. See Note 11 - Repurchase Agreements , Note 12 - Revolving Credit Facilities and Note 13 - Term Notes Payable . As of September 30, 2021 and December 31, 2020, 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: 13.1 % 19.4 % Impact on fair value of 10% adverse change $ (116,251) $ (121,973) Impact on fair value of 20% adverse change $ (221,449) $ (229,676) Weighted average delinquency: 1.3 % 2.2 % Impact on fair value of 10% adverse change $ (3,239) $ (2,038) Impact on fair value of 20% adverse change $ (5,179) $ (4,161) Weighted average option-adjusted spread: 4.7 % 4.8 % Impact on fair value of 10% adverse change $ (42,532) $ (28,678) Impact on fair value of 20% adverse change $ (83,634) $ (56,211) Weighted average per loan annual cost to service: $ 66.69 $ 68.27 Impact on fair value of 10% adverse change $ (26,080) $ (21,708) Impact on fair value of 20% adverse change $ (52,389) $ (43,527) 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, 2021 and 2020: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2021 2020 2021 2020 Servicing fee income $ 121,221 $ 96,332 $ 337,469 $ 318,686 Ancillary and other fee income 650 391 1,888 1,388 Float income 1,089 2,391 3,538 22,728 Total $ 122,960 $ 99,114 $ 342,895 $ 342,802 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 $100.2 million and $80.9 million and were included in other assets on the condensed consolidated balance sheets as of September 30, 2021 and December 31, 2020, respectively. At September 30, 2021 and December 31, 2020, mortgage loans in 60+ day delinquent status (whether or not subject to forbearance) accounted for approximately 1.7% and 2.9%, respectively, of the aggregate principal balance of loans for which the Company had servicing advance funding obligations. During the year ended December 31, 2020, the Company entered into a new revolving credit facility to finance its servicing advance obligations. At September 30, 2021 and December 31, 2020, the Company had pledged servicing advances with a carrying value of $28.0 million and $28.5 million, respectively, as collateral for this revolving credit facility. See Note 12 - Revolving Credit Facilities . Serviced Mortgage Assets The Company’s total serviced mortgage assets consist of residential mortgage loans underlying its MSR assets, 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, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Mortgage servicing rights 801,239 $ 194,393,942 781,905 $ 177,861,483 Residential mortgage loans 982 589,465 1,674 1,067,500 Other assets 2 43 — — Total serviced mortgage assets 802,223 $ 194,983,450 783,579 $ 178,928,983 |
Cash, Cash Equivalents and Rest
Cash, Cash Equivalents and Restricted Cash | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 and December 31, 2020: (in thousands) September 30, December 31, Restricted cash balances held by trading counterparties: For securities trading activity $ 23,800 $ 44,800 For derivatives trading activity 249,028 70,600 For servicing activities 13,651 19,768 As restricted collateral for borrowings 497,435 1,126,439 Total restricted cash balances held by trading counterparties 783,914 1,261,607 Restricted cash balance pursuant to letter of credit on office lease 60 60 Total $ 783,974 $ 1,261,667 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, 2021 and December 31, 2020 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 $ 1,076,216 $ 1,384,764 Restricted cash 783,974 1,261,667 Total cash, cash equivalents and restricted cash $ 1,860,190 $ 2,646,431 |
Derivative Instruments and Hedg
Derivative Instruments and Hedging Activities | 9 Months Ended |
Sep. 30, 2021 | |
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 overnight index swap, or 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 TBAs, put and call options for TBAs, interest rate swap and swaption agreements and U.S. Treasury and Eurodollar futures. The Company has also entered into a number of non-derivative instruments to manage interest rate risk, principally MSR and 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, 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, 2021 and December 31, 2020: September 30, 2021 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 45,724 $ 263,014 $ — $ — Interest rate swap agreements — — — 17,036,595 Swaptions, net 760 (114,000) (6,441) (827,000) TBAs 2,556 1,478,000 (48,701) 7,264,000 Put and call options for TBAs, net 4,004 1,000,000 — — U.S. Treasury and Eurodollar futures, net — — (27,753) (5,913,100) Total $ 53,044 $ 2,627,014 $ (82,895) $ 17,560,495 December 31, 2020 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 62,200 $ 318,162 $ — $ — Interest rate swap agreements — — — 12,646,341 Swaptions, net — — (596) 3,750,000 TBAs 30,062 7,700,000 (10,462) (2,503,000) U.S. Treasury futures, net 3,675 2,021,100 — — Total $ 95,937 $ 10,039,262 $ (11,058) $ 13,893,341 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 Amount of Gain (Loss) Recognized in Income Three Months Ended Nine Months Ended (in thousands) September 30, September 30, 2021 2020 2021 2020 Interest rate risk management: TBAs (Loss) gain on other derivative instruments $ (17,125) $ 60,993 $ (173,254) $ (29,385) U.S. Treasury and Eurodollar futures (Loss) gain on other derivative instruments 3,026 4,448 (63,851) 26,956 Put and call options for TBAs (Loss) gain on other derivative instruments — — — — Interest rate swaps - Payers (Loss) gain on interest rate swap and swaption agreements 7,019 8,269 64,313 (1,151,119) Interest rate swaps - Receivers (Loss) gain on interest rate swap and swaption agreements (15,316) (7,879) (67,460) 904,492 Swaptions (Loss) gain on interest rate swap and swaption agreements 4,350 1,011 8,249 (49,490) Markit IOS total return swaps (Loss) gain on other derivative instruments — — — (2,430) Non-risk management: Inverse interest-only securities (Loss) gain on other derivative instruments (920) 155 (2,613) 13,593 Total $ (18,966) $ 66,997 $ (234,616) $ (287,383) For the three and nine months ended September 30, 2021, the Company recognized income of $4.4 million and $8.5 million, respectively, for the accrual and/or settlement of the net interest expense associated with its interest rate swaps. 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 $15.9 billion and $14.9 billion notional, respectively. 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. The expense 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 $7.6 billion and $32.0 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, 2021 and 2020: Three Months Ended September 30, 2021 (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 $ 281,473 $ — $ (18,459) $ 263,014 $ 272,815 $ (323) Interest rate swap agreements 15,646,953 1,909,792 (520,150) 17,036,595 15,906,528 5,220 Swaptions, net (201,000) (740,000) — (941,000) (209,043) — TBAs, net 6,854,000 27,671,000 (25,783,000) 8,742,000 7,934,239 32,588 Put and call options for TBAs, net — 1,000,000 — 1,000,000 10,869 — U.S. Treasury and Eurodollar futures 513,500 (1,688,300) (4,738,300) (5,913,100) (2,777,793) 28,354 Total $ 23,094,926 $ 28,152,492 $ (31,059,909) $ 20,187,509 $ 21,137,615 $ 65,839 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 and Eurodollar 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 Nine Months Ended September 30, 2021 (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 $ 318,162 $ — $ (55,148) $ 263,014 $ 291,597 $ (286) Interest rate swap agreements 12,646,341 6,102,655 (1,712,401) 17,036,595 14,869,384 5,267 Swaptions, net 3,750,000 (941,000) (3,750,000) (941,000) 13,802 2,245 TBAs, net 5,197,000 69,385,000 (65,840,000) 8,742,000 6,506,407 (107,509) Put and call options for TBAs, net — 1,000,000 — 1,000,000 3,663 — U.S. Treasury and Eurodollar futures 2,021,100 6,234,500 (14,168,700) (5,913,100) (844,586) (32,368) Total $ 23,932,603 $ 81,781,155 $ (85,526,249) $ 20,187,509 $ 20,840,267 $ (132,651) 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 and Eurodollar 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) ____________________ (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 and swaptions and unrealized loss (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 (decrease) increase 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 interest rates decline or increase, depending on the type of investment. Rising interest 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, 2021 and December 31, 2020, the Company had $365.2 million and $245.9 million, respectively, of interest-only securities, and $2.2 billion and $1.6 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 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, put and call options for TBAs, interest rate swap and swaption agreements and U.S. Treasury and Eurodollar futures. TBAs. 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, 2021 and December 31, 2020: September 30, 2021 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 8,842,000 $ 9,126,540 $ 9,080,544 $ 2,556 $ (48,552) Sale contracts (100,000) (107,031) (107,180) — (149) TBAs, net $ 8,742,000 $ 9,019,509 $ 8,973,364 $ 2,556 $ (48,701) December 31, 2020 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 7,700,000 $ 8,102,344 $ 8,132,406 $ 30,062 $ — Sale contracts (2,503,000) (2,640,465) (2,650,927) — (10,462) TBAs, net $ 5,197,000 $ 5,461,879 $ 5,481,479 $ 30,062 $ (10,462) ___________________ (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. Put and Call Options for TBAs . The Company may use put and call options for TBAs independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of September 30, 2021, the Company had purchased put options for TBAs with a notional amount of $1.0 billion. The put options had a fair market value of $4.0 million included in derivative assets, at fair value, on the condensed consolidated balance sheet as of September 30, 2021. The Company did not hold any put and call options for TBAs as of December 31, 2020. U.S. Treasury and Eurodollar Futures. The Company may use U.S. Treasury and Eurodollar futures independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. The Company had a net short position in U.S. Treasury and Eurodollar futures with a notional amount of $5.9 billion and a fair market value of $27.8 million included in derivative liabilities, at fair value, on the condensed consolidated balance sheet as of September 30, 2021. The Company had a net long position in U.S. Treasury futures with a notional amount of $2.0 billion and a fair market value of $3.7 million included in derivative assets, at fair value, on the condensed consolidated balance sheet as of December 31, 2020. 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, 2021 and December 31, 2020, 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, 2021 Swaps Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2021 $ — — % — % 0.00 2022 7,415,818 0.042 % 0.060 % 0.91 2023 2,582,084 0.011 % 0.059 % 1.76 2024 — — % — % 0.00 2025 and Thereafter 2,256,607 0.474 % 0.058 % 6.05 Total $ 12,254,509 0.137 % 0.059 % 2.04 (notional in thousands) December 31, 2020 Swaps Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2021 $ — — % — % 0.00 2022 7,415,818 0.042 % 0.090 % 1.66 2023 2,281,500 0.023 % 0.090 % 2.48 2024 — — % — % 0.00 2025 and Thereafter 1,497,500 0.257 % 0.090 % 6.49 Total $ 11,194,818 0.067 % 0.090 % 2.47 Additionally, as of September 30, 2021 and December 31, 2020, 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, 2021 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2021 $ — — % — % 0.00 2022 — — % — % 0.00 2023 2,221,658 0.060 % 0.118 % 1.44 2024 — — % — % 0.00 2025 and Thereafter 2,560,428 0.059 % 0.812 % 9.22 Total $ 4,782,086 0.059 % 0.489 % 5.61 (notional in thousands) December 31, 2020 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2021 $ — — % — % 0.00 2022 — — % — % 0.00 2023 — — % — % 0.00 2024 — — % — % 0.00 2025 and Thereafter 1,451,523 0.090 % 0.468 % 9.49 Total $ 1,451,523 0.090 % 0.468 % 9.49 Interest Rate Swaptions . The Company may use interest rate swaptions (which provide the option to enter into interest rate swap agreements for a predetermined notional amount, stated term and pay and receive interest rates in the future) independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of September 30, 2021 and December 31, 2020, the Company had the following outstanding interest rate swaptions: September 30, 2021 (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 $ 11,314 $ 6,715 8.30 $ 886,000 2.26 % 3M LIBOR 10.0 Sale contracts: Payer < 6 Months $ (4,144) $ (4,096) 2.20 $ (740,000) 1.77 % 3M LIBOR 10.0 Receiver ≥ 6 Months $ (10,640) $ (8,300) 8.10 $ (1,087,000) 3M LIBOR 1.26 % 10.0 December 31, 2020 (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 $ 7,210 $ 2,448 4.23 $ 2,800,000 1.32 % 3M LIBOR 10.0 Receiver < 6 Months $ 3,010 $ — 0.97 $ 2,000,000 3M LIBOR 0.23 % 10.0 Sale contracts: Receiver < 6 Months $ (2,600) $ (3,044) 5.13 $ (1,050,000) 3M LIBOR 0.55 % 10.0 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. 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. |
Reverse Repurchase Agreements
Reverse Repurchase Agreements | 9 Months Ended |
Sep. 30, 2021 | |
Reverse Repurchase Agreements [Abstract] | |
Reverse Repurchase Agreements | Reverse Repurchase AgreementsAs of September 30, 2021 and December 31, 2020, the Company had $52.0 million and $89.5 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 $85.0 million and $91.5 million, respectively. |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 and December 31, 2020: September 30, 2021 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 $ 144,956 $ (91,912) $ 53,044 $ (53,044) $ — $ — Reverse repurchase agreements 85,000 — 85,000 — (51,959) 33,041 Total Assets $ 229,956 $ (91,912) $ 138,044 $ (53,044) $ (51,959) $ 33,041 Liabilities Repurchase agreements $ (7,123,701) $ — $ (7,123,701) $ 7,123,701 $ — $ — Derivative liabilities (174,807) 91,912 (82,895) 53,044 — (29,851) Total Liabilities $ (7,298,508) $ 91,912 $ (7,206,596) $ 7,176,745 $ — $ (29,851) December 31, 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 $ 124,023 $ (28,086) $ 95,937 $ (11,058) $ — $ 84,879 Reverse repurchase agreements 91,525 — 91,525 — (89,469) 2,056 Total Assets $ 215,548 $ (28,086) $ 187,462 $ (11,058) $ (89,469) $ 86,935 Liabilities Repurchase agreements $ (15,143,898) $ — $ (15,143,898) $ 15,143,898 $ — $ — Derivative liabilities (39,144) 28,086 (11,058) 11,058 — — Total Liabilities $ (15,183,042) $ 28,086 $ (15,154,956) $ 15,154,956 $ — $ — ____________________ (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, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Fair Value Fair Value Measurements 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 99.9% and 0.1% of its AFS securities as Level 2 and Level 3 fair value assets, respectively, at September 30, 2021. AFS securities account for 74.6% of all assets reported at fair value at September 30, 2021. 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; option-adjusted spread, or OAS, which represents the incremental spread added to the risk-free rate to reflect the effects of any embedded options and other risk inherent in MSR; 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, 2021. 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, 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, swaptions and put and call options for TBAs reported at fair value as Level 2 at September 30, 2021. The Company did not hold any Markit IOS total return swaps at September 30, 2021. The Company may also enter into certain other derivative financial instruments, such as TBAs, short U.S. Treasuries, U.S. Treasury and Eurodollar 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 and Eurodollar 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, 2021. The Company reported 100% of its TBAs and U.S. Treasury and Eurodollar futures as Level 1 as of September 30, 2021. The Company did not hold any short U.S. Treasuries at September 30, 2021. 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, 2021 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 6,656,571 $ 8,173 $ 6,664,744 Mortgage servicing rights — — 2,213,312 2,213,312 Derivative assets 2,556 50,488 — 53,044 Total assets $ 2,556 $ 6,707,059 $ 2,221,485 $ 8,931,100 Liabilities: Derivative liabilities $ 76,454 $ 6,441 $ — $ 82,895 Total liabilities $ 76,454 $ 6,441 $ — $ 82,895 Recurring Fair Value Measurements December 31, 2020 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 14,637,891 $ 13,031 $ 14,650,922 Mortgage servicing rights — — 1,596,153 1,596,153 Derivative assets 33,737 62,200 — 95,937 Total assets $ 33,737 $ 14,700,091 $ 1,609,184 $ 16,343,012 Liabilities: Derivative liabilities $ 10,462 $ 596 $ — $ 11,058 Total liabilities $ 10,462 $ 596 $ — $ 11,058 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, 2021, 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 swap and swaption agreements, put and call options for TBAs and U.S. Treasuries, U.S. Treasury and Eurodollar futures and Markit IOS total return swaps, are valued by the Company using observable inputs, specifically quotations received from third-party brokers. The following table presents 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, 2021 September 30, 2021 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Available-For-Sale Securities Mortgage Servicing Rights Beginning of period level 3 fair value $ 5,559 $ 2,020,106 $ 13,031 $ 1,596,153 Gains (losses) included in net income (loss): Realized (939) (155,371) (7,931) (524,767) Unrealized (22) (1) 112,871 (2) (22) (1) 541,654 (2) Reversal of provision for credit losses 1,340 — 9,138 — Net gains (losses) included in net income (loss) 379 (42,500) 1,185 16,887 Other comprehensive (loss) income (2,124) — (8,825) — Purchases 4,358 282,719 4,358 656,468 Sales — (32,354) (1,577) (32,354) Settlements — (14,659) — (23,842) Gross transfers into level 3 — — — — Gross transfers out of level 3 — — — — End of period level 3 fair value $ 8,172 $ 2,213,312 $ 8,172 $ 2,213,312 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ (22) (3) $ 109,640 (4) $ (22) (3) $ 464,180 (4) 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 $ (2,124) $ — $ (8,826) $ — ____________________ (1) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option was recorded in gain (loss) on investment securities on the condensed consolidated statements of comprehensive income (loss). (2) The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income (loss). (3) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option that were held at the end of the reporting period was recorded in gain (loss) on investment securities on the condensed consolidated statements of comprehensive income (loss). (4) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income (loss). No AFS securities transfers between Level 1, Level 2 or Level 3 were made during the nine months ended September 30, 2021. 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, 2021 and December 31, 2020: September 30, 2021 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 10.4% - 17.8% 13.1% Delinquency 0.8% - 2.0% 1.3% Option-adjusted spread 4.6% - 9.2% 4.7% Per loan annual cost to service $66.24 - $83.77 $66.69 December 31, 2020 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 14.1% - 23.5% 19.4% Delinquency 1.5% - 2.6% 2.2% Option-adjusted spread 4.7% - 9.7% 4.8% Per loan annual cost to service $64.56 - $79.43 $68.27 ___________________ (1) 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 and revolving credit facilities that mature in less than one year generally approximates fair value due to the short maturities. As of September 30, 2021, the Company had outstanding borrowings of $146.3 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, 2021. 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, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets: Available-for-sale securities $ 6,664,744 $ 6,664,744 $ 14,650,922 $ 14,650,922 Mortgage servicing rights $ 2,213,312 $ 2,213,312 $ 1,596,153 $ 1,596,153 Cash and cash equivalents $ 1,076,216 $ 1,076,216 $ 1,384,764 $ 1,384,764 Restricted cash $ 783,974 $ 783,974 $ 1,261,667 $ 1,261,667 Derivative assets $ 53,044 $ 53,044 $ 95,937 $ 95,937 Reverse repurchase agreements $ 85,000 $ 85,000 $ 91,525 $ 91,525 Other assets $ 3,335 $ 3,335 $ 13,292 $ 13,292 Liabilities: Repurchase agreements $ 7,123,701 $ 7,123,701 $ 15,143,898 $ 15,143,898 Revolving credit facilities $ 420,761 $ 420,761 $ 283,830 $ 283,830 Term notes payable $ 396,479 $ 396,595 $ 395,609 $ 380,000 Convertible senior notes $ 424,270 $ 442,324 $ 286,183 $ 291,376 Derivative liabilities $ 82,895 $ 82,895 $ 11,058 $ 11,058 |
Repurchase Agreements
Repurchase Agreements | 9 Months Ended |
Sep. 30, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Repurchase Agreements As of September 30, 2021 and December 31, 2020, the Company had outstanding $7.1 billion and $15.1 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 0.25% and 0.28% and weighted average remaining maturities of 111 and 58 days as of September 30, 2021 and December 31, 2020, respectively. At September 30, 2021 and December 31, 2020, the repurchase agreement balances were as follows: (in thousands) September 30, December 31, Short-term $ 7,123,701 $ 15,143,898 Long-term — — Total $ 7,123,701 $ 15,143,898 At September 30, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities: September 30, 2021 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 1,712,411 $ 524 $ 24,120 $ — $ 1,737,055 30 to 59 days 61,442 — 18,451 — 79,893 60 to 89 days — — — — — 90 to 119 days 1,310,649 — — — 1,310,649 120 to 364 days 3,869,731 205 1,168 125,000 3,996,104 Total $ 6,954,233 $ 729 $ 43,739 $ 125,000 $ 7,123,701 Weighted average borrowing rate 0.18 % 1.82 % 0.71 % 4.00 % 0.25 % December 31, 2020 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 5,330,627 $ 1,271 $ 38,608 $ — $ 5,370,506 30 to 59 days 4,292,861 — — — 4,292,861 60 to 89 days 2,060,087 628 1,519 — 2,062,234 90 to 119 days 1,598,052 — 12,146 — 1,610,198 120 to 364 days 1,808,099 — — — 1,808,099 Total $ 15,089,726 $ 1,899 $ 52,273 $ — $ 15,143,898 Weighted average borrowing rate 0.28 % 2.33 % 0.89 % — % 0.28 % 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 $ 6,471,617 $ 14,633,217 Mortgage servicing rights, at fair value (1) 735,837 — Restricted cash 497,235 1,071,239 Due from counterparties 285,865 21,312 Derivative assets, at fair value 43,783 61,557 Total $ 8,034,337 $ 15,787,325 ____________________ (1) MSR repurchase agreements are secured by the VFN issued in connection with the 2019 MSR securitization transaction, which is collateralized by the Company’s MSR. 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. The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at September 30, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 (dollars in thousands) Amount Outstanding Net Counterparty Exposure (1) Percent of Equity Weighted Average Days to Maturity Amount Outstanding Net Counterparty Exposure (1) Percent of Equity Weighted Average Days to Maturity Credit Suisse $ 125,000 $ 328,262 12 % 182 $ — $ — — % 0 All other counterparties (2) 6,998,701 319,409 12 % 110 15,143,898 527,045 17 % 58 Total $ 7,123,701 $ 647,671 $ 15,143,898 $ 527,045 ____________________ (1) Represents the net carrying value of the 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. (2) Represents amounts outstanding with 16 and 20 counterparties at September 30, 2021 and December 31, 2020, respectively. 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. |
Revolving Credit Facilities
Revolving Credit Facilities | 9 Months Ended |
Sep. 30, 2021 | |
Revolving Credit Facilities [Abstract] | |
Revolving Credit Facilities | Revolving Credit Facilities To 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, 2021 and December 31, 2020, the Company had outstanding short- and long-term borrowings under revolving credit facilities of $420.8 million and $283.8 million with a weighted average borrowing rate of 3.42% and 2.95% and weighted average remaining maturities of 1.5 and 1.1 years, respectively. At September 30, 2021 and December 31, 2020, 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 274,511 60,000 One year and over 146,250 223,830 Total $ 420,761 $ 283,830 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, 2021 and December 31, 2020, MSR with a carrying value of $822.0 million and $608.8 million, respectively, was pledged as collateral for the Company’s future payment obligations under its MSR revolving credit facilities. As of September 30, 2021 and December 31, 2020, servicing advances with a carrying value of $28.0 million and $28.5 million, were pledged as collateral for the Company’s future payment obligations under its servicing advance revolving credit facility, respectively. 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, 2021 | |
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, which was $400.0 million as of both September 30, 2021 and December 31, 2020, net of any unamortized deferred debt issuance costs, on the Company’s condensed consolidated balance sheets. As of September 30, 2021 and December 31, 2020, the outstanding amount due on term notes payable was $396.5 million and $395.6 million, net of deferred debt issuance costs, with a weighted average interest rate of 2.89% and 2.95% and weighted average remaining maturities of 2.7 years and 3.5 years. At September 30, 2021 and December 31, 2020, the Company pledged MSR with a carrying value of $500.0 million and $537.9 million and weighted average underlying loan coupon of 3.41% and 4.03%, respectively, as collateral for term notes payable. Additionally, as of September 30, 2021 and December 31, 2020, $0.2 million and $55.2 million of cash was held in restricted accounts as collateral for the future payment obligations of outstanding term notes payable, respectively. |
Convertible Senior Notes
Convertible Senior Notes | 9 Months Ended |
Sep. 30, 2021 | |
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 (“2022 notes”). The net proceeds from the offering were approximately $282.2 million after deducting underwriting discounts and estimated offering expenses payable by the Company. The 2022 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, 2021 and December 31, 2020, the 2022 notes had a conversion rate of 63.2040 and 63.2040 shares of common stock per $1,000 principal amount of the notes, respectively . The 2022 notes will mature in January 2022, unless earlier converted or repurchased in accordance with their terms. In February 2021, the Company closed an underwritten public offering of $287.5 million aggregate principal amount of convertible senior notes due 2026 (“2026 notes”). The net proceeds from the offering were approximately $279.9 million after deducting underwriting discounts and estimated offering expenses payable by the Company. The 2026 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, 2021, the 2026 notes had a conversion rate of 135.5014 shares of common stock per $1,000 principal amount of the notes. The 2026 notes will mature in January 2026, unless earlier converted or repurchased in accordance with their terms. The Company used a portion of the net proceeds from the 2026 notes offering to fund the repurchase via privately negotiated transactions of $143.7 million principal amount of its 2022 notes. As of September 30, 2021, $143.8 million principal amount of the 2022 notes remained outstanding. The Company does not have the right to redeem either the 2022 notes or the 2026 notes prior to maturity, but may repurchase the notes in open market or privately negotiated transactions at the same or differing price without giving prior notice to or obtaining any consent of the holders. The Company may also be required to repurchase the notes from holders under certain circumstances. The aggregate outstanding amount due on the 2022 notes and 2026 notes as of September 30, 2021 and December 31, 2020 was $424.3 million and $286.2 million, respectively, net of deferred issuance costs. |
Commitment and Contingencies
Commitment and Contingencies | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021: 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, or the Court. 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. On June 23, 2021, the Court granted in part and denied in part the Company’s motion to dismiss. The Court dismissed PRCM Advisers’ claims challenging the termination of the Management Agreement, including PRCM Advisers’ claims for breach of contract with respect to Sections 13(a) and 15 of the Management Agreement and for breach of the implied covenant of good faith and fair dealing, as well as certain of PRCM Advisers’ other claims. On July 7, 2021, PRCM Advisers filed a motion for leave to amend the Federal Complaint for the purpose of amending certain allegations related to PRCM Advisers’ claim for breach of contract with respect to Section 15 of the Management Agreement, and the purpose of adding Pine River Domestic Management L.P. and Pine River Capital Management L.P. as plaintiffs. On July 21, 2021, the Company filed an opposition to the motion to amend, and on July 28, 2021, PRCM Advisers filed its reply. On October 18, 2021, the Court granted PRCM Advisers’ motion for leave to amend the Federal Complaint, and deemed PRCM Advisers’ second amended complaint served. 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, 2021, 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, 2021. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2021 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders’ 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, 2021. 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) 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 11,800,000 285,584 7.250 % January 27, 2025 January 27, 2025 3M LIBOR + 5.011% Total 29,050,000 $ 702,550 ____________________ (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) The dividend rate on the fixed-to-floating rate redeemable preferred stock 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 as of the fixed-to-floating rate 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, 2021, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. On February 4, 2021, the Company announced the redemption of all outstanding shares of the Company’s 7.75% Series D Cumulative Redeemable Preferred Stock and 7.5% Series E Cumulative Redeemable Preferred Stock. The redemption date for each series was March 15, 2021 and holders of record as of such date received the redemption payment of $25.00, plus any accumulated and unpaid dividends thereon up to, but excluding, the redemption date. Distributions to Preferred Stockholders The following table presents cash dividends declared by the Company on its preferred stock from December 31, 2019 through September 30, 2021: Declaration Date Record Date Payment Date Cash Dividend Per Preferred Share Series A Preferred Stock: September 21, 2021 October 13, 2021 October 27, 2021 $ 0.507810 June 17, 2021 July 12, 2021 July 27, 2021 $ 0.507810 March 18, 2021 April 12, 2021 April 27, 2021 $ 0.507810 December 17, 2020 January 12, 2021 January 27, 2021 $ 0.507810 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 Series B Preferred Stock: September 21, 2021 October 13, 2021 October 27, 2021 $ 0.476560 June 17, 2021 July 12, 2021 July 27, 2021 $ 0.476560 March 18, 2021 April 12, 2021 April 27, 2021 $ 0.476560 December 17, 2020 January 12, 2021 January 27, 2021 $ 0.476560 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 Series C Preferred Stock: September 21, 2021 October 13, 2021 October 27, 2021 $ 0.453130 June 17, 2021 July 12, 2021 July 27, 2021 $ 0.453130 March 18, 2021 April 12, 2021 April 27, 2021 $ 0.453130 December 17, 2020 January 12, 2021 January 27, 2021 $ 0.453130 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 Series D Preferred Stock: February 4, 2021 (1) March 15, 2021 March 15, 2021 $ 0.322920 December 17, 2020 January 1, 2021 January 15, 2021 $ 0.484375 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 Series E Preferred Stock: February 4, 2021 (1) March 15, 2021 March 15, 2021 $ 0.312500 December 17, 2020 January 1, 2021 January 15, 2021 $ 0.468750 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 ____________________ (1) On February 4, 2021, the Company announced the redemption of all outstanding shares of the Company’s Series D Preferred Stock and Series E Preferred Stock. The redemption date for each series was March 15, 2021 and holders of record as of such date received the redemption payment of $25.00, plus any accumulated and unpaid dividends thereon up to, but excluding, the redemption date. The cash dividend payment amount identified in this row represents the per share accrued and unpaid dividends paid on the redemption date. 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 above. Pursuant to their terms, all unpaid dividends on the Company’s preferred stock accrue without interest. Common Stock Public Offering On July 14, 2021, the Company completed a public offering of 40,000,000 shares of its common stock. The underwriters purchased the shares from the Company at a price of $6.42 per share, for net proceeds to the Company of approximately $256.5 million after deducting offering expenses. The underwriters did not exercise any portion of their 30-day overallotment option to purchase up to 6,000,000 additional shares. As of September 30, 2021, the Company had 313,900,227 shares of common stock outstanding. The following table presents a reconciliation of the common shares outstanding for the nine months ended September 30, 2021 and 2020: Number of common shares Common shares outstanding, December 31, 2019 272,935,731 Issuance of common stock 50,729 Repurchase of common stock (105,300) Non-cash equity award compensation (1) 813,251 Common shares outstanding, September 30, 2020 273,694,411 Common shares outstanding, December 31, 2020 273,703,882 Issuance of common stock 40,051,592 Repurchase of common stock — Non-cash equity award compensation (1) 144,753 Common shares outstanding, September 30, 2021 313,900,227 ____________________ (1) See Note 17 - Equity Incentive Plans for further details regarding the Company’s Equity Incentive Plans. Distributions to Common Stockholders The following table presents cash dividends declared by the Company on its common stock from December 31, 2019 through September 30, 2021: Declaration Date Record Date Payment Date Cash Dividend Per Common Share September 21, 2021 October 1, 2021 October 29, 2021 $ 0.170000 June 17, 2021 June 29, 2021 July 29, 2021 $ 0.170000 March 18, 2021 March 29, 2021 April 29, 2021 $ 0.170000 December 17, 2020 December 30, 2020 January 29, 2021 $ 0.170000 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 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 above. 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, 2021, 370,605 shares have been issued under the plan for total proceeds of approximately $5.6 million, of which 12,374 and 39,392 shares were issued for total proceeds of $0.1 million and $0.3 million during the three and nine months ended September 30, 2021, respectively. During the three and nine months ended September 30, 2020, 13,968 and 50,729 shares were issued for total proceeds of $0.1 million and $0.3 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, 2021, a total of 12,174,300 shares had been repurchased by the Company under the program for 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. No shares were repurchased during the three months ended September 30, 2020 or the three and nine months ended September 30, 2021. At-the-Market Offerings The Company is party to an amended and restated 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, 2021, 7,502,435 shares of common stock had been sold under the equity distribution agreements for total accumulated net proceeds of approximately $128.7 million; of these, 12,200 shares were sold for total proceeds of $0.1 million during both the three and nine months ended September 30, 2021. No shares were sold during the three and nine months ended September 30, 2020. Accumulated Other Comprehensive Income Accumulated other comprehensive income at September 30, 2021 and December 31, 2020 was as follows: (in thousands) September 30, December 31, Available-for-sale securities: Unrealized gains $ 321,024 $ 661,734 Unrealized losses (21,125) (20,133) Accumulated other comprehensive income $ 299,899 $ 641,601 Reclassifications out of Accumulated Other Comprehensive Income |
Equity Incentive Plans
Equity Incentive Plans | 9 Months Ended |
Sep. 30, 2021 | |
Share-based Payment Arrangement [Abstract] | |
Equity Incentive Plans | Equity Incentive Plans On May 19, 2021, the Company’s stockholders approved the 2021 Plan, which replaced the 2009 Plan. The 2021 Plan provides for the issuance of up to 17,000,000 shares of the Company’s common stock pursuant to awards granted thereunder. Awards previously granted under the 2009 Plan remain outstanding and valid in accordance with their terms, but no new awards will be granted under the 2009 Plan. The Company’s Equity Incentive Plans provide incentive compensation to attract and retain qualified directors, officers, personnel and other parties who may provide significant services to the Company. The Equity Incentive Plans are administered by the compensation committee of the Company’s board of directors. The compensation committee has the full authority to administer and interpret the Equity Incentive Plans, 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 Equity Incentive Plans), to determine the terms, provisions and conditions of each award (which may not be inconsistent with the terms of the Equity Incentive Plans), 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 Equity Incentive Plans 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 Equity Incentive Plans provide for grants of restricted common stock, RSUs, performance-based awards (including PSUs), phantom shares, dividend equivalent rights and other equity-based awards. The 2021 Plan is subject to a ceiling of 17,000,000 shares and the 2009 Plan is subject to a ceiling of 6,500,000 shares of the Company’s common stock; however, following stockholder approval of the 2021 Plan, no new awards will be granted under the 2009 Plan. The Equity Incentive Plans allow for the Company’s board of directors to expand the types of awards available under the Equity Incentive Plans to include long-term incentive plan units in the future. If an award granted under the Equity Incentive Plans 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 Equity Incentive Plans after the tenth anniversary of the date that the Equity Incentive Plans were approved by the Company’s board of directors. No award may be granted under the Equity Incentive Plans 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. Restricted Stock Units During the nine months ended September 30, 2021, the Company granted 147,199 RSUs to its independent directors pursuant to the Equity Incentive Plans. The estimated fair value of these awards was $7.15 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 are subject to a one During the nine months ended September 30, 2021, the Company granted 1,189,518 RSUs to certain eligible employees pursuant to the terms of the Equity Incentive Plans and the associated award agreements. The estimated fair value of these awards was $7.10 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 RSUs vest in three All RSUs entitle the grantee to receive dividend equivalent rights, or DERs, during the vesting period. A DER represents the right to receive a payment equal to the amount of cash dividends declared and payable on the grantee’s unvested and outstanding equity incentive awards. In the case of RSUs, DERs are paid in cash within 60 days of the quarterly dividend payment date based on the number of unvested and outstanding RSUs held by the grantee on the applicable dividend record date. In the event that an RSU is forfeited, the related DERs which have not yet been paid shall be forfeited. The following table summarizes the activity related to RSUs for the nine months ended September 30, 2021 and 2020: Nine Months Ended September 30, 2021 2020 Units Weighted Average Grant Date Fair Market Value Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period — $ — — $ — Granted 1,336,717 7.10 — — Vested (157,342) (7.15) — — Forfeited — — — — Outstanding at End of Period 1,179,375 $ 7.10 — $ — Performance Share Units During the nine months ended September 30, 2021, the Company granted 511,473 target number of PSUs to certain eligible employees pursuant to the terms of the 2021 Plan and the associated award agreements. The estimated fair value of these awards was $8.67 per share on grant date, which was determined using a Monte Carlo simulation. The PSUs will vest promptly following the completion of a three The following table summarizes the activity related to PSUs for the nine months ended September 30, 2021 and 2020: Nine Months Ended September 30, 2021 2020 Target Units Weighted Average Grant Date Fair Market Value Target Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period — $ — — $ — Granted 511,473 8.67 — — Vested — — — — Forfeited (73,077) (8.67) — — Outstanding at End of Period 438,396 $ 8.67 — $ — Restricted Common Stock During the nine months ended September 30, 2021 and 2020, the Company granted 20,979 and 168,942 shares of common stock, respectively, to certain of its independent directors pursuant to the Equity Incentive Plans. The estimated fair value of these awards was $7.15 and $4.75 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 2021 grants vested immediately, while the shares underlying the 2020 grants were subject to a one Additionally, during the nine months ended September 30, 2020, the Company granted 686,770 shares of restricted common stock, to the Company’s executive officers and other eligible individuals, pursuant to the terms of the Equity Incentive Plans and the associated award agreements. The estimated fair value of these awards was $15.23 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, 2021 and 2020: Nine Months Ended September 30, 2021 2020 Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 1,221,995 $ 13.80 1,062,901 $ 15.26 Granted 20,979 7.15 855,712 13.16 Vested (754,119) (12.94) (653,132) (15.30) Forfeited (33,568) (5.07) (42,461) (14.58) Outstanding at End of Period 455,287 $ 15.56 1,223,020 $ 13.80 Non-Cash Equity Compensation Expense For the three and nine months ended September 30, 2021, the Company recognized compensation related to RSUs, PSUs and restricted common stock granted pursuant to the Equity Incentive Plans of $2.6 million and $9.0 million, respectively. For the three and nine months ended September 30, 2020, the Company recognized compensation related to restricted common stock granted pursuant to the Equity Incentive Plans of $2.9 million and $7.5 million, respectively. As of September 30, 2021, the Company had $8.8 million of total unrecognized compensation cost related to nonvested share-based compensation arrangements. This cost is expected to be recognized over a weighted average period of 1.1 years. |
Restructuring Charges
Restructuring Charges | 9 Months Ended |
Sep. 30, 2021 | |
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 and recorded during the three months ended 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. 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 year ended December 31, 2020, the Company incurred a total of $5.7 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 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2021 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the three and nine months ended September 30, 2021 and 2020, 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, 2021, the Company’s TRSs recognized a provision for income taxes of $0.3 million and $2.1 million, respectively, which was primarily due to gains recognized on MSR, offset by net losses recognized on derivative instruments held in the Company’s TRSs. 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 held in the Company’s TRSs. 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. 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, 2021 | |
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, 2021 and 2020: Three Months Ended Nine Months Ended September 30, September 30, (in thousands, except share data) 2021 2020 2021 2020 Basic Earnings (Loss) Per Share: Net income (loss) $ 66,324 $ 201,914 $ 188,521 $ (1,841,306) Dividends on preferred stock 13,748 18,950 44,711 56,851 Dividends and undistributed earnings allocated to participating restricted stock units 200 — 532 — Net income (loss) attributable to common stockholders, basic $ 52,376 $ 182,964 $ 143,278 $ (1,898,157) Basic weighted average common shares 307,773,420 273,705,785 285,192,353 273,567,998 Basic earnings (loss) per weighted average common share $ 0.17 $ 0.67 $ 0.50 $ (6.94) Diluted Earnings (Loss) Per Share: Net income (loss) attributable to common stockholders, basic $ 52,376 $ 182,964 $ 143,278 $ (1,898,157) Reallocation impact of undistributed earnings to participating restricted stock units (13) — (24) — Interest expense attributable to convertible notes (1) 4,848 4,812 12,755 — Net income (loss) attributable to common stockholders, diluted $ 57,211 $ 187,776 $ 156,009 $ (1,898,157) Basic weighted average common shares 307,773,420 273,705,785 285,192,353 273,567,998 Effect of dilutive shares issued in an assumed vesting of performance share units — — 240,759 — Effect of dilutive shares issued in an assumed conversion 38,956,653 18,171,150 34,533,003 — Diluted weighted average common shares 346,730,073 291,876,935 319,966,115 273,567,998 Diluted earnings (loss) per weighted average common share $ 0.17 $ 0.64 $ 0.49 $ (6.94) ___________________ (1) If applicable, includes a nondiscretionary adjustment for the assumed change in the management fee calculation. For the three and nine months ended September 30, 2021, participating RSUs were included in the calculations of basic and diluted earnings per share under the two-class method since it was more dilutive than the alternative treasury stock method. For the three months ended September 30, 2021, excluded from the calculation of diluted earnings per share is the effect of adding 438,396 weighted average common share equivalents related to the assumed vesting of outstanding PSUs, as their inclusion would be antidilutive. For the nine months ended September 30, 2021, the assumed vesting of outstanding PSUs was included in the calculation of diluted earnings per share under the two-class method since it was more dilutive than the alternative treasury stock method. For the three and nine months ended September 30, 2021, excluded from the calculation of diluted earnings per share is the effect of adding back $2.4 million and $8.0 million of interest expense and 9,087,092 and 14,314,176 weighted average common share equivalents, respectively, 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, 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. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2021 | |
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 PRCM Advisers. 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 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), among other certain adjustments outlined in the Management Agreement. 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. 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, (ii) any amounts for personnel of PRCM Advisers’ affiliates arising under a shared facilities and services agreement, and (iii) certain costs allocated to the Company by PRCM Advisers for data services and technology. In accordance with 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. Following the termination of the Management Agreement, 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 paid directly by the Company. The Company is also now responsible for the cash compensation and employee benefits of the Company’s Chief Executive Officer, Chief Investment Officer and investment professionals, which were previously the responsibility of PRCM Advisers. Prior to the termination of the Management Agreement, the Company was only responsible for the equity compensation paid to such individuals. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On October 28, 2021, the Company completed a public offering of 30,000,000 shares of its common stock. The underwriters purchased the shares from the Company at a price of $6.468 per share, for net proceeds to the Company of approximately $193.7 million after deducting offering expenses. In connection with the offering, the Company also granted the underwriters an option for 30 days to purchase up to an additional 4,500,000 shares of common stock. Events subsequent to September 30, 2021 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, 2021 | |
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, 2020. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2021 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2021 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, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the condensed 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. |
Equity Incentive Plans | Equity Incentive Plans The Company’s Second Restated 2009 Equity Incentive Plan, or the 2009 Plan, and the Company’s 2021 Equity Incentive Plan, or the 2021 Plan, or collectively, the Equity Incentive Plans, provide incentive compensation to attract and retain qualified directors, officers, personnel and other parties who may provide significant services to the Company. The Equity Incentive Plans are administered by the compensation committee of the Company’s board of directors. The Equity Incentive Plans permit the grants of restricted common stock, restricted stock units, or RSUs, performance-based awards (including performance share units, or PSUs), phantom shares, dividend equivalent rights and other equity-based awards. See Note 17 - Equity Incentive Plans for further details regarding the Equity Incentive Plans. Equity-based compensation costs are initially measured at the estimated fair value of the awards on the grant date. Valuation methods used and subsequent expense recognition is dependent upon each award’s service and performance conditions. The Company has elected not to estimate forfeitures when valuing equity-based awards and adjusts compensation costs as actual forfeitures occur. Compensation costs for equity-based awards subject only to service conditions are measured at the closing stock price on the grant date and are recognized as expense on a straight-line basis over the requisite service periods for the awards, adjusted for any forfeitures. Compensation costs for equity-based awards subject to market-based performance metrics are measured at the grant date using Monte Carlo simulations which incorporate assumptions for stock return volatility, dividend yield and risk-free interest rates. These initial valuation amounts are recognized as expense over the requisite performance periods, subject to adjustments only for actual forfeitures. Amortization of equity-based awards (non-cash equity compensation expense) is included within compensation and benefits on the condensed consolidated statements of comprehensive income (loss). |
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 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 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 reversal of provision for 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. Any portion of the AFS securities that is deemed uncollectible results in a write-off of the uncollectible amortized cost with a corresponding reduction to the allowance for credit losses. Recoveries of amounts previously written off results in an increase to the allowance for credit losses. 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. Facilitation of the Effects of Reference Rate Reform on Financial Reporting In March 2020, the FASB issued ASU No. 2020-04 , which provides temporary optional expedients and exceptions on accounting for contract modifications and hedging relationships in anticipation of the replacement of the London Interbank Offered Rate, or LIBOR, with another reference rate. The guidance also provides a one-time election to sell held-to-maturity debt securities or to transfer such securities to the available-for-sale or trading category. The ASU was effective immediately for all entities and expires after December 31, 2022 . The Company’s adoption of this ASU did not have an impact on the Company’s financial condition, results of operations or financial statement disclosures. 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 early adoption of the ASU’s guidance results in the Company accounting for a convertible debt instrument without separately presenting in stockholders’ equity an embedded conversion feature. The Company accounts for a convertible debt instrument wholly as debt unless (1) a convertible instrument contains features that require bifurcation as a derivative under ASC 815, Derivatives and Hedging , or ASC 815, or (2) a convertible debt instrument was issued at a substantial premium. The Company’s early adoption of this ASU did 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, 2021 | |
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, 2021 and December 31, 2020: (in thousands) September 30, December 31, Note receivable (1) $ 396,479 $ 395,609 Restricted cash 10,840 72,530 Accrued interest receivable (1) 128 131 Other assets 27,987 28,540 Total Assets $ 435,434 $ 496,810 Term notes payable $ 396,479 $ 395,609 Revolving credit facilities 19,200 9,000 Accrued interest payable 180 156 Other liabilities 10,788 72,505 Total Liabilities $ 426,647 $ 477,270 ____________________ (1) Receivables due from a wholly owned subsidiary of the Company to the trusts 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, 2021 | |
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, 2021 and December 31, 2020: (in thousands) September 30, December 31, Agency: Federal National Mortgage Association $ 5,209,904 $ 11,486,658 Federal Home Loan Mortgage Corporation 1,237,751 2,837,103 Government National Mortgage Association 208,916 314,130 Non-Agency 8,173 13,031 Total available-for-sale securities $ 6,664,744 $ 14,650,922 |
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, 2021 and December 31, 2020: September 30, 2021 (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 $ 5,720,782 $ 247,747 $ (13) $ 5,968,516 $ — $ 285,088 $ (371) $ 6,253,233 Interest-only 3,931,227 387,003 — 387,003 (14,000) 39,515 (9,180) 403,338 Total Agency 9,652,009 634,750 (13) 6,355,519 (14,000) 324,603 (9,551) 6,656,571 Non-Agency 1,611,480 12,476 (28) 13,519 (1,429) 41 (3,958) 8,173 Total $ 11,263,489 $ 647,226 $ (41) $ 6,369,038 $ (15,429) $ 324,644 $ (13,509) $ 6,664,744 December 31, 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 $ 13,103,355 $ 605,253 $ (14) $ 13,708,594 $ — $ 629,079 $ (420) $ 14,337,253 Interest-only 3,649,556 315,876 — 315,876 (17,889) 15,680 (13,029) 300,638 Total Agency 16,752,911 921,129 (14) 14,024,470 (17,889) 644,759 (13,449) 14,637,891 Non-Agency 2,095,365 16,408 (36) 18,705 (4,639) 109 (1,144) 13,031 Total $ 18,848,276 $ 937,537 $ (50) $ 14,043,175 $ (22,528) $ 644,868 $ (14,593) $ 14,650,922 |
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, 2021: September 30, 2021 (in thousands) Agency Non-Agency Total < 1 year $ 4,816 $ 8,173 $ 12,989 ≥ 1 and < 3 years 104,832 — 104,832 ≥ 3 and < 5 years 4,158,698 — 4,158,698 ≥ 5 and < 10 years 2,387,194 — 2,387,194 ≥ 10 years 1,031 — 1,031 Total $ 6,656,571 $ 8,173 $ 6,664,744 |
Debt Securities, Available-for-sale, Allowance for Credit Losses | The following tables present the changes for the three and nine months ended September 30, 2021 and 2020 in the allowance for credit losses on Agency and non-Agency AFS securities: Three Months Ended September 30, 2021 Nine Months Ended September 30, 2021 (in thousands) Agency Non-Agency Total Agency Non-Agency Total Allowance for credit losses at beginning of period $ (15,154) $ (2,611) $ (17,765) $ (17,889) $ (4,639) $ (22,528) Additions on securities for which credit losses were not previously recorded (26) — (26) (57) (3,850) (3,907) Decrease (increase) on securities with previously recorded credit losses (1,156) 1,023 (133) (3,293) 784 (2,509) Write-offs 2,336 159 2,495 7,239 6,276 13,515 Allowance for credit losses at end of period $ (14,000) $ (1,429) $ (15,429) $ (14,000) $ (1,429) $ (15,429) Three Months Ended September 30, 2020 Nine Months Ended September 30, 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) Reductions for securities sold — — — — 246,792 246,792 Decrease (increase) on securities with previously recorded credit losses (558) (6,456) (7,014) 1,604 (11,249) (9,645) Write-offs 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) |
Debt Securities, Available-for-sale, in Unrealized Loss Positions | The following tables present 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, 2021 and December 31, 2020 (subsequent to the adoption of Topic 326). At September 30, 2021 and December 31, 2020, the Company held 771 and 823 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 26 and 13 were in an unrealized loss position for less than twelve consecutive months and 0 and 13 were in an unrealized loss position for more than twelve consecutive months, respectively. September 30, 2021 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 $ 29,995 $ (4,222) $ — $ — $ 29,995 $ (4,222) Non-Agency 4,542 (611) — — 4,542 (611) Total $ 34,537 $ (4,833) $ — $ — $ 34,537 $ (4,833) December 31, 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 $ 367,660 $ (1,705) $ 24,006 $ (4,454) $ 391,666 $ (6,159) Non-Agency — — — — — — Total $ 367,660 $ (1,705) $ 24,006 $ (4,454) $ 391,666 $ (6,159) |
Schedule of Realized Gain (Loss) on Sales of Debt Securities, Available-for-sale | The following table presents details around sales of AFS securities during the three and nine months ended September 30, 2021 and 2020: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2021 2020 2021 2020 Proceeds from sales of available-for-sale securities $ 502,349 $ — $ 5,102,894 $ 16,969,870 Amortized cost of available-for-sale securities sold (481,751) — (4,998,583) (17,947,686) Total realized gains (losses) on sales, net $ 20,598 $ — $ 104,311 $ (977,816) Gross realized gains $ 20,598 $ — $ 133,583 $ 280,885 Gross realized losses — — (29,272) (1,258,701) Total realized gains (losses) on sales, net $ 20,598 $ — $ 104,311 $ (977,816) |
Servicing Activities (Tables)
Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 and 2020. Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2021 2020 2021 2020 Balance at beginning of period $ 2,020,106 $ 1,279,195 $ 1,596,153 $ 1,909,444 Purchases of mortgage servicing rights 282,719 88,706 656,468 294,040 Sales of mortgage servicing rights (43,411) — (43,411) 1,814 Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (1) 112,871 41,429 541,654 (570,347) Other changes in fair value (2) (144,314) (154,184) (513,710) (367,864) Other changes (3) (14,659) 2,357 (23,842) (9,584) Balance at end of period (4) $ 2,213,312 $ 1,257,503 $ 2,213,312 $ 1,257,503 ____________________ (1) Includes the impact of acquiring MSR at a cost different from fair value. (2) Primarily represents changes due to the realization of expected cash flows. (3) Includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. (4) 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, 2021 and December 31, 2020, 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: 13.1 % 19.4 % Impact on fair value of 10% adverse change $ (116,251) $ (121,973) Impact on fair value of 20% adverse change $ (221,449) $ (229,676) Weighted average delinquency: 1.3 % 2.2 % Impact on fair value of 10% adverse change $ (3,239) $ (2,038) Impact on fair value of 20% adverse change $ (5,179) $ (4,161) Weighted average option-adjusted spread: 4.7 % 4.8 % Impact on fair value of 10% adverse change $ (42,532) $ (28,678) Impact on fair value of 20% adverse change $ (83,634) $ (56,211) Weighted average per loan annual cost to service: $ 66.69 $ 68.27 Impact on fair value of 10% adverse change $ (26,080) $ (21,708) Impact on fair value of 20% adverse change $ (52,389) $ (43,527) |
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, 2021 and 2020: Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2021 2020 2021 2020 Servicing fee income $ 121,221 $ 96,332 $ 337,469 $ 318,686 Ancillary and other fee income 650 391 1,888 1,388 Float income 1,089 2,391 3,538 22,728 Total $ 122,960 $ 99,114 $ 342,895 $ 342,802 |
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, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Mortgage servicing rights 801,239 $ 194,393,942 781,905 $ 177,861,483 Residential mortgage loans 982 589,465 1,674 1,067,500 Other assets 2 43 — — Total serviced mortgage assets 802,223 $ 194,983,450 783,579 $ 178,928,983 |
Cash, Cash Equivalents and Re_2
Cash, Cash Equivalents and Restricted Cash (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 and December 31, 2020: (in thousands) September 30, December 31, Restricted cash balances held by trading counterparties: For securities trading activity $ 23,800 $ 44,800 For derivatives trading activity 249,028 70,600 For servicing activities 13,651 19,768 As restricted collateral for borrowings 497,435 1,126,439 Total restricted cash balances held by trading counterparties 783,914 1,261,607 Restricted cash balance pursuant to letter of credit on office lease 60 60 Total $ 783,974 $ 1,261,667 |
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, 2021 and December 31, 2020 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 $ 1,076,216 $ 1,384,764 Restricted cash 783,974 1,261,667 Total cash, cash equivalents and restricted cash $ 1,860,190 $ 2,646,431 |
Derivative Instruments and He_2
Derivative Instruments and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 and December 31, 2020: September 30, 2021 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 45,724 $ 263,014 $ — $ — Interest rate swap agreements — — — 17,036,595 Swaptions, net 760 (114,000) (6,441) (827,000) TBAs 2,556 1,478,000 (48,701) 7,264,000 Put and call options for TBAs, net 4,004 1,000,000 — — U.S. Treasury and Eurodollar futures, net — — (27,753) (5,913,100) Total $ 53,044 $ 2,627,014 $ (82,895) $ 17,560,495 December 31, 2020 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 62,200 $ 318,162 $ — $ — Interest rate swap agreements — — — 12,646,341 Swaptions, net — — (596) 3,750,000 TBAs 30,062 7,700,000 (10,462) (2,503,000) U.S. Treasury futures, net 3,675 2,021,100 — — Total $ 95,937 $ 10,039,262 $ (11,058) $ 13,893,341 |
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 Amount of Gain (Loss) Recognized in Income Three Months Ended Nine Months Ended (in thousands) September 30, September 30, 2021 2020 2021 2020 Interest rate risk management: TBAs (Loss) gain on other derivative instruments $ (17,125) $ 60,993 $ (173,254) $ (29,385) U.S. Treasury and Eurodollar futures (Loss) gain on other derivative instruments 3,026 4,448 (63,851) 26,956 Put and call options for TBAs (Loss) gain on other derivative instruments — — — — Interest rate swaps - Payers (Loss) gain on interest rate swap and swaption agreements 7,019 8,269 64,313 (1,151,119) Interest rate swaps - Receivers (Loss) gain on interest rate swap and swaption agreements (15,316) (7,879) (67,460) 904,492 Swaptions (Loss) gain on interest rate swap and swaption agreements 4,350 1,011 8,249 (49,490) Markit IOS total return swaps (Loss) gain on other derivative instruments — — — (2,430) Non-risk management: Inverse interest-only securities (Loss) gain on other derivative instruments (920) 155 (2,613) 13,593 Total $ (18,966) $ 66,997 $ (234,616) $ (287,383) |
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, 2021 and 2020: Three Months Ended September 30, 2021 (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 $ 281,473 $ — $ (18,459) $ 263,014 $ 272,815 $ (323) Interest rate swap agreements 15,646,953 1,909,792 (520,150) 17,036,595 15,906,528 5,220 Swaptions, net (201,000) (740,000) — (941,000) (209,043) — TBAs, net 6,854,000 27,671,000 (25,783,000) 8,742,000 7,934,239 32,588 Put and call options for TBAs, net — 1,000,000 — 1,000,000 10,869 — U.S. Treasury and Eurodollar futures 513,500 (1,688,300) (4,738,300) (5,913,100) (2,777,793) 28,354 Total $ 23,094,926 $ 28,152,492 $ (31,059,909) $ 20,187,509 $ 21,137,615 $ 65,839 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 and Eurodollar 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 Nine Months Ended September 30, 2021 (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 $ 318,162 $ — $ (55,148) $ 263,014 $ 291,597 $ (286) Interest rate swap agreements 12,646,341 6,102,655 (1,712,401) 17,036,595 14,869,384 5,267 Swaptions, net 3,750,000 (941,000) (3,750,000) (941,000) 13,802 2,245 TBAs, net 5,197,000 69,385,000 (65,840,000) 8,742,000 6,506,407 (107,509) Put and call options for TBAs, net — 1,000,000 — 1,000,000 3,663 — U.S. Treasury and Eurodollar futures 2,021,100 6,234,500 (14,168,700) (5,913,100) (844,586) (32,368) Total $ 23,932,603 $ 81,781,155 $ (85,526,249) $ 20,187,509 $ 20,840,267 $ (132,651) 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 and Eurodollar 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) ____________________ (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, 2021 and December 31, 2020: September 30, 2021 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 8,842,000 $ 9,126,540 $ 9,080,544 $ 2,556 $ (48,552) Sale contracts (100,000) (107,031) (107,180) — (149) TBAs, net $ 8,742,000 $ 9,019,509 $ 8,973,364 $ 2,556 $ (48,701) December 31, 2020 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 7,700,000 $ 8,102,344 $ 8,132,406 $ 30,062 $ — Sale contracts (2,503,000) (2,640,465) (2,650,927) — (10,462) TBAs, net $ 5,197,000 $ 5,461,879 $ 5,481,479 $ 30,062 $ (10,462) ___________________ (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, 2021 and December 31, 2020, 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, 2021 Swaps Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2021 $ — — % — % 0.00 2022 7,415,818 0.042 % 0.060 % 0.91 2023 2,582,084 0.011 % 0.059 % 1.76 2024 — — % — % 0.00 2025 and Thereafter 2,256,607 0.474 % 0.058 % 6.05 Total $ 12,254,509 0.137 % 0.059 % 2.04 (notional in thousands) December 31, 2020 Swaps Maturities Notional Amount Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2021 $ — — % — % 0.00 2022 7,415,818 0.042 % 0.090 % 1.66 2023 2,281,500 0.023 % 0.090 % 2.48 2024 — — % — % 0.00 2025 and Thereafter 1,497,500 0.257 % 0.090 % 6.49 Total $ 11,194,818 0.067 % 0.090 % 2.47 |
Schedule of Interest Rate Swap Receivers | Additionally, as of September 30, 2021 and December 31, 2020, 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, 2021 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2021 $ — — % — % 0.00 2022 — — % — % 0.00 2023 2,221,658 0.060 % 0.118 % 1.44 2024 — — % — % 0.00 2025 and Thereafter 2,560,428 0.059 % 0.812 % 9.22 Total $ 4,782,086 0.059 % 0.489 % 5.61 (notional in thousands) December 31, 2020 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2021 $ — — % — % 0.00 2022 — — % — % 0.00 2023 — — % — % 0.00 2024 — — % — % 0.00 2025 and Thereafter 1,451,523 0.090 % 0.468 % 9.49 Total $ 1,451,523 0.090 % 0.468 % 9.49 |
Schedule of Interest Rate Swaptions | As of September 30, 2021 and December 31, 2020, the Company had the following outstanding interest rate swaptions: September 30, 2021 (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 $ 11,314 $ 6,715 8.30 $ 886,000 2.26 % 3M LIBOR 10.0 Sale contracts: Payer < 6 Months $ (4,144) $ (4,096) 2.20 $ (740,000) 1.77 % 3M LIBOR 10.0 Receiver ≥ 6 Months $ (10,640) $ (8,300) 8.10 $ (1,087,000) 3M LIBOR 1.26 % 10.0 December 31, 2020 (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 $ 7,210 $ 2,448 4.23 $ 2,800,000 1.32 % 3M LIBOR 10.0 Receiver < 6 Months $ 3,010 $ — 0.97 $ 2,000,000 3M LIBOR 0.23 % 10.0 Sale contracts: Receiver < 6 Months $ (2,600) $ (3,044) 5.13 $ (1,050,000) 3M LIBOR 0.55 % 10.0 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 and December 31, 2020: September 30, 2021 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 $ 144,956 $ (91,912) $ 53,044 $ (53,044) $ — $ — Reverse repurchase agreements 85,000 — 85,000 — (51,959) 33,041 Total Assets $ 229,956 $ (91,912) $ 138,044 $ (53,044) $ (51,959) $ 33,041 Liabilities Repurchase agreements $ (7,123,701) $ — $ (7,123,701) $ 7,123,701 $ — $ — Derivative liabilities (174,807) 91,912 (82,895) 53,044 — (29,851) Total Liabilities $ (7,298,508) $ 91,912 $ (7,206,596) $ 7,176,745 $ — $ (29,851) December 31, 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 $ 124,023 $ (28,086) $ 95,937 $ (11,058) $ — $ 84,879 Reverse repurchase agreements 91,525 — 91,525 — (89,469) 2,056 Total Assets $ 215,548 $ (28,086) $ 187,462 $ (11,058) $ (89,469) $ 86,935 Liabilities Repurchase agreements $ (15,143,898) $ — $ (15,143,898) $ 15,143,898 $ — $ — Derivative liabilities (39,144) 28,086 (11,058) 11,058 — — Total Liabilities $ (15,183,042) $ 28,086 $ (15,154,956) $ 15,154,956 $ — $ — ____________________ (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, 2021 and December 31, 2020: September 30, 2021 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 $ 144,956 $ (91,912) $ 53,044 $ (53,044) $ — $ — Reverse repurchase agreements 85,000 — 85,000 — (51,959) 33,041 Total Assets $ 229,956 $ (91,912) $ 138,044 $ (53,044) $ (51,959) $ 33,041 Liabilities Repurchase agreements $ (7,123,701) $ — $ (7,123,701) $ 7,123,701 $ — $ — Derivative liabilities (174,807) 91,912 (82,895) 53,044 — (29,851) Total Liabilities $ (7,298,508) $ 91,912 $ (7,206,596) $ 7,176,745 $ — $ (29,851) December 31, 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 $ 124,023 $ (28,086) $ 95,937 $ (11,058) $ — $ 84,879 Reverse repurchase agreements 91,525 — 91,525 — (89,469) 2,056 Total Assets $ 215,548 $ (28,086) $ 187,462 $ (11,058) $ (89,469) $ 86,935 Liabilities Repurchase agreements $ (15,143,898) $ — $ (15,143,898) $ 15,143,898 $ — $ — Derivative liabilities (39,144) 28,086 (11,058) 11,058 — — Total Liabilities $ (15,183,042) $ 28,086 $ (15,154,956) $ 15,154,956 $ — $ — ____________________ (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, 2021 | |
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, 2021 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 6,656,571 $ 8,173 $ 6,664,744 Mortgage servicing rights — — 2,213,312 2,213,312 Derivative assets 2,556 50,488 — 53,044 Total assets $ 2,556 $ 6,707,059 $ 2,221,485 $ 8,931,100 Liabilities: Derivative liabilities $ 76,454 $ 6,441 $ — $ 82,895 Total liabilities $ 76,454 $ 6,441 $ — $ 82,895 Recurring Fair Value Measurements December 31, 2020 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 14,637,891 $ 13,031 $ 14,650,922 Mortgage servicing rights — — 1,596,153 1,596,153 Derivative assets 33,737 62,200 — 95,937 Total assets $ 33,737 $ 14,700,091 $ 1,609,184 $ 16,343,012 Liabilities: Derivative liabilities $ 10,462 $ 596 $ — $ 11,058 Total liabilities $ 10,462 $ 596 $ — $ 11,058 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following table presents 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, 2021 September 30, 2021 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Available-For-Sale Securities Mortgage Servicing Rights Beginning of period level 3 fair value $ 5,559 $ 2,020,106 $ 13,031 $ 1,596,153 Gains (losses) included in net income (loss): Realized (939) (155,371) (7,931) (524,767) Unrealized (22) (1) 112,871 (2) (22) (1) 541,654 (2) Reversal of provision for credit losses 1,340 — 9,138 — Net gains (losses) included in net income (loss) 379 (42,500) 1,185 16,887 Other comprehensive (loss) income (2,124) — (8,825) — Purchases 4,358 282,719 4,358 656,468 Sales — (32,354) (1,577) (32,354) Settlements — (14,659) — (23,842) Gross transfers into level 3 — — — — Gross transfers out of level 3 — — — — End of period level 3 fair value $ 8,172 $ 2,213,312 $ 8,172 $ 2,213,312 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ (22) (3) $ 109,640 (4) $ (22) (3) $ 464,180 (4) 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 $ (2,124) $ — $ (8,826) $ — ____________________ (1) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option was recorded in gain (loss) on investment securities on the condensed consolidated statements of comprehensive income (loss). (2) The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income (loss). (3) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option that were held at the end of the reporting period was recorded in gain (loss) on investment securities on the condensed consolidated statements of comprehensive income (loss). (4) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in (loss) gain 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, 2021 and December 31, 2020: September 30, 2021 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 10.4% - 17.8% 13.1% Delinquency 0.8% - 2.0% 1.3% Option-adjusted spread 4.6% - 9.2% 4.7% Per loan annual cost to service $66.24 - $83.77 $66.69 December 31, 2020 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 14.1% - 23.5% 19.4% Delinquency 1.5% - 2.6% 2.2% Option-adjusted spread 4.7% - 9.7% 4.8% Per loan annual cost to service $64.56 - $79.43 $68.27 ___________________ (1) 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, 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, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets: Available-for-sale securities $ 6,664,744 $ 6,664,744 $ 14,650,922 $ 14,650,922 Mortgage servicing rights $ 2,213,312 $ 2,213,312 $ 1,596,153 $ 1,596,153 Cash and cash equivalents $ 1,076,216 $ 1,076,216 $ 1,384,764 $ 1,384,764 Restricted cash $ 783,974 $ 783,974 $ 1,261,667 $ 1,261,667 Derivative assets $ 53,044 $ 53,044 $ 95,937 $ 95,937 Reverse repurchase agreements $ 85,000 $ 85,000 $ 91,525 $ 91,525 Other assets $ 3,335 $ 3,335 $ 13,292 $ 13,292 Liabilities: Repurchase agreements $ 7,123,701 $ 7,123,701 $ 15,143,898 $ 15,143,898 Revolving credit facilities $ 420,761 $ 420,761 $ 283,830 $ 283,830 Term notes payable $ 396,479 $ 396,595 $ 395,609 $ 380,000 Convertible senior notes $ 424,270 $ 442,324 $ 286,183 $ 291,376 Derivative liabilities $ 82,895 $ 82,895 $ 11,058 $ 11,058 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements By Term, Short or Long | At September 30, 2021 and December 31, 2020, the repurchase agreement balances were as follows: (in thousands) September 30, December 31, Short-term $ 7,123,701 $ 15,143,898 Long-term — — Total $ 7,123,701 $ 15,143,898 |
Schedule of Repurchase Agreements by Maturity | At September 30, 2021 and December 31, 2020, the repurchase agreements had the following characteristics and remaining maturities: September 30, 2021 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 1,712,411 $ 524 $ 24,120 $ — $ 1,737,055 30 to 59 days 61,442 — 18,451 — 79,893 60 to 89 days — — — — — 90 to 119 days 1,310,649 — — — 1,310,649 120 to 364 days 3,869,731 205 1,168 125,000 3,996,104 Total $ 6,954,233 $ 729 $ 43,739 $ 125,000 $ 7,123,701 Weighted average borrowing rate 0.18 % 1.82 % 0.71 % 4.00 % 0.25 % December 31, 2020 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 5,330,627 $ 1,271 $ 38,608 $ — $ 5,370,506 30 to 59 days 4,292,861 — — — 4,292,861 60 to 89 days 2,060,087 628 1,519 — 2,062,234 90 to 119 days 1,598,052 — 12,146 — 1,610,198 120 to 364 days 1,808,099 — — — 1,808,099 Total $ 15,089,726 $ 1,899 $ 52,273 $ — $ 15,143,898 Weighted average borrowing rate 0.28 % 2.33 % 0.89 % — % 0.28 % |
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 $ 6,471,617 $ 14,633,217 Mortgage servicing rights, at fair value (1) 735,837 — Restricted cash 497,235 1,071,239 Due from counterparties 285,865 21,312 Derivative assets, at fair value 43,783 61,557 Total $ 8,034,337 $ 15,787,325 |
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity | The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at September 30, 2021 and December 31, 2020: September 30, 2021 December 31, 2020 (dollars in thousands) Amount Outstanding Net Counterparty Exposure (1) Percent of Equity Weighted Average Days to Maturity Amount Outstanding Net Counterparty Exposure (1) Percent of Equity Weighted Average Days to Maturity Credit Suisse $ 125,000 $ 328,262 12 % 182 $ — $ — — % 0 All other counterparties (2) 6,998,701 319,409 12 % 110 15,143,898 527,045 17 % 58 Total $ 7,123,701 $ 647,671 $ 15,143,898 $ 527,045 ____________________ (1) Represents the net carrying value of the 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. (2) Represents amounts outstanding with 16 and 20 counterparties at September 30, 2021 and December 31, 2020, respectively. |
Revolving Credit Facilities (Ta
Revolving Credit Facilities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Revolving Credit Facilities [Abstract] | |
Schedule of Line of Credit Facilities | At September 30, 2021 and December 31, 2020, 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 274,511 60,000 One year and over 146,250 223,830 Total $ 420,761 $ 283,830 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021. 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) 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 11,800,000 285,584 7.250 % January 27, 2025 January 27, 2025 3M LIBOR + 5.011% Total 29,050,000 $ 702,550 ____________________ (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) The dividend rate on the fixed-to-floating rate redeemable preferred stock 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 as of the fixed-to-floating rate 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, 2019 through September 30, 2021: Declaration Date Record Date Payment Date Cash Dividend Per Preferred Share Series A Preferred Stock: September 21, 2021 October 13, 2021 October 27, 2021 $ 0.507810 June 17, 2021 July 12, 2021 July 27, 2021 $ 0.507810 March 18, 2021 April 12, 2021 April 27, 2021 $ 0.507810 December 17, 2020 January 12, 2021 January 27, 2021 $ 0.507810 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 Series B Preferred Stock: September 21, 2021 October 13, 2021 October 27, 2021 $ 0.476560 June 17, 2021 July 12, 2021 July 27, 2021 $ 0.476560 March 18, 2021 April 12, 2021 April 27, 2021 $ 0.476560 December 17, 2020 January 12, 2021 January 27, 2021 $ 0.476560 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 Series C Preferred Stock: September 21, 2021 October 13, 2021 October 27, 2021 $ 0.453130 June 17, 2021 July 12, 2021 July 27, 2021 $ 0.453130 March 18, 2021 April 12, 2021 April 27, 2021 $ 0.453130 December 17, 2020 January 12, 2021 January 27, 2021 $ 0.453130 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 Series D Preferred Stock: February 4, 2021 (1) March 15, 2021 March 15, 2021 $ 0.322920 December 17, 2020 January 1, 2021 January 15, 2021 $ 0.484375 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 Series E Preferred Stock: February 4, 2021 (1) March 15, 2021 March 15, 2021 $ 0.312500 December 17, 2020 January 1, 2021 January 15, 2021 $ 0.468750 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 ____________________ (1) On February 4, 2021, the Company announced the redemption of all outstanding shares of the Company’s Series D Preferred Stock and Series E Preferred Stock. The redemption date for each series was March 15, 2021 and holders of record as of such date received the redemption payment of $25.00, plus any accumulated and unpaid dividends thereon up to, but excluding, the redemption date. The cash dividend payment amount identified in this row represents the per share accrued and unpaid dividends paid on the redemption date. |
Schedule of Stock by Class | The following table presents a reconciliation of the common shares outstanding for the nine months ended September 30, 2021 and 2020: Number of common shares Common shares outstanding, December 31, 2019 272,935,731 Issuance of common stock 50,729 Repurchase of common stock (105,300) Non-cash equity award compensation (1) 813,251 Common shares outstanding, September 30, 2020 273,694,411 Common shares outstanding, December 31, 2020 273,703,882 Issuance of common stock 40,051,592 Repurchase of common stock — Non-cash equity award compensation (1) 144,753 Common shares outstanding, September 30, 2021 313,900,227 ____________________ (1) See Note 17 - Equity Incentive Plans for further details regarding the Company’s Equity Incentive Plans. |
Common Dividends Declared | The following table presents cash dividends declared by the Company on its common stock from December 31, 2019 through September 30, 2021: Declaration Date Record Date Payment Date Cash Dividend Per Common Share September 21, 2021 October 1, 2021 October 29, 2021 $ 0.170000 June 17, 2021 June 29, 2021 July 29, 2021 $ 0.170000 March 18, 2021 March 29, 2021 April 29, 2021 $ 0.170000 December 17, 2020 December 30, 2020 January 29, 2021 $ 0.170000 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 |
Schedule of Accumulated Other Comprehensive Income (Loss) | Accumulated other comprehensive income at September 30, 2021 and December 31, 2020 was as follows: (in thousands) September 30, December 31, Available-for-sale securities: Unrealized gains $ 321,024 $ 661,734 Unrealized losses (21,125) (20,133) Accumulated other comprehensive income $ 299,899 $ 641,601 |
Equity Incentive Plans (Tables)
Equity Incentive Plans (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Share-based Payment Arrangement [Abstract] | |
Schedule of Nonvested Restricted Stock Units Activity | The following table summarizes the activity related to RSUs for the nine months ended September 30, 2021 and 2020: Nine Months Ended September 30, 2021 2020 Units Weighted Average Grant Date Fair Market Value Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period — $ — — $ — Granted 1,336,717 7.10 — — Vested (157,342) (7.15) — — Forfeited — — — — Outstanding at End of Period 1,179,375 $ 7.10 — $ — |
Schedule of Nonvested Performance Share Units Activity | The following table summarizes the activity related to PSUs for the nine months ended September 30, 2021 and 2020: Nine Months Ended September 30, 2021 2020 Target Units Weighted Average Grant Date Fair Market Value Target Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period — $ — — $ — Granted 511,473 8.67 — — Vested — — — — Forfeited (73,077) (8.67) — — Outstanding at End of Period 438,396 $ 8.67 — $ — |
Nonvested Restricted Stock Shares Activity | The following table summarizes the activity related to restricted common stock for the nine months ended September 30, 2021 and 2020: Nine Months Ended September 30, 2021 2020 Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 1,221,995 $ 13.80 1,062,901 $ 15.26 Granted 20,979 7.15 855,712 13.16 Vested (754,119) (12.94) (653,132) (15.30) Forfeited (33,568) (5.07) (42,461) (14.58) Outstanding at End of Period 455,287 $ 15.56 1,223,020 $ 13.80 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
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, 2021 and 2020: Three Months Ended Nine Months Ended September 30, September 30, (in thousands, except share data) 2021 2020 2021 2020 Basic Earnings (Loss) Per Share: Net income (loss) $ 66,324 $ 201,914 $ 188,521 $ (1,841,306) Dividends on preferred stock 13,748 18,950 44,711 56,851 Dividends and undistributed earnings allocated to participating restricted stock units 200 — 532 — Net income (loss) attributable to common stockholders, basic $ 52,376 $ 182,964 $ 143,278 $ (1,898,157) Basic weighted average common shares 307,773,420 273,705,785 285,192,353 273,567,998 Basic earnings (loss) per weighted average common share $ 0.17 $ 0.67 $ 0.50 $ (6.94) Diluted Earnings (Loss) Per Share: Net income (loss) attributable to common stockholders, basic $ 52,376 $ 182,964 $ 143,278 $ (1,898,157) Reallocation impact of undistributed earnings to participating restricted stock units (13) — (24) — Interest expense attributable to convertible notes (1) 4,848 4,812 12,755 — Net income (loss) attributable to common stockholders, diluted $ 57,211 $ 187,776 $ 156,009 $ (1,898,157) Basic weighted average common shares 307,773,420 273,705,785 285,192,353 273,567,998 Effect of dilutive shares issued in an assumed vesting of performance share units — — 240,759 — Effect of dilutive shares issued in an assumed conversion 38,956,653 18,171,150 34,533,003 — Diluted weighted average common shares 346,730,073 291,876,935 319,966,115 273,567,998 Diluted earnings (loss) per weighted average common share $ 0.17 $ 0.64 $ 0.49 $ (6.94) ___________________ (1) If applicable, includes a nondiscretionary adjustment for the assumed change in the management fee calculation. |
Recently Issued and_or Adopted
Recently Issued and/or Adopted Accounting Standards (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Jan. 01, 2020 |
Basis of Presentation and Significant Accounting Policies [Abstract] | ||||||
Available-for-sale securities, amortized cost | $ 6,369,038 | $ 14,043,175 | $ 30,700,000 | |||
Available-for-sale securities, allowance for credit losses | $ 15,429 | $ 17,765 | $ 22,528 | $ 25,495 | $ 42,583 | $ 244,876 |
Variable Interest Entities (Det
Variable Interest Entities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 | |
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | [1] | $ 11,484,548 | $ 19,515,921 |
Liabilities of consolidated variable interest entities | [1] | 8,749,660 | 16,426,995 |
Variable Interest Entity, Primary Beneficiary [Member] | Notes receivable | |||
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | 396,479 | 395,609 | |
Variable Interest Entity, Primary Beneficiary [Member] | Restricted cash | |||
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | 10,840 | 72,530 | |
Variable Interest Entity, Primary Beneficiary [Member] | Accrued interest receivable | |||
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | 128 | 131 | |
Variable Interest Entity, Primary Beneficiary [Member] | Other assets | |||
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | 27,987 | 28,540 | |
Variable Interest Entity, Primary Beneficiary [Member] | Total Assets | |||
Variable Interest Entity [Line Items] | |||
Assets of consolidated variable interest entities | 435,434 | 496,810 | |
Variable Interest Entity, Primary Beneficiary [Member] | Term notes payable | |||
Variable Interest Entity [Line Items] | |||
Liabilities of consolidated variable interest entities | 396,479 | 395,609 | |
Variable Interest Entity, Primary Beneficiary [Member] | Revolving credit facilities | |||
Variable Interest Entity [Line Items] | |||
Liabilities of consolidated variable interest entities | 19,200 | 9,000 | |
Variable Interest Entity, Primary Beneficiary [Member] | Accrued interest payable | |||
Variable Interest Entity [Line Items] | |||
Liabilities of consolidated variable interest entities | 180 | 156 | |
Variable Interest Entity, Primary Beneficiary [Member] | Other liabilities | |||
Variable Interest Entity [Line Items] | |||
Liabilities of consolidated variable interest entities | 10,788 | 72,505 | |
Variable Interest Entity, Primary Beneficiary [Member] | Total Liabilities | |||
Variable Interest Entity [Line Items] | |||
Liabilities of consolidated variable interest entities | $ 426,647 | $ 477,270 | |
[1] | The condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities, or VIEs. At September 30, 2021 and December 31, 2020, assets of the VIEs totaled $435,434 and $496,810, and liabilities of the VIEs totaled $426,647 and $477,270, respectively. See Note 3 - Variable Interest Entities for additional information. |
Available-for-Sale Securities_3
Available-for-Sale Securities, at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 6,664,744 | $ 14,650,922 |
Available-for-sale securities, at fair value, pledged as collateral for borrowings | 6,500,000 | 14,600,000 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 5,209,904 | 11,486,658 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 1,237,751 | 2,837,103 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 208,916 | 314,130 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 8,173 | $ 13,031 |
Available-for-Sale Securities_4
Available-for-Sale Securities, at Fair Value Nonconsolidated Variable Interest Entities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Variable Interest Entity [Line Items] | ||
Available-for-sale securities, at fair value | $ 6,664,744 | $ 14,650,922 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Available-for-sale securities, at fair value | 8,200 | 13,000 |
Maximum exposure to loss of nonconsolidated Variable Interest Entities | $ 8,200 | $ 13,000 |
Schedule of Available-for-sale
Schedule of Available-for-sale Securities Reconciliation (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Jan. 01, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||||||
Principal/Current Face | $ 11,263,489 | $ 18,848,276 | ||||
Unamortized Premium | 647,226 | 937,537 | ||||
Accretable Purchase Discount | (41) | (50) | ||||
Amortized Cost | 6,369,038 | 14,043,175 | $ 30,700,000 | |||
Allowance for Credit Losses | (15,429) | $ (17,765) | (22,528) | $ (25,495) | $ (42,583) | (244,876) |
Unrealized Gain | 324,644 | 644,868 | ||||
Unrealized Loss | (13,509) | (14,593) | ||||
Available-for-sale securities, at fair value | 6,664,744 | 14,650,922 | ||||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Principal/Current Face | 9,652,009 | 16,752,911 | ||||
Unamortized Premium | 634,750 | 921,129 | ||||
Accretable Purchase Discount | (13) | (14) | ||||
Amortized Cost | 6,355,519 | 14,024,470 | ||||
Allowance for Credit Losses | (14,000) | (15,154) | (17,889) | (19,241) | (30,634) | 0 |
Unrealized Gain | 324,603 | 644,759 | ||||
Unrealized Loss | (9,551) | (13,449) | ||||
Available-for-sale securities, at fair value | 6,656,571 | 14,637,891 | ||||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Principal/Current Face | 1,611,480 | 2,095,365 | ||||
Unamortized Premium | 12,476 | 16,408 | ||||
Accretable Purchase Discount | (28) | (36) | ||||
Amortized Cost | 13,519 | 18,705 | ||||
Allowance for Credit Losses | (1,429) | $ (2,611) | (4,639) | $ (6,254) | $ (11,949) | $ (244,876) |
Unrealized Gain | 41 | 109 | ||||
Unrealized Loss | (3,958) | (1,144) | ||||
Available-for-sale securities, at fair value | 8,173 | 13,031 | ||||
Fixed Income Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Principal/Current Face | 5,720,782 | 13,103,355 | ||||
Unamortized Premium | 247,747 | 605,253 | ||||
Accretable Purchase Discount | (13) | (14) | ||||
Amortized Cost | 5,968,516 | 13,708,594 | ||||
Allowance for Credit Losses | 0 | 0 | ||||
Unrealized Gain | 285,088 | 629,079 | ||||
Unrealized Loss | (371) | (420) | ||||
Available-for-sale securities, at fair value | 6,253,233 | 14,337,253 | ||||
Interest-Only-Strip [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Principal/Current Face | 3,931,227 | 3,649,556 | ||||
Unamortized Premium | 387,003 | 315,876 | ||||
Accretable Purchase Discount | 0 | 0 | ||||
Amortized Cost | 387,003 | 315,876 | ||||
Allowance for Credit Losses | (14,000) | (17,889) | ||||
Unrealized Gain | 39,515 | 15,680 | ||||
Unrealized Loss | (9,180) | (13,029) | ||||
Available-for-sale securities, at fair value | $ 403,338 | $ 300,638 |
Available-for-Sale Securities_5
Available-for-Sale Securities, Weighted Average Life Classifications (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | $ 12,989 | |
Greater than 1 year and less than or equal to 3 years | 104,832 | |
Greater than 3 years and less than or equal to 5 years | 4,158,698 | |
Greater than 5 years and less than or equal to 10 years | 2,387,194 | |
Greater than 10 years | 1,031 | |
Available-for-sale securities, at fair value | 6,664,744 | $ 14,650,922 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | 4,816 | |
Greater than 1 year and less than or equal to 3 years | 104,832 | |
Greater than 3 years and less than or equal to 5 years | 4,158,698 | |
Greater than 5 years and less than or equal to 10 years | 2,387,194 | |
Greater than 10 years | 1,031 | |
Available-for-sale securities, at fair value | 6,656,571 | 14,637,891 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | 8,173 | |
Greater than 1 year and less than or equal to 3 years | 0 | |
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 | $ 8,173 | $ 13,031 |
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, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||||
Allowance for credit losses at beginning of period | $ (17,765) | $ (42,583) | $ (22,528) | |
Additions on securities for which credit losses were not previously recorded | (26) | (86) | (3,907) | $ (44,286) |
Reductions for securities sold | 0 | 246,792 | ||
Increase (decrease) on securities with previously recorded credit losses | (133) | (7,014) | (2,509) | (9,645) |
Writeoffs | 2,495 | 24,188 | 13,515 | 29,055 |
Recoveries of amounts previously written off | 0 | (2,535) | ||
Allowance for credit losses at end of period | (15,429) | (25,495) | (15,429) | (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 | (15,154) | (30,634) | (17,889) | |
Additions on securities for which credit losses were not previously recorded | (26) | (86) | (57) | (32,882) |
Reductions for securities sold | 0 | |||
Increase (decrease) on securities with previously recorded credit losses | (1,156) | (558) | (3,293) | 1,604 |
Writeoffs | 2,336 | 12,037 | 7,239 | 12,037 |
Recoveries of amounts previously written off | 0 | |||
Allowance for credit losses at end of period | (14,000) | (19,241) | (14,000) | (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 | (2,611) | (11,949) | (4,639) | |
Additions on securities for which credit losses were not previously recorded | 0 | 0 | (3,850) | (11,404) |
Reductions for securities sold | 246,792 | |||
Increase (decrease) on securities with previously recorded credit losses | 1,023 | (6,456) | 784 | (11,249) |
Writeoffs | 159 | 12,151 | 6,276 | 17,018 |
Recoveries of amounts previously written off | (2,535) | |||
Allowance for credit losses at end of period | $ (1,429) | $ (6,254) | $ (1,429) | $ (6,254) |
Schedule of Available-for-sal_2
Schedule of Available-for-sale Debt Securities in Unrealized Loss Positions (Details) $ in Thousands | Sep. 30, 2021USD ($)numberOfPositions | Dec. 31, 2020USD ($)numberOfPositions |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Number of Positions | numberOfPositions | 771 | 823 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Number of Positions | numberOfPositions | 26 | 13 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Number of Positions | numberOfPositions | 0 | 13 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 34,537 | $ 367,660 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (4,833) | (1,705) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 24,006 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | (4,454) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 34,537 | 391,666 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 4,833 | 6,159 |
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 | 29,995 | 367,660 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (4,222) | (1,705) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 24,006 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | (4,454) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 29,995 | 391,666 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 4,222 | 6,159 |
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 | 4,542 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (611) | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position | 4,542 | 0 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 611 | $ 0 |
Available-for-Sale Securities_7
Available-for-Sale Securities, at Fair Value Other than Temporary Impairment, Credit Losses Recognized in Earnings (Details) - USD ($) | Sep. 30, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Abstract] | ||
Cumulative other-than-temporary credit losses | $ 0 | $ (17,000,000) |
Available-for-Sale Securities_8
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Debt Securities, Available-for-sale [Abstract] | ||||
Proceeds from sales of available-for-sale securities | $ 502,349 | $ 0 | $ 5,102,894 | $ 16,969,870 |
Amortized cost of available-for-sale securities sold | (481,751) | 0 | (4,998,583) | (17,947,686) |
Gross realized gains | 20,598 | 0 | 133,583 | 280,885 |
Gross realized losses | 0 | 0 | (29,272) | (1,258,701) |
Total realized gains (losses) on sales, net | $ 20,598 | $ 0 | $ 104,311 | $ (977,816) |
Rollforward of Mortgage Servici
Rollforward of Mortgage Servicing Rights, at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | |||||
Mortgage servicing rights, at fair value, at beginning of period | $ 2,020,106 | $ 1,279,195 | $ 1,596,153 | $ 1,909,444 | |
Purchases of mortgage servicing rights | 282,719 | 88,706 | 656,468 | 294,040 | |
Sales of mortgage servicing rights | (43,411) | 0 | (43,411) | 1,814 | |
Changes in valuation inputs or assumptions used in the valuation model | 112,871 | 41,429 | 541,654 | (570,347) | |
Other changes in fair value | (144,314) | (154,184) | (513,710) | (367,864) | |
Other changes | (14,659) | 2,357 | (23,842) | (9,584) | |
Mortgage servicing rights, at fair value, at end of period | 2,213,312 | $ 1,257,503 | 2,213,312 | $ 1,257,503 | |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 2,100,000 | $ 2,100,000 | $ 1,100,000 |
Schedule of Mortgage Servicing
Schedule of Mortgage Servicing Rights Sensitivity Analysis of Fair Value (Details) $ in Thousands | Sep. 30, 2021USD ($) | Dec. 31, 2020USD ($) |
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 | $ (116,251) | $ (121,973) |
Impact on fair value of 20% adverse change in prepayment speed | (221,449) | (229,676) |
Impact on fair value of 10% adverse change in delinquency | (3,239) | (2,038) |
Impact on fair value of 20% adverse change in delinquency | (5,179) | (4,161) |
Impact on fair value of 10% adverse change in discount rate | (42,532) | (28,678) |
Impact on fair value of 20% adverse change in discount rate | (83,634) | (56,211) |
Impact on fair value of 10% adverse change in per loan annual cost to service | (26,080) | (21,708) |
Impact on fair value of 20% adverse change in per loan annual cost to service | $ (52,389) | $ (43,527) |
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 | 0.131 | 0.194 |
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 | 0.013 | 0.022 |
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 | 0.047 | 0.048 |
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 | 66.69 | 68.27 |
Components of Servicing Revenue
Components of Servicing Revenue (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |||||
Servicing fee income | $ 121,221 | $ 96,332 | $ 337,469 | $ 318,686 | |
Ancillary and other fee income | 650 | 391 | 1,888 | 1,388 | |
Float income | 1,089 | 2,391 | 3,538 | 22,728 | |
Servicing income | 122,960 | $ 99,114 | 342,895 | $ 342,802 | |
Servicing advances | $ 100,200 | $ 100,200 | $ 80,900 | ||
Mortgage servicing rights, delinquency rate | 1.70% | 1.70% | 2.90% | ||
Servicing advances pledged as collateral for borrowings | $ 28,000 | $ 28,000 | $ 28,500 |
Serviced Mortgage Assets (Detai
Serviced Mortgage Assets (Details) $ in Thousands | Sep. 30, 2021USD ($)loan | Dec. 31, 2020USD ($)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 | 802,223 | 783,579 |
Unpaid Principal Balance | $ | $ 194,983,450 | $ 178,928,983 |
Mortgage servicing rights | ||
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 | 801,239 | 781,905 |
Unpaid Principal Balance | $ | $ 194,393,942 | $ 177,861,483 |
Residential mortgage loans | ||
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 | 982 | 1,674 |
Unpaid Principal Balance | $ | $ 589,465 | $ 1,067,500 |
Other assets | ||
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 | 0 |
Unpaid Principal Balance | $ | $ 43 | $ 0 |
Schedule of Restricted Cash and
Schedule of Restricted Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 783,974 | $ 1,261,667 |
Restricted Cash and Cash Equivalents Held for Securities Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 23,800 | 44,800 |
Restricted Cash and Cash Equivalents Held for Derivatives Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 249,028 | 70,600 |
Restricted Cash and Cash Equivalents Held for Servicing Activities [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 13,651 | 19,768 |
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 497,435 | 1,126,439 |
Restricted Cash and Cash Equivalents Held by Counterparties [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 783,914 | 1,261,607 |
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, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Dec. 31, 2019 |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | ||||
Cash and cash equivalents | $ 1,076,216 | $ 1,384,764 | ||
Restricted cash | 783,974 | 1,261,667 | ||
Total cash, cash equivalents and restricted cash | $ 1,860,190 | $ 2,646,431 | $ 2,212,025 | $ 1,616,826 |
Schedule of Derivative Instrume
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($) | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | $ (20,187,509,000) | $ (23,094,926,000) | $ (23,932,603,000) | $ (25,836,064,000) | $ (8,076,933,000) | $ (48,445,497,000) |
Put and Call Options for TBAs [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 4,000,000 | |||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | (1,000,000,000) | |||||
U.S. Treasury and Eurodollar Futures [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | (5,900,000,000) | (2,000,000,000) | ||||
Derivative assets | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 53,044,000 | 95,937,000 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | (2,627,014,000) | (10,039,262,000) | ||||
Derivative assets | Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 45,724,000 | 62,200,000 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | (263,014,000) | (318,162,000) | ||||
Derivative assets | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 0 | ||||
Derivative assets | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 760,000 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | (114,000,000) | 0 | ||||
Derivative assets | TBAs [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 2,556,000 | 30,062,000 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | (1,478,000,000) | (7,700,000,000) | ||||
Derivative assets | Put and Call Options for TBAs [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 4,004,000 | |||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | (1,000,000,000) | |||||
Derivative assets | U.S. Treasury and Eurodollar Futures [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 3,675,000 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | (2,021,100,000) | ||||
Derivative liabilities | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (82,895,000) | (11,058,000) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | (17,560,495,000) | (13,893,341,000) | ||||
Derivative liabilities | Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 0 | ||||
Derivative liabilities | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | (17,036,595,000) | (12,646,341,000) | ||||
Derivative liabilities | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (6,441,000) | (596,000) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | (827,000,000) | (3,750,000,000) | ||||
Derivative liabilities | TBAs [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (48,701,000) | (10,462,000) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | (7,264,000,000) | (2,503,000,000) | ||||
Derivative liabilities | Put and Call Options for TBAs [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | |||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | |||||
Derivative liabilities | U.S. Treasury and Eurodollar Futures [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (27,753,000) | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | $ (5,913,100,000) | $ 0 |
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, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | $ (18,966) | $ 66,997 | $ (234,616) | $ (287,383) |
TBAs [Member] | (Loss) gain on other derivative instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | (17,125) | 60,993 | (173,254) | (29,385) |
U.S. Treasury and Eurodollar Futures [Member] | (Loss) gain on other derivative instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 3,026 | 4,448 | (63,851) | 26,956 |
Put and Call Options for TBAs [Member] | (Loss) gain on other derivative instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 0 | 0 | 0 | 0 |
Interest Rate Swap [Member] | Long [Member] | (Loss) gain on interest rate swap and swaption agreements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 7,019 | 8,269 | 64,313 | (1,151,119) |
Interest Rate Swap [Member] | Short [Member] | (Loss) gain on interest rate swap and swaption agreements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | (15,316) | (7,879) | (67,460) | 904,492 |
Interest Rate Swaption [Member] | (Loss) gain on interest rate swap and swaption agreements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 4,350 | 1,011 | 8,249 | (49,490) |
Markit IOS Total Return Swap [Member] | (Loss) gain on other derivative instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | 0 | 0 | 0 | (2,430) |
Inverse Interest-Only Securities [Member] | (Loss) gain on other derivative instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income | $ (920) | $ 155 | $ (2,613) | $ 13,593 |
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, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Average Notional Amount | $ 21,137,615,000 | $ 13,932,642,000 | $ 20,840,267,000 | $ 37,837,985,000 |
Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net interest expense (income) on interest rate swaps and caps | 4,400,000 | 800,000 | 8,500,000 | (68,100,000) |
Net Long Position [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Average Notional Amount | $ 15,900,000,000 | $ 7,600,000,000 | $ 14,900,000,000 | $ 32,000,000,000 |
Schedule of Notional Amounts of
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | $ 23,094,926,000 | $ 8,076,933,000 | $ 23,932,603,000 | $ 48,445,497,000 |
Additions | 28,152,492,000 | 37,826,318,000 | 81,781,155,000 | 115,633,753,000 |
Settlement, Termination, Expiration or Exercise | (31,059,909,000) | (20,067,187,000) | (85,526,249,000) | (138,243,186,000) |
End of Period Notional Amount | 20,187,509,000 | 25,836,064,000 | 20,187,509,000 | 25,836,064,000 |
Average Notional Amount | (21,137,615,000) | (13,932,642,000) | (20,840,267,000) | (37,837,985,000) |
Realized Gain (Loss), net | 65,839,000 | 85,781,000 | (132,651,000) | (403,977,000) |
Inverse Interest-Only Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 0 | 0 | 0 | 0 |
Settlement, Termination, Expiration or Exercise | (18,459,000) | (23,287,000) | (55,148,000) | (58,491,000) |
Realized Gain (Loss), net | (323,000) | 0 | (286,000) | 0 |
Interest Rate Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 1,909,792,000 | 7,915,818,000 | 6,102,655,000 | 56,403,253,000 |
Settlement, Termination, Expiration or Exercise | (520,150,000) | 0 | (1,712,401,000) | (83,710,905,000) |
Realized Gain (Loss), net | 5,220,000 | 0 | 5,267,000 | (334,502,000) |
Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | (740,000,000) | 6,000,000,000 | (941,000,000) | 7,017,000,000 |
Settlement, Termination, Expiration or Exercise | 0 | 0 | (3,750,000,000) | (2,274,000,000) |
Realized Gain (Loss), net | 0 | 0 | 2,245,000 | (50,700,000) |
TBAs [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 27,671,000,000 | 21,358,000,000 | 69,385,000,000 | 41,431,000,000 |
Settlement, Termination, Expiration or Exercise | (25,783,000,000) | (18,358,000,000) | (65,840,000,000) | (42,622,000,000) |
Realized Gain (Loss), net | 32,588,000 | 82,490,000 | (107,509,000) | (42,993,000) |
Put and Call Options for TBAs [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 1,000,000,000 | 1,000,000,000 | ||
Settlement, Termination, Expiration or Exercise | 0 | 0 | ||
End of Period Notional Amount | 1,000,000,000 | 1,000,000,000 | ||
Realized Gain (Loss), net | 0 | 0 | ||
U.S. Treasury and Eurodollar Futures [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 2,000,000,000 | |||
Additions | (1,688,300,000) | 2,552,500,000 | 6,234,500,000 | 10,782,500,000 |
Settlement, Termination, Expiration or Exercise | (4,738,300,000) | (1,685,900,000) | (14,168,700,000) | (9,535,900,000) |
End of Period Notional Amount | 5,900,000,000 | 5,900,000,000 | ||
Realized Gain (Loss), net | 28,354,000 | 3,291,000 | (32,368,000) | 26,295,000 |
Markit IOS Total Return Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 0 | |||
Settlement, Termination, Expiration or Exercise | (41,890,000) | |||
Realized Gain (Loss), net | (2,077,000) | |||
Net Long Position [Member] | Inverse Interest-Only Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 281,473,000 | 361,933,000 | 318,162,000 | 397,137,000 |
End of Period Notional Amount | 263,014,000 | 338,646,000 | 263,014,000 | 338,646,000 |
Average Notional Amount | (272,815,000) | (350,876,000) | (291,597,000) | (370,379,000) |
Net Long Position [Member] | Interest Rate Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 15,646,953,000 | 4,479,000,000 | 12,646,341,000 | 39,702,470,000 |
End of Period Notional Amount | 17,036,595,000 | 12,394,818,000 | 17,036,595,000 | 12,394,818,000 |
Average Notional Amount | (15,906,528,000) | (7,595,385,000) | (14,869,384,000) | (32,006,660,000) |
Net Long Position [Member] | Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 0 | 3,750,000,000 | 1,257,000,000 | |
End of Period Notional Amount | 6,000,000,000 | 6,000,000,000 | ||
Average Notional Amount | (239,130,000) | (13,802,000) | (956,387,000) | |
Net Long Position [Member] | TBAs [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 6,854,000,000 | 3,236,000,000 | 5,197,000,000 | 7,427,000,000 |
End of Period Notional Amount | 8,742,000,000 | 6,236,000,000 | 8,742,000,000 | 6,236,000,000 |
Average Notional Amount | (7,934,239,000) | (4,760,456,000) | (6,506,407,000) | (3,809,515,000) |
Net Long Position [Member] | Put and Call Options for TBAs [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 0 | 0 | ||
End of Period Notional Amount | 1,000,000,000 | 1,000,000,000 | ||
Average Notional Amount | (10,869,000) | (3,663,000) | ||
Net Long Position [Member] | U.S. Treasury and Eurodollar Futures [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 513,500,000 | 0 | 2,021,100,000 | |
End of Period Notional Amount | 866,600,000 | 866,600,000 | ||
Average Notional Amount | (986,795,000) | (681,497,000) | ||
Net Long Position [Member] | Markit IOS Total Return Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 41,890,000 | |||
End of Period Notional Amount | $ 0 | 0 | ||
Average Notional Amount | (13,547,000) | |||
Net Short Position [Member] | Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 201,000,000 | |||
End of Period Notional Amount | 941,000,000 | 941,000,000 | ||
Average Notional Amount | (209,043,000) | |||
Net Short Position [Member] | U.S. Treasury and Eurodollar Futures [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | $ 380,000,000 | |||
End of Period Notional Amount | 5,913,100,000 | 5,913,100,000 | ||
Average Notional Amount | $ (2,777,793,000) | $ (844,586,000) |
Derivative Instruments and He_4
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Derivatives, Fair Value [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 6,664,744 | $ 14,650,922 | ||||
Mortgage servicing rights, at fair value | 2,213,312 | $ 2,020,106 | 1,596,153 | $ 1,257,503 | $ 1,279,195 | $ 1,909,444 |
Interest-Only-Strip [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 365,200 | $ 245,900 |
Derivative Instruments and He_5
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) - USD ($) | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 20,187,509,000 | $ 23,094,926,000 | $ 23,932,603,000 | $ 25,836,064,000 | $ 8,076,933,000 | $ 48,445,497,000 |
Derivative assets | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 2,627,014,000 | 10,039,262,000 | ||||
Fair Value | 53,044,000 | 95,937,000 | ||||
Derivative liabilities | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 17,560,495,000 | 13,893,341,000 | ||||
Fair Value | (82,895,000) | (11,058,000) | ||||
TBAs [Member] | Derivative assets | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 1,478,000,000 | 7,700,000,000 | ||||
Fair Value | 2,556,000 | 30,062,000 | ||||
TBAs [Member] | Derivative liabilities | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 7,264,000,000 | 2,503,000,000 | ||||
Fair Value | (48,701,000) | (10,462,000) | ||||
TBAs [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 8,842,000,000 | 7,700,000,000 | ||||
Cost Basis | 9,126,540,000 | 8,102,344,000 | ||||
Market Value | 9,080,544,000 | 8,132,406,000 | ||||
TBAs [Member] | Long [Member] | Derivative assets | ||||||
Derivative [Line Items] | ||||||
Fair Value | 2,556,000 | 30,062,000 | ||||
TBAs [Member] | Long [Member] | Derivative liabilities | ||||||
Derivative [Line Items] | ||||||
Fair Value | (48,552,000) | 0 | ||||
TBAs [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 100,000,000 | 2,503,000,000 | ||||
Cost Basis | 107,031,000 | 2,640,465,000 | ||||
Market Value | 107,180,000 | 2,650,927,000 | ||||
TBAs [Member] | Short [Member] | Derivative assets | ||||||
Derivative [Line Items] | ||||||
Fair Value | 0 | 0 | ||||
TBAs [Member] | Short [Member] | Derivative liabilities | ||||||
Derivative [Line Items] | ||||||
Fair Value | (149,000) | (10,462,000) | ||||
TBAs [Member] | Net Long Position [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 8,742,000,000 | $ 6,854,000,000 | 5,197,000,000 | $ 6,236,000,000 | $ 3,236,000,000 | $ 7,427,000,000 |
Cost Basis | 9,019,509,000 | 5,461,879,000 | ||||
Market Value | 8,973,364,000 | 5,481,479,000 | ||||
TBAs [Member] | Net Long Position [Member] | Derivative assets | ||||||
Derivative [Line Items] | ||||||
Fair Value | 2,556,000 | 30,062,000 | ||||
TBAs [Member] | Net Long Position [Member] | Derivative liabilities | ||||||
Derivative [Line Items] | ||||||
Fair Value | $ (48,701,000) | $ (10,462,000) |
Derivative Instruments and He_6
Derivative Instruments and Hedging Activities Put and Call Options for TBAs (Details) - USD ($) | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||
Derivative, Notional Amount | $ 20,187,509,000 | $ 23,094,926,000 | $ 23,932,603,000 | $ 25,836,064,000 | $ 8,076,933,000 | $ 48,445,497,000 |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 20,187,509,000 | $ 23,094,926,000 | $ 23,932,603,000 | $ 25,836,064,000 | $ 8,076,933,000 | $ 48,445,497,000 |
Put and Call Options for TBAs [Member] | ||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||
Derivative, Notional Amount | 1,000,000,000 | |||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 1,000,000,000 | |||||
Fair Value | $ 4,000,000 |
Derivative Instruments and He_7
Derivative Instruments and Hedging Activities U.S. Treasury and Eurodollar Futures (Details) - USD ($) | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||||||
Notional | $ 20,187,509,000 | $ 23,094,926,000 | $ 23,932,603,000 | $ 25,836,064,000 | $ 8,076,933,000 | $ 48,445,497,000 |
Derivative assets | ||||||
Derivative [Line Items] | ||||||
Notional | 2,627,014,000 | 10,039,262,000 | ||||
Fair Value | 53,044,000 | 95,937,000 | ||||
Derivative liabilities | ||||||
Derivative [Line Items] | ||||||
Notional | 17,560,495,000 | 13,893,341,000 | ||||
Fair Value | (82,895,000) | (11,058,000) | ||||
U.S. Treasury and Eurodollar Futures [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 5,900,000,000 | 2,000,000,000 | ||||
U.S. Treasury and Eurodollar Futures [Member] | Derivative assets | ||||||
Derivative [Line Items] | ||||||
Notional | 0 | 2,021,100,000 | ||||
Fair Value | 0 | 3,675,000 | ||||
U.S. Treasury and Eurodollar Futures [Member] | Derivative liabilities | ||||||
Derivative [Line Items] | ||||||
Notional | 5,913,100,000 | 0 | ||||
Fair Value | $ (27,753,000) | $ 0 |
Derivative Instruments and He_8
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Payers (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||||
Mar. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||||||
Notional | $ 20,187,509,000 | $ 23,094,926,000 | $ 23,932,603,000 | $ 25,836,064,000 | $ 8,076,933,000 | $ 48,445,497,000 | |
Interest Rate Swap [Member] | Long [Member] | |||||||
Derivative [Line Items] | |||||||
Notional | $ 12,254,509,000 | $ 11,194,818,000 | |||||
Weighted Average Fixed Interest Rate | 0.137% | 0.067% | |||||
Weighted Average Variable Interest Rate | 0.059% | 0.09% | |||||
Weighted Average Remaining Maturity | 2 years 5 months 19 days | 2 years 14 days | |||||
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | Long [Member] | |||||||
Derivative [Line Items] | |||||||
Notional | $ 0 | $ 0 | |||||
Weighted Average Fixed Interest Rate | 0.00% | 0.00% | |||||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | |||||
Weighted Average Remaining Maturity | 0 years | 0 years | |||||
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Long [Member] | |||||||
Derivative [Line Items] | |||||||
Notional | $ 7,415,818,000 | $ 7,415,818,000 | |||||
Weighted Average Fixed Interest Rate | 0.042% | 0.042% | |||||
Weighted Average Variable Interest Rate | 0.06% | 0.09% | |||||
Weighted Average Remaining Maturity | 1 year 7 months 28 days | 10 months 28 days | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Long [Member] | |||||||
Derivative [Line Items] | |||||||
Notional | $ 2,582,084,000 | $ 2,281,500,000 | |||||
Weighted Average Fixed Interest Rate | 0.011% | 0.023% | |||||
Weighted Average Variable Interest Rate | 0.059% | 0.09% | |||||
Weighted Average Remaining Maturity | 2 years 5 months 23 days | 1 year 9 months 3 days | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Long [Member] | |||||||
Derivative [Line Items] | |||||||
Notional | $ 0 | $ 0 | |||||
Weighted Average Fixed Interest Rate | 0.00% | 0.00% | |||||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | |||||
Weighted Average Remaining Maturity | 0 years | 0 years | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Long [Member] | |||||||
Derivative [Line Items] | |||||||
Notional | $ 2,256,607,000 | $ 1,497,500,000 | |||||
Weighted Average Fixed Interest Rate | 0.474% | 0.257% | |||||
Weighted Average Variable Interest Rate | 0.058% | 0.09% | |||||
Weighted Average Remaining Maturity | 6 years 5 months 26 days | 6 years 18 days |
Derivative Instruments and He_9
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Receivers (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||||
Mar. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||||||
Notional | $ 20,187,509,000 | $ 23,094,926,000 | $ 23,932,603,000 | $ 25,836,064,000 | $ 8,076,933,000 | $ 48,445,497,000 | |
Interest Rate Swap [Member] | Short [Member] | |||||||
Derivative [Line Items] | |||||||
Notional | $ 4,782,086,000 | $ 1,451,523,000 | |||||
Weighted Average Variable Interest Rate | 0.059% | 0.09% | |||||
Weighted Average Fixed Interest Rate | 0.489% | 0.468% | |||||
Weighted Average Remaining Maturity | 9 years 5 months 26 days | 5 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 | $ 0 | $ 0 | |||||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | |||||
Weighted Average Fixed Interest Rate | 0.00% | 0.00% | |||||
Weighted Average Remaining Maturity | 0 years | 0 years | |||||
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Short [Member] | |||||||
Derivative [Line Items] | |||||||
Notional | $ 0 | $ 0 | |||||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | |||||
Weighted Average Fixed Interest Rate | 0.00% | 0.00% | |||||
Weighted Average Remaining Maturity | 0 years | 0 years | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Short [Member] | |||||||
Derivative [Line Items] | |||||||
Notional | $ 2,221,658,000 | $ 0 | |||||
Weighted Average Variable Interest Rate | 0.06% | 0.00% | |||||
Weighted Average Fixed Interest Rate | 0.118% | 0.00% | |||||
Weighted Average Remaining Maturity | 0 years | 1 year 5 months 8 days | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Short [Member] | |||||||
Derivative [Line Items] | |||||||
Notional | $ 0 | $ 0 | |||||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | |||||
Weighted Average Fixed Interest Rate | 0.00% | 0.00% | |||||
Weighted Average Remaining Maturity | 0 years | 0 years | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Short [Member] | |||||||
Derivative [Line Items] | |||||||
Notional | $ 2,560,428,000 | $ 1,451,523,000 | |||||
Weighted Average Variable Interest Rate | 0.059% | 0.09% | |||||
Weighted Average Fixed Interest Rate | 0.812% | 0.468% | |||||
Weighted Average Remaining Maturity | 9 years 5 months 26 days | 9 years 2 months 19 days |
Derivative Instruments and H_10
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||||
Mar. 31, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | |||||||
Notional | $ (20,187,509,000) | $ (23,094,926,000) | $ (23,932,603,000) | $ (25,836,064,000) | $ (8,076,933,000) | $ (48,445,497,000) | |
Interest Rate Swaption [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||||||
Derivative [Line Items] | |||||||
Cost Basis | (7,210,000) | ||||||
Fair Value | (2,448,000) | ||||||
Weighted Average Remaining Maturity | 4 months 7 days | ||||||
Interest Rate Swaption [Member] | Long [Member] | Variable Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | |||||||
Derivative [Line Items] | |||||||
Cost Basis | (11,314,000) | ||||||
Fair Value | $ (6,715,000) | ||||||
Weighted Average Remaining Maturity | 8 months 9 days | ||||||
Interest Rate Swaption [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||||||
Derivative [Line Items] | |||||||
Cost Basis | (3,010,000) | ||||||
Fair Value | 0 | ||||||
Weighted Average Remaining Maturity | 29 days | ||||||
Interest Rate Swaption [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||||||
Derivative [Line Items] | |||||||
Cost Basis | $ (4,144,000) | ||||||
Fair Value | $ (4,096,000) | ||||||
Weighted Average Remaining Maturity | 2 months 6 days | ||||||
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||||||
Derivative [Line Items] | |||||||
Cost Basis | (2,600,000) | ||||||
Fair Value | (3,044,000) | ||||||
Weighted Average Remaining Maturity | 5 months 4 days | ||||||
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | |||||||
Derivative [Line Items] | |||||||
Cost Basis | $ (10,640,000) | ||||||
Fair Value | $ (8,300,000) | ||||||
Weighted Average Remaining Maturity | 8 months 3 days | ||||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||||||
Derivative [Line Items] | |||||||
Weighted Average Remaining Maturity | 10 years | ||||||
Notional | $ (2,800,000,000) | ||||||
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 | 1.32% | ||||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | |||||||
Derivative [Line Items] | |||||||
Weighted Average Remaining Maturity | 10 years | ||||||
Notional | $ (886,000,000) | ||||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | London Interbank Offered Rate (LIBOR) [Member] | |||||||
Derivative [Line Items] | |||||||
Weighted Average Fixed Interest Rate | 2.26% | ||||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||||||
Derivative [Line Items] | |||||||
Weighted Average Remaining Maturity | 10 years | ||||||
Notional | $ (2,000,000,000) | ||||||
Underlying Swap [Member] | Long [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 | 0.23% | ||||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||||||
Derivative [Line Items] | |||||||
Weighted Average Remaining Maturity | 10 years | ||||||
Notional | $ (740,000,000) | ||||||
Underlying Swap [Member] | Short [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 | 1.77% | ||||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||||||
Derivative [Line Items] | |||||||
Weighted Average Remaining Maturity | 10 years | ||||||
Notional | $ (1,050,000,000) | ||||||
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 | 0.55% | ||||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | |||||||
Derivative [Line Items] | |||||||
Weighted Average Remaining Maturity | 10 years | ||||||
Notional | $ (1,087,000,000) | ||||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Greater than or Equal to Six Months Remaining Maturity | London Interbank Offered Rate (LIBOR) [Member] | |||||||
Derivative [Line Items] | |||||||
Weighted Average Fixed Interest Rate | 1.26% |
Derivative Instruments and H_11
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Derivative assets, at fair value | $ 53,044 | $ 95,937 |
Derivative liabilities, at fair value | $ (82,895) | $ (11,058) |
Reverse Repurchase Agreements (
Reverse Repurchase Agreements (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Reverse Repurchase Agreements [Abstract] | ||
Amounts due to counterparties as collateral for reverse repurchase agreements | $ 52,000 | $ 89,500 |
Reverse repurchase agreements | $ 85,000 | $ 91,525 |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Offsetting [Abstract] | ||
Gross amount of recognized derivative assets | $ 144,956 | $ 124,023 |
Gross amount of derivative liabilities offset against derivative assets in the balance sheet | 91,912 | 28,086 |
Net amount of derivative assets presented in the balance sheet | 53,044 | 95,937 |
Gross amount of derivative liabilities not offset against derivative assets in the balance sheet | 53,044 | 11,058 |
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 | 0 | 84,879 |
Gross amount of recognized reverse repurchase agreements | 85,000 | 91,525 |
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 | 85,000 | 91,525 |
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 | (51,959) | (89,469) |
Net amount of reverse repurchase agreements after effects of amounts offset and not offset in the balance sheet | 33,041 | 2,056 |
Gross amount of recognized assets subject to master netting arrangements or similar agreements | 229,956 | 215,548 |
Gross amount of liabilities offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 91,912 | 28,086 |
Net amount of assets subject to master netting arrangements or similar agreements presented in the balance sheet | 138,044 | 187,462 |
Gross amount of liabilities not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 53,044 | 11,058 |
Gross amount of cash collateral received not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 51,959 | 89,469 |
Net amount of assets subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | 33,041 | 86,935 |
Gross amount of recognized repurchase agreements | 7,123,701 | 15,143,898 |
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 | 7,123,701 | 15,143,898 |
Gross amount of financial assets not offset against repurchase agreements in the balance sheet | 7,123,701 | 15,143,898 |
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 | 174,807 | 39,144 |
Gross amount of derivative assets offset against derivative liabilities in the balance sheet | 91,912 | 28,086 |
Net amount of derivative liabilities presented in the balance sheet | 82,895 | 11,058 |
Gross amount of derivatives assets not offset against derivative liabilities in the balance sheet | 53,044 | 11,058 |
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 | 29,851 | 0 |
Gross amount of recognized liabilities subject to master netting arrangements or similar agreements | 7,298,508 | 15,183,042 |
Gross amount of assets offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 91,912 | 28,086 |
Net amount of liabilities subject to master netting arrangements or similar agreements presented in the balance sheet | 7,206,596 | 15,154,956 |
Gross amount of assets not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 7,176,745 | 15,154,956 |
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 | $ 29,851 | $ 0 |
Fair Value, Measurement Inputs,
Fair Value, Measurement Inputs, Disclosure (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Debt Securities, Available-for-sale, Categorized as Level 2 Assets | 99.90% | |||||
Debt Securities, Available-for-sale, Categorized as Level 3 Assets | 0.10% | |||||
Assets Reported at Fair Value, Debt Securities, Available-for-sale | 74.60% | |||||
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 | $ 2,213,312 | $ 2,020,106 | $ 1,596,153 | $ 1,257,503 | $ 1,279,195 | $ 1,909,444 |
Derivative assets, at fair value | 53,044 | 95,937 | ||||
Derivative liabilities, at fair value | 82,895 | 11,058 | ||||
Fair Value, Recurring [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale securities | 6,664,744 | 14,650,922 | ||||
Mortgage servicing rights | 2,213,312 | 1,596,153 | ||||
Derivative assets, at fair value | 53,044 | 95,937 | ||||
Total assets | 8,931,100 | 16,343,012 | ||||
Derivative liabilities, at fair value | 82,895 | 11,058 | ||||
Total liabilities | 82,895 | 11,058 | ||||
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 | 2,556 | 33,737 | ||||
Total assets | 2,556 | 33,737 | ||||
Derivative liabilities, at fair value | 76,454 | 10,462 | ||||
Total liabilities | 76,454 | 10,462 | ||||
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 | 6,656,571 | 14,637,891 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Derivative assets, at fair value | 50,488 | 62,200 | ||||
Total assets | 6,707,059 | 14,700,091 | ||||
Derivative liabilities, at fair value | 6,441 | 596 | ||||
Total liabilities | 6,441 | 596 | ||||
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 | 8,173 | 13,031 | ||||
Mortgage servicing rights | 2,213,312 | 1,596,153 | ||||
Derivative assets, at fair value | 0 | 0 | ||||
Total assets | 2,221,485 | 1,609,184 | ||||
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, 2021 | Sep. 30, 2021 | |
Available-for-sale securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | $ 5,559 | $ 13,031 |
Realized (losses) gains | (939) | (7,931) |
Unrealized (losses) gains | (22) | (22) |
Provision for credit losses | 1,340 | 9,138 |
Total gains (losses) included in net income | 379 | 1,185 |
Other comprehensive (loss) income | (2,124) | (8,825) |
Purchases | 4,358 | 4,358 |
Sales | 0 | (1,577) |
Settlements | 0 | 0 |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 8,172 | 8,172 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | (22) | (22) |
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 | (2,124) | (8,826) |
Mortgage servicing rights | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | 2,020,106 | 1,596,153 |
Realized (losses) gains | (155,371) | (524,767) |
Unrealized (losses) gains | 112,871 | 541,654 |
Provision for credit losses | 0 | 0 |
Total gains (losses) included in net income | (42,500) | 16,887 |
Other comprehensive (loss) income | 0 | 0 |
Purchases | 282,719 | 656,468 |
Sales | (32,354) | (32,354) |
Settlements | (14,659) | (23,842) |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 2,213,312 | 2,213,312 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 109,640 | 464,180 |
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, 2021 | Dec. 31, 2020 |
Measurement Input, Constant Prepayment Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.131 | 0.194 |
Measurement Input, Constant Prepayment Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.104 | 0.141 |
Measurement Input, Constant Prepayment Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.178 | 0.235 |
Measurement Input, Delinquency [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.013 | 0.022 |
Measurement Input, Delinquency [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.008 | 0.015 |
Measurement Input, Delinquency [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.020 | 0.026 |
Measurement Input, Discount Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.047 | 0.048 |
Measurement Input, Discount Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.046 | 0.047 |
Measurement Input, Discount Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.092 | 0.097 |
Measurement Input, Per Loan Annual Cost to Service [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 66.69 | 68.27 |
Measurement Input, Per Loan Annual Cost to Service [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 66.24 | 64.56 |
Measurement Input, Per Loan Annual Cost to Service [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 83.77 | 79.43 |
Fair Value by Balance Sheet Gro
Fair Value by Balance Sheet Grouping (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 6,664,744 | $ 14,650,922 | ||||
Mortgage servicing rights, at fair value | 2,213,312 | $ 2,020,106 | 1,596,153 | $ 1,257,503 | $ 1,279,195 | $ 1,909,444 |
Cash and cash equivalents | 1,076,216 | 1,384,764 | ||||
Restricted cash | 783,974 | 1,261,667 | ||||
Derivative assets, at fair value | 53,044 | 95,937 | ||||
Reverse repurchase agreements | 85,000 | 91,525 | ||||
Other assets | 3,335 | 13,292 | ||||
Repurchase agreements | 7,123,701 | 15,143,898 | ||||
Revolving credit facilities | 420,761 | 283,830 | ||||
Term notes payable | 396,479 | 395,609 | ||||
Term notes payable, at fair value | 396,595 | 380,000 | ||||
Convertible senior notes | 424,270 | 286,183 | ||||
Convertible senior notes, at fair value | 442,324 | 291,376 | ||||
Derivative liabilities, at fair value | 82,895 | 11,058 | ||||
Maturity Over One Year [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Repurchase agreements | 0 | 0 | ||||
Revolving credit facilities | $ 146,250 | $ 223,830 |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Mar. 31, 2021 | Sep. 30, 2021 | Dec. 31, 2020 | |
Disclosure of Repurchase Agreements [Abstract] | |||
Repurchase agreements | $ 7,123,701 | $ 15,143,898 | |
Weighted average borrowing rate | 0.25% | 0.28% | |
Weighted average remaining maturity | 58 days | 111 days |
Schedule of Repurchase Agreemen
Schedule of Repurchase Agreements by Term, Short or Long (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 7,123,701 | $ 15,143,898 |
Maturity up to One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 7,123,701 | 15,143,898 |
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, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 7,123,701 | $ 15,143,898 |
Weighted average borrowing rate | 0.25% | 0.28% |
US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 6,954,233 | $ 15,089,726 |
Weighted average borrowing rate | 0.18% | 0.28% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 729 | $ 1,899 |
Weighted average borrowing rate | 1.82% | 2.33% |
Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 43,739 | $ 52,273 |
Weighted average borrowing rate | 0.71% | 0.89% |
Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 125,000 | $ 0 |
Weighted average borrowing rate | 4.00% | 0.00% |
Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 1,737,055 | $ 5,370,506 |
Maturity up to 30 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,712,411 | 5,330,627 |
Maturity up to 30 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 524 | 1,271 |
Maturity up to 30 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 24,120 | 38,608 |
Maturity up to 30 days [Member] | Mortgage servicing rights | ||
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 | 79,893 | 4,292,861 |
Maturity 30 to 59 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 61,442 | 4,292,861 |
Maturity 30 to 59 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 30 to 59 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 18,451 | 0 |
Maturity 30 to 59 Days [Member] | Mortgage servicing rights | ||
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 | 2,062,234 |
Maturity 60 to 89 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 2,060,087 |
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 | 628 |
Maturity 60 to 89 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 1,519 |
Maturity 60 to 89 Days [Member] | Mortgage servicing rights | ||
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 | 1,310,649 | 1,610,198 |
Maturity 90 to 119 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,310,649 | 1,598,052 |
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 | 0 |
Maturity 90 to 119 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 12,146 |
Maturity 90 to 119 Days [Member] | Mortgage servicing rights | ||
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 | 3,996,104 | 1,808,099 |
Maturity 120 to 364 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 3,869,731 | 1,808,099 |
Maturity 120 to 364 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 205 | 0 |
Maturity 120 to 364 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,168 | 0 |
Maturity 120 to 364 days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 125,000 | $ 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, 2021 | Dec. 31, 2020 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 8,034,337 | $ 15,787,325 |
Available-for-sale securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 6,471,617 | 14,633,217 |
Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 735,837 | 0 |
Restricted cash | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 497,235 | 1,071,239 |
Due from counterparties | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 285,865 | 21,312 |
Derivative assets | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 43,783 | $ 61,557 |
Repurchase Agreement Counterpar
Repurchase Agreement Counterparties with Whom Amount at Risk Exceeds 10 Percent of Stockholders' Equity (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Mar. 31, 2021 | Sep. 30, 2021USD ($)numberOfPositions | Dec. 31, 2020USD ($)numberOfPositions | |
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements | $ 7,123,701 | $ 15,143,898 | |
Net counterparty exposure | $ 647,671 | $ 527,045 | |
Weighted average remaining maturity | 58 days | 111 days | |
Number of repurchase agreement counterparties with whom amount at risk is less than 10 percent of stockholders' equity | numberOfPositions | 16 | 20 | |
Credit Suisse | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements | $ 125,000 | $ 0 | |
Net counterparty exposure | $ 328,262 | $ 0 | |
Percent of equity of the amount at risk under repurchase agreements | 12.00% | 0.00% | |
Weighted average remaining maturity | 182 days | 0 days | |
All other counterparties | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements | $ 6,998,701 | $ 15,143,898 | |
Net counterparty exposure | $ 319,409 | $ 527,045 | |
Percent of equity of the amount at risk under repurchase agreements | 12.00% | 17.00% | |
Weighted average remaining maturity | 110 days | 58 days |
Revolving Credit Facilities (De
Revolving Credit Facilities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Mar. 31, 2021 | Sep. 30, 2021 | Dec. 31, 2020 | |
Line of Credit Facility [Line Items] | |||
Revolving credit facilities | $ 420,761 | $ 283,830 | |
Weighted average borrowing rate | 3.42% | 2.95% | |
Weighted average remaining maturity | 1 year 1 month 6 days | 1 year 6 months |
Schedule of Revolving Credit Fa
Schedule of Revolving Credit Facilities by Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | $ 420,761 | $ 283,830 |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | 2,100,000 | 1,100,000 |
Servicing advances pledged as collateral for borrowings | 28,000 | 28,500 |
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 | 274,511 | 60,000 |
Maturity Over One Year [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 146,250 | 223,830 |
Line of Credit [Member] | ||
Line of Credit Facility [Line Items] | ||
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 822,000 | $ 608,800 |
Term Notes Payable (Details)
Term Notes Payable (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Mar. 31, 2021 | Sep. 30, 2021 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | |||
Term notes payable | $ 396,479 | $ 395,609 | |
Weighted average interest rate | 2.89% | 2.95% | |
Weighted average remaining maturities | 3 years 6 months | 2 years 8 months 12 days | |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 2,100,000 | $ 1,100,000 | |
Weighted average underlying loan coupon of mortgage servicing rights pledged as collateral for borrowings | 3.41% | 4.03% | |
Restricted cash | $ 783,974 | $ 1,261,667 | |
Term notes payable | |||
Debt Instrument [Line Items] | |||
Aggregate principal amount | 400,000 | ||
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | |||
Debt Instrument [Line Items] | |||
Restricted cash | 497,435 | 1,126,439 | |
Term notes payable | |||
Debt Instrument [Line Items] | |||
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | 500,000 | 537,900 | |
Term notes payable | Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | |||
Debt Instrument [Line Items] | |||
Restricted cash | $ 200 | $ 55,200 |
Convertible Senior Notes (Detai
Convertible Senior Notes (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021USD ($) | Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Sep. 30, 2017USD ($) | Dec. 31, 2020USD ($) | |
Debt Instrument, Redemption [Line Items] | |||||
Repurchase of convertible senior notes | $ 143,118 | $ 0 | |||
Convertible senior notes | $ 424,270 | $ 424,270 | $ 286,183 | ||
Maturity Year 2022 | |||||
Debt Instrument, Redemption [Line Items] | |||||
Proceeds from convertible senior notes | $ 282,200 | ||||
Convertible senior notes conversion ratio | 0.0632040 | 0.0632040 | |||
Maturity Year 2026 | |||||
Debt Instrument, Redemption [Line Items] | |||||
Convertible senior notes conversion ratio | 0.1355014 | ||||
Convertible Debt [Member] | Maturity Year 2022 | |||||
Debt Instrument, Redemption [Line Items] | |||||
Aggregate principal amount | $ 143,800 | $ 143,800 | $ 287,500 | ||
Convertible senior notes interest rate per annum | 6.25% | 6.25% | |||
Repurchase of convertible senior notes | $ 143,700 | ||||
Convertible Debt [Member] | Maturity Year 2026 | |||||
Debt Instrument, Redemption [Line Items] | |||||
Aggregate principal amount | $ 287,500 | $ 287,500 | |||
Proceeds from convertible senior notes | $ 279,900 | ||||
Convertible senior notes interest rate per annum | 6.25% | 6.25% |
Stockholders' Equity Redeemable
Stockholders' Equity Redeemable Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands | Feb. 04, 2021 | Sep. 30, 2021 | Dec. 31, 2020 |
Class of Stock [Line Items] | |||
Preferred shares outstanding (in shares) | 29,050,000 | 40,050,000 | |
Preferred stock carrying value | $ 702,550 | ||
Preferred stock liquidation preference per share (in usd per share) | $ 25 | $ 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 | $ 285,584 | ||
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 stock dividend rate | 7.75% | ||
Series E Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Preferred stock dividend rate | 7.50% |
Stockholders' Equity Schedule o
Stockholders' Equity Schedule of Preferred Dividends Declared (Details) - $ / shares | 3 Months Ended | |||||||
Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Feb. 04, 2021 | |
Class of Stock [Line Items] | ||||||||
Preferred stock liquidation preference per share (in usd per share) | $ 25 | $ 25 | ||||||
Series A Preferred Stock [Member] | ||||||||
Class of Stock [Line Items] | ||||||||
Declaration Date | Sep. 21, 2021 | Jun. 17, 2021 | Mar. 18, 2021 | Dec. 17, 2020 | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | |
Record Date | Oct. 13, 2021 | Jul. 12, 2021 | Apr. 12, 2021 | Jan. 12, 2021 | Oct. 12, 2020 | Jul. 10, 2020 | Apr. 16, 2020 | |
Payment Date | Oct. 27, 2021 | Jul. 27, 2021 | Apr. 27, 2021 | Jan. 27, 2021 | Oct. 27, 2020 | Jul. 27, 2020 | Apr. 29, 2020 | |
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, 2021 | Jun. 17, 2021 | Mar. 18, 2021 | Dec. 17, 2020 | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | |
Record Date | Oct. 13, 2021 | Jul. 12, 2021 | Apr. 12, 2021 | Jan. 12, 2021 | Oct. 12, 2020 | Jul. 10, 2020 | Apr. 16, 2020 | |
Payment Date | Oct. 27, 2021 | Jul. 27, 2021 | Apr. 27, 2021 | Jan. 27, 2021 | Oct. 27, 2020 | Jul. 27, 2020 | Apr. 29, 2020 | |
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, 2021 | Jun. 17, 2021 | Mar. 18, 2021 | Dec. 17, 2020 | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | |
Record Date | Oct. 13, 2021 | Jul. 12, 2021 | Apr. 12, 2021 | Jan. 12, 2021 | Oct. 12, 2020 | Jul. 10, 2020 | Apr. 16, 2020 | |
Payment Date | Oct. 27, 2021 | Jul. 27, 2021 | Apr. 27, 2021 | Jan. 27, 2021 | Oct. 27, 2020 | Jul. 27, 2020 | Apr. 29, 2020 | |
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 | Feb. 4, 2021 | Dec. 17, 2020 | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | |||
Record Date | Mar. 15, 2021 | Jan. 1, 2021 | Oct. 1, 2020 | Jul. 1, 2020 | Apr. 16, 2020 | |||
Payment Date | Mar. 15, 2021 | Jan. 15, 2021 | Oct. 15, 2020 | Jul. 15, 2020 | Apr. 29, 2020 | |||
Dividends declared per preferred share (in usd per share) | $ 0.322920 | $ 0.484375 | $ 0.484375 | $ 0.484375 | $ 0.484375 | |||
Series E Preferred Stock [Member] | ||||||||
Class of Stock [Line Items] | ||||||||
Declaration Date | Feb. 4, 2021 | Dec. 17, 2020 | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | |||
Record Date | Mar. 15, 2021 | Jan. 1, 2021 | Oct. 1, 2020 | Jul. 1, 2020 | Apr. 16, 2020 | |||
Payment Date | Mar. 15, 2021 | Jan. 15, 2021 | Oct. 15, 2020 | Jul. 15, 2020 | Apr. 29, 2020 | |||
Dividends declared per preferred share (in usd per share) | $ 0.312500 | $ 0.468750 | $ 0.468750 | $ 0.468750 | $ 0.468750 |
Stockholders' Equity Common Sto
Stockholders' Equity Common Stock Rollforward (Details) - USD ($) $ / shares in Units, $ in Thousands | Jul. 14, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
Class of Stock [Line Items] | |||||||||
Number of shares of stock issued during period (in shares) | 40,000,000 | ||||||||
Price per share of common stock issued during period (in usd per share) | $ 6.42 | ||||||||
Issuance of stock, net of offering costs | $ 256,500 | $ 256,611 | $ 93 | $ 99 | $ 75 | $ 95 | $ 142 | ||
Days within which shares may be purchased by underwriters | 30 days | ||||||||
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||||||||
Common shares outstanding at beginning of period (in shares) | 273,703,882 | 273,703,882 | |||||||
Number of shares of stock issued during period (in shares) | 40,000,000 | ||||||||
Number of shares of common stock repurchased during period (in shares) | 0 | 0 | 0 | (105,300) | |||||
Common shares outstanding at end of period (in shares) | 313,900,227 | 313,900,227 | |||||||
Common Stock [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Number of shares of stock issued during period (in shares) | 40,051,592 | 50,729 | |||||||
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||||||||
Common shares outstanding at beginning of period (in shares) | 273,703,882 | 272,935,731 | 273,703,882 | 272,935,731 | |||||
Number of shares of stock issued during period (in shares) | 40,051,592 | 50,729 | |||||||
Number of shares of restricted common stock issued during period (in shares) | 144,753 | 813,251 | |||||||
Number of shares of common stock repurchased during period (in shares) | 0 | (105,300) | |||||||
Common shares outstanding at end of period (in shares) | 313,900,227 | 273,694,411 | 313,900,227 | 273,694,411 | |||||
Common Stock [Member] | Over-Allotment Option [Member] | |||||||||
Class of Stock [Line Items] | |||||||||
Number of shares of stock issued during period (in shares) | 6,000,000 | ||||||||
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||||||||
Number of shares of stock issued during period (in shares) | 6,000,000 |
Stockholders' Equity Schedule_2
Stockholders' Equity Schedule of Common Dividends Declared (Details) - $ / shares | Apr. 06, 2020 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
Class of Stock [Line Items] | ||||||||||
Dividends declared per common share (in usd per share) | $ 0.17 | $ 0.14 | $ 0.51 | $ 0.33 | ||||||
Common Stock [Member] | ||||||||||
Class of Stock [Line Items] | ||||||||||
Declaration Date | Sep. 21, 2021 | Jun. 17, 2021 | Mar. 18, 2021 | Dec. 17, 2020 | Sep. 21, 2020 | Jun. 18, 2020 | Apr. 6, 2020 | |||
Record Date | Oct. 1, 2021 | Jun. 29, 2021 | Mar. 29, 2021 | Dec. 30, 2020 | Oct. 1, 2020 | Jun. 30, 2020 | Apr. 16, 2020 | |||
Payment Date | Oct. 29, 2021 | Jul. 29, 2021 | Apr. 29, 2021 | Jan. 29, 2021 | Oct. 29, 2020 | Jul. 29, 2020 | Apr. 29, 2020 | |||
Dividends declared per common share (in usd per share) | $ 0.05 | $ 0.170000 | $ 0.170000 | $ 0.170000 | $ 0.170000 | $ 0.140000 | $ 0.140000 | $ 0.050000 |
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, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
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) | 370,605 | 370,605 | ||
Accumulated proceeds from issuance of common shares from dividend reinvestment plan | $ 5.6 | $ 5.6 | ||
Number of common shares issued during period from dividend reinvestment plan (in shares) | 12,374 | 13,968 | 39,392 | 50,729 |
Proceeds from issuance of common shares during period from dividend reinvestment plan | $ 0.1 | $ 0.1 | $ 0.3 | $ 0.3 |
Stockholders' Equity Share Repu
Stockholders' Equity Share Repurchase Program (Details) - USD ($) $ in Thousands | Jul. 14, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
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 | 0 | 0 | 105,300 | |||||
Repurchase of common stock | $ 0 | $ 0 | $ 1,064 | $ 0 | $ 1,100 | ||||
Number of shares of stock issued during period (in shares) | 40,000,000 | ||||||||
Issuance of stock, net of offering costs | $ 256,500 | $ 256,611 | $ 93 | $ 99 | $ 75 | $ 95 | $ 142 |
Stockholders' Equity At-the-Mar
Stockholders' Equity At-the-Market Offering (Details) - USD ($) $ in Thousands | Jul. 14, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
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) | 7,502,435 | 7,502,435 | |||||||
Accumulated proceeds from issuance of common shares under equity distribution agreement | $ 128,700 | $ 128,700 | |||||||
Number of shares of stock issued during period (in shares) | 40,000,000 | ||||||||
Issuance of stock, net of offering costs | $ 256,500 | $ 256,611 | $ 93 | $ 99 | $ 75 | $ 95 | $ 142 | ||
At the Market Offering [Member] | |||||||||
Subsidiary, Sale of Stock [Line Items] | |||||||||
Number of shares of stock issued during period (in shares) | 12,200 | 0 | 12,200 | 0 | |||||
Issuance of stock, net of offering costs | $ 100 | $ 0 | $ 100 | $ 0 |
Stockholders' Equity Schedule_3
Stockholders' Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | Sep. 30, 2021 | Dec. 31, 2020 |
Equity [Abstract] | ||
Unrealized gains | $ 321,024 | $ 661,734 |
Unrealized losses | (21,125) | (20,133) |
Accumulated other comprehensive income | $ 299,899 | $ 641,601 |
Stockholders' Equity Reclassifi
Stockholders' Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||||||
Unrealized gains and losses on investment securities reclassified from accumulated other comprehensive income, net of tax | $ (28,642) | $ 9,107 | $ (119,991) | $ 1,037,222 | ||||
Reclassification from Accumulated Other Comprehensive Income, Current Period, Net of Tax | 18,765 | $ 5,100 | $ 68,565 | 0 | $ 38,305 | $ 432,996 | ||
Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||||||
Unrealized gains and losses on investment securities reclassified from accumulated other comprehensive income, net of tax | $ (18,800) | $ 0 | $ (92,400) | $ (471,300) |
Equity Incentive Plans (Details
Equity Incentive Plans (Details) | 9 Months Ended |
Sep. 30, 2021shares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Maximum number of shares that may be issued to any person under equity incentive plans, as a proportion of outstanding common stock | 9.80% |
2021 Equity Incentive Plan | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of equity-based awards reserved for issuance under equity incentive plans (in shares) | 17,000,000 |
Second Restated 2009 Equity Incentive Plan | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of equity-based awards reserved for issuance under equity incentive plans (in shares) | 6,500,000 |
Schedule of Share-based Compens
Schedule of Share-based Compensation, Restricted Stock Units Activity (Details) - $ / shares | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Period from payment date of quarterly dividend that DERs on RSUs are paid in cash | 60 days | |
Restricted Stock Units (RSUs) | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of nonvested equity awards outstanding at beginning of period (in shares) | 0 | 0 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 0 | $ 0 |
Number of equity awards granted during period under equity incentive plans (in shares) | 1,336,717 | 0 |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 7.10 | $ 0 |
Number of equity awards vested during period (in shares) | (157,342) | 0 |
Weighted average grant date fair value of equity awards vested during period (in usd per share) | $ (7.15) | $ 0 |
Number of equity awards forfeited during period (in shares) | 0 | 0 |
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ 0 | $ 0 |
Number of nonvested equity awards outstanding at end of period (in shares) | 1,179,375 | 0 |
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 7.10 | $ 0 |
Restricted Stock Units (RSUs) | Key Employees [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Award vesting period of equity awards granted during period under equity incentive plans | 3 years | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of equity awards granted during period under equity incentive plans (in shares) | 1,189,518 | |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 7.10 | |
Restricted Stock Units (RSUs) | Director [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Award vesting period of equity awards granted during period under equity incentive plans | 1 year | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of equity awards granted during period under equity incentive plans (in shares) | 147,199 | |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 7.15 |
Schedule of Share-based Compe_2
Schedule of Share-based Compensation, Performance Share Units Activity (Details) - $ / shares | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | Dec. 31, 2019 | |
Minimum [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Ultimate percentage of common shares to be vested per PSU award | 0.00% | |||
Maximum [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Ultimate percentage of common shares to be vested per PSU award | 200.00% | |||
Performance Shares Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Award vesting period of equity awards granted during period under equity incentive plans | 3 years | |||
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 (in shares) | 438,396 | 0 | 0 | 0 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 0 | $ 0 | ||
Number of equity awards granted during period under equity incentive plans (in shares) | 511,473 | 0 | ||
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 8.67 | $ 0 | ||
Number of equity awards vested during period (in shares) | 0 | 0 | ||
Weighted average grant date fair value of equity awards vested during period (in usd per share) | $ 0 | $ 0 | ||
Number of equity awards forfeited during period (in shares) | (73,077) | 0 | ||
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ (8.67) | $ 0 | ||
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 8.67 | $ 0 |
Schedule of Share-based Compe_3
Schedule of Share-based Compensation, Restricted Common Stock Activity (Details) - Restricted Stock - $ / shares | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of nonvested equity awards outstanding at beginning of period (in shares) | 1,221,995 | 1,062,901 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 13.80 | $ 15.26 |
Number of equity awards granted during period under equity incentive plans (in shares) | 20,979 | 855,712 |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 7.15 | $ 13.16 |
Number of equity awards vested during period (in shares) | (754,119) | (653,132) |
Weighted average grant date fair value of equity awards vested during period (in usd per share) | $ (12.94) | $ (15.30) |
Number of equity awards forfeited during period (in shares) | (33,568) | (42,461) |
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ (5.07) | $ (14.58) |
Number of nonvested equity awards outstanding at end of period (in shares) | 455,287 | 1,223,020 |
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 15.56 | $ 13.80 |
Director [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Award vesting period of equity awards granted during period under equity incentive plans | 1 year | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of equity awards granted during period under equity incentive plans (in shares) | 20,979 | 168,942 |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 7.15 | $ 4.75 |
Key Employees [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Award vesting period of equity awards granted during period under equity incentive plans | 3 years | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of equity awards granted during period under equity incentive plans (in shares) | 686,770 | |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 15.23 |
Share-Based Compensation Costs
Share-Based Compensation Costs (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Share-based Payment Arrangement [Abstract] | ||||
Compensation costs related to equity awards | $ 2,600 | $ 2,900 | $ 9,000 | $ 7,500 |
Compensation cost not yet recognized | $ 8,800 | $ 8,800 | ||
Weighted-average period over which unrecognized compensation cost is expected to be recognized | 1 year 1 month 6 days |
Restructuring Charges (Details)
Restructuring Charges (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | 7 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Jun. 30, 2020USD ($) | Aug. 14, 2020numberOfPositions | Sep. 30, 2021USD ($) | Sep. 30, 2020USD ($) | Dec. 31, 2020USD ($) | |
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 | ||||||
Period over which the average annual base management fee is calculated for purposes of determining the management agreement termination fee | 24 months | ||||||
Restructuring charges | $ 0 | $ (139,788) | $ 0 | $ 6,000 | $ 5,700 | ||
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, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Income Tax Disclosure [Abstract] | ||||
Percent of REIT taxable income the entity intends to distribute | 100.00% | 100.00% | ||
Provision for (benefit from) income taxes | $ 325 | $ (8,202) | $ 2,088 | $ (39,504) |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||
Net income (loss) | $ 66,324 | $ 201,914 | $ 188,521 | $ (1,841,306) |
Dividends on preferred stock | 13,748 | 18,950 | 44,711 | 56,851 |
Dividends and undistributed earnings allocated to participating restricted stock units | 200 | 0 | 532 | 0 |
Net income (loss) attributable to common stockholders, basic | $ 52,376 | $ 182,964 | $ 143,278 | $ (1,898,157) |
Weighted average basic common shares (in shares) | 307,773,420 | 273,705,785 | 285,192,353 | 273,567,998 |
Basic earnings (loss) per weighted average common share | $ 0.17 | $ 0.67 | $ 0.50 | $ (6.94) |
Reallocation impact of undistributed earnings to participating restricted stock units | $ (13) | $ 0 | $ (24) | $ 0 |
Interest expense attributable to convertible notes | 4,848 | 4,812 | 12,755 | 0 |
Net income (loss) attributable to common stockholders, diluted | $ 57,211 | $ 187,776 | $ 156,009 | $ (1,898,157) |
Effect of dilutive shares issued in an assumed vesting of performance share units (in shares) | 0 | 0 | 240,759 | 0 |
Effect of dilutive shares issued in an assumed conversion (in shares) | 38,956,653 | 18,171,150 | 34,533,003 | 0 |
Weighted average diluted common shares (in shares) | 346,730,073 | 291,876,935 | 319,966,115 | 273,567,998 |
Diluted earnings (loss) per weighted average common share | $ 0.17 | $ 0.64 | $ 0.49 | $ (6.94) |
Convertible Debt Securities | ||||
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||
Interest expense attributable to antidilutive convertible notes excluded from computation of earnings per share | $ 2,400 | $ 8,000 | $ 14,300 | |
Antidilutive securities excluded from computation of earnings per share (in shares) | 9,087,092 | 14,314,176 | 18,171,150 | |
Performance Shares Units | ||||
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||
Antidilutive securities excluded from computation of earnings per share (in shares) | 438,396 |
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, 2021 | Sep. 30, 2020 | Aug. 14, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Related Party Transaction [Line Items] | |||||
Management fees | $ 0 | $ 5,759 | $ 0 | $ 31,738 | |
PRCM Advisers LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Percent per annum of equity used to calculate management fees | 1.50% | ||||
Management fees | 5,800 | 31,700 | |||
Direct and allocated costs incurred by manager | $ 3,200 | $ 19,300 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Thousands | Oct. 28, 2021 | Jul. 14, 2021 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Sep. 30, 2021 | Sep. 30, 2020 |
Subsequent Event [Line Items] | ||||||||||
Number of shares of stock issued during period (in shares) | 40,000,000 | |||||||||
Price per share of common stock issued during period (in usd per share) | $ 6.42 | |||||||||
Issuance of stock, net of offering costs | $ 256,500 | $ 256,611 | $ 93 | $ 99 | $ 75 | $ 95 | $ 142 | |||
Days within which shares may be purchased by underwriters | 30 days | |||||||||
Common Stock [Member] | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Number of shares of stock issued during period (in shares) | 40,051,592 | 50,729 | ||||||||
Common Stock [Member] | Over-Allotment Option [Member] | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Number of shares of stock issued during period (in shares) | 6,000,000 | |||||||||
Subsequent Event [Member] | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Days within which shares may be purchased by underwriters | 30 days | |||||||||
Subsequent Event [Member] | Common Stock [Member] | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Number of shares of stock issued during period (in shares) | 30,000,000 | |||||||||
Price per share of common stock issued during period (in usd per share) | $ 6.468 | |||||||||
Issuance of stock, net of offering costs | $ 193,700 | |||||||||
Subsequent Event [Member] | Common Stock [Member] | Over-Allotment Option [Member] | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Number of shares of stock issued during period (in shares) | 4,500,000 |