Cover
Cover - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Feb. 12, 2024 | Jun. 30, 2023 | |
Entity Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2023 | ||
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 | 2023 | ||
Document Fiscal Period Focus | FY | ||
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 Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
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 | ||
ICFR Auditor Attestation Flag | true | ||
Document Financial Statement Error Correction [Flag] | false | ||
Entity Shell Company | false | ||
Entity Public Float | $ 1,300,000 | ||
Entity Common Stock, Shares Outstanding | 103,427,329 | ||
Documents Incorporated by Reference | Portions of the registrant’s definitive Proxy Statement for the 2024 Annual Meeting of Stockholders, which will be filed with the Securities and Exchange Commission under Regulation 14A within 120 days after the end of registrant’s fiscal year covered by this Annual Report, are incorporated by reference into Part III. | ||
Common Stock | NEW YORK STOCK EXCHANGE, INC. [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | Common Stock, par value $0.01 per share | ||
Trading Symbol | TWO | ||
Security Exchange Name | NYSE | ||
Series A Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 8.125% Series A Cumulative Redeemable Preferred Stock | ||
Trading Symbol | TWO PRA | ||
Security Exchange Name | NYSE | ||
Series B Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.625% Series B Cumulative Redeemable Preferred Stock | ||
Trading Symbol | TWO PRB | ||
Security Exchange Name | NYSE | ||
Series C Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.25% Series C Cumulative Redeemable Preferred Stock | ||
Trading Symbol | TWO PRC | ||
Security Exchange Name | NYSE |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2023 | |
Audit Information [Abstract] | |
Auditor Name | Ernst & Young LLP |
Auditor Firm ID | 42 |
Auditor Location | Minneapolis, Minnesota |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
ASSETS | ||
Available-for-sale securities, at fair value (amortized cost $8,509,383 and $8,114,627, respectively; allowance for credit losses $3,943 and $6,958, respectively) | $ 8,327,149 | $ 7,778,734 |
Mortgage servicing rights, at fair value | 3,052,016 | 2,984,937 |
Cash and cash equivalents | 729,732 | 683,479 |
Restricted cash | 65,101 | 443,026 |
Accrued interest receivable | 35,339 | 36,018 |
Due from counterparties | 323,224 | 253,374 |
Derivative assets, at fair value | 85,291 | 26,438 |
Reverse repurchase agreements | 284,091 | 1,066,935 |
Other assets | 236,857 | 193,219 |
Total Assets | 13,138,800 | 13,466,160 |
Liabilities | ||
Repurchase agreements | 8,020,207 | 8,603,011 |
Revolving credit facilities | 1,329,171 | 1,118,831 |
Term notes payable | 295,271 | 398,011 |
Convertible senior notes | 268,582 | 282,496 |
Derivative liabilities, at fair value | 21,506 | 34,048 |
Due to counterparties | 574,735 | 541,709 |
Dividends payable | 58,731 | 64,504 |
Accrued interest payable | 141,773 | 94,034 |
Commitments and contingencies (see Note 16) | 0 | 0 |
Other liabilities | 225,434 | 145,991 |
Total Liabilities | 10,935,410 | 11,282,635 |
Stockholders' Equity | ||
Preferred stock, par value $0.01 per share; 100,000,000 shares authorized and 25,356,426 and 26,092,050 shares issued and outstanding, respectively ($633,911 and $652,301 liquidation preference, respectively) | 613,213 | 630,999 |
Common stock, par value $0.01 per share; 175,000,000 shares authorized and 103,206,457 and 86,428,845 shares issued and outstanding, respectively | 1,032 | 864 |
Additional paid-in capital | 5,925,424 | 5,645,998 |
Accumulated other comprehensive loss | (176,429) | (278,711) |
Cumulative earnings | 1,349,973 | 1,453,371 |
Cumulative distributions to stockholders | (5,509,823) | (5,268,996) |
Total Stockholders’ Equity | 2,203,390 | 2,183,525 |
Total Liabilities and Stockholders’ Equity | $ 13,138,800 | $ 13,466,160 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Available-for-sale securities, amortized cost | $ 8,509,383 | $ 8,114,627 |
Available-for-sale securities, allowance for credit losses | $ (3,943) | $ (6,958) |
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 |
Preferred shares authorized (in shares) | 100,000,000 | 100,000,000 |
Preferred shares issued (in shares) | 25,356,426 | 26,092,050 |
Preferred shares outstanding (in shares) | 25,356,426 | 26,092,050 |
Preferred stock liquidation preference | $ 633,911 | $ 652,301 |
Common stock par value per share (in usd per share) | $ 0.01 | $ 0.01 |
Common shares authorized (in shares) | 175,000,000 | 175,000,000 |
Common shares issued (in shares) | 103,206,457 | 86,428,845 |
Common shares outstanding (in shares) | 103,206,457 | 86,428,845 |
Total Assets | $ 13,138,800 | $ 13,466,160 |
Total Liabilities | 10,935,410 | 11,282,635 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Total Assets | 525,259 | 497,921 |
Total Liabilities | $ 479,810 | $ 453,952 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE LOSS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Net interest income (expense): | |||
Interest income | $ 480,364 | $ 295,540 | $ 168,597 |
Interest expense | 643,225 | 258,395 | 89,173 |
Net interest (expense) income | (162,861) | 37,145 | 79,424 |
Net Servicing Income [Abstract] | |||
Servicing income | 685,777 | 603,911 | 468,406 |
Servicing costs | 95,488 | 94,119 | 86,250 |
Net Servicing Income | 590,289 | 509,792 | 382,156 |
Other income (loss): | |||
(Loss) gain on investment securities | (69,970) | (603,937) | 121,617 |
(Loss) gain on servicing asset | (111,620) | 425,376 | (114,941) |
(Loss) gain on interest rate swap and swaption agreements | (52,946) | 29,499 | 42,091 |
(Loss) gain on other derivative instruments | (166,210) | 9,310 | (251,283) |
Other income (loss) | 5,103 | (5) | (3,845) |
Total other loss | (395,643) | (139,757) | (206,361) |
Expenses: | |||
Compensation and benefits | 52,865 | 40,723 | 35,041 |
Other operating expenses | 62,313 | 42,005 | 28,759 |
Total expenses | 115,178 | 82,728 | 63,800 |
(Loss) income before income taxes | (83,393) | 324,452 | 191,419 |
Provision for income taxes | 22,978 | 104,213 | 4,192 |
Net (loss) income | (106,371) | 220,239 | 187,227 |
Dividends on preferred stock | (48,607) | (53,607) | (58,458) |
Gain on repurchase and retirement of preferred stock | 2,973 | 20,149 | 0 |
Net (loss) income attributable to common stockholders | $ (152,005) | $ 186,781 | $ 128,769 |
Basic (loss) earnings per weighted average common share | $ (1.60) | $ 2.15 | $ 1.72 |
Diluted (loss) earnings per weighted average common share | $ (1.60) | $ 2.13 | $ 1.72 |
Weighted average basic common shares (in shares) | 95,672,143 | 86,179,418 | 74,443,000 |
Weighted average diluted common shares (in shares) | 95,672,143 | 96,076,175 | 74,510,884 |
Comprehensive loss: | |||
Net (loss) income | $ (106,371) | $ 220,239 | $ 187,227 |
Other comprehensive income (loss): | |||
Unrealized gain (loss) on available-for-sale securities | 102,282 | (465,057) | (455,255) |
Other comprehensive income (loss) | 102,282 | (465,057) | (455,255) |
Comprehensive loss | (4,089) | (244,818) | (268,028) |
Dividends on preferred stock | (48,607) | (53,607) | (58,458) |
Gain on repurchase and retirement of preferred stock | 2,973 | 20,149 | 0 |
Comprehensive loss attributable to common stockholders | $ (49,723) | $ (278,276) | $ (326,486) |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Preferred Stock | Common Stock | Preferred Stock | Preferred Stock Preferred Stock | Common Stock | Common Stock Common Stock | Additional Paid-in Capital | Additional Paid-in Capital Common Stock | Accumulated Other Comprehensive Income (Loss) | Cumulative Earnings | Cumulative Earnings Preferred Stock | Cumulative Distributions to Stockholders |
Stockholders' equity at beginning of period at Dec. 31, 2020 | $ 3,088,926 | $ 977,501 | $ 684 | $ 5,165,847 | $ 641,601 | $ 1,025,756 | $ (4,722,463) | ||||||
Net income (loss) | 187,227 | 187,227 | |||||||||||
Other comprehensive income (loss) before reclassifications | (319,694) | (319,694) | |||||||||||
Amounts reclassified from accumulated other comprehensive income (loss) | 135,561 | (135,561) | |||||||||||
Other comprehensive income (loss) | (455,255) | (455,255) | |||||||||||
Redemption of preferred stock | (274,951) | (274,951) | |||||||||||
Issuance of stock, net of offering costs | 450,602 | 175 | 450,427 | ||||||||||
Preferred dividends declared | (58,458) | (58,458) | |||||||||||
Common dividends declared | (205,623) | (205,623) | |||||||||||
Non-cash equity award compensation | 11,485 | 1 | 11,484 | ||||||||||
Stockholders' equity at end of period at Dec. 31, 2021 | 2,743,953 | 702,550 | 860 | 5,627,758 | 186,346 | 1,212,983 | (4,986,544) | ||||||
Net income (loss) | 220,239 | 220,239 | |||||||||||
Other comprehensive income (loss) before reclassifications | (893,589) | (893,589) | |||||||||||
Amounts reclassified from accumulated other comprehensive income (loss) | (428,532) | 428,532 | |||||||||||
Other comprehensive income (loss) | (465,057) | (465,057) | |||||||||||
Repurchase of stock | $ (51,402) | $ (71,551) | $ 20,149 | ||||||||||
Issuance of stock, net of offering costs | 6,614 | 3 | 6,611 | ||||||||||
Preferred dividends declared | (53,607) | (53,607) | |||||||||||
Common dividends declared | (228,845) | (228,845) | |||||||||||
Non-cash equity award compensation | 11,630 | 1 | 11,629 | ||||||||||
Stockholders' equity at end of period at Dec. 31, 2022 | 2,183,525 | 630,999 | 864 | 5,645,998 | (278,711) | 1,453,371 | (5,268,996) | ||||||
Net income (loss) | (106,371) | (106,371) | |||||||||||
Other comprehensive income (loss) before reclassifications | (38,584) | (38,584) | |||||||||||
Amounts reclassified from accumulated other comprehensive income (loss) | (140,866) | 140,866 | |||||||||||
Other comprehensive income (loss) | 102,282 | 102,282 | |||||||||||
Repurchase of stock | $ (14,813) | $ (7,056) | $ (17,786) | $ (6) | $ (7,050) | $ 2,973 | |||||||
Issuance of stock, net of offering costs | 275,674 | 172 | 275,502 | ||||||||||
Preferred dividends declared | (48,607) | (48,607) | |||||||||||
Common dividends declared | (192,220) | (192,220) | |||||||||||
Non-cash equity award compensation | 10,976 | 2 | 10,974 | ||||||||||
Stockholders' equity at end of period at Dec. 31, 2023 | $ 2,203,390 | $ 613,213 | $ 1,032 | $ 5,925,424 | $ (176,429) | $ 1,349,973 | $ (5,509,823) |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Cash Flows From Operating Activities: | |||
Net (loss) income | $ (106,371) | $ 220,239 | $ 187,227 |
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | |||
Amortization of premiums and discounts on investment securities, net | 25,406 | 79,794 | 228,344 |
Amortization of deferred debt issuance costs on term notes payable and convertible senior notes | 2,589 | 2,678 | 2,999 |
(Reversal of) provision for credit losses on investment securities | (545) | 2,730 | 9,763 |
Realized and unrealized losses (gains) on investment securities | 70,515 | 601,207 | (131,380) |
Loss (gain) on servicing asset | 111,620 | (425,376) | 114,941 |
Gains on mortgage loans held-for-sale | 0 | (9) | (1,812) |
Realized and unrealized losses (gains) on interest rate swaps, caps and swaptions | 74,304 | (34,328) | (27,830) |
Unrealized losses (gains) on other derivative instruments | 102,694 | 13,797 | (5,217) |
Gain on repurchase of term notes payable and convertible senior notes | (5,104) | 0 | 0 |
Equity based compensation | 10,976 | 11,630 | 11,485 |
Purchases of mortgage loans held-for-sale | (80) | (264) | (64,008) |
Proceeds from sales of mortgage loans held-for-sale | 0 | 0 | 65,772 |
Proceeds from repayment of mortgage loans held-for-sale | 31 | 30 | 8 |
Net change in assets and liabilities: | |||
Decrease (increase) in accrued interest receivable | 679 | (9,752) | 20,908 |
Decrease in deferred income taxes, net | 14,504 | 105,241 | 5,960 |
Increase (decrease) in accrued interest payable | 47,739 | 75,652 | (3,284) |
Change in other operating assets and liabilities, net | (5,448) | (19,867) | 9,634 |
Net cash provided by operating activities | 343,509 | 623,402 | 423,510 |
Cash Flows From Investing Activities: | |||
Purchases of available-for-sale securities | (3,877,805) | (10,662,518) | (2,494,603) |
Proceeds from sales of available-for-sale securities | 2,673,827 | 7,793,705 | 6,274,193 |
Principal payments on available-for-sale securities | 662,469 | 1,102,994 | 3,147,647 |
Purchases of mortgage servicing rights, net of purchase price adjustments | (312,637) | (629,810) | (742,153) |
Proceeds from sales of mortgage servicing rights | 133,938 | 261,827 | 31,787 |
(Purchases) short sales of derivative instruments, net | (4,029) | (71,291) | 51,438 |
(Payments for termination and settlement) proceeds from sales and settlement of derivative instruments, net | (244,364) | 125,908 | 40,012 |
Payments for reverse repurchase agreements | (2,487,516) | (3,241,834) | (1,174,883) |
Proceeds from reverse repurchase agreements | 3,270,360 | 2,309,581 | 1,131,726 |
Acquisition of RoundPoint Mortgage Servicing LLC, net of cash acquired | 26,798 | 0 | 0 |
(Decrease) increase in due to counterparties, net | (36,824) | 260,157 | 38,773 |
Change in other investing assets and liabilities, net | 0 | 0 | 10,000 |
Net cash (used in) provided by investing activities | (195,783) | (2,751,281) | 6,313,937 |
Cash Flows From Financing Activities: | |||
Proceeds from repurchase agreements | 37,045,726 | 35,927,488 | 29,934,379 |
Principal payments on repurchase agreements | (37,628,530) | (34,980,922) | (37,421,832) |
Proceeds from revolving credit facilities | 404,000 | 720,000 | 296,500 |
Principal payments on revolving credit facilities | (193,660) | (21,930) | (159,569) |
Repurchase of term notes payable | (100,970) | 0 | 0 |
Proceeds from issuance of convertible senior notes | 0 | 0 | 279,930 |
Repurchase/repayment of convertible senior notes | (13,169) | (143,774) | (143,118) |
Repurchase and retirement of preferred stock | (14,813) | (51,402) | (274,951) |
Proceeds from issuance of common stock, net of offering costs | 275,674 | 6,614 | 450,602 |
Repurchase of common stock | (7,056) | 0 | 0 |
Dividends paid on preferred stock | (48,960) | (54,989) | (63,661) |
Dividends paid on common stock | (197,640) | (235,371) | (193,488) |
Net cash (used in) provided by financing activities | (479,398) | 1,165,714 | (7,295,208) |
Net decrease in cash, cash equivalents and restricted cash | (331,672) | (962,165) | (557,761) |
Cash, cash equivalents and restricted cash at beginning of period | 1,126,505 | 2,088,670 | 2,646,431 |
Cash, cash equivalents and restricted cash at end of period | 794,833 | 1,126,505 | 2,088,670 |
Supplemental Disclosure of Cash Flow Information: | |||
Cash paid for interest | 565,834 | 153,181 | 81,248 |
Cash paid (received) for taxes, net | 7,380 | (1,575) | (23,322) |
Noncash Activities: | |||
Dividends declared but not paid at end of period | $ 58,731 | $ 64,504 | $ 72,412 |
Organization and Operations
Organization and Operations | 12 Months Ended |
Dec. 31, 2023 | |
Organization and Operations [Abstract] | |
Organization and Operations | Organization and Operations Two Harbors Investment Corp. is a Maryland corporation founded in 2009 that, through its wholly owned subsidiaries (collectively, the Company), invests in, finances and manages mortgage servicing rights, or MSR, Agency residential mortgage-backed securities, or Agency RMBS, and, through its operational platform, RoundPoint Mortgage Servicing LLC, or RoundPoint, is one of the largest servicers of conventional loans in the country. Agency refers to a U.S. government sponsored enterprise, or GSE, such as the Federal National Mortgage Association (or Fannie Mae) or the Federal Home Loan Mortgage Corporation (or Freddie Mac), or a U.S. government agency such as the Government National Mortgage Association (or Ginnie Mae). The Company is structured as an internally-managed real estate investment trust, or REIT, and its common stock is listed on the New York Stock Exchange, or NYSE, under the symbol “TWO”. The Company seeks to leverage its core competencies of understanding and managing interest rate and prepayment risk to invest in its portfolio of MSR and Agency RMBS, with the objective of delivering stable performance across changing market environments. The Company is acutely focused on creating sustainable stockholder value over the long term. Effective September 30, 2023, one of the Company’s wholly owned subsidiaries, Matrix Financial Services Corporation, or Matrix, acquired RoundPoint from Freedom Mortgage Corporation, or Freedom, after the completion of customary closing conditions and receiving the required regulatory and GSE approvals. Upon closing, all servicing and origination licenses and operational capabilities remained with RoundPoint, and RoundPoint became a wholly owned subsidiary of Matrix. Management believes this acquisition will add value for stakeholders of the Company through cost savings achieved by bringing the servicing of its MSR portfolio in-house, greater control over the Company’s MSR portfolio and the associated cash flows, and the ability to participate more fully in the mortgage finance space as opportunities arise. 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. |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2023 | |
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 accompanying consolidated financial statements 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. The accounting and reporting policies of the Company conform to U.S. generally accepted accounting principles, or U.S. GAAP. The Company consists of a single operating and reportable segment; the investment portfolio is managed as a whole and resources are allocated and financial performance is assessed by the chief operating decision maker on a consolidated basis. Accordingly, the consolidated financial statements and notes thereto are presented as a single reportable segment. Certain prior period amounts have been reclassified to conform to the current period presentation. All per share amounts, common shares outstanding and common equity-based awards for all prior periods reflect the Company’s one-for-four reverse stock split effected on November 1, 2022 at 5:01 p.m. Eastern Time (refer to Note 17 - Stockholders’ Equity for additional information). Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. , valuation changes due to supply and demand in the market, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. Significant Accounting Policies Business Combinations Under Accounting Standards Codification (ASC) 805, Business Combinations , or ASC 805, an acquisition is considered a business combination when the assets acquired and liabilities assumed constitute a business. The acquisition method prescribed in ASC 805 requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. In a business combination, the initial allocation of the purchase price is considered preliminary and therefore subject to change until the end of the measurement period (up to one year from the acquisition date). Goodwill is calculated as the excess of the consideration transferred over the net assets acquired that meet the criteria for separate recognition and represents the estimated future economic benefits arising from these and other assets acquired that could not be individually identified or do not qualify for recognition as a separate asset. Goodwill is included within the other assets line item on the Company’s consolidated balance sheets. Acquisition-related costs are expensed as incurred and included within the other operating expenses line item in the Company’s consolidated statements of comprehensive loss. The results of operations of acquired businesses are included from the date of acquisition. Goodwill and Intangible Assets On an annual basis, the Company qualitatively assesses its goodwill assigned to each of its reporting units during the fourth quarter of each year. This qualitative assessment evaluates various events and circumstances, such as macro-economic conditions, industry and market conditions, cost factors, relevant events and financial trends, that may impact a reporting unit’s fair value. Using this qualitative assessment, the Company determines whether it is more-likely-than-not that the reporting unit’s fair value exceeds its carrying value. If it is determined that it is not more-likely-than-not that the reporting unit’s fair value exceeds the carrying value, or upon consideration of other factors, including recent acquisition, restructuring or divestiture activity, the Company performs a quantitative, “step one” goodwill impairment analysis. In addition, the Company may test goodwill in between annual test dates if an event occurs or circumstances change that could more-likely-than-not reduce the fair value of a reporting unit below its carrying value. The Company did not recognize any goodwill impairment during the year ended December 31, 2023. As a result of the RoundPoint acquisition, the Company identified intangible assets in the form of state licenses, GSE approvals and trade names. Intangible assets are included within the other assets line item on the Company’s consolidated balance sheets. The Company recorded the intangible assets at fair value at the acquisition date and amortizes the value of finite-lived intangibles into expense over the expected useful life. Amortization of acquired intangible assets is included within the other operating expenses line item in the Company’s consolidated statements of comprehensive loss. If impairment events occur, they could accelerate the timing of acquired intangible asset charges. Licenses and approvals acquired are deemed to have an indefinite useful life and are evaluated for impairment annually during the fourth quarter and in interim periods if indicators of impairment exist. The Company did not recognize any impairment on its intangible assets during the year ended December 31, 2023. Variable Interest Entities The Company enters into transactions with subsidiary trust entities that are established for limited purposes. One of the Company’s subsidiary trust entities, MSR Issuer Trust, was formed for the purpose of financing MSR through securitization, pursuant to which, through two of the Company’s wholly owned subsidiaries, MSR is pledged to MSR Issuer Trust and in return, 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. Another of the Company’s subsidiary trust entities, Servicing Advance Receivables Issuer Trust, was formed for the purpose of financing servicing advances through a revolving credit facility, pursuant to which Servicing Advance Receivables Issuer Trust issued a VFN backed by servicing advances pledged to the financing counterparty. Both MSR Issuer Trust and Servicing Advance Receivables Issuer Trust are considered VIEs for financial reporting purposes and 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 is the primary beneficiary and, thus, consolidates the trusts. Additionally, the Company entered into a definitive stock purchase agreement on August 2, 2022 to acquire RoundPoint whereby the preliminary purchase price was subject to a post-closing adjustment based on RoundPoint’s aggregate “earnings” (as defined in the stock purchase agreement) from October 1, 2022 through the closing date, or the Interim Period, in addition to other post-closing adjustments. During the Interim Period, the manner in which the purchase price is calculated represented an implicit guarantee of the value of RoundPoint’s net book value, in which the Company held the variable interests. These terms also indicated that RoundPoint met the criteria to be considered a VIE that the Company must review for consolidation. As the Company had the obligation to absorb losses and the right to receive benefits of RoundPoint during the Interim Period that could be significant, but not the power to direct the activities of RoundPoint that most significantly impacted its performance, the Company was not the primary beneficiary and, thus, did not consolidate RoundPoint during the Interim Period. Effective September 30, 2023, the parties had satisfied customary closing conditions and received the required regulatory and GSE approvals to close the transaction. Upon closing, RoundPoint became a consolidated wholly owned subsidiary of the Company and was no longer considered a VIE. Available-for-Sale Securities, at Fair Value The Company invests primarily in mortgage pass-through certificates, collateralized mortgage obligations and other residential mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans issued by a Fannie Mae, Freddie Mac or Ginnie Mae. The Company also holds securities that are not issued by a GSE or U.S government agency, or non-Agency securities, other Agency securities, and, from time to time, U.S. Treasuries. The Company classifies its Agency and non-Agency investment securities, excluding inverse interest-only Agency securities which are classified as derivatives for purposes of U.S. GAAP, as available-for-sale, or AFS, investments. Although the Company generally intends to hold most of its investment securities until maturity, it may, from time to time, sell any of its investment securities as part of its overall management of its portfolio. Accordingly, the Company classifies all of its securities as AFS, including its interest-only strips, which represent the Company’s right to receive a specified portion of the contractual interest flows of specific Agency or non-Agency securities. All assets classified as AFS, excluding certain AFS securities for which we have elected the fair value option, are reported at estimated fair value with unrealized gains and losses included in accumulated other comprehensive loss. On July 1, 2015, the Company elected the fair value option for Agency interest-only securities acquired on or after such date. On July 1, 2021, the Company elected the fair value option for all non-Agency securities acquired on or after such date. On January 1, 2023, the Company elected the fair value option for all other non-RMBS Agency securities acquired on or after such date. All Agency interest-only securities acquired on or after July 1, 2015, all non-Agency securities acquired on or after July 1, 2021, and all other non-RMBS Agency securities acquired on or after January 1, 2023 are carried at estimated fair value with changes in fair value recorded as a component of (loss) gain on investment securities in the consolidated statements of comprehensive loss. Fair value is determined under the guidance of Accounting Standards Codification (ASC) 820, Fair Value Measurements and Disclosures, or ASC 820. The Company determines the fair value of its investment securities that are issued or guaranteed as to principal and/or interest by a GSE or U.S. government agency, based upon prices obtained from third-party pricing vendors or broker quotes received using the bid price, which are both deemed indicative of market activity. In determining the fair value of its non-Agency securities, management judgment is used to arrive at fair value that considers prices obtained from third-party pricing vendors, broker quotes received and other applicable market data. If listed price data is not available or insufficient, 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. See Note 11 - Fair Value of these notes to the consolidated financial statements for details on fair value measurement. Investment securities transactions are recorded on the trade date. The cost basis for realized gains and losses on sales of investment securities are determined on the first-in, first-out, or FIFO, method. Interest income ( i.e ., gross yield/stated coupon) on securities is accrued based on the outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency securities and non-Agency securities rated AA and higher at the time of purchase, are amortized and accreted, respectively, as an adjustment to interest income over the life of such securities using the contractual method under ASC 310-20, Nonrefundable Fees and Other Costs , which is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows, assuming no principal prepayments, to its purchase price. When applying the contractual effective interest method, as principal prepayments occur, an amount of the unamortized premium or discount is recognized in interest income such that the contractual effective interest rate on the remaining security balance is unaffected. Discounts associated with non-Agency securities that were purchased at a discount to par value and were rated below AA at the time of purchase and Agency and non-Agency interest-only securities that can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment are accreted as an adjustment to interest income over the life of such securities using the prospective method under ASC 325-40, Investments - Other: Beneficial Interests in Securitized Financial Assets , which is applied at the individual security level based upon each security’s effective interest rate. At the time of acquisition, the security’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the effective interest rate and interest income recognized on such securities. Actual maturities of the AFS securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of AFS securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years. The Company evaluates AFS securities where the fair value option has not been elected for impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an AFS security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (i) has the intent to sell the security, (ii) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (iii) does not expect to recover the entire amortized cost basis of the security. If the Company determines that it is more likely than not that it will incur a realized loss on the security when it is sold, the difference between the amortized cost and the fair value is recognized in consolidated statements of comprehensive loss as a component of (loss) gain on investment securities. The Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on both Agency and non-Agency AFS securities that are not accounted for under the fair value option. The initial 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. The contractual cash flows and expected cash flows are based on management’s best estimate and take into consideration current prepayment assumptions, lifetime expected losses based on past loss experience, current market conditions, and reasonable and supportable forecasts of future conditions. The allowance for credit losses on Agency AFS securities relates to prepayment assumption changes on interest-only Agency RMBS. The initial allowance for credit losses causes an increase in the AFS security amortized cost and recognizes an allowance for credit losses in the same amount. Subsequent adverse or favorable changes in the allowance for credit losses are recognized immediately in earnings as a provision for or reduction in credit losses (within (loss) gain on investment securities). 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 consolidated statements of comprehensive 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. Mortgage Servicing Rights, at Fair Value One of the Company’s wholly owned subsidiaries, Matrix, 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. Matrix acquires MSR from third-party originators through flow and bulk purchases but does not directly service mortgage loans; instead, it contracts with appropriately licensed subservicers to handle substantially all servicing functions in the name of the subservicer for the mortgage loans underlying the Company’s MSR. On October 1, 2023, the Company, through its newly acquired subsidiary RoundPoint, began directly servicing a portion of the mortgage loans underlying the Company’s MSR portfolio as well as servicing mortgage loans underlying MSR owned by third parties. RoundPoint has approvals from Fannie Mae and Freddie Mac to service residential mortgage loans. As an owner and manager of MSR, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the other assets line item on the consolidated balance sheets. MSR are reported at fair value on the consolidated balance sheets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds; 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). Changes in the fair value of MSR as well as servicing fee income and servicing costs are reported on the consolidated statements of comprehensive loss. Cash and Cash Equivalents Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. Restricted Cash Restricted cash represents cash balances the Company is required to maintain with counterparties for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings. Also included is the cash balance held pursuant to a letter of credit on the New York office lease. Cash balances required to be maintained with counterparties are not available to the Company for general corporate purposes, but may be applied against amounts due to security, derivative, servicing or financing counterparties or returned to the Company when collateral requirements are exceeded, or at the maturity of the derivative or financing arrangement. Accrued Interest Receivable Accrued interest receivable represents interest that is due and payable to the Company. Cash interest is generally received within 30 days of recording the receivable. Due from/to Counterparties, net Due from counterparties includes cash held by counterparties for payment of principal and interest as well as cash held by counterparties for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings but represents excess capacity and deemed unrestricted and a receivable from the counterparty as of the balance sheet date. Due from counterparties also includes cash receivable from counterparties for sales of MSR pending final transfer and settlement. Due to counterparties includes cash payable by the Company upon settlement of trade positions as well as cash deposited to and held by the Company for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings but represents a payable to the counterparty as of the balance sheet date. Due to counterparties also includes purchase price holdbacks on MSR acquisitions for early prepayment or default provisions, collateral exceptions and other contractual terms. Derivative Financial Instruments, at Fair Value In accordance with ASC 815, Derivatives and Hedging , or ASC 815, all derivative financial instruments, whether designated for hedging relationships or not, are recorded on the consolidated balance sheets as assets or liabilities and carried at fair value. At the inception of a derivative contract, the Company determines whether the instrument will be part of a qualifying hedge accounting relationship or whether the Company will account for the contract as a trading instrument. Due to the volatility of the interest rate and credit markets and difficulty in effectively matching pricing or cash flows, the Company has elected to treat all current derivative contracts as trading instruments. Changes in fair value as well as the accrual and settlement of interest associated with derivatives accounted for as trading instruments are reported in the consolidated statements of comprehensive loss as (loss) gain on interest rate swap, cap and swaption agreements or (loss) gain on other derivative instruments depending on the type of derivative instrument. The Company enters into interest rate derivative contracts for a variety of reasons, including minimizing fluctuations in earnings or market values on certain assets or liabilities that may be caused by changes in interest rates. The Company may, at times, enter into various forward contracts including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, and caps. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Amounts payable to and receivable from the same party under contracts may be offset as long as the following conditions are met: (i) each of the two parties owes the other determinable amounts; (ii) the reporting party has the right to offset the amount owed with the amount owed by the other party; (iii) the reporting party intends to offset; and (iv) the right of offset is enforceable by law. If the aforementioned conditions are not met, amounts payable to and receivable from are presented by the Company on a gross basis in its consolidated balance sheets. The Company’s centrally cleared interest rate swaps and exchange-traded futures and options on futures 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 derivative instrument’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. The exchange of variation margin is considered a settlement of the derivative instrument, as opposed to pledged collateral. Accordingly, the Company accounts for the receipt or payment of variation margin as a direct reduction to the carrying value of the centrally cleared or exchange-traded derivative asset or liability. The receipt or payment of initial margin is accounted for separate from the derivative asset or liability and is netted on a counterparty basis and classified within restricted cash, due from counterparties, or due to counterparties on the Company’s consolidated balance sheets. The Company has provided specific disclosure regarding the location and amounts of derivative instruments in the consolidated financial statements and how derivative instruments and related hedged items are accounted for. See Note 8 - Derivative Instruments and Hedging Activities of these notes to the consolidated financial statements. Reverse Repurchase Agreements The Company may enter into reverse repurchase agreements with third-party broker-dealers whereby it purchases U.S. Treasury securities under agreements to resell at an agreed-upon price and date. Generally, the Company may enter into reverse repurchase agreement transactions in order to effectively borrow U.S. Treasury securities that it can then deliver to counterparties to whom it has made short sales of the same securities, earn a yield on excess cash balances, or preserve existing repurchase agreements by substituting collateral. The Company accounts for these reverse repurchase agreements as securities borrowing transactions and records them at their contractual amounts, as specified in the respective agreements. Repurchase Agreements The Company may finance certain of its investment securities and MSR through the use of repurchase agreements. These repurchase agreements are generally short-term debt, which expire within one year. At times, certain of the Company’s repurchase agreements may have contractual terms of greater than one year, and, thus, would be considered long-term debt. Borrowings under repurchase agreements generally bear interest rates based on an index plus a spread and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. Revolving Credit Facilities To finance MSR assets and related servicing advance obligations, the Company enters into revolving credit facilities collateralized by the value of the MSR and/or servicing advances pledged. Borrowings under these revolving credit facilities that expire within one year are considered short-term debt. As of December 31, 2023, the Company’s revolving credit facilities that had contractual terms of greater than one year were considered long-term debt. The Company’s revolving credit facilities generally bear interest rates based on an index plus a spread. Borrowings under revolving credit facilities are treated as collateralized financing transactions and are carried at contractual amounts, as specified in the respective agreements. Term Notes Payable Term notes payable related to the Company’s consolidated securitization are recorded at outstanding principal balance, net of any unamortized deferred debt issuance costs, on the Company’s consolidated balance sheets. Convertible Senior Notes Convertible senior notes include unsecured convertible debt that are carried at their unpaid principal balance, net of any unamortized deferred issuance costs, on the Company’s consolidated balance sheet. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. Accrued Interest Payable Accrued interest payable represents interest that is due and payable to third parties. Interest is generally paid within 30 days to three months of recording the payable, based upon the Company’s remittance requirements. Deferred Tax Assets and Liabilities Income recognition for U.S. GAAP and tax differ in certain respects. These differences often reflect differing accounting treatments for tax and U.S. GAAP, such as accounting for discount and premium amortization, credit losses, asset impairments, recognition of certain operating expenses and certain valuation estimates. Some of these differences are temporary in nature and create timing mismatches between when taxable income is earned and the tax is paid versus when the earnings (losses) for U.S. GAAP purposes, or GAAP net (loss) income, are recognized and the tax provision is recorded. Some of these differences are permanent since certain income (or expense) may be recorded for tax purposes but not for U.S. GAAP purposes (or vice versa). One such significant permanent difference is the Company’s ability as a REIT to deduct dividends paid to stockholders as an expense for tax purposes, but not for U.S. GAAP purposes. As a result of these temporary differences, the Company’s TRSs may recognize taxable income in periods prior or subsequent to when it recognizes income for U.S. GAAP purposes. When this occurs, the TRSs pay or defer the tax liability and establish deferred tax assets or deferred tax liabilities, respectively, for U.S. GAAP purposes. Deferred tax assets generally represent items that may be used as a tax deduction in a tax return in future years for which the Company has already recognized the tax benefit for U.S. GAAP purposes. The Company estimates, based on existence of sufficient evidence, the ability to realize the remainder of any deferred tax asset its TRSs recognize. Any adjustments to such estimates will be made in the period such determination is made. Deferred tax liabilities generally represent tax expense for which payment has been deferred or expense has already been taken as a deduction on the Company’s tax return but has not yet been recognized as an expense for U.S. GAAP purposes. The Company’s deferred tax assets and/or liabilities are generated solely by differences in GAAP net (loss) income and taxable income (loss) at our taxable subsidiaries. U.S. GAAP and tax differences in the REIT may create additional deferred tax assets and/or liabilities to the extent the Company does not distribute all of its taxable income. Income Taxes The Company has elected to be taxed as a REIT under the Code and the corresponding provisions of state law. To qualify as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to stockholders (not including taxable income retained in its taxable subsidiaries) within the time frame set forth in the tax Code and the Company must also meet certain other requirements. In addition, because certain activities, if performed by the Company, may cause the Company to earn income which is not qualifying for the REIT gross income tests, the Company has formed TRSs, as defined in the Code, to engage in such activities. These TRSs’ activities are subject to income taxes as well as any REIT taxable income not distributed to stockholders. The Company assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities in accordance with ASC 740, Income Taxes . The Company record |
Acquisition of RoundPoint Mortg
Acquisition of RoundPoint Mortgage Servicing LLC | 12 Months Ended |
Dec. 31, 2023 | |
Business Combination and Asset Acquisition [Abstract] | |
Acquisition of RoundPoint Mortgage Servicing LLC | Acquisition of RoundPoint Mortgage Servicing LLC Effective September 30, 2023, the Company acquired RoundPoint from Freedom after the completion of customary closing conditions and receiving the required regulatory and GSE approvals. The provisional purchase price recognized was $44.7 million, with $23.6 million paid upon closing and $21.1 million recognized as a payable to Freedom within the other liabilities line item on the Company’s consolidated balance sheet as of September 30, 2023. The Company performed a provisional allocation of the consideration of $44.7 million to RoundPoint’s assets and liabilities, as set forth below. During the three months ended December 31, 2023, the Company recognized a total of $0.2 million in measurement period adjustments, resulting in a final purchase price of $44.5 million. The remaining payable to Freedom of $20.9 million was paid in January 2024. The allocation of the adjusted purchase price of $44.5 million to RoundPoint’s assets and liabilities is also set forth below. The estimate of fair value of assets and liabilities required the use of significant assumptions and estimates. Significant estimates included, but were not limited to, future expected cash flows, including projected revenues and expenses, and discount rates. These estimates were based on assumptions that management believes to be reasonable as well as a third party-prepared valuation analysis; however, actual results may differ from these estimates. The measurement period adjustments made during the three months ended December 31, 2023 are set forth below. December 31, 2023 (in thousands) Acquisition Date Amounts Recognized Subsequent Measurement Period Adjustments Acquisition Date Amounts Recognized, as adjusted Total Consideration $ 44,732 $ (188) $ 44,544 Assets: Cash and cash equivalents $ 50,366 $ — $ 50,366 Intangible assets 786 13 799 Other assets 29,148 — 29,148 Total Assets Acquired $ 80,300 $ 13 $ 80,313 Liabilities: Accrued expenses $ 4,483 $ — $ 4,483 Other liabilities 58,739 — 58,739 Total Liabilities Assumed $ 63,222 $ — $ 63,222 Net Assets $ 17,078 $ 13 $ 17,091 Goodwill $ 27,654 $ (201) $ 27,453 As a result of the RoundPoint acquisition, the Company identified intangible assets in the form of mortgage servicing and origination state licenses, insurance state licenses, GSE servicing approvals and trade names. The Company recorded the intangible assets at fair value at the acquisition date and amortizes the value of finite-lived intangibles into expense over the expected useful life. Trade names, with a total acquisition date fair value of $0.2 million, are amortized straight-line over a finite life of six months based on the Company’s determination of the time to change a trade name. The Company determined the licenses and approvals, with a total acquisition date fair value of $0.6 million, have indefinite useful lives and are periodically evaluated for impairment given there are no legal, regulatory, contractual, competitive, or economic factors that would limit their useful lives. The total goodwill of $27.5 million was calculated as the excess of the total consideration transferred over the net assets acquired and primarily includes the existence of an assembled workforce, synergies and benefits expected to result from combining operations with RoundPoint and adding in-house servicing. The full amount of goodwill for tax purposes of $27.5 million is expected to be deductible. The Company will assess the goodwill annually during the fourth quarter and in interim periods whenever events or circumstances make it more likely than not that an impairment may have occurred. Acquisition-related costs are expensed in the period incurred and included within the other operating expenses line item in the Company’s consolidated statements of comprehensive loss. During the years ended December 31, 2023 and 2022, the Company recognized $1.3 million and $0.8 million, respectively, of acquisition-related costs. The Company did not recognize any acquisition-related costs during the year ended December 31, 2021. As discussed above, the acquisition of RoundPoint closed effective September 30, 2023. Accordingly, RoundPoint’s consolidated balance sheet is included within the Company’s consolidated balance sheet as of December 31, 2023. Beginning October 1, 2023, RoundPoint’s results of operations have been consolidated with the Company’s in accordance with U.S. GAAP; inter-company accounts and transactions have been eliminated. The following table presents unaudited pro forma combined revenues and income before income taxes for the years ended December 31, 2023 and 2022 prepared as if the RoundPoint acquisition had been consummated on January 1, 2022. Year Ended December 31, (in thousands) 2023 2022 Revenue (1) $ 806,945 $ 889,186 (Loss) income before income taxes $ (104,823) $ 260,023 ____________________ (1) The Company’s revenue is defined as the sum of the interest income, servicing income and total other income line items on the consolidated statements of comprehensive loss. The above unaudited supplemental pro forma financial information has not been adjusted for transactions that are now considered inter-company as a result of the acquisition, the conforming of accounting policies, nor the divestiture of RoundPoint’s retail origination business and RPX servicing exchange platform, as required by the stock purchase agreement. The unaudited supplemental pro forma financial information also does not include any anticipated synergies or other anticipated benefits of the RoundPoint acquisition and, accordingly, the unaudited supplemental pro forma financial information is not necessarily indicative of either future results of operations or results that might have been achieved had the acquisition been consummated on January 1, 2022. Additionally, in the third quarter of 2022, Matrix agreed to engage RoundPoint as a subservicer prior to the closing date and began transferring loans to RoundPoint in the fourth quarter of 2022. As such, prior to the acquisition on September 30, 2023, the Company incurred servicing expenses related to RoundPoint’s subservicing of the Company’s MSR of $23.9 million and $2.0 million during the years ended December 31, 2023 and 2022. These subservicing expenses are included within the servicing costs line item on the Company’s consolidated statements of comprehensive loss. |
Variable Interest Entities
Variable Interest Entities | 12 Months Ended |
Dec. 31, 2023 | |
Variable Interest Entities [Abstract] | |
Variable Interest Entities | Variable Interest Entities The Company enters into transactions with subsidiary trust entities that are established for limited purposes. One of the Company’s subsidiary trust entities, MSR Issuer Trust, was formed for the purpose of financing MSR through securitization, pursuant to which, through two of the Company’s wholly owned subsidiaries, MSR is pledged to MSR Issuer Trust and in return, 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. The Company has one repurchase facility that is secured by the VFN, which is collateralized by the Company’s MSR. Another of the Company’s subsidiary trust entities, Servicing Advance Receivables Issuer Trust, was formed for the purpose of financing servicing advances through a revolving credit facility, pursuant to which Servicing Advance Receivables Issuer Trust issued a VFN backed by servicing advances pledged to the financing counterparty. Both MSR Issuer Trust and Servicing Advance Receivables Issuer Trust are considered VIEs for financial reporting purposes and 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 is the primary beneficiary and, thus, 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 MSR Issuer Trust and Servicing Advance Receivables Issuer Trust, which, in turn, support MSR Issuer Trust’s obligations to noteholders under the securitization transaction and 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 consolidated balance sheets as of December 31, 2023 and December 31, 2022: (in thousands) December 31, December 31, Note receivable (1) $ 399,317 $ 398,011 Restricted cash 45,642 31,691 Accrued interest receivable (1) 551 400 Other assets 79,749 67,819 Total Assets $ 525,259 $ 497,921 Term notes payable $ 399,317 $ 398,011 Revolving credit facilities 34,300 23,850 Accrued interest payable 816 560 Other liabilities 45,377 31,531 Total Liabilities $ 479,810 $ 453,952 ____________________ (1) Receivables due from a wholly owned subsidiary of the Company to the trusts are eliminated in consolidation in accordance with U.S. GAAP. Additionally, the Company entered into a definitive stock purchase agreement on August 2, 2022 to acquire RoundPoint whereby the preliminary purchase price was subject to a post-closing adjustment based on RoundPoint’s aggregate “earnings” (as defined in the stock purchase agreement) from October 1, 2022 through the closing date, or the Interim Period, in addition to other post-closing adjustments. During the Interim Period, the manner in which the purchase price is calculated represented an implicit guarantee of the value of RoundPoint’s net book value, in which the Company held the variable interests. These terms also indicated that RoundPoint met the criteria to be considered a VIE that the Company must review for consolidation. As the Company had the obligation to absorb losses and the right to receive benefits of RoundPoint during the Interim Period that could be significant, but not the power to direct the activities of RoundPoint that most significantly impacted its performance, the Company was not the primary beneficiary and, thus, did not consolidate RoundPoint during the Interim Period. Effective September 30, 2023, the parties had satisfied customary closing conditions and received the required regulatory and GSE approvals to close the transaction. Upon closing, RoundPoint became a consolidated wholly owned subsidiary of the Company and was no longer considered a VIE. |
Available-for-Sale Securities,
Available-for-Sale Securities, at Fair Value | 12 Months Ended |
Dec. 31, 2023 | |
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 consolidated balance sheets. The following table presents the Company’s AFS investment securities by collateral type as of December 31, 2023 and December 31, 2022: (in thousands) December 31, December 31, Agency: Federal National Mortgage Association $ 5,467,684 $ 4,112,556 Federal Home Loan Mortgage Corporation 2,790,662 3,332,314 Government National Mortgage Association 64,653 208,706 Non-Agency 4,150 125,158 Total available-for-sale securities $ 8,327,149 $ 7,778,734 At December 31, 2023 and December 31, 2022, the Company pledged AFS securities with a carrying value of $8.1 billion and $7.4 billion, respectively, as collateral for repurchase agreements. See Note 12 - Repurchase Agreements . At December 31, 2023 and December 31, 2022, 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 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 consolidated balance sheets. As of December 31, 2023 and December 31, 2022, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $4.2 million and $125.2 million, respectively. The following tables present the amortized cost and carrying value of AFS securities by collateral type as of December 31, 2023 and December 31, 2022: December 31, 2023 (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 $ 8,421,733 $ 155,171 $ (130,932) $ 8,445,972 $ — $ 22,677 $ (196,748) $ 8,271,901 Interest-only 840,723 58,567 — 58,567 (3,619) 907 (4,757) 51,098 Total Agency 9,262,456 213,738 (130,932) 8,504,539 (3,619) 23,584 (201,505) 8,322,999 Non-Agency 569,897 4,199 (19) 4,844 (324) 173 (543) 4,150 Total $ 9,832,353 $ 217,937 $ (130,951) $ 8,509,383 $ (3,943) $ 23,757 $ (202,048) $ 8,327,149 December 31, 2022 (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 $ 7,781,277 $ 189,246 $ (33,413) $ 7,937,110 $ — $ 6,310 $ (325,960) $ 7,617,460 Interest-only 963,866 45,882 — 45,882 (6,785) 1,890 (4,871) 36,116 Total Agency 8,745,143 235,128 (33,413) 7,982,992 (6,785) 8,200 (330,831) 7,653,576 Non-Agency 1,263,789 8,511 (225) 131,635 (173) 545 (6,849) 125,158 Total $ 10,008,932 $ 243,639 $ (33,638) $ 8,114,627 $ (6,958) $ 8,745 $ (337,680) $ 7,778,734 The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of December 31, 2023: December 31, 2023 (in thousands) Agency Non-Agency Total < 1 year $ 86 $ — $ 86 ≥ 1 and < 3 years 17,577 — 17,577 ≥ 3 and < 5 years 261,625 — 261,625 ≥ 5 and < 10 years 6,844,418 3,818 6,848,236 ≥ 10 years 1,199,293 332 1,199,625 Total $ 8,322,999 $ 4,150 $ 8,327,149 Measurement of Allowances for Credit Losses on AFS Securities The Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on both Agency and non-Agency AFS securities that are not accounted for under the fair value option. The following tables present the changes for the years ended December 31, 2023, 2022 and 2021 in the allowance for credit losses on Agency and non-Agency AFS securities: Year Ended December 31, 2023 (in thousands) Agency Non-Agency Total Allowance for credit losses at beginning of period $ (6,785) $ (173) $ (6,958) Additions on securities for which credit losses were not previously recorded (55) (370) (425) (Increase) decrease on securities with previously recorded credit losses 965 5 970 Write-offs 2,256 214 2,470 Allowance for credit losses at end of period $ (3,619) $ (324) $ (3,943) Year Ended December 31, 2022 (in thousands) Agency Non-Agency Total Allowance for credit losses at beginning of period $ (12,851) $ (1,387) $ (14,238) Additions on securities for which credit losses were not previously recorded (482) (501) (983) (Increase) decrease on securities with previously recorded credit losses (3,462) 1,715 (1,747) Write-offs 10,010 — 10,010 Allowance for credit losses at end of period $ (6,785) $ (173) $ (6,958) Year Ended December 31, 2021 (in thousands) Agency Non-Agency Total Allowance for credit losses at beginning of period $ (17,889) $ (4,639) $ (22,528) Additions on securities for which credit losses were not previously recorded (190) (4,365) (4,555) Increase on securities with previously recorded credit losses (4,542) (666) (5,208) Write-offs 9,770 8,283 18,053 Allowance for credit losses at end of period $ (12,851) $ (1,387) $ (14,238) 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 December 31, 2023 and December 31, 2022. At December 31, 2023 and December 31, 2022, the Company held 646 and 704 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 477 and 553 were in an unrealized loss position for less than twelve consecutive months. At both December 31, 2023 and December 31, 2022, none of the Company’s AFS securities were in an unrealized loss position for more than twelve months without an allowance for credit losses recorded. December 31, 2023 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 $ 6,269,848 $ (199,276) $ — $ — $ 6,269,848 $ (199,276) Non-Agency 883 (173) — — 883 (173) Total $ 6,270,731 $ (199,449) $ — $ — $ 6,270,731 $ (199,449) December 31, 2022 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 $ 7,168,694 $ (328,258) $ — $ — $ 7,168,694 $ (328,258) Non-Agency 117,816 (5,933) — — 117,816 (5,933) Total $ 7,286,510 $ (334,191) $ — $ — $ 7,286,510 $ (334,191) Gross Realized Gains and Losses Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within (loss) gain on investment securities in the Company’s consolidated statements of comprehensive loss. The following table presents details around sales of AFS securities during the years ended December 31, 2023, 2022 and 2021: Year Ended December 31, (in thousands) 2023 2022 2021 Proceeds from sales of available-for-sale securities $ 2,673,827 $ 7,793,705 $ 6,274,193 Amortized cost of available-for-sale securities sold (2,792,703) (8,359,967) (6,137,824) Total realized (losses) gains on sales, net $ (118,876) $ (566,262) $ 136,369 Gross realized gains $ 16,285 $ 40,574 $ 167,269 Gross realized losses (135,161) (606,836) (30,900) Total realized (losses) gains on sales, net $ (118,876) $ (566,262) $ 136,369 |
Servicing Activities
Servicing Activities | 12 Months Ended |
Dec. 31, 2023 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |
Servicing Activities | Servicing Activities Mortgage Servicing Rights, at Fair Value One of the Company’s wholly owned subsidiaries, Matrix, 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. Matrix acquires MSR from third-party originators through flow and bulk purchases but does not directly service mortgage loans; instead, it contracts with appropriately licensed subservicers to handle substantially all servicing functions in the name of the subservicer for the mortgage loans underlying the Company’s MSR. On October 1, 2023, the Company, through its newly acquired subsidiary RoundPoint, began directly servicing a portion of the mortgage loans underlying the Company’s MSR portfolio as well as servicing mortgage loans underlying MSR owned by third parties. RoundPoint has approvals from Fannie Mae and Freddie Mac to service residential mortgage loans. The following table summarizes activity related to the Company’s MSR portfolio for the years ended December 31, 2023, 2022 and 2021. Year Ended December 31, (in thousands) 2023 2022 2021 Balance at beginning of period $ 2,984,937 $ 2,191,578 $ 1,596,153 Purchases of mortgage servicing rights 317,194 640,051 777,305 Sales of mortgage servicing rights (1) (115,754) (259,059) (43,411) Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (2) 97,859 793,631 562,843 Other changes in fair value (3) (227,663) (371,023) (666,160) Other changes (4) (4,557) (10,241) (35,152) Balance at end of period (5) $ 3,052,016 $ 2,984,937 $ 2,191,578 ____________________ (1) During the year ended December 31, 2023, excess MSR was transferred to Agency-sponsored trusts in exchange for stripped mortgage backed securities, or SMBS. In each transaction, a portion of the SMBS was acquired by third parties and the Company acquired the remaining balance of those SMBS, which are included within Agency AFS securities unless sold prior to December 31, 2023. (2) Includes the impact of acquiring MSR at a cost different from fair value. (3) Primarily represents changes due to the realization of cash flows. (4) Includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. (5) Based on the principal balance of the loans underlying the MSR reported by servicers on a month lag, adjusted for current month purchases. At December 31, 2023 and December 31, 2022, the Company pledged MSR with a carrying value of $3.0 billion and $3.0 billion, respectively, as collateral for repurchase agreements, revolving credit facilities and term notes payable. See Note 12 - Repurchase Agreements , Note 13 - Revolving Credit Facilities and Note 14 - Term Notes Payable . As of December 31, 2023 and December 31, 2022, 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) December 31, December 31, Weighted average prepayment speed: 6.2 % 6.9 % Impact on fair value of 10% adverse change $ (74,042) $ (50,192) Impact on fair value of 20% adverse change $ (146,237) $ (100,995) Weighted average delinquency: 0.9 % 0.9 % Impact on fair value of 10% adverse change $ (4,654) $ (3,880) Impact on fair value of 20% adverse change $ (12,376) $ (7,777) Weighted average option-adjusted spread: 5.3 % 5.3 % Impact on fair value of 10% adverse change $ (59,285) $ (44,431) Impact on fair value of 20% adverse change $ (119,776) $ (87,354) Weighted average per loan annual cost to service: $ 68.27 $ 67.92 Impact on fair value of 10% adverse change $ (24,111) $ (20,148) Impact on fair value of 20% adverse change $ (48,985) $ (39,401) 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 risks associated with the Company’s MSR are changes in interest rates, mortgage spreads and prepayments. The Company economically hedges interest rate and mortgage spread risk primarily with its Agency RMBS portfolio. Prepayment risk is carefully monitored and partially mitigated through the Company’s ability to retain the MSR, in certain circumstances, through recapture agreements with its subservicers if the underlying loan is refinanced. Mortgage Servicing Income The following table presents the components of servicing income recorded on the Company’s consolidated statements of comprehensive loss for the years ended December 31, 2023, 2022 and 2021: Year Ended December 31, (in thousands) 2023 2022 2021 Servicing fee income $ 555,221 $ 564,923 $ 461,381 Ancillary and other fee income 5,149 1,932 2,436 Float income 125,407 37,056 4,589 Total $ 685,777 $ 603,911 $ 468,406 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 $143.2 million and $119.0 million and were included in other assets on the consolidated balance sheets as of December 31, 2023 and December 31, 2022, respectively. At December 31, 2023 and December 31, 2022, mortgage loans in 60+ day delinquent status (whether or not subject to forbearance) accounted for approximately 0.7% and 0.8%, respectively, of the aggregate principal balance of loans for which the Company had servicing advance funding obligations. The Company has one revolving credit facility to finance its servicing advance obligations. At December 31, 2023 and December 31, 2022, the Company had pledged servicing advances with a carrying value of $79.7 million and $67.8 million, respectively, as collateral for this revolving credit facility. See Note 13 - Revolving Credit Facilities . |
Cash, Cash Equivalents and Rest
Cash, Cash Equivalents and Restricted Cash | 12 Months Ended |
Dec. 31, 2023 | |
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 December 31, 2023 and December 31, 2022: (in thousands) December 31, December 31, Restricted cash balances held by trading counterparties: For securities trading activity $ 450 $ 2,202 For derivatives trading activity 1,669 79,220 For servicing activities 50,345 36,690 As restricted collateral for borrowings 12,575 324,854 Total restricted cash balances held by trading counterparties 65,039 442,966 Restricted cash balance pursuant to letter of credit on office lease 62 60 Total $ 65,101 $ 443,026 The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company’s consolidated balance sheets as of December 31, 2023 and December 31, 2022 that sum to the total of the same such amounts shown in the statements of cash flows: (in thousands) December 31, December 31, Cash and cash equivalents $ 729,732 $ 683,479 Restricted cash 65,101 443,026 Total cash, cash equivalents and restricted cash $ 794,833 $ 1,126,505 |
Derivative Instruments and Hedg
Derivative Instruments and Hedging Activities | 12 Months Ended |
Dec. 31, 2023 | |
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. , Overnight Index Swap Rate, or OIS, or SOFR) 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, interest rate swap and swaption agreements, futures and options on 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 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 December 31, 2023 and December 31, 2022: December 31, 2023 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 12,292 $ 163,735 $ — $ — Interest rate swap agreements — — — 17,788,114 Swaptions, net 19 (200,000) — — TBAs 72,980 2,979,000 (21,506) 518,000 Futures, net — — — (6,203,050) Total $ 85,291 $ 2,942,735 $ (21,506) $ 12,103,064 December 31, 2022 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 15,293 $ 196,456 $ — $ — Interest rate swap agreements — — — — Swaptions, net — — — — TBAs 11,145 (650,000) (34,048) 4,476,000 Futures, net — (18,285,452) — — Total $ 26,438 $ (18,738,996) $ (34,048) $ 4,476,000 Comprehensive 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 consolidated statements of comprehensive loss: Derivative Instruments Location of Gain (Loss) Recognized in Income Amount of Gain (Loss) Recognized in Income Year Ended (in thousands) December 31, 2023 2022 2021 Interest rate risk management: TBAs (Loss) gain on other derivative instruments $ (155,942) $ (487,713) $ (193,479) Futures (Loss) gain on other derivative instruments (8,973) 514,467 (49,213) Options on TBAs (Loss) gain on other derivative instruments — — (5,683) Options on futures (Loss) gain on other derivative instruments (779) (2,224) — Interest rate swaps - Payers (Loss) gain on interest rate swap, cap and swaption agreements (53,263) 772,829 92,317 Interest rate swaps - Receivers (Loss) gain on interest rate swap, cap and swaption agreements 526 (756,744) (66,828) Swaptions (Loss) gain on interest rate swap, cap and swaption agreements (209) 13,414 16,602 Non-risk management: Inverse interest-only securities (Loss) gain on other derivative instruments (516) (15,220) (2,908) Total $ (219,156) $ 38,809 $ (209,192) For the years ended December 31, 2023, 2022 and 2021, the Company recognized $21.4 million of income, $4.8 million of expense, and $14.3 million of income, respectively, for the accrual and/or settlement of the net interest expense associated with its interest rate swaps and caps. The income resulted from paying either a fixed interest rate or a floating interest rate (OIS or SOFR) and receiving either a floating interest rate (OIS or SOFR) or a fixed interest rate on an average $8.0 billion, $12.4 billion and $15.9 billion notional, respectively. The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the years ended December 31, 2023 and 2022: Year Ended December 31, 2023 (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 $ 196,456 $ — $ (32,721) $ 163,735 $ 180,080 $ — Interest rate swap agreements — 22,600,456 (4,812,342) 17,788,114 7,974,494 (36,114) Swaptions, net — (400,000) 200,000 (200,000) (161,644) (80) TBAs, net 3,826,000 42,018,000 (42,347,000) 3,497,000 3,016,532 (230,319) Futures, net (18,285,452) (35,976,130) 48,058,532 (6,203,050) (9,085,474) 167,235 Options on futures, net — — — — — (779) Total $ (14,262,996) $ 28,242,326 $ 1,066,469 $ 15,045,799 $ 1,923,988 $ (100,057) Year Ended December 31, 2022 (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 $ 247,101 $ — $ (50,645) $ 196,456 $ 219,813 $ — Interest rate swap agreements 20,387,300 22,398,148 (42,785,448) — 12,424,320 29,543 Swaptions, net (1,761,000) (1,000,000) 2,761,000 — (1,274,101) 13,654 TBAs, net 4,116,000 69,828,000 (70,118,000) 3,826,000 4,743,504 (463,320) Futures, net (5,829,600) (68,777,002) 56,321,150 (18,285,452) (13,921,620) 487,267 Options on futures, net — 2,000 (2,000) — 416 (2,224) Total $ 17,159,801 $ 22,451,146 $ (53,873,943) $ (14,262,996) $ 2,192,332 $ 64,920 ____________________ (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 consolidated statements of cash flows. Realized gains and losses and derivative fair value adjustments are reflected within the realized and unrealized losses (gains) on interest rate swaps, caps and swaptions and unrealized losses (gains) on other derivative instruments line items within the operating activities section of the consolidated statements of cash flows. The remaining cash flow activity related to derivative instruments is reflected within the (purchases) short sales of derivative instruments, net; (payments for termination and settlement) proceeds from sales and settlement of derivative instruments, net; and (decrease) increase in due to counterparties, net line items within the investing activities section of the 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 or prepayment speeds decrease or increase, depending on the type of investment. Periods of rising interest rates with corresponding decreasing prepayment speeds generally result in a decline in the value of the Company’s fixed-rate Agency principal and interest (P&I) RMBS. The impact of this effect on the Company’s fixed-rate Agency P&I RMBS portfolio is partially mitigated by the presence of fixed-rate interest-only Agency RMBS, which generally increase in value when prepayment speeds decrease and MSR, which generally increase in value when prepayment speeds decrease and interest rates increase. As of December 31, 2023 and December 31, 2022, the Company had $41.9 million and $23.8 million, respectively, of interest-only securities, and $3.1 billion and $3.0 billion, respectively, of MSR. Interest-only securities are included in AFS securities, at fair value, in the 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. , OIS or SOFR) 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, interest rate swap and swaption agreements, futures and options on futures. The Company’s derivative contracts that were indexed to USD-LIBOR have been amended to transition to an alternative benchmark, where necessary. Any other unmodified agreements that incorporate LIBOR as the referenced rate either (i) already had provisions in place that provide for an alternative to LIBOR upon its phase-out, (ii) matured or (iii) were terminated prior to June 30, 2023. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR. 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 December 31, 2023 and December 31, 2022: December 31, 2023 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 4,194,000 $ 3,827,271 $ 3,898,874 $ 72,980 $ (1,377) Sale contracts (697,000) (656,723) (676,852) — (20,129) TBAs, net $ 3,497,000 $ 3,170,548 $ 3,222,022 $ 72,980 $ (21,506) December 31, 2022 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 4,826,000 $ 4,802,009 $ 4,767,989 $ 28 $ (34,048) Sale contracts (1,000,000) (878,711) (867,594) 11,117 — TBAs, net $ 3,826,000 $ 3,923,298 $ 3,900,395 $ 11,145 $ (34,048) ___________________ (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 consolidated balance sheets. Futures. The Company may use a variety of types of futures independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. The following table summarizes certain characteristics of the Company’s futures as of December 31, 2023 and December 31, 2022: (dollars in thousands) December 31, 2023 December 31, 2022 Type & Maturity Notional Amount Carrying Value Weighted Average Days to Expiration Notional Amount Carrying Value Weighted Average Days to Expiration U.S. Treasury futures - 2 year $ (549,600) $ — 88 $ (562,200) $ — 95 U.S. Treasury futures - 5 year (1,876,700) — 88 (3,855,500) — 95 U.S. Treasury futures - 10 year (983,300) — 79 (2,397,200) — 90 U.S. Treasury futures - 20 year (388,200) — 79 101,000 — 90 Federal Funds futures — — 0 (7,948,552) — 92 SOFR/Eurodollar futures (1) ≤ 1 year (1,842,750) — 184 (2,957,000) — 184 > 1 and ≤ 2 years (562,500) — 534 (666,000) — 489 Total futures $ (6,203,050) $ — 155 $ (18,285,452) $ — 122 ___________________ (1) During the three months ended June 30, 2023, all of the Company’s outstanding Eurodollar futures contracts with maturities after June 30, 2023 were converted into three-month SOFR futures contracts with similar characteristics. 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. The Company did not hold any interest rate swaps as of December 31, 2022. As of December 31, 2023, 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 (OIS or SOFR): (notional in thousands) December 31, 2023 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate Weighted Average Maturity (Years) 2024 $ — — % — % 0.00 2025 4,827,881 4.741 % 5.380 % 1.21 2026 1,968,891 4.087 % 5.380 % 2.01 2027 — — % — % 0.00 2028 and Thereafter 5,330,711 3.748 % 5.380 % 7.79 Total $ 12,127,483 4.245 % 5.380 % 3.87 ____________________ (1) Notional amount includes $1.1 billion in forward starting interest rate swaps as of December 31, 2023. (2) Weighted averages exclude forward starting interest rate swaps. As of December 31, 2023, the weighted average fixed pay rate on forward starting interest rate swaps was 4.0%. Additionally, as of December 31, 2023, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) risk whereby the Company pays interest at a floating interest rate (OIS or SOFR): (notional in thousands) December 31, 2023 Swaps Maturities Notional Amount (1) Weighted Average Pay Rate (2) Weighted Average Fixed Receive Rate (2) Weighted Average Maturity (Years) (2) 2024 $ — — % — % 0.00 2025 3,116,045 5.380 % 4.204 % 1.36 2026 — — % — % 0.00 2027 260,000 5.380 % 3.328 % 3.75 2028 and Thereafter 2,284,586 5.380 % 3.970 % 9.09 Total $ 5,660,631 5.380 % 4.052 % 5.00 ____________________ (1) Notional amount includes $645.2 million in forward starting interest rate swaps as of December 31, 2023. (2) Weighted averages exclude forward starting interest rate swaps. As of December 31, 2023, the weighted average fixed receive rate on forward starting interest rate swaps was 4.4%. 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. The Company did not hold any interest rate swaptions as of December 31, 2022. As of December 31, 2023, the Company had the following outstanding interest rate swaptions: December 31, 2023 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Basis Fair Value Average Months to Expiration Notional Amount Average Fixed Rate (1) Average Term (Years) Purchase contracts: Payer < 6 Months $ 480 $ 22 2.40 $ 200,000 5.13 % 1.0 Sale contracts: Payer < 6 Months $ (332) $ (3) 2.40 $ (400,000) 5.61 % 1.0 ____________________ (1) As of December 31, 2023, all underlying swap floating rates were tied to SOFR. Credit Risk The Company’s exposure to credit losses on its Agency RMBS portfolio is limited due to implicit or explicit backing from either a GSE or a U.S. government agency. 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. Derivative financial instruments contain an element of credit risk if counterparties are unable to meet the terms of the agreements. Credit risk associated with derivative financial instruments is measured as the net replacement cost should the counterparties that owe the Company under such contracts completely fail to perform under the terms of these contracts, assuming there are no recoveries of underlying collateral, as measured by the market value of the derivative financial instruments. As of December 31, 2023, the fair value of derivative financial instruments as an asset and liability position was $85.3 million and $21.5 million, respectively. |
Reverse Repurchase Agreements
Reverse Repurchase Agreements | 12 Months Ended |
Dec. 31, 2023 | |
Reverse Repurchase Agreements [Abstract] | |
Reverse Repurchase Agreements | Reverse Repurchase Agreements As of December 31, 2023 and December 31, 2022, the Company had $286.1 million and $189.5 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 $284.1 million and $189.3 million, respectively. Additionally, as of December 31, 2022, the Company had entered into $877.6 million in reverse repurchase agreements in order to effectively borrow U.S. Treasury securities and pledge them as collateral for $888.3 million of repurchase agreements (see Note 12 - Repurchase Agreements for further detail). These reverse repurchase agreements had the same maturities as the corresponding repurchase agreements, which were all short term as of December 31, 2022. As of December 31, 2023, the Company had no reverse repurchase agreements in place to effectively borrow U.S. Treasury securities and pledge them as collateral for repurchase agreements. |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 12 Months Ended |
Dec. 31, 2023 | |
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. 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 and exchange-traded futures and options on futures require the Company to post 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 derivative instrument’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 and exchange-trading activities, the exchange of variation margin is considered a settlement of the derivative instrument, 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 centrally cleared or exchange-traded derivative asset or liability. The receipt or payment of initial margin is accounted for separate from the derivative asset or liability. Reverse repurchase agreements and repurchase agreements with the same counterparty and the same maturity are presented net in the Company’s 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 consolidated statements of cash flows. The Company presents derivative assets and liabilities (other than centrally cleared or exchange-traded derivative instruments) subject to master netting arrangements or similar agreements on a net basis, based on derivative type and counterparty, in its consolidated balance sheets. Separately, the Company presents cash collateral subject to such arrangements (other than variation margin on centrally cleared or exchange-traded derivative instruments) on a net basis, based on counterparty, in its consolidated balance sheets. However, the Company does not offset repurchase agreements, reverse repurchase agreements or derivative assets and liabilities (other than centrally cleared or exchange-traded derivative instruments) with the associated cash collateral on its 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 consolidated balance sheets as of December 31, 2023 and December 31, 2022: December 31, 2023 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 $ 228,227 $ (142,936) $ 85,291 $ (21,506) $ — $ 63,785 Reverse repurchase agreements 284,091 — 284,091 — (284,091) — Total Assets $ 512,318 $ (142,936) $ 369,382 $ (21,506) $ (284,091) $ 63,785 Liabilities: Repurchase agreements $ (8,020,207) $ — $ (8,020,207) $ 8,020,207 $ — $ — Derivative liabilities (164,442) 142,936 (21,506) 21,506 — — Total Liabilities $ (8,184,649) $ 142,936 $ (8,041,713) $ 8,041,713 $ — $ — December 31, 2022 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 $ 98,609 $ (72,171) $ 26,438 $ (26,438) $ — $ — Reverse repurchase agreements 1,066,935 — 1,066,935 (888,295) (178,640) — Total Assets $ 1,165,544 $ (72,171) $ 1,093,373 $ (914,733) $ (178,640) $ — Liabilities: Repurchase agreements $ (8,603,011) $ — $ (8,603,011) $ 8,603,011 $ — $ — Derivative liabilities (106,219) 72,171 (34,048) 26,438 — (7,610) Total Liabilities $ (8,709,230) $ 72,171 $ (8,637,059) $ 8,629,449 $ — $ (7,610) ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the 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 consolidated balance sheets. |
Fair Value
Fair Value | 12 Months Ended |
Dec. 31, 2023 | |
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. The 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 consolidated balance sheets and primarily comprised of Agency and non-Agency investment securities. The Company determines the fair value of its Agency securities 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 99.95% and 0.05% of its AFS securities as Level 2 and Level 3 fair value assets, respectively, at December 31, 2023. Mortgage servicing rights . The Company holds a portfolio of MSR that are carried at fair value on the 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, OAS 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 December 31, 2023. 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 and swaptions. The Company utilizes third-party brokers to value its financial derivative instruments. The Company classified 100% of its interest rate swaps and swaptions reported at fair value as Level 2 at December 31, 2023. The Company may also enter into certain other derivative financial instruments, such as inverse interest-only securities, TBAs, futures and options on futures. The Company utilizes third-party pricing vendors to value inverse interest-only securities, as these instruments are similar in form to the Company’s AFS securities. The Company classified 100% of its inverse interest-only securities at fair value as Level 2 at December 31, 2023. TBAs, futures and options on futures are considered to be active markets such that participants transact with sufficient frequency and volume to provide transparent pricing information for identical instruments. The Company utilizes third-party pricing vendors to value TBAs, futures and options on futures. The Company reported 100% of its TBAs and futures as Level 1 as of December 31, 2023. The Company did not hold any options on futures at December 31, 2023. 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. Additionally, both the Company and the counterparty or clearing agency are required to post cash margin based upon the net underlying market value of the Company’s open positions with the counterparty. Posting of cash margin typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash margin 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 December 31, 2023 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 8,322,999 $ 4,150 $ 8,327,149 Mortgage servicing rights — — 3,052,016 3,052,016 Derivative assets 72,980 12,311 — 85,291 Total assets $ 72,980 $ 8,335,310 $ 3,056,166 $ 11,464,456 Liabilities: Derivative liabilities $ 21,506 $ — $ — $ 21,506 Total liabilities $ 21,506 $ — $ — $ 21,506 Recurring Fair Value Measurements December 31, 2022 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 7,653,576 $ 125,158 $ 7,778,734 Mortgage servicing rights — — 2,984,937 2,984,937 Derivative assets 11,145 15,293 — 26,438 Total assets $ 11,145 $ 7,668,869 $ 3,110,095 $ 10,790,109 Liabilities: Derivative liabilities $ 34,048 $ — $ — $ 34,048 Total liabilities $ 34,048 $ — $ — $ 34,048 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 December 31, 2023, 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 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, are valued by the Company using observable inputs, specifically quotations received from third-party brokers. Exchange-traded derivative instruments, including futures and options on futures, are valued based on quoted prices for identical instruments in active markets. The following table presents the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis: Year Ended December 31, 2023 December 31, 2022 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Available-For-Sale Securities Mortgage Servicing Rights Beginning of period level 3 fair value $ 125,158 $ 2,984,937 $ 12,304 $ 2,191,578 Gains (losses) included in net (loss) income: Realized (1,408) (209,479) (1,405) (368,255) Unrealized 4,817 (1) 97,859 (2) (3,632) (1) 793,631 (2) Reversal of provision for credit losses (146) — 1,213 — Net gains (losses) included in net (loss) income 3,263 (111,620) (3,824) 425,376 Other comprehensive income 1,112 — 1,023 — Purchases — 317,194 122,030 640,051 Sales (125,383) (133,938) (6,375) (261,827) Settlements — (4,557) — (10,241) Gross transfers into level 3 — — — — Gross transfers out of level 3 — — — — End of period level 3 fair value $ 4,150 $ 3,052,016 $ 125,158 $ 2,984,937 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ 1,112 (3) $ 119,164 (4) $ (4,535) (3) $ 696,807 (4) Change in unrealized gains or losses for the period included in other comprehensive income (loss) for assets held at the end of the reporting period $ — $ — $ (3,512) $ — ____________________ (1) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option was recorded in (loss) gain on investment securities on the consolidated statements of comprehensive loss. (2) The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the consolidated statements of comprehensive 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 (loss) gain on investment securities on the consolidated statements of comprehensive 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 consolidated statements of comprehensive loss. No transfers between Level 1, Level 2 or Level 3 were made during the years ended December 31, 2023 and 2022. 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 December 31, 2023 and December 31, 2022: December 31, 2023 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 5.0% - 6.9% 6.2% Option-adjusted spread 4.8% - 8.6% 5.3% Per loan annual cost to service $66.31 - $81.30 $68.27 December 31, 2022 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 6.2% - 7.6% 6.9% Option-adjusted spread 5.1% - 8.5% 5.3% Per loan annual cost to service $67.41 - $80.96 $67.92 ___________________ (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. Certain assets are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances, such as when there is evidence of impairment. Upon the occurrence of certain events, the Company re-measures the fair value of long-lived assets, including property, plant and equipment, operating lease right of use assets, intangible assets and goodwill if an impairment or observable price adjustment is recognized in the current period. No instances requiring re-measurement of assets measured at fair value on a nonrecurring basis occurred during the years ended December 31, 2023, 2022 and 2021. 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 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 11. • 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 December 31, 2023, the Company had outstanding borrowings of $1.0 billion 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 December 31, 2023. 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 December 31, 2023 and December 31, 2022: December 31, 2023 December 31, 2022 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets: Available-for-sale securities $ 8,327,149 $ 8,327,149 $ 7,778,734 $ 7,778,734 Mortgage servicing rights $ 3,052,016 $ 3,052,016 $ 2,984,937 $ 2,984,937 Cash and cash equivalents $ 729,732 $ 729,732 $ 683,479 $ 683,479 Restricted cash $ 65,101 $ 65,101 $ 443,026 $ 443,026 Derivative assets $ 85,291 $ 85,291 $ 26,438 $ 26,438 Reverse repurchase agreements $ 284,091 $ 284,091 $ 1,066,935 $ 1,066,935 Other assets $ 31,704 $ 31,704 $ 3,493 $ 3,493 Liabilities: Repurchase agreements $ 8,020,207 $ 8,020,207 $ 8,603,011 $ 8,603,011 Revolving credit facilities $ 1,329,171 $ 1,329,171 $ 1,118,831 $ 1,118,831 Term notes payable $ 295,271 $ 289,653 $ 398,011 $ 361,905 Convertible senior notes $ 268,582 $ 254,232 $ 282,496 $ 246,727 Derivative liabilities $ 21,506 $ 21,506 $ 34,048 $ 34,048 |
Repurchase Agreements
Repurchase Agreements | 12 Months Ended |
Dec. 31, 2023 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Repurchase Agreements As of December 31, 2023 and December 31, 2022, the Company had outstanding $8.0 billion and $8.6 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 5.74% and 3.95% and weighted average remaining maturities of 55 and 59 days as of December 31, 2023 and December 31, 2022, respectively. The Company’s repurchase agreements that were indexed to USD-LIBOR have been amended to transition to an alternative benchmark, where necessary. Any other unmodified agreements that incorporate LIBOR as the referenced rate either (i) already had provisions in place that provide for an alternative to LIBOR upon its phase-out, (ii) matured or (iii) were terminated prior to June 30, 2023. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR. At December 31, 2023 and December 31, 2022, the Company’s repurchase agreements had the following characteristics and remaining maturities: December 31, 2023 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights U.S. Treasuries (1) Total Amount Outstanding Within 30 days $ 2,772,975 $ — $ 1,615 $ 58,572 $ — $ 2,833,162 30 to 59 days 1,918,818 — — — — 1,918,818 60 to 89 days 2,058,518 233 687 — — 2,059,438 90 to 119 days 989,045 — 5,744 — — 994,789 120 to 364 days — — — 214,000 — 214,000 Total $ 7,739,356 $ 233 $ 8,046 $ 272,572 $ — $ 8,020,207 Weighted average borrowing rate 5.64 % 6.36 % 6.14 % 7.08 % — % 5.74 % December 31, 2022 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights U.S. Treasuries (1) Total Amount Outstanding Within 30 days $ 2,570,254 $ 59,648 $ 4,177 $ — $ 57,116 $ 2,691,195 30 to 59 days 1,774,622 10,984 — — 375,131 2,160,737 60 to 89 days 2,280,675 177 503 — 255,282 2,536,637 90 to 119 days 696,283 — 8,393 — 200,766 905,442 120 to 364 days — — — 309,000 — 309,000 Total $ 7,321,834 $ 70,809 $ 13,073 $ 309,000 $ 888,295 $ 8,603,011 Weighted average borrowing rate 3.70 % 5.73 % 4.83 % 7.91 % 4.49 % 3.95 % ____________________ (1) U.S. Treasury securities effectively borrowed under reverse repurchase agreements. The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of the Company’s repurchase agreements: (in thousands) December 31, December 31, Available-for-sale securities, at fair value $ 8,126,028 $ 7,426,953 Mortgage servicing rights, at fair value (1) 463,529 667,238 Restricted cash 12,375 324,654 Due from counterparties 36,420 22,055 Derivative assets, at fair value 11,877 14,738 U.S. Treasuries (2) — 877,632 Total $ 8,650,229 $ 9,333,270 ____________________ (1) As of December 31, 2023 and December 31, 2022 , MSR repurchase agreements of $214.0 million and $309.0 million, respectively, were secured by a VFN issued in connection with the Company’s securitization of MSR. Additionally, as of December 31, 2023, MSR repurchase agreements of $58.6 million were secured by a portion of the term notes issued in connection with the Company’s securitization of MSR and repurchased by the Company. The VFN and the term notes are both collateralized by the Company’s MSR. (2) U.S. Treasury securities effectively borrowed under reverse repurchase agreements. 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. As of both December 31, 2023 and December 31, 2022, the net carrying value of assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest, with any individual counterparty or group of related counterparties did not exceed 10% of total stockholders’ equity. The Company does not anticipate any defaults by its repurchase agreement counterparties. There can be no assurance, however, that any such default or defaults will not occur. |
Revolving Credit Facilities
Revolving Credit Facilities | 12 Months Ended |
Dec. 31, 2023 | |
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 December 31, 2023 and December 31, 2022, the Company had outstanding short- and long-term borrowings under revolving credit facilities of $1.3 billion and $1.1 billion with a weighted average borrowing rate of 8.66% and 7.68% and weighted average remaining maturities of 1.1 and 1.1 years, respectively. The Company’s revolving credit facilities that were indexed to USD-LIBOR have been amended to transition to an alternative benchmark, where necessary. Any other unmodified agreements that incorporate LIBOR as the referenced rate either (i) already had provisions in place that provide for an alternative to LIBOR upon its phase-out, (ii) matured or (iii) were terminated prior to June 30, 2023. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR. At December 31, 2023 and December 31, 2022, borrowings under revolving credit facilities had the following remaining maturities: (in thousands) December 31, December 31, Within 30 days $ — $ — 30 to 59 days — — 60 to 89 days — — 90 to 119 days — — 120 to 364 days 324,300 200,000 One year and over 1,004,871 918,831 Total $ 1,329,171 $ 1,118,831 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 December 31, 2023 and December 31, 2022, MSR with a carrying value of $2.2 billion and $1.8 billion, respectively, was pledged as collateral for the Company’s future payment obligations under its MSR revolving credit facilities. As of December 31, 2023 and December 31, 2022, servicing advances with a carrying value of $79.7 million and $67.8 million, respectively, were pledged as collateral for the Company’s future payment obligations under its servicing advance revolving credit facility. 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 | 12 Months Ended |
Dec. 31, 2023 | |
Term Notes Payable [Abstract] | |
Term Notes Payable | Term Notes Payable The debt issued in connection with the Company’s on-balance sheet MSR securitization is classified as term notes payable and carried at outstanding principal balance, which was $295.8 million as of December 31, 2023 and $400.0 million as of December 31, 2022, respectively, net of unamortized deferred debt issuance costs, on the Company’s consolidated balance sheets. During the year ended December 31, 2023, the Company repurchased $104.2 million principal amount of its MSR term notes in open market transactions for an aggregate cost of $101.0 million, resulting in a gain, net of unamortized deferred issuance costs, of $2.9 million recorded within the other income (loss) line item on the consolidated statements of comprehensive loss. No notes were repurchased during the years ended December 31, 2022 and 2021. As of December 31, 2023 and December 31, 2022, the outstanding amount due on term notes payable was $295.3 million and $398.0 million, net of deferred debt issuance costs, with a weighted average interest rate of 8.27% and 7.19% and weighted average remaining maturities of 0.5 years and 1.5 years. The Company’s term notes previously incorporated LIBOR as the referenced rate, which was replaced with Term SOFR, plus a spread adjustment, during the three months ended June 30, 2023. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR. At December 31, 2023 and December 31, 2022, the Company pledged MSR with a carrying value of $397.9 million and $500.0 million and weighted average underlying loan coupon of 3.32% and 3.33%, respectively, as collateral for term notes payable. Additionally, as of December 31, 2023 and December 31, 2022, $0.2 million and $0.2 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 | 12 Months Ended |
Dec. 31, 2023 | |
Debt Disclosure [Abstract] | |
Convertible Senior Notes | Convertible Senior Notes In February 2021, the Company closed an underwritten public offering of $287.5 million aggregate principal amount of convertible senior notes due 2026, or the 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 December 31, 2023 and December 31, 2022, the 2026 notes had a conversion rate of 33.8752 and 33.8752 shares of common stock per $1,000 principal amount of the notes, respectively. The 2026 notes will mature in January 2026, unless earlier converted or repurchased in accordance with their terms. The Company does not have the right to redeem the 2026 notes prior to maturity, but may repurchase the 2026 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. During the year ended December 31, 2023, the Company repurchased $15.6 million principal amount of its 2026 notes in open market transactions for an aggregate cost of $13.2 million, resulting in a gain, net of unamortized deferred issuance costs, of $2.2 million recorded within the other income (loss) line item on the consolidated statements of comprehensive loss. No notes were repurchased during the years ended December 31, 2022 and 2021. As of December 31, 2023, $271.9 million principal amount of the 2026 notes remained outstanding. The outstanding amount due on the 2026 notes as of December 31, 2023 and December 31, 2022 was $268.6 million and $282.5 million, respectively, net of unamortized deferred issuance costs. |
Commitment and Contingencies
Commitment and Contingencies | 12 Months Ended |
Dec. 31, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies The following represent the material commitments and contingencies of the Company as of December 31, 2023: Legal and regulatory. The Company and its subsidiaries are routinely involved in numerous legal and regulatory proceedings, including but not limited to judicial, arbitration, regulatory and governmental proceedings related to matters that arise in connection with the conduct of the Company’s business. These legal proceedings are at varying stages of adjudication, arbitration or investigation and may consist of a variety of claims, including common law tort and contract claims, consumer protection-related claims and claims under other laws and regulations. Any legal proceedings or actions brought against the Company may result in judgments, settlements, fines, penalties, injunctions, business improvement orders, consent orders, supervisory agreements, restrictions on business activities, or other results adverse to the Company, which could materially and negatively affect its business. The Company seeks to resolve all litigation and regulatory matters in the manner management believes is in the best interest of the Company and contests liability, allegations of wrongdoing, and, where applicable, the amount of damages or scope of any penalties or other relief sought as appropriate in each pending matter. 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 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, Pine River Domestic Management L.P. and Pine River Capital Management L.P. were added as plaintiffs to the matter. As amended, the complaint, or 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 the plaintiffs in pursuing the action. The Company has filed its answer to the Federal Complaint and made counterclaims against PRCM Advisers and Pine River Capital Management L.P. On May 5, 2022, the plaintiffs filed a motion for judgment on the pleadings, seeking judgment in their favor on all but one of the Company’s counterclaims and on one of the Company’s affirmative defenses. The Company opposed the motion for judgment on the pleadings. On August 10, 2023, the motion for judgment on the pleadings was granted in part and denied in part. The discovery period has ended. On November 8, 2023, the Company and the plaintiffs filed motions for summary judgment, seeking judgment in their favor on the pending claims and counterclaims. Each party opposed the other party’s motion for summary judgment. The motions for summary judgment are fully briefed. 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. As of December 31, 2023, the Company’s 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 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 are that the matter is not sufficiently advanced and the outcome of litigation is uncertain. If and when management believes losses associated with the Federal Complaint 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 consolidated financial statements and therefore no accrual is required as of December 31, 2023. |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 2023 | |
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 December 31, 2023. 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 5,085,268 $ 122,818 8.125 % April 27, 2027 April 27, 2027 3M Rate + 5.660% Series B July 19, 2017 10,439,260 252,443 7.625 % July 27, 2027 July 27, 2027 3M Rate + 5.352% Series C November 27, 2017 9,831,898 237,952 7.250 % January 27, 2025 January 27, 2025 3M Rate + 5.011% Total 25,356,426 $ 613,213 ____________________ (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 in footnote (3) below. (3) On and after the fixed-to-floating rate conversion date, dividends will accumulate and be payable quarterly at a percentage of the $25.00 per share liquidation preference equal to a floating base rate plus the spread indicated with respect to each series of preferred stock. The original floating base rate applicable to each preferred series was three-month USD-LIBOR, which ceased to be published on June 30, 2023. Under the LIBOR Act, and the regulations promulgated thereunder, the replacement reference rate for three-month USD-LIBOR is three-month CME Term SOFR plus a tenor spread adjustment of 0.26161%. As a result, based on the terms of the LIBOR Act, the Company expects that the floating base rate with respect to each series of preferred stock, following the applicable conversion date, will be three-month CME SOFR plus a tenor spread of 0.26161%. 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 December 31, 2023, 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. Preferred Share Repurchase Program On June 22, 2022, the Company’s board of directors authorized the repurchase of up to an aggregate of 5,000,000 shares of the Company’s preferred stock, which includes each series shown in the table above under the heading Redeemable Preferred Stock. Preferred shares may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to trading plans in accordance with Rule 10b5-1 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 preferred share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The preferred 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 preferred share repurchase program does not have an expiration date. As of December 31, 2023, a total of 664,732 shares of the Company’s 8.125% Series A Cumulative Redeemable Preferred Stock, 1,060,740 shares of the Company’s 7.625% Series B Cumulative Redeemable Preferred Stock and 1,968,102 shares of the Company’s 7.25% Series C Cumulative Redeemable Preferred Stock had been repurchased by the Company under the program for an aggregate cost of $12.5 million, $19.1 million and $34.6 million, respectively, of which 236,183, 273,894 and 225,547 shares were repurchased for a total cost of $4.7 million, $5.3 million and $4.7 million, respectively, during the year ended December 31, 2023. During the year ended December 31, 2022, the Company repurchased 428,549 shares of Series A preferred stock, 786,846 shares of Series B preferred stock and 1,742,555 shares of Series C preferred stock for a total cost of $7.8 million, $13.8 million and $29.8 million, respectively. The difference between the consideration transferred and the carrying value of the preferred stock repurchased resulted in a gain attributable to common stockholders of $3.0 million and $20.1 million for the years ended December 31, 2023 and 2022, respectively. Common Stock Reverse Stock Split On September 21, 2022, the Company’s board of directors approved a one-for-four reverse stock split of its outstanding shares of common stock. The reverse stock split was effected on November 1, 2022 at 5:01 p.m. Eastern Time. At the effective time, every four issued and outstanding shares of the Company’s common stock were converted into one share of common stock. No fractional shares were issued in connection with the reverse stock split; instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined on the basis of the volume weighted average price of the Company’s common stock on the NYSE on November 1, 2022. In connection with the reverse stock split, the number of authorized shares of the Company’s common stock was also reduced on a one-for-four basis, from 700,000,000 to 175,000,000. The par value of each share of common stock remained unchanged. All per share amounts, common shares outstanding and common equity-based awards for all periods presented have been adjusted on a retroactive basis to reflect the reverse stock split. Public Offerings On February 6, 2023, the Company completed a public offering of 10,000,000 shares of its common stock. The underwriters purchased the shares from the Company at a price of $17.59 per share, for net proceeds to the Company of approximately $175.6 million after deducting offering expenses. The underwriters did not exercise any portion of their 30-day overallotment option to purchase up to 1,500,000 additional shares. On October 28, 2021, the Company completed a public offering of 7,500,000 shares of its common stock. The underwriters purchased the shares from the Company at a price of $25.872 per share, for net proceeds to the Company of approximately $193.7 million after deducting offering expenses. The underwriters did not exercise any portion of their 30-day overallotment option to purchase up to 1,125,000 additional shares. On July 14, 2021, the Company completed a public offering of 10,000,000 shares of its common stock. The underwriters purchased the shares from the Company at a price of $25.68 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 1,500,000 additional shares. As of December 31, 2023, the Company had 103,206,457 shares of common stock outstanding. The following table presents a reconciliation of the common shares outstanding for the years ended December 31, 2023, 2022 and 2021: Number of common shares Common shares outstanding, December 31, 2020 68,425,971 Issuance of common stock 17,516,255 Non-cash equity award compensation (1) 35,606 Common shares outstanding, December 31, 2021 85,977,831 Issuance of common stock 324,896 Non-cash equity award compensation (1) 126,118 Common shares outstanding, December 31, 2022 86,428,845 Issuance of common stock 17,149,490 Repurchase of common stock (593,453) Non-cash equity award compensation (1) 221,575 Common shares outstanding, December 31, 2023 103,206,457 ____________________ (1) See Note 18 - Equity Incentive Plans for further details regarding the Company’s Equity Incentive Plans. Distributions to Stockholders The following table presents cash dividends declared by the Company on its preferred and common stock during the years ended December 31, 2023, 2022 and 2021: Year Ended December 31, (dollars in thousands) 2023 2022 2021 Class of Stock Amount Per Share Amount Per Share Amount Per Share Series A Preferred Stock $ 10,460 $ 2.04 $ 11,462 $ 2.04 $ 11,680 $ 2.04 Series B Preferred Stock $ 20,087 $ 1.92 $ 21,547 $ 1.92 $ 21,921 $ 1.92 Series C Preferred Stock $ 18,060 $ 1.80 $ 20,598 $ 1.80 $ 21,388 $ 1.80 Common Stock $ 192,220 $ 1.95 $ 228,845 $ 2.64 $ 205,623 $ 2.72 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 937,500 shares of the Company’s common stock. As of December 31, 2023, 130,630 shares have been issued under the plan for total proceeds of approximately $6.3 million, of which 16,965, 17,653 and 13,206 shares were issued for total proceeds of $0.2 million, $0.3 million and $0.4 million during the years ended December 31, 2023, 2022 and 2021, respectively. Common Share Repurchase Program The Company’s common share repurchase program allows for the repurchase of up to an aggregate of 9,375,000 shares of the Company’s common stock. Common 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 Exchange Act, or by any combination of such methods. The manner, price, number and timing of common share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The common 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 common share repurchase program does not have an expiration date. As of December 31, 2023, a total of 3,637,028 shares of common stock had been repurchased by the Company under the program for an aggregate cost of $208.5 million, of which 593,453 shares were repurchased for a total cost of $7.1 million during the year ended December 31, 2023. No shares of common stock were repurchased during the years ended December 31, 2022 and 2021. At-the-Market Offerings The Company is party to an equity distribution agreement under which the Company is authorized to sell up to an aggregate of 11,000,000 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 December 31, 2023, 9,315,703 shares of common stock had been sold under the current or prior equity distribution agreements for total accumulated net proceeds of approximately $234.6 million, of which 7,132,525, 307,569 and 3,050 shares were sold for net proceeds of $99.8 million, $6.1 million and $0.1 million during the years ended December 31, 2023, 2022 and 2021, respectively. Accumulated Other Comprehensive Loss Accumulated other comprehensive loss at December 31, 2023 and December 31, 2022 was as follows: (in thousands) December 31, December 31, Available-for-sale securities: Unrealized gains $ 23,305 $ 47,656 Unrealized losses (199,734) (326,367) Accumulated other comprehensive loss $ (176,429) $ (278,711) Reclassifications out of Accumulated Other Comprehensive Loss The Company reclassifies unrealized gains and losses on AFS securities in accumulated other comprehensive loss to net (loss) income upon the recognition of any realized gains and losses on sales as individual securities are sold. For the years ended December 31, 2023, 2022 and 2021, the Company reclassified $140.9 million in unrealized losses, $428.5 million in unrealized losses and $135.6 million in unrealized gains, respectively, on sold AFS securities from accumulated other comprehensive loss to (loss) gain on investment securities on the consolidated statements of comprehensive loss. |
Equity Incentive Plans
Equity Incentive Plans | 12 Months Ended |
Dec. 31, 2023 | |
Share-Based Payment Arrangement [Abstract] | |
Equity Incentive Plans | Equity Incentive Plans All per share amounts, common shares outstanding and common equity-based awards for all periods presented have been adjusted on a retroactive basis to reflect the reverse stock split. 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 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, restricted stock units, or RSUs, performance-based awards (including performance share units, or PSUs), phantom shares, dividend equivalent rights and other equity-based awards. The 2021 Plan is subject to a ceiling of 4,250,000 shares and the 2009 Plan is subject to a ceiling of 1,625,000 shares of the Company’s common stock; however, following stockholder approval of the 2021 Plan in May 2021, no new awards will be granted under the 2009 Plan. Awards previously granted under the 2009 Plan remain outstanding and valid in accordance with their terms. 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 The following table summarizes the activity related to RSUs for the years ended December 31, 2023 and 2022: Year Ended December 31, 2023 2022 Units Weighted Average Grant Date Fair Market Value Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 468,632 $ 23.54 293,426 $ 28.39 Granted 371,673 16.19 320,783 20.94 Vested (221,575) (23.56) (127,283) (28.17) Forfeited (5,031) (20.20) (18,294) (23.73) Outstanding at End of Period 613,699 $ 19.11 468,632 $ 23.54 The estimated fair value of RSUs on grant date is based on the closing market price of the Company’s common stock on the NYSE on such date. The shares underlying RSUs granted to independent directors are subject to a one three Performance Share Units The following table summarizes the activity related to PSUs for the years ended December 31, 2023 and 2022: Year Ended December 31, 2023 2022 Target Units Weighted Average Grant Date Fair Market Value Target Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 265,261 $ 26.93 109,356 $ 34.68 Granted 222,208 22.47 165,820 21.83 Vested — — — — Forfeited (1,647) (25.21) (9,915) (27.21) Outstanding at End of Period 485,822 $ 24.89 265,261 $ 26.93 The estimated fair value of PSUs on grant date is determined using a Monte Carlo simulation. PSUs vest promptly following the completion of a three Restricted Common Stock The following table summarizes the activity related to restricted common stock for the years ended December 31, 2023 and 2022: Year Ended December 31, 2023 2022 Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 42,884 $ 60.91 113,239 $ 60.18 Granted — — — — Vested (42,884) (60.91) (69,191) (59.71) Forfeited — — (1,164) (60.92) Outstanding at End of Period — $ — 42,884 $ 60.91 The estimated fair value of restricted common stock on grant date is based on the closing market price of the Company’s common stock on the NYSE on such date. The shares underlying restricted common stock grants to the Company’s executive officers and other eligible individuals vested in three Non-Cash Equity Compensation Expense For the years ended December 31, 2023, 2022 and 2021 the Company recognized compensation related to RSUs, PSUs and restricted common stock granted pursuant to the Equity Incentive Plans of $11.0 million, $11.6 million and $11.5 million, respectively. As of December 31, 2023, the Company had $4.3 million of total unrecognized compensation cost related to unvested share-based compensation arrangements. This cost is expected to be recognized over a weighted average period of 1.5 years. |
Interest Income and Interest Ex
Interest Income and Interest Expense | 12 Months Ended |
Dec. 31, 2023 | |
Banking and Thrift, Interest [Abstract] | |
Interest Income and Interest Expense | Interest Income and Interest Expense The following table presents the components of the Company’s interest income and interest expense for the years ended December 31, 2023, 2022 and 2021. Year Ended December 31, 2023 2022 2021 Interest income: Available-for-sale securities $ 412,310 $ 272,230 $ 167,310 Other 68,054 23,310 1,287 Total interest income 480,364 295,540 168,597 Interest expense: Repurchase agreements 474,292 167,455 25,774 Revolving credit facilities 121,124 51,814 22,425 Term notes payable 28,994 19,514 12,936 Convertible senior notes 18,815 19,612 28,038 Total interest expense 643,225 258,395 89,173 Net interest (expense) income $ (162,861) $ 37,145 $ 79,424 |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2023 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the years ended December 31, 2023, 2022 and 2021, 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. Certain activities the Company performs may produce income that will not be qualifying income for REIT purposes. These activities include the designated portion of MSR treated as normal mortgage servicing, residential mortgage loans, certain derivative financial instruments and other risk-management instruments. The Company has designated its TRSs to engage in these activities. On August 16, 2022, President Biden signed into law the Inflation Reduction Act of 2022, or the IRA, sweeping legislation addressing healthcare, climate change and renewable energy incentives, and inflation, among other priorities. The bill includes numerous tax provisions that impact corporations, including the implementation of a corporate alternative minimum tax as well as a 1% excise tax on certain stock repurchases and economically similar transactions. However, REITs are excluded from the definition of an “applicable corporation” and therefore are not subject to the corporate alternative minimum tax. Additionally, stock repurchases by REITs are specifically excepted from the 1% excise tax. The Company’s TRSs operate as standalone corporations and therefore could be adversely affected by the tax law changes. The Company’s analysis of the accounting implications of the IRA result in no impact being recorded to its 2023 financial statements. Technical corrections or other amendments to the IRA or administrative guidance interpreting the IRA may be forthcoming at any time. While the Company does not anticipate a material effect on its operations, it will continue to analyze and monitor the application of the IRA to its business. The following table summarizes the tax provision (benefit) recorded primarily at the taxable subsidiary level for the years ended December 31, 2023, 2022 and 2021: Year Ended December 31, (in thousands) 2023 2022 2021 Current tax provision (benefit) : Federal $ 3,498 $ — $ — State 4,976 (1,028) (1,768) Total current tax provision (benefit) 8,474 (1,028) (1,768) Deferred tax provision (benefit): Federal 16,602 90,916 14,851 State (2,098) 14,325 (8,891) Total deferred tax provision 14,504 105,241 5,960 Total provision for income taxes $ 22,978 $ 104,213 $ 4,192 During the year ended December 31, 2023, the Company recognized a provision for income taxes of $23.0 million, which was primarily due to net income from MSR servicing activity, offset by net losses recognized on MSR and operating expenses in the Company’s TRSs. During the year ended December 31, 2022, the Company recognized a provision for income taxes of $104.2 million, which was primarily due to income from MSR servicing activity and net gains recognized on MSR, offset by net losses recognized on derivative instruments and operating expenses in the Company’s TRSs. During the year ended December 31, 2021, the Company recognized a provision for income taxes of $4.2 million, which was primarily due to income from MSR servicing activity and gains recognized on MSR, offset by net losses recognized on derivative instruments and operating expenses in the Company’s TRSs. The Company’s taxable income before dividend distributions differs from its pre-tax net income for U.S. GAAP purposes primarily due to unrealized gains and losses, the deferral of capital losses for tax, differences in timing of income recognition due to market discount and original issue discount and the calculations surrounding each, dividends paid from the Company’s TRSs to the REIT, the utilization of net operating losses for tax and differences in treatment of compensation expense. These book to tax differences in the REIT are not reflected in the consolidated financial statements as the Company intends to retain its REIT status. As of December 31, 2023, the Company had $253.0 million of net operating loss carryforwards for federal income tax purposes at the REIT, which may be utilized to offset future taxable income after consideration for the dividends paid deduction. These federal net operating loss carryforwards do not have an expiration date and can be carried forward indefinitely. As of December 31, 2023, the Company had $2.5 billion of net capital loss carryforwards for federal income tax purposes at the REIT, which may be utilized to offset future net gains from the sale of capital assets. These federal net capital loss carryforwards have an expiration date of five years of which the majority of these losses will expire between 2025 and 2027. The utilization of the net capital loss carryforwards will depend on the REIT’s ability to generate sufficient net capital gains prior to the expiration of the carryforward period. The following is a reconciliation of the statutory federal and state rates to the effective rates, for the years ended December 31, 2023, 2022 and 2021: Year Ended December 31, 2023 2022 2021 (dollars in thousands) Amount Percent Amount Percent Amount Percent (Benefit from) provision for income taxes at statutory federal tax rate $ (17,513) 21 % $ 68,135 21 % $ 40,198 21 % State taxes, net of federal benefit, if applicable 2,358 (3) % 10,478 3 % (8,420) (4) % Permanent differences in taxable income from net income for U.S. GAAP purposes 65,670 (79) % (93) — % 15 — % REIT (loss) income not subject to corporate income tax (27,537) 33 % 25,693 8 % (27,601) (14) % Provision for (benefit from) income taxes/ effective tax rate (1) $ 22,978 (28) % $ 104,213 32 % $ 4,192 3 % ____________________ (1) The provision for income taxes is primarily recorded at the taxable subsidiary level. The Company’s permanent differences in taxable income from net income (loss) for U.S. GAAP purposes in the year ended December 31, 2023 were primarily due to dividends paid from the Company’s TRSs to the REIT. Additionally, the Company’s recurring permanent differences in taxable income from net income (loss) for U.S. GAAP purposes in the years ended December 31, 2023, 2022 and 2021 were due to state taxes, net of federal benefit in the Company’s TRSs, the dividends paid deduction for tax, amortization of goodwill for tax and a difference in the compensation expense related to officer’s compensation limitation and restricted stock dividends and vesting. The Company’s consolidated balance sheets, as of December 31, 2023 and December 31, 2022 contain the following current and deferred tax liabilities and assets, which are included in other assets, and are recorded at the taxable subsidiary level: (in thousands) December 31, December 31, Income taxes receivable (payable): Federal income taxes receivable $ 52 $ — State and local income taxes (payable) receivable (735) 404 Income taxes (payable) receivable, net (683) 404 Deferred tax assets (liabilities): Deferred tax asset 20,083 33,426 Deferred tax liability (81,765) (80,603) Total net deferred tax assets (liabilities) (61,682) (47,177) Total tax assets (liabilities), net $ (62,365) $ (46,773) Deferred Tax Assets and Liabilities Deferred income taxes reflect the net tax effect of temporary differences between the carrying amount of assets and liabilities for financial reporting and tax purposes at the TRS level. Components of the Company’s deferred tax liabilities and assets as of December 31, 2023 and December 31, 2022 were as follows: (in thousands) December 31, December 31, Mortgage servicing rights $ (81,765) $ (80,492) Net operating loss carryforward 18,224 32,301 Other 1,859 1,014 Total deferred tax assets (liabilities) (61,682) (47,177) Valuation allowance — — Total net deferred tax assets (liabilities) $ (61,682) $ (47,177) As of December 31, 2023 and December 31, 2022, the Company had not recorded a valuation allowance for any portion of its deferred tax assets as it did not believe, at a more likely than not level, that any portion of its deferred tax assets would not be realized. Based on the Company’s evaluation, it has been concluded that there are no significant uncertain tax positions requiring recognition in the Company’s 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 consolidated financial statements. |
Earnings Per Share
Earnings Per Share | 12 Months Ended |
Dec. 31, 2023 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share The following table presents a reconciliation of the (loss) earnings and shares used in calculating basic and diluted (loss) earnings per share for the years ended December 31, 2023, 2022 and 2021. All per share amounts, common shares outstanding and common equity-based awards for all periods presented have been adjusted on a retroactive basis to reflect the reverse stock split. Year Ended December 31, (in thousands, except share data) 2023 2022 2021 Basic (Loss) Earnings Per Share: Net (loss) income $ (106,371) $ 220,239 $ 187,227 Dividends on preferred stock (48,607) (53,607) (58,458) Gain on repurchase and retirement of preferred stock 2,973 20,149 — Dividends and undistributed earnings allocated to participating restricted stock units (1,220) (1,203) (731) Net (loss) income attributable to common stockholders, basic $ (153,225) $ 185,578 $ 128,038 Basic weighted average common shares 95,672,143 86,179,418 74,443,000 Basic (loss) earnings per weighted average common share $ (1.60) $ 2.15 $ 1.72 Diluted (Loss) Earnings Per Share: Net (loss) income attributable to common stockholders, basic $ (153,225) $ 185,578 $ 128,038 Reallocation impact of undistributed earnings to participating restricted stock units — — — Interest expense attributable to convertible notes — 19,382 — Net (loss) income attributable to common stockholders, diluted $ (153,225) $ 204,960 $ 128,038 Basic weighted average common shares 95,672,143 86,179,418 74,443,000 Effect of dilutive shares issued in an assumed vesting of performance share units — 157,591 67,884 Effect of dilutive shares issued in an assumed conversion — 9,739,166 — Diluted weighted average common shares 95,672,143 96,076,175 74,510,884 Diluted (loss) earnings per weighted average common share $ (1.60) $ 2.13 $ 1.72 For the years ended December 31, 2023, 2022 and 2021, participating RSUs were included in the calculations of basic and diluted earnings per share under the two-class method, as it was more dilutive than the alternative treasury stock method. For the year ended December 31, 2023, excluded from the calculation of diluted earnings per share was the effect of adding 331,051 weighted average common share equivalents related to the assumed vesting of outstanding PSUs, as their inclusion would have been antidilutive. For the years ended December 31, 2022 and 2021, the assumed vesting of outstanding PSUs was included in the calculation of diluted earnings per share under the two-class method, as it was more dilutive than the alternative treasury stock method. For the years ended December 31, 2023, 2022 and 2021, excluded from the calculation of diluted earnings per share was the effect of adding back $18.8 million, $0.2 million and $28.0 million of interest expense and 9,406,519, 87,137 and 12,555,567 weighted average common share equivalents, respectively, related to the assumed conversion of the Company’s convertible senior notes, as their inclusion would have been antidilutive. For the year ended December 31, 2022, only the Company’s convertible senior notes due 2022, which matured in January 2022, were excluded from the calculation of diluted earnings per share, and the assumed conversion of the Company’s 2026 notes was included in the calculation of diluted earnings per share under the if-converted method. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2023 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Events subsequent to December 31, 2023 were evaluated through the date these consolidated financial statements were issued and no other additional events were identified requiring further disclosure in these consolidated financial statements. |
Pay vs Performance Disclosure
Pay vs Performance Disclosure - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Pay vs Performance Disclosure | |||
Net income (loss) | $ (106,371) | $ 220,239 | $ 187,227 |
Insider Trading Arrangements
Insider Trading Arrangements | 3 Months Ended | 12 Months Ended |
Dec. 31, 2023 | Dec. 31, 2023 | |
Trading Arrangements, by Individual | ||
Material Terms of Trading Arrangement | During the three months ended December 31, 2023, no director or officer of the Company adopted, modified or terminated a “Rule 10b5-1 trading arrangement” or “non-Rule 10b5-1 trading arrangement,” as each term is defined in Item 408(a) of Regulation S-K. | |
Rule 10b5-1 Arrangement Adopted | false | |
Non-Rule 10b5-1 Arrangement Adopted | false | |
Rule 10b5-1 Arrangement Terminated | false | |
Non-Rule 10b5-1 Arrangement Terminated | false |
Basis of Presentation and Sig_2
Basis of Presentation and Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2023 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Consolidation and Basis of Presentation | Consolidation and Basis of Presentation The accompanying consolidated financial statements 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. The accounting and reporting policies of the Company conform to U.S. generally accepted accounting principles, or U.S. GAAP. The Company consists of a single operating and reportable segment; the investment portfolio is managed as a whole and resources are allocated and financial performance is assessed by the chief operating decision maker on a consolidated basis. Accordingly, the consolidated financial statements and notes thereto are presented as a single reportable segment. Certain prior period amounts have been reclassified to conform to the current period presentation. All per share amounts, common shares outstanding and common equity-based awards for all prior periods reflect the Company’s one-for-four reverse stock split effected on November 1, 2022 at 5:01 p.m. Eastern Time (refer to Note 17 - Stockholders’ Equity for additional information). |
Use of Estimates | Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. , valuation changes due to supply and demand in the market, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. |
Business Combinations | Business Combinations Under Accounting Standards Codification (ASC) 805, Business Combinations , or ASC 805, an acquisition is considered a business combination when the assets acquired and liabilities assumed constitute a business. The acquisition method prescribed in ASC 805 requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. In a business combination, the initial allocation of the purchase price is considered preliminary and therefore subject to change until the end of the measurement period (up to one year from the acquisition date). Goodwill is calculated as the excess of the consideration transferred over the net assets acquired that meet the criteria for separate recognition and represents the estimated future economic benefits arising from these and other assets acquired that could not be individually identified or do not qualify for recognition as a separate asset. Goodwill is included within the other assets line item on the Company’s consolidated balance sheets. Acquisition-related costs are expensed as incurred and included within the other operating expenses line item in the Company’s consolidated statements of comprehensive loss. The results of operations of acquired businesses are included from the date of acquisition. |
Goodwill and Intangible Assets | Goodwill and Intangible Assets On an annual basis, the Company qualitatively assesses its goodwill assigned to each of its reporting units during the fourth quarter of each year. This qualitative assessment evaluates various events and circumstances, such as macro-economic conditions, industry and market conditions, cost factors, relevant events and financial trends, that may impact a reporting unit’s fair value. Using this qualitative assessment, the Company determines whether it is more-likely-than-not that the reporting unit’s fair value exceeds its carrying value. If it is determined that it is not more-likely-than-not that the reporting unit’s fair value exceeds the carrying value, or upon consideration of other factors, including recent acquisition, restructuring or divestiture activity, the Company performs a quantitative, “step one” goodwill impairment analysis. In addition, the Company may test goodwill in between annual test dates if an event occurs or circumstances change that could more-likely-than-not reduce the fair value of a reporting unit below its carrying value. The Company did not recognize any goodwill impairment during the year ended December 31, 2023. As a result of the RoundPoint acquisition, the Company identified intangible assets in the form of state licenses, GSE approvals and trade names. Intangible assets are included within the other assets line item on the Company’s consolidated balance sheets. The Company recorded the intangible assets at fair value at the acquisition date and amortizes the value of finite-lived intangibles into expense over the expected useful life. Amortization of acquired intangible assets is included within the other operating expenses line item in the Company’s consolidated statements of comprehensive loss. If impairment events occur, they could accelerate the timing of acquired intangible asset charges. Licenses and approvals acquired are deemed to have an indefinite useful life and are evaluated for impairment annually during the fourth quarter and in interim periods if indicators of impairment exist. The Company did not recognize any impairment on its intangible assets during the year ended December 31, 2023. |
Variable Interest Entities | Variable Interest Entities The Company enters into transactions with subsidiary trust entities that are established for limited purposes. One of the Company’s subsidiary trust entities, MSR Issuer Trust, was formed for the purpose of financing MSR through securitization, pursuant to which, through two of the Company’s wholly owned subsidiaries, MSR is pledged to MSR Issuer Trust and in return, 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. Another of the Company’s subsidiary trust entities, Servicing Advance Receivables Issuer Trust, was formed for the purpose of financing servicing advances through a revolving credit facility, pursuant to which Servicing Advance Receivables Issuer Trust issued a VFN backed by servicing advances pledged to the financing counterparty. Both MSR Issuer Trust and Servicing Advance Receivables Issuer Trust are considered VIEs for financial reporting purposes and 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 is the primary beneficiary and, thus, consolidates the trusts. |
Available-for-Sale Securities, at Fair Value | Available-for-Sale Securities, at Fair Value The Company invests primarily in mortgage pass-through certificates, collateralized mortgage obligations and other residential mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans issued by a Fannie Mae, Freddie Mac or Ginnie Mae. The Company also holds securities that are not issued by a GSE or U.S government agency, or non-Agency securities, other Agency securities, and, from time to time, U.S. Treasuries. The Company classifies its Agency and non-Agency investment securities, excluding inverse interest-only Agency securities which are classified as derivatives for purposes of U.S. GAAP, as available-for-sale, or AFS, investments. Although the Company generally intends to hold most of its investment securities until maturity, it may, from time to time, sell any of its investment securities as part of its overall management of its portfolio. Accordingly, the Company classifies all of its securities as AFS, including its interest-only strips, which represent the Company’s right to receive a specified portion of the contractual interest flows of specific Agency or non-Agency securities. All assets classified as AFS, excluding certain AFS securities for which we have elected the fair value option, are reported at estimated fair value with unrealized gains and losses included in accumulated other comprehensive loss. On July 1, 2015, the Company elected the fair value option for Agency interest-only securities acquired on or after such date. On July 1, 2021, the Company elected the fair value option for all non-Agency securities acquired on or after such date. On January 1, 2023, the Company elected the fair value option for all other non-RMBS Agency securities acquired on or after such date. All Agency interest-only securities acquired on or after July 1, 2015, all non-Agency securities acquired on or after July 1, 2021, and all other non-RMBS Agency securities acquired on or after January 1, 2023 are carried at estimated fair value with changes in fair value recorded as a component of (loss) gain on investment securities in the consolidated statements of comprehensive loss. Fair value is determined under the guidance of Accounting Standards Codification (ASC) 820, Fair Value Measurements and Disclosures, or ASC 820. The Company determines the fair value of its investment securities that are issued or guaranteed as to principal and/or interest by a GSE or U.S. government agency, based upon prices obtained from third-party pricing vendors or broker quotes received using the bid price, which are both deemed indicative of market activity. In determining the fair value of its non-Agency securities, management judgment is used to arrive at fair value that considers prices obtained from third-party pricing vendors, broker quotes received and other applicable market data. If listed price data is not available or insufficient, 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. See Note 11 - Fair Value of these notes to the consolidated financial statements for details on fair value measurement. Investment securities transactions are recorded on the trade date. The cost basis for realized gains and losses on sales of investment securities are determined on the first-in, first-out, or FIFO, method. Interest income ( i.e ., gross yield/stated coupon) on securities is accrued based on the outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency securities and non-Agency securities rated AA and higher at the time of purchase, are amortized and accreted, respectively, as an adjustment to interest income over the life of such securities using the contractual method under ASC 310-20, Nonrefundable Fees and Other Costs , which is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows, assuming no principal prepayments, to its purchase price. When applying the contractual effective interest method, as principal prepayments occur, an amount of the unamortized premium or discount is recognized in interest income such that the contractual effective interest rate on the remaining security balance is unaffected. Discounts associated with non-Agency securities that were purchased at a discount to par value and were rated below AA at the time of purchase and Agency and non-Agency interest-only securities that can be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment are accreted as an adjustment to interest income over the life of such securities using the prospective method under ASC 325-40, Investments - Other: Beneficial Interests in Securitized Financial Assets , which is applied at the individual security level based upon each security’s effective interest rate. At the time of acquisition, the security’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the effective interest rate and interest income recognized on such securities. Actual maturities of the AFS securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of AFS securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years. The Company evaluates AFS securities where the fair value option has not been elected for impairment at least quarterly, and more frequently when economic or market conditions warrant such evaluation. When the fair value of an AFS security is less than its amortized cost, the security is considered impaired. For securities that are impaired, the Company determines if it (i) has the intent to sell the security, (ii) is more likely than not that it will be required to sell the security before recovery of its amortized cost basis, or (iii) does not expect to recover the entire amortized cost basis of the security. If the Company determines that it is more likely than not that it will incur a realized loss on the security when it is sold, the difference between the amortized cost and the fair value is recognized in consolidated statements of comprehensive loss as a component of (loss) gain on investment securities. The Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on both Agency and non-Agency AFS securities that are not accounted for under the fair value option. The initial 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. The contractual cash flows and expected cash flows are based on management’s best estimate and take into consideration current prepayment assumptions, lifetime expected losses based on past loss experience, current market conditions, and reasonable and supportable forecasts of future conditions. The allowance for credit losses on Agency AFS securities relates to prepayment assumption changes on interest-only Agency RMBS. The initial allowance for credit losses causes an increase in the AFS security amortized cost and recognizes an allowance for credit losses in the same amount. Subsequent adverse or favorable changes in the allowance for credit losses are recognized immediately in earnings as a provision for or reduction in credit losses (within (loss) gain on investment securities). 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 consolidated statements of comprehensive 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. |
Mortgage Servicing Rights, at Fair Value | Mortgage Servicing Rights, at Fair Value One of the Company’s wholly owned subsidiaries, Matrix, 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. Matrix acquires MSR from third-party originators through flow and bulk purchases but does not directly service mortgage loans; instead, it contracts with appropriately licensed subservicers to handle substantially all servicing functions in the name of the subservicer for the mortgage loans underlying the Company’s MSR. On October 1, 2023, the Company, through its newly acquired subsidiary RoundPoint, began directly servicing a portion of the mortgage loans underlying the Company’s MSR portfolio as well as servicing mortgage loans underlying MSR owned by third parties. RoundPoint has approvals from Fannie Mae and Freddie Mac to service residential mortgage loans. As an owner and manager of MSR, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the other assets line item on the consolidated balance sheets. MSR are reported at fair value on the consolidated balance sheets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds; 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). Changes in the fair value of MSR as well as servicing fee income and servicing costs are reported on the consolidated statements of comprehensive loss. |
Cash and Cash Equivalents | Cash and Cash Equivalents Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. |
Restricted Cash | Restricted Cash |
Accrued Interest Receivable | Accrued Interest Receivable Accrued interest receivable represents interest that is due and payable to the Company. Cash interest is generally received within 30 days of recording the receivable. |
Due To Or From Counterparties | Due from/to Counterparties, net Due from counterparties includes cash held by counterparties for payment of principal and interest as well as cash held by counterparties for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings but represents excess capacity and deemed unrestricted and a receivable from the counterparty as of the balance sheet date. Due from counterparties also includes cash receivable from counterparties for sales of MSR pending final transfer and settlement. Due to counterparties includes cash payable by the Company upon settlement of trade positions as well as cash deposited to and held by the Company for securities and derivatives trading activity, servicing activities and collateral for the Company’s borrowings but represents a payable to the counterparty as of the balance sheet date. Due to counterparties also includes purchase price holdbacks on MSR acquisitions for early prepayment or default provisions, collateral exceptions and other contractual terms. |
Derivative Financial Instruments, at Fair Value | Derivative Financial Instruments, at Fair Value In accordance with ASC 815, Derivatives and Hedging , or ASC 815, all derivative financial instruments, whether designated for hedging relationships or not, are recorded on the consolidated balance sheets as assets or liabilities and carried at fair value. At the inception of a derivative contract, the Company determines whether the instrument will be part of a qualifying hedge accounting relationship or whether the Company will account for the contract as a trading instrument. Due to the volatility of the interest rate and credit markets and difficulty in effectively matching pricing or cash flows, the Company has elected to treat all current derivative contracts as trading instruments. Changes in fair value as well as the accrual and settlement of interest associated with derivatives accounted for as trading instruments are reported in the consolidated statements of comprehensive loss as (loss) gain on interest rate swap, cap and swaption agreements or (loss) gain on other derivative instruments depending on the type of derivative instrument. The Company enters into interest rate derivative contracts for a variety of reasons, including minimizing fluctuations in earnings or market values on certain assets or liabilities that may be caused by changes in interest rates. The Company may, at times, enter into various forward contracts including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, and caps. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Amounts payable to and receivable from the same party under contracts may be offset as long as the following conditions are met: (i) each of the two parties owes the other determinable amounts; (ii) the reporting party has the right to offset the amount owed with the amount owed by the other party; (iii) the reporting party intends to offset; and (iv) the right of offset is enforceable by law. If the aforementioned conditions are not met, amounts payable to and receivable from are presented by the Company on a gross basis in its consolidated balance sheets. The Company’s centrally cleared interest rate swaps and exchange-traded futures and options on futures 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 derivative instrument’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. The exchange of variation margin is considered a settlement of the derivative instrument, as opposed to pledged collateral. Accordingly, the Company accounts for the receipt or payment of variation margin as a direct reduction to the carrying value of the centrally cleared or exchange-traded derivative asset or liability. The receipt or payment of initial margin is accounted for separate from the derivative asset or liability and is netted on a counterparty basis and classified within restricted cash, due from counterparties, or due to counterparties on the Company’s consolidated balance sheets. The Company has provided specific disclosure regarding the location and amounts of derivative instruments in the consolidated financial statements and how derivative instruments and related hedged items are accounted for. See Note 8 - Derivative Instruments and Hedging Activities |
Reverse Repurchase Agreements | Reverse Repurchase Agreements |
Repurchase Agreements | Repurchase Agreements |
Revolving Credit Facilities | Revolving Credit Facilities To finance MSR assets and related servicing advance obligations, the Company enters into revolving credit facilities collateralized by the value of the MSR and/or servicing advances pledged. Borrowings under these revolving credit facilities that expire within one year are considered short-term debt. As of December 31, 2023, the Company’s revolving credit facilities that had contractual terms of greater than one year were considered long-term debt. The Company’s revolving credit facilities generally bear interest rates based on an index plus a spread. Borrowings under revolving credit facilities are treated as collateralized financing transactions and are carried at contractual amounts, as specified in the respective agreements. |
Term Notes Payable | Term Notes Payable Term notes payable related to the Company’s consolidated securitization are recorded at outstanding principal balance, net of any unamortized deferred debt issuance costs, on the Company’s consolidated balance sheets. |
Convertible Senior Notes | Convertible Senior Notes Convertible senior notes include unsecured convertible debt that are carried at their unpaid principal balance, net of any unamortized deferred issuance costs, on the Company’s consolidated balance sheet. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. |
Accrued Interest Payable | Accrued Interest Payable |
Deferred Tax Assets and Liabilities and Income Taxes | Deferred Tax Assets and Liabilities Income recognition for U.S. GAAP and tax differ in certain respects. These differences often reflect differing accounting treatments for tax and U.S. GAAP, such as accounting for discount and premium amortization, credit losses, asset impairments, recognition of certain operating expenses and certain valuation estimates. Some of these differences are temporary in nature and create timing mismatches between when taxable income is earned and the tax is paid versus when the earnings (losses) for U.S. GAAP purposes, or GAAP net (loss) income, are recognized and the tax provision is recorded. Some of these differences are permanent since certain income (or expense) may be recorded for tax purposes but not for U.S. GAAP purposes (or vice versa). One such significant permanent difference is the Company’s ability as a REIT to deduct dividends paid to stockholders as an expense for tax purposes, but not for U.S. GAAP purposes. As a result of these temporary differences, the Company’s TRSs may recognize taxable income in periods prior or subsequent to when it recognizes income for U.S. GAAP purposes. When this occurs, the TRSs pay or defer the tax liability and establish deferred tax assets or deferred tax liabilities, respectively, for U.S. GAAP purposes. Deferred tax assets generally represent items that may be used as a tax deduction in a tax return in future years for which the Company has already recognized the tax benefit for U.S. GAAP purposes. The Company estimates, based on existence of sufficient evidence, the ability to realize the remainder of any deferred tax asset its TRSs recognize. Any adjustments to such estimates will be made in the period such determination is made. Deferred tax liabilities generally represent tax expense for which payment has been deferred or expense has already been taken as a deduction on the Company’s tax return but has not yet been recognized as an expense for U.S. GAAP purposes. The Company’s deferred tax assets and/or liabilities are generated solely by differences in GAAP net (loss) income and taxable income (loss) at our taxable subsidiaries. U.S. GAAP and tax differences in the REIT may create additional deferred tax assets and/or liabilities to the extent the Company does not distribute all of its taxable income. Income Taxes The Company has elected to be taxed as a REIT under the Code and the corresponding provisions of state law. To qualify as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to stockholders (not including taxable income retained in its taxable subsidiaries) within the time frame set forth in the tax Code and the Company must also meet certain other requirements. In addition, because certain activities, if performed by the Company, may cause the Company to earn income which is not qualifying for the REIT gross income tests, the Company has formed TRSs, as defined in the Code, to engage in such activities. These TRSs’ activities are subject to income taxes as well as any REIT taxable income not distributed to stockholders. The Company assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities in accordance with ASC 740, Income Taxes . The Company records these liabilities to the extent the Company deems them more likely than not to be incurred. The Company classifies interest and penalties on material uncertain tax positions as interest expense and operating expense, respectively, in its consolidated statements of comprehensive loss. |
Other Comprehensive Income (Loss) | Other Comprehensive Income (Loss) Current period net unrealized gains and losses on AFS securities, excluding certain AFS securities for which the Company has elected the fair value option, are reported as components of accumulated other comprehensive loss on its consolidated statements of stockholders’ equity and in the consolidated statements of comprehensive loss. Net unrealized gains and losses on securities held by the Company’s taxable subsidiaries that are reported in accumulated other comprehensive loss are adjusted for the effects of taxation and may create deferred tax assets or liabilities. |
Earnings Per Share | Earnings Per Share The Company’s common stock, par value and shares issued and outstanding, includes issued and unvested shares of restricted common stock, which have full rights to the common stock dividend declarations of the Company. Common shares underlying certain other equity-based awards granted by the Company are not included in common stock until the awards vest. If these awards have non-forfeitable dividend participation rights, they are considered participating securities in the calculations of basic and diluted (loss) earnings per share. Basic (loss) earnings per share is computed by dividing net (loss) income attributable to common stockholders, less income allocated to participating securities pursuant to the two-class method, by the weighted average number of common shares outstanding during the period. Diluted (loss) earnings per share is computed by dividing basic net (loss) income attributable to common stockholders by the weighted average number of common shares outstanding during the period, further adjusted for the dilutive effect, if any, of share-based payment awards and the assumed conversion of convertible notes into common shares. |
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 18 - 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 consolidated statements of comprehensive loss. |
Recently Issued and/or Adopted Accounting Standards | Recently Issued and/or Adopted Accounting Standards Facilitation of the Effects of Reference Rate Reform on Financial Reporting The London Interbank Offered Rate, or LIBOR, has been used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds and loans, floating rate mortgages, asset-backed securities, consumer loans, and interest rate swaps and other derivatives. On March 5, 2021, Intercontinental Exchange Inc. announced that ICE Benchmark Administration Limited, the administrator of LIBOR, intended to stop publication of the majority of USD-LIBOR tenors on June 30, 2023. In the U.S., the Alternative Reference Rates Committee, or ARRC, has identified the Secured Overnight Financing Rate, or SOFR, and, in some cases, the forward-looking term rate based on SOFR published by CME Group Benchmark Administration Limited, or Term SOFR, plus, in each case, a recommended spread adjustment, as its preferred alternative rates for U.S. dollar-based LIBOR. SOFR is a measure of the cost of borrowing cash overnight, collateralized by U.S. Treasury securities, and is based on directly observable U.S. Treasury-backed repurchase transactions. Numerous industry wide and company-specific transitions as it relates to derivatives and cash markets exposed to LIBOR were completed in connection with its phase-out on June 30, 2023. In March 2020, the FASB issued Accounting Standards Update (ASU) No. 2020-04, which provides temporary optional expedients and exceptions on accounting for contract modifications and hedging relationships for the purpose of the replacement of 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 Company’s material contracts that are or were indexed to USD-LIBOR have been amended to transition to an alternative benchmark, where necessary. Any other unmodified agreements that incorporate LIBOR as the referenced rate either (i) already had provisions in place that provide for an alternative to LIBOR upon its phase-out or that are governed by the Adjustable Interest Rate (LIBOR) Act, or the LIBOR Act, (ii) matured or (iii) were terminated prior to June 30, 2023. The ASU was effective immediately for all entities and expires after December 31, 2024. 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. Improvements to Reportable Segment Disclosures In November 2023, the FASB issued ASU No. 2023-07, which requires public entities to disclose significant segment expenses and other segment items on an annual and interim basis and to provide in interim periods all disclosures about a reportable segment’s profit or loss and assets that are currently required annually. Public entities with a single reportable segment are required to provide the new disclosures and all the disclosures required under ASC 280, Segment Reporting . The ASU does not change how a public entity identifies its operating segments, aggregates them or applies the quantitative thresholds to determine its reportable segments. The ASU is effective for fiscal years beginning after December 15, 2023, and for interim periods beginning after December 15, 2024, with early adoption permitted. The guidance should be applied retrospectively to all periods presented in the financial statements, unless it is impracticable. The segment expense categories and amounts disclosed in the prior periods should be based on the significant segment expense categories identified and disclosed in the period of adoption. The Company has determined this ASU will not have a material impact on the Company's financial condition, results of operations or financial statement disclosures. Improvements to Income Tax Disclosures In December 2023, the FASB issued ASU No. 2023-09, which requires entities to provide additional information about federal, state and foreign income taxes and reconciling items in the rate reconciliation table, and to disclose further disaggregation of income taxes paid (net of refunds received) by federal (national), state and foreign taxes by jurisdiction. For public business entities, the ASU is effective for annual periods beginning after December 15, 2024, with early adoption permitted. The guidance should be applied prospectively, but entities have the option to apply it retrospectively for each period presented. The Company has determined this ASU will not have a material impact on the Company's financial condition, results of operations or financial statement disclosures. |
Acquisition of RoundPoint Mor_2
Acquisition of RoundPoint Mortgage Servicing LLC (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Business Combination and Asset Acquisition [Abstract] | |
Business Combination, Segment Allocation | The Company performed a provisional allocation of the consideration of $44.7 million to RoundPoint’s assets and liabilities, as set forth below. During the three months ended December 31, 2023, the Company recognized a total of $0.2 million in measurement period adjustments, resulting in a final purchase price of $44.5 million. The remaining payable to Freedom of $20.9 million was paid in January 2024. The allocation of the adjusted purchase price of $44.5 million to RoundPoint’s assets and liabilities is also set forth below. The estimate of fair value of assets and liabilities required the use of significant assumptions and estimates. Significant estimates included, but were not limited to, future expected cash flows, including projected revenues and expenses, and discount rates. These estimates were based on assumptions that management believes to be reasonable as well as a third party-prepared valuation analysis; however, actual results may differ from these estimates. The measurement period adjustments made during the three months ended December 31, 2023 are set forth below. December 31, 2023 (in thousands) Acquisition Date Amounts Recognized Subsequent Measurement Period Adjustments Acquisition Date Amounts Recognized, as adjusted Total Consideration $ 44,732 $ (188) $ 44,544 Assets: Cash and cash equivalents $ 50,366 $ — $ 50,366 Intangible assets 786 13 799 Other assets 29,148 — 29,148 Total Assets Acquired $ 80,300 $ 13 $ 80,313 Liabilities: Accrued expenses $ 4,483 $ — $ 4,483 Other liabilities 58,739 — 58,739 Total Liabilities Assumed $ 63,222 $ — $ 63,222 Net Assets $ 17,078 $ 13 $ 17,091 Goodwill $ 27,654 $ (201) $ 27,453 |
Business Acquisition, Pro Forma Information | The following table presents unaudited pro forma combined revenues and income before income taxes for the years ended December 31, 2023 and 2022 prepared as if the RoundPoint acquisition had been consummated on January 1, 2022. Year Ended December 31, (in thousands) 2023 2022 Revenue (1) $ 806,945 $ 889,186 (Loss) income before income taxes $ (104,823) $ 260,023 ____________________ (1) The Company’s revenue is defined as the sum of the interest income, servicing income and total other income line items on the consolidated statements of comprehensive loss. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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 consolidated balance sheets as of December 31, 2023 and December 31, 2022: (in thousands) December 31, December 31, Note receivable (1) $ 399,317 $ 398,011 Restricted cash 45,642 31,691 Accrued interest receivable (1) 551 400 Other assets 79,749 67,819 Total Assets $ 525,259 $ 497,921 Term notes payable $ 399,317 $ 398,011 Revolving credit facilities 34,300 23,850 Accrued interest payable 816 560 Other liabilities 45,377 31,531 Total Liabilities $ 479,810 $ 453,952 ____________________ (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) | 12 Months Ended |
Dec. 31, 2023 | |
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 December 31, 2023 and December 31, 2022: (in thousands) December 31, December 31, Agency: Federal National Mortgage Association $ 5,467,684 $ 4,112,556 Federal Home Loan Mortgage Corporation 2,790,662 3,332,314 Government National Mortgage Association 64,653 208,706 Non-Agency 4,150 125,158 Total available-for-sale securities $ 8,327,149 $ 7,778,734 |
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 December 31, 2023 and December 31, 2022: December 31, 2023 (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 $ 8,421,733 $ 155,171 $ (130,932) $ 8,445,972 $ — $ 22,677 $ (196,748) $ 8,271,901 Interest-only 840,723 58,567 — 58,567 (3,619) 907 (4,757) 51,098 Total Agency 9,262,456 213,738 (130,932) 8,504,539 (3,619) 23,584 (201,505) 8,322,999 Non-Agency 569,897 4,199 (19) 4,844 (324) 173 (543) 4,150 Total $ 9,832,353 $ 217,937 $ (130,951) $ 8,509,383 $ (3,943) $ 23,757 $ (202,048) $ 8,327,149 December 31, 2022 (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 $ 7,781,277 $ 189,246 $ (33,413) $ 7,937,110 $ — $ 6,310 $ (325,960) $ 7,617,460 Interest-only 963,866 45,882 — 45,882 (6,785) 1,890 (4,871) 36,116 Total Agency 8,745,143 235,128 (33,413) 7,982,992 (6,785) 8,200 (330,831) 7,653,576 Non-Agency 1,263,789 8,511 (225) 131,635 (173) 545 (6,849) 125,158 Total $ 10,008,932 $ 243,639 $ (33,638) $ 8,114,627 $ (6,958) $ 8,745 $ (337,680) $ 7,778,734 |
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 December 31, 2023: December 31, 2023 (in thousands) Agency Non-Agency Total < 1 year $ 86 $ — $ 86 ≥ 1 and < 3 years 17,577 — 17,577 ≥ 3 and < 5 years 261,625 — 261,625 ≥ 5 and < 10 years 6,844,418 3,818 6,848,236 ≥ 10 years 1,199,293 332 1,199,625 Total $ 8,322,999 $ 4,150 $ 8,327,149 |
Debt Securities, Available-for-sale, Allowance for Credit Losses | The following tables present the changes for the years ended December 31, 2023, 2022 and 2021 in the allowance for credit losses on Agency and non-Agency AFS securities: Year Ended December 31, 2023 (in thousands) Agency Non-Agency Total Allowance for credit losses at beginning of period $ (6,785) $ (173) $ (6,958) Additions on securities for which credit losses were not previously recorded (55) (370) (425) (Increase) decrease on securities with previously recorded credit losses 965 5 970 Write-offs 2,256 214 2,470 Allowance for credit losses at end of period $ (3,619) $ (324) $ (3,943) Year Ended December 31, 2022 (in thousands) Agency Non-Agency Total Allowance for credit losses at beginning of period $ (12,851) $ (1,387) $ (14,238) Additions on securities for which credit losses were not previously recorded (482) (501) (983) (Increase) decrease on securities with previously recorded credit losses (3,462) 1,715 (1,747) Write-offs 10,010 — 10,010 Allowance for credit losses at end of period $ (6,785) $ (173) $ (6,958) Year Ended December 31, 2021 (in thousands) Agency Non-Agency Total Allowance for credit losses at beginning of period $ (17,889) $ (4,639) $ (22,528) Additions on securities for which credit losses were not previously recorded (190) (4,365) (4,555) Increase on securities with previously recorded credit losses (4,542) (666) (5,208) Write-offs 9,770 8,283 18,053 Allowance for credit losses at end of period $ (12,851) $ (1,387) $ (14,238) |
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 December 31, 2023 and December 31, 2022. At December 31, 2023 and December 31, 2022, the Company held 646 and 704 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 477 and 553 were in an unrealized loss position for less than twelve consecutive months. At both December 31, 2023 and December 31, 2022, none of the Company’s AFS securities were in an unrealized loss position for more than twelve months without an allowance for credit losses recorded. December 31, 2023 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 $ 6,269,848 $ (199,276) $ — $ — $ 6,269,848 $ (199,276) Non-Agency 883 (173) — — 883 (173) Total $ 6,270,731 $ (199,449) $ — $ — $ 6,270,731 $ (199,449) December 31, 2022 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 $ 7,168,694 $ (328,258) $ — $ — $ 7,168,694 $ (328,258) Non-Agency 117,816 (5,933) — — 117,816 (5,933) Total $ 7,286,510 $ (334,191) $ — $ — $ 7,286,510 $ (334,191) |
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 years ended December 31, 2023, 2022 and 2021: Year Ended December 31, (in thousands) 2023 2022 2021 Proceeds from sales of available-for-sale securities $ 2,673,827 $ 7,793,705 $ 6,274,193 Amortized cost of available-for-sale securities sold (2,792,703) (8,359,967) (6,137,824) Total realized (losses) gains on sales, net $ (118,876) $ (566,262) $ 136,369 Gross realized gains $ 16,285 $ 40,574 $ 167,269 Gross realized losses (135,161) (606,836) (30,900) Total realized (losses) gains on sales, net $ (118,876) $ (566,262) $ 136,369 |
Servicing Activities (Tables)
Servicing Activities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |
Schedule of Servicing Assets at Fair Value | The following table summarizes activity related to the Company’s MSR portfolio for the years ended December 31, 2023, 2022 and 2021. Year Ended December 31, (in thousands) 2023 2022 2021 Balance at beginning of period $ 2,984,937 $ 2,191,578 $ 1,596,153 Purchases of mortgage servicing rights 317,194 640,051 777,305 Sales of mortgage servicing rights (1) (115,754) (259,059) (43,411) Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (2) 97,859 793,631 562,843 Other changes in fair value (3) (227,663) (371,023) (666,160) Other changes (4) (4,557) (10,241) (35,152) Balance at end of period (5) $ 3,052,016 $ 2,984,937 $ 2,191,578 ____________________ (1) During the year ended December 31, 2023, excess MSR was transferred to Agency-sponsored trusts in exchange for stripped mortgage backed securities, or SMBS. In each transaction, a portion of the SMBS was acquired by third parties and the Company acquired the remaining balance of those SMBS, which are included within Agency AFS securities unless sold prior to December 31, 2023. (2) Includes the impact of acquiring MSR at a cost different from fair value. (3) Primarily represents changes due to the realization of cash flows. (4) Includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. (5) 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 December 31, 2023 and December 31, 2022, 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) December 31, December 31, Weighted average prepayment speed: 6.2 % 6.9 % Impact on fair value of 10% adverse change $ (74,042) $ (50,192) Impact on fair value of 20% adverse change $ (146,237) $ (100,995) Weighted average delinquency: 0.9 % 0.9 % Impact on fair value of 10% adverse change $ (4,654) $ (3,880) Impact on fair value of 20% adverse change $ (12,376) $ (7,777) Weighted average option-adjusted spread: 5.3 % 5.3 % Impact on fair value of 10% adverse change $ (59,285) $ (44,431) Impact on fair value of 20% adverse change $ (119,776) $ (87,354) Weighted average per loan annual cost to service: $ 68.27 $ 67.92 Impact on fair value of 10% adverse change $ (24,111) $ (20,148) Impact on fair value of 20% adverse change $ (48,985) $ (39,401) |
Components of Servicing Revenue | The following table presents the components of servicing income recorded on the Company’s consolidated statements of comprehensive loss for the years ended December 31, 2023, 2022 and 2021: Year Ended December 31, (in thousands) 2023 2022 2021 Servicing fee income $ 555,221 $ 564,923 $ 461,381 Ancillary and other fee income 5,149 1,932 2,436 Float income 125,407 37,056 4,589 Total $ 685,777 $ 603,911 $ 468,406 |
Cash, Cash Equivalents and Re_2
Cash, Cash Equivalents and Restricted Cash (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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 December 31, 2023 and December 31, 2022: (in thousands) December 31, December 31, Restricted cash balances held by trading counterparties: For securities trading activity $ 450 $ 2,202 For derivatives trading activity 1,669 79,220 For servicing activities 50,345 36,690 As restricted collateral for borrowings 12,575 324,854 Total restricted cash balances held by trading counterparties 65,039 442,966 Restricted cash balance pursuant to letter of credit on office lease 62 60 Total $ 65,101 $ 443,026 |
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 consolidated balance sheets as of December 31, 2023 and December 31, 2022 that sum to the total of the same such amounts shown in the statements of cash flows: (in thousands) December 31, December 31, Cash and cash equivalents $ 729,732 $ 683,479 Restricted cash 65,101 443,026 Total cash, cash equivalents and restricted cash $ 794,833 $ 1,126,505 |
Derivative Instruments and He_2
Derivative Instruments and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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 December 31, 2023 and December 31, 2022: December 31, 2023 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 12,292 $ 163,735 $ — $ — Interest rate swap agreements — — — 17,788,114 Swaptions, net 19 (200,000) — — TBAs 72,980 2,979,000 (21,506) 518,000 Futures, net — — — (6,203,050) Total $ 85,291 $ 2,942,735 $ (21,506) $ 12,103,064 December 31, 2022 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 15,293 $ 196,456 $ — $ — Interest rate swap agreements — — — — Swaptions, net — — — — TBAs 11,145 (650,000) (34,048) 4,476,000 Futures, net — (18,285,452) — — Total $ 26,438 $ (18,738,996) $ (34,048) $ 4,476,000 |
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 consolidated statements of comprehensive loss: Derivative Instruments Location of Gain (Loss) Recognized in Income Amount of Gain (Loss) Recognized in Income Year Ended (in thousands) December 31, 2023 2022 2021 Interest rate risk management: TBAs (Loss) gain on other derivative instruments $ (155,942) $ (487,713) $ (193,479) Futures (Loss) gain on other derivative instruments (8,973) 514,467 (49,213) Options on TBAs (Loss) gain on other derivative instruments — — (5,683) Options on futures (Loss) gain on other derivative instruments (779) (2,224) — Interest rate swaps - Payers (Loss) gain on interest rate swap, cap and swaption agreements (53,263) 772,829 92,317 Interest rate swaps - Receivers (Loss) gain on interest rate swap, cap and swaption agreements 526 (756,744) (66,828) Swaptions (Loss) gain on interest rate swap, cap and swaption agreements (209) 13,414 16,602 Non-risk management: Inverse interest-only securities (Loss) gain on other derivative instruments (516) (15,220) (2,908) Total $ (219,156) $ 38,809 $ (209,192) |
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 years ended December 31, 2023 and 2022: Year Ended December 31, 2023 (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 $ 196,456 $ — $ (32,721) $ 163,735 $ 180,080 $ — Interest rate swap agreements — 22,600,456 (4,812,342) 17,788,114 7,974,494 (36,114) Swaptions, net — (400,000) 200,000 (200,000) (161,644) (80) TBAs, net 3,826,000 42,018,000 (42,347,000) 3,497,000 3,016,532 (230,319) Futures, net (18,285,452) (35,976,130) 48,058,532 (6,203,050) (9,085,474) 167,235 Options on futures, net — — — — — (779) Total $ (14,262,996) $ 28,242,326 $ 1,066,469 $ 15,045,799 $ 1,923,988 $ (100,057) Year Ended December 31, 2022 (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 $ 247,101 $ — $ (50,645) $ 196,456 $ 219,813 $ — Interest rate swap agreements 20,387,300 22,398,148 (42,785,448) — 12,424,320 29,543 Swaptions, net (1,761,000) (1,000,000) 2,761,000 — (1,274,101) 13,654 TBAs, net 4,116,000 69,828,000 (70,118,000) 3,826,000 4,743,504 (463,320) Futures, net (5,829,600) (68,777,002) 56,321,150 (18,285,452) (13,921,620) 487,267 Options on futures, net — 2,000 (2,000) — 416 (2,224) Total $ 17,159,801 $ 22,451,146 $ (53,873,943) $ (14,262,996) $ 2,192,332 $ 64,920 ____________________ (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 December 31, 2023 and December 31, 2022: December 31, 2023 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 4,194,000 $ 3,827,271 $ 3,898,874 $ 72,980 $ (1,377) Sale contracts (697,000) (656,723) (676,852) — (20,129) TBAs, net $ 3,497,000 $ 3,170,548 $ 3,222,022 $ 72,980 $ (21,506) December 31, 2022 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 4,826,000 $ 4,802,009 $ 4,767,989 $ 28 $ (34,048) Sale contracts (1,000,000) (878,711) (867,594) 11,117 — TBAs, net $ 3,826,000 $ 3,923,298 $ 3,900,395 $ 11,145 $ (34,048) ___________________ (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 consolidated balance sheets. |
Schedule of Futures | The following table summarizes certain characteristics of the Company’s futures as of December 31, 2023 and December 31, 2022: (dollars in thousands) December 31, 2023 December 31, 2022 Type & Maturity Notional Amount Carrying Value Weighted Average Days to Expiration Notional Amount Carrying Value Weighted Average Days to Expiration U.S. Treasury futures - 2 year $ (549,600) $ — 88 $ (562,200) $ — 95 U.S. Treasury futures - 5 year (1,876,700) — 88 (3,855,500) — 95 U.S. Treasury futures - 10 year (983,300) — 79 (2,397,200) — 90 U.S. Treasury futures - 20 year (388,200) — 79 101,000 — 90 Federal Funds futures — — 0 (7,948,552) — 92 SOFR/Eurodollar futures (1) ≤ 1 year (1,842,750) — 184 (2,957,000) — 184 > 1 and ≤ 2 years (562,500) — 534 (666,000) — 489 Total futures $ (6,203,050) $ — 155 $ (18,285,452) $ — 122 ___________________ (1) During the three months ended June 30, 2023, all of the Company’s outstanding Eurodollar futures contracts with maturities after June 30, 2023 were converted into three-month SOFR futures contracts with similar characteristics. |
Schedule of Interest Rate Swap Payers | As of December 31, 2023, 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 (OIS or SOFR): (notional in thousands) December 31, 2023 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate Weighted Average Maturity (Years) 2024 $ — — % — % 0.00 2025 4,827,881 4.741 % 5.380 % 1.21 2026 1,968,891 4.087 % 5.380 % 2.01 2027 — — % — % 0.00 2028 and Thereafter 5,330,711 3.748 % 5.380 % 7.79 Total $ 12,127,483 4.245 % 5.380 % 3.87 ____________________ (1) Notional amount includes $1.1 billion in forward starting interest rate swaps as of December 31, 2023. (2) Weighted averages exclude forward starting interest rate swaps. As of December 31, 2023, the weighted average fixed pay rate on forward starting interest rate swaps was 4.0%. |
Schedule of Interest Rate Swap Receivers | Additionally, as of December 31, 2023, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) risk whereby the Company pays interest at a floating interest rate (OIS or SOFR): (notional in thousands) December 31, 2023 Swaps Maturities Notional Amount (1) Weighted Average Pay Rate (2) Weighted Average Fixed Receive Rate (2) Weighted Average Maturity (Years) (2) 2024 $ — — % — % 0.00 2025 3,116,045 5.380 % 4.204 % 1.36 2026 — — % — % 0.00 2027 260,000 5.380 % 3.328 % 3.75 2028 and Thereafter 2,284,586 5.380 % 3.970 % 9.09 Total $ 5,660,631 5.380 % 4.052 % 5.00 ____________________ (1) Notional amount includes $645.2 million in forward starting interest rate swaps as of December 31, 2023. (2) Weighted averages exclude forward starting interest rate swaps. As of December 31, 2023, the weighted average fixed receive rate on forward starting interest rate swaps was 4.4%. |
Schedule of Interest Rate Swaptions | As of December 31, 2023, the Company had the following outstanding interest rate swaptions: December 31, 2023 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Basis Fair Value Average Months to Expiration Notional Amount Average Fixed Rate (1) Average Term (Years) Purchase contracts: Payer < 6 Months $ 480 $ 22 2.40 $ 200,000 5.13 % 1.0 Sale contracts: Payer < 6 Months $ (332) $ (3) 2.40 $ (400,000) 5.61 % 1.0 ____________________ (1) As of December 31, 2023, all underlying swap floating rates were tied to SOFR. |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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 consolidated balance sheets as of December 31, 2023 and December 31, 2022: December 31, 2023 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 $ 228,227 $ (142,936) $ 85,291 $ (21,506) $ — $ 63,785 Reverse repurchase agreements 284,091 — 284,091 — (284,091) — Total Assets $ 512,318 $ (142,936) $ 369,382 $ (21,506) $ (284,091) $ 63,785 Liabilities: Repurchase agreements $ (8,020,207) $ — $ (8,020,207) $ 8,020,207 $ — $ — Derivative liabilities (164,442) 142,936 (21,506) 21,506 — — Total Liabilities $ (8,184,649) $ 142,936 $ (8,041,713) $ 8,041,713 $ — $ — December 31, 2022 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 $ 98,609 $ (72,171) $ 26,438 $ (26,438) $ — $ — Reverse repurchase agreements 1,066,935 — 1,066,935 (888,295) (178,640) — Total Assets $ 1,165,544 $ (72,171) $ 1,093,373 $ (914,733) $ (178,640) $ — Liabilities: Repurchase agreements $ (8,603,011) $ — $ (8,603,011) $ 8,603,011 $ — $ — Derivative liabilities (106,219) 72,171 (34,048) 26,438 — (7,610) Total Liabilities $ (8,709,230) $ 72,171 $ (8,637,059) $ 8,629,449 $ — $ (7,610) ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the 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 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 consolidated balance sheets as of December 31, 2023 and December 31, 2022: December 31, 2023 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 $ 228,227 $ (142,936) $ 85,291 $ (21,506) $ — $ 63,785 Reverse repurchase agreements 284,091 — 284,091 — (284,091) — Total Assets $ 512,318 $ (142,936) $ 369,382 $ (21,506) $ (284,091) $ 63,785 Liabilities: Repurchase agreements $ (8,020,207) $ — $ (8,020,207) $ 8,020,207 $ — $ — Derivative liabilities (164,442) 142,936 (21,506) 21,506 — — Total Liabilities $ (8,184,649) $ 142,936 $ (8,041,713) $ 8,041,713 $ — $ — December 31, 2022 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 $ 98,609 $ (72,171) $ 26,438 $ (26,438) $ — $ — Reverse repurchase agreements 1,066,935 — 1,066,935 (888,295) (178,640) — Total Assets $ 1,165,544 $ (72,171) $ 1,093,373 $ (914,733) $ (178,640) $ — Liabilities: Repurchase agreements $ (8,603,011) $ — $ (8,603,011) $ 8,603,011 $ — $ — Derivative liabilities (106,219) 72,171 (34,048) 26,438 — (7,610) Total Liabilities $ (8,709,230) $ 72,171 $ (8,637,059) $ 8,629,449 $ — $ (7,610) ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the 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 consolidated balance sheets. |
Fair Value (Tables)
Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
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 December 31, 2023 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 8,322,999 $ 4,150 $ 8,327,149 Mortgage servicing rights — — 3,052,016 3,052,016 Derivative assets 72,980 12,311 — 85,291 Total assets $ 72,980 $ 8,335,310 $ 3,056,166 $ 11,464,456 Liabilities: Derivative liabilities $ 21,506 $ — $ — $ 21,506 Total liabilities $ 21,506 $ — $ — $ 21,506 Recurring Fair Value Measurements December 31, 2022 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 7,653,576 $ 125,158 $ 7,778,734 Mortgage servicing rights — — 2,984,937 2,984,937 Derivative assets 11,145 15,293 — 26,438 Total assets $ 11,145 $ 7,668,869 $ 3,110,095 $ 10,790,109 Liabilities: Derivative liabilities $ 34,048 $ — $ — $ 34,048 Total liabilities $ 34,048 $ — $ — $ 34,048 |
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: Year Ended December 31, 2023 December 31, 2022 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Available-For-Sale Securities Mortgage Servicing Rights Beginning of period level 3 fair value $ 125,158 $ 2,984,937 $ 12,304 $ 2,191,578 Gains (losses) included in net (loss) income: Realized (1,408) (209,479) (1,405) (368,255) Unrealized 4,817 (1) 97,859 (2) (3,632) (1) 793,631 (2) Reversal of provision for credit losses (146) — 1,213 — Net gains (losses) included in net (loss) income 3,263 (111,620) (3,824) 425,376 Other comprehensive income 1,112 — 1,023 — Purchases — 317,194 122,030 640,051 Sales (125,383) (133,938) (6,375) (261,827) Settlements — (4,557) — (10,241) Gross transfers into level 3 — — — — Gross transfers out of level 3 — — — — End of period level 3 fair value $ 4,150 $ 3,052,016 $ 125,158 $ 2,984,937 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ 1,112 (3) $ 119,164 (4) $ (4,535) (3) $ 696,807 (4) Change in unrealized gains or losses for the period included in other comprehensive income (loss) for assets held at the end of the reporting period $ — $ — $ (3,512) $ — ____________________ (1) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option was recorded in (loss) gain on investment securities on the consolidated statements of comprehensive loss. (2) The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the consolidated statements of comprehensive 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 (loss) gain on investment securities on the consolidated statements of comprehensive 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 consolidated statements of comprehensive 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 December 31, 2023 and December 31, 2022: December 31, 2023 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 5.0% - 6.9% 6.2% Option-adjusted spread 4.8% - 8.6% 5.3% Per loan annual cost to service $66.31 - $81.30 $68.27 December 31, 2022 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 6.2% - 7.6% 6.9% Option-adjusted spread 5.1% - 8.5% 5.3% Per loan annual cost to service $67.41 - $80.96 $67.92 ___________________ (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 December 31, 2023 and December 31, 2022: December 31, 2023 December 31, 2022 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets: Available-for-sale securities $ 8,327,149 $ 8,327,149 $ 7,778,734 $ 7,778,734 Mortgage servicing rights $ 3,052,016 $ 3,052,016 $ 2,984,937 $ 2,984,937 Cash and cash equivalents $ 729,732 $ 729,732 $ 683,479 $ 683,479 Restricted cash $ 65,101 $ 65,101 $ 443,026 $ 443,026 Derivative assets $ 85,291 $ 85,291 $ 26,438 $ 26,438 Reverse repurchase agreements $ 284,091 $ 284,091 $ 1,066,935 $ 1,066,935 Other assets $ 31,704 $ 31,704 $ 3,493 $ 3,493 Liabilities: Repurchase agreements $ 8,020,207 $ 8,020,207 $ 8,603,011 $ 8,603,011 Revolving credit facilities $ 1,329,171 $ 1,329,171 $ 1,118,831 $ 1,118,831 Term notes payable $ 295,271 $ 289,653 $ 398,011 $ 361,905 Convertible senior notes $ 268,582 $ 254,232 $ 282,496 $ 246,727 Derivative liabilities $ 21,506 $ 21,506 $ 34,048 $ 34,048 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements by Maturity | At December 31, 2023 and December 31, 2022, the Company’s repurchase agreements had the following characteristics and remaining maturities: December 31, 2023 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights U.S. Treasuries (1) Total Amount Outstanding Within 30 days $ 2,772,975 $ — $ 1,615 $ 58,572 $ — $ 2,833,162 30 to 59 days 1,918,818 — — — — 1,918,818 60 to 89 days 2,058,518 233 687 — — 2,059,438 90 to 119 days 989,045 — 5,744 — — 994,789 120 to 364 days — — — 214,000 — 214,000 Total $ 7,739,356 $ 233 $ 8,046 $ 272,572 $ — $ 8,020,207 Weighted average borrowing rate 5.64 % 6.36 % 6.14 % 7.08 % — % 5.74 % December 31, 2022 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights U.S. Treasuries (1) Total Amount Outstanding Within 30 days $ 2,570,254 $ 59,648 $ 4,177 $ — $ 57,116 $ 2,691,195 30 to 59 days 1,774,622 10,984 — — 375,131 2,160,737 60 to 89 days 2,280,675 177 503 — 255,282 2,536,637 90 to 119 days 696,283 — 8,393 — 200,766 905,442 120 to 364 days — — — 309,000 — 309,000 Total $ 7,321,834 $ 70,809 $ 13,073 $ 309,000 $ 888,295 $ 8,603,011 Weighted average borrowing rate 3.70 % 5.73 % 4.83 % 7.91 % 4.49 % 3.95 % ____________________ (1) U.S. Treasury securities effectively borrowed under reverse repurchase agreements. |
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 the Company’s repurchase agreements: (in thousands) December 31, December 31, Available-for-sale securities, at fair value $ 8,126,028 $ 7,426,953 Mortgage servicing rights, at fair value (1) 463,529 667,238 Restricted cash 12,375 324,654 Due from counterparties 36,420 22,055 Derivative assets, at fair value 11,877 14,738 U.S. Treasuries (2) — 877,632 Total $ 8,650,229 $ 9,333,270 ____________________ (1) As of December 31, 2023 and December 31, 2022 , MSR repurchase agreements of $214.0 million and $309.0 million, respectively, were secured by a VFN issued in connection with the Company’s securitization of MSR. Additionally, as of December 31, 2023, MSR repurchase agreements of $58.6 million were secured by a portion of the term notes issued in connection with the Company’s securitization of MSR and repurchased by the Company. The VFN and the term notes are both collateralized by the Company’s MSR. (2) U.S. Treasury securities effectively borrowed under reverse repurchase agreements. |
Revolving Credit Facilities (Ta
Revolving Credit Facilities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Revolving Credit Facilities [Abstract] | |
Schedule of Line of Credit Facilities | At December 31, 2023 and December 31, 2022, borrowings under revolving credit facilities had the following remaining maturities: (in thousands) December 31, December 31, Within 30 days $ — $ — 30 to 59 days — — 60 to 89 days — — 90 to 119 days — — 120 to 364 days 324,300 200,000 One year and over 1,004,871 918,831 Total $ 1,329,171 $ 1,118,831 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Equity [Abstract] | |
Preferred Stock | The following is a summary of the Company’s series of cumulative redeemable preferred stock issued and outstanding as of December 31, 2023. 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 5,085,268 $ 122,818 8.125 % April 27, 2027 April 27, 2027 3M Rate + 5.660% Series B July 19, 2017 10,439,260 252,443 7.625 % July 27, 2027 July 27, 2027 3M Rate + 5.352% Series C November 27, 2017 9,831,898 237,952 7.250 % January 27, 2025 January 27, 2025 3M Rate + 5.011% Total 25,356,426 $ 613,213 ____________________ (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 in footnote (3) below. (3) |
Rollforward of Common Stock | The following table presents a reconciliation of the common shares outstanding for the years ended December 31, 2023, 2022 and 2021: Number of common shares Common shares outstanding, December 31, 2020 68,425,971 Issuance of common stock 17,516,255 Non-cash equity award compensation (1) 35,606 Common shares outstanding, December 31, 2021 85,977,831 Issuance of common stock 324,896 Non-cash equity award compensation (1) 126,118 Common shares outstanding, December 31, 2022 86,428,845 Issuance of common stock 17,149,490 Repurchase of common stock (593,453) Non-cash equity award compensation (1) 221,575 Common shares outstanding, December 31, 2023 103,206,457 ____________________ (1) See Note 18 - Equity Incentive Plans for further details regarding the Company’s Equity Incentive Plans. |
Dividends Declared | The following table presents cash dividends declared by the Company on its preferred and common stock during the years ended December 31, 2023, 2022 and 2021: Year Ended December 31, (dollars in thousands) 2023 2022 2021 Class of Stock Amount Per Share Amount Per Share Amount Per Share Series A Preferred Stock $ 10,460 $ 2.04 $ 11,462 $ 2.04 $ 11,680 $ 2.04 Series B Preferred Stock $ 20,087 $ 1.92 $ 21,547 $ 1.92 $ 21,921 $ 1.92 Series C Preferred Stock $ 18,060 $ 1.80 $ 20,598 $ 1.80 $ 21,388 $ 1.80 Common Stock $ 192,220 $ 1.95 $ 228,845 $ 2.64 $ 205,623 $ 2.72 |
Schedule of Accumulated Other Comprehensive Income (Loss) | Accumulated other comprehensive loss at December 31, 2023 and December 31, 2022 was as follows: (in thousands) December 31, December 31, Available-for-sale securities: Unrealized gains $ 23,305 $ 47,656 Unrealized losses (199,734) (326,367) Accumulated other comprehensive loss $ (176,429) $ (278,711) |
Equity Incentive Plans (Tables)
Equity Incentive Plans (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Share-Based Payment Arrangement [Abstract] | |
Schedule of Nonvested Restricted Stock Units Activity | The following table summarizes the activity related to RSUs for the years ended December 31, 2023 and 2022: Year Ended December 31, 2023 2022 Units Weighted Average Grant Date Fair Market Value Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 468,632 $ 23.54 293,426 $ 28.39 Granted 371,673 16.19 320,783 20.94 Vested (221,575) (23.56) (127,283) (28.17) Forfeited (5,031) (20.20) (18,294) (23.73) Outstanding at End of Period 613,699 $ 19.11 468,632 $ 23.54 |
Schedule of Nonvested Performance Share Units Activity | The following table summarizes the activity related to PSUs for the years ended December 31, 2023 and 2022: Year Ended December 31, 2023 2022 Target Units Weighted Average Grant Date Fair Market Value Target Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 265,261 $ 26.93 109,356 $ 34.68 Granted 222,208 22.47 165,820 21.83 Vested — — — — Forfeited (1,647) (25.21) (9,915) (27.21) Outstanding at End of Period 485,822 $ 24.89 265,261 $ 26.93 |
Nonvested Restricted Stock Shares Activity | The following table summarizes the activity related to restricted common stock for the years ended December 31, 2023 and 2022: Year Ended December 31, 2023 2022 Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 42,884 $ 60.91 113,239 $ 60.18 Granted — — — — Vested (42,884) (60.91) (69,191) (59.71) Forfeited — — (1,164) (60.92) Outstanding at End of Period — $ — 42,884 $ 60.91 |
Interest Income and Interest _2
Interest Income and Interest Expense (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Banking and Thrift, Interest [Abstract] | |
Interest Income and Interest Expense | The following table presents the components of the Company’s interest income and interest expense for the years ended December 31, 2023, 2022 and 2021. Year Ended December 31, 2023 2022 2021 Interest income: Available-for-sale securities $ 412,310 $ 272,230 $ 167,310 Other 68,054 23,310 1,287 Total interest income 480,364 295,540 168,597 Interest expense: Repurchase agreements 474,292 167,455 25,774 Revolving credit facilities 121,124 51,814 22,425 Term notes payable 28,994 19,514 12,936 Convertible senior notes 18,815 19,612 28,038 Total interest expense 643,225 258,395 89,173 Net interest (expense) income $ (162,861) $ 37,145 $ 79,424 |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Income Tax Disclosure [Abstract] | |
Schedule of Components of Income Tax Expense (Benefit) | The following table summarizes the tax provision (benefit) recorded primarily at the taxable subsidiary level for the years ended December 31, 2023, 2022 and 2021: Year Ended December 31, (in thousands) 2023 2022 2021 Current tax provision (benefit) : Federal $ 3,498 $ — $ — State 4,976 (1,028) (1,768) Total current tax provision (benefit) 8,474 (1,028) (1,768) Deferred tax provision (benefit): Federal 16,602 90,916 14,851 State (2,098) 14,325 (8,891) Total deferred tax provision 14,504 105,241 5,960 Total provision for income taxes $ 22,978 $ 104,213 $ 4,192 |
Schedule of Effective Income Tax Rate Reconciliation | The following is a reconciliation of the statutory federal and state rates to the effective rates, for the years ended December 31, 2023, 2022 and 2021: Year Ended December 31, 2023 2022 2021 (dollars in thousands) Amount Percent Amount Percent Amount Percent (Benefit from) provision for income taxes at statutory federal tax rate $ (17,513) 21 % $ 68,135 21 % $ 40,198 21 % State taxes, net of federal benefit, if applicable 2,358 (3) % 10,478 3 % (8,420) (4) % Permanent differences in taxable income from net income for U.S. GAAP purposes 65,670 (79) % (93) — % 15 — % REIT (loss) income not subject to corporate income tax (27,537) 33 % 25,693 8 % (27,601) (14) % Provision for (benefit from) income taxes/ effective tax rate (1) $ 22,978 (28) % $ 104,213 32 % $ 4,192 3 % ____________________ (1) The provision for income taxes is primarily recorded at the taxable subsidiary level. |
Schedule Of Current And Deferred Tax Assets And Liabilities | The Company’s consolidated balance sheets, as of December 31, 2023 and December 31, 2022 contain the following current and deferred tax liabilities and assets, which are included in other assets, and are recorded at the taxable subsidiary level: (in thousands) December 31, December 31, Income taxes receivable (payable): Federal income taxes receivable $ 52 $ — State and local income taxes (payable) receivable (735) 404 Income taxes (payable) receivable, net (683) 404 Deferred tax assets (liabilities): Deferred tax asset 20,083 33,426 Deferred tax liability (81,765) (80,603) Total net deferred tax assets (liabilities) (61,682) (47,177) Total tax assets (liabilities), net $ (62,365) $ (46,773) |
Schedule of Deferred Tax Assets and Liabilities | Components of the Company’s deferred tax liabilities and assets as of December 31, 2023 and December 31, 2022 were as follows: (in thousands) December 31, December 31, Mortgage servicing rights $ (81,765) $ (80,492) Net operating loss carryforward 18,224 32,301 Other 1,859 1,014 Total deferred tax assets (liabilities) (61,682) (47,177) Valuation allowance — — Total net deferred tax assets (liabilities) $ (61,682) $ (47,177) |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted | The following table presents a reconciliation of the (loss) earnings and shares used in calculating basic and diluted (loss) earnings per share for the years ended December 31, 2023, 2022 and 2021. All per share amounts, common shares outstanding and common equity-based awards for all periods presented have been adjusted on a retroactive basis to reflect the reverse stock split. Year Ended December 31, (in thousands, except share data) 2023 2022 2021 Basic (Loss) Earnings Per Share: Net (loss) income $ (106,371) $ 220,239 $ 187,227 Dividends on preferred stock (48,607) (53,607) (58,458) Gain on repurchase and retirement of preferred stock 2,973 20,149 — Dividends and undistributed earnings allocated to participating restricted stock units (1,220) (1,203) (731) Net (loss) income attributable to common stockholders, basic $ (153,225) $ 185,578 $ 128,038 Basic weighted average common shares 95,672,143 86,179,418 74,443,000 Basic (loss) earnings per weighted average common share $ (1.60) $ 2.15 $ 1.72 Diluted (Loss) Earnings Per Share: Net (loss) income attributable to common stockholders, basic $ (153,225) $ 185,578 $ 128,038 Reallocation impact of undistributed earnings to participating restricted stock units — — — Interest expense attributable to convertible notes — 19,382 — Net (loss) income attributable to common stockholders, diluted $ (153,225) $ 204,960 $ 128,038 Basic weighted average common shares 95,672,143 86,179,418 74,443,000 Effect of dilutive shares issued in an assumed vesting of performance share units — 157,591 67,884 Effect of dilutive shares issued in an assumed conversion — 9,739,166 — Diluted weighted average common shares 95,672,143 96,076,175 74,510,884 Diluted (loss) earnings per weighted average common share $ (1.60) $ 2.13 $ 1.72 |
Reverse Stock Split (Details)
Reverse Stock Split (Details) | Nov. 01, 2022 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Reverse stock split, conversion ratio | 0.25 |
Accrued Interest Receivable, Po
Accrued Interest Receivable, Policy (Details) | Dec. 31, 2023 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of days within which accrued interest receivables are generally received in cash | 30 days |
Accrued Interest Payable, Polic
Accrued Interest Payable, Policy (Details) | 12 Months Ended |
Dec. 31, 2023 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of days within which accrued interest payables are generally paid in cash | 30 days |
Income Taxes, Policy (Details)
Income Taxes, Policy (Details) | Dec. 31, 2023 |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Percent of REIT Taxable income the company is required to distribute | 90% |
Acquisition of RoundPoint Mor_3
Acquisition of RoundPoint Mortgage Servicing LLC (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | |
Dec. 31, 2023 | Sep. 30, 2023 | Dec. 31, 2023 | Dec. 31, 2022 | |
Business Combination and Asset Acquisition [Abstract] | ||||
Provisional purchase price for acquisition of RoundPoint | $ 44,732 | |||
Purchase price for acquisition of RoundPoint | $ 44,544 | |||
Cash payment for acquisition of RoundPoint | 23,600 | |||
Payable recognized for acquisition of RoundPoint | $ 20,900 | 21,100 | 20,900 | |
Subsequent measurement period adjustments to goodwill | (201) | |||
Subsequent measurement period adjustments to consideration transferred | (188) | |||
Cash and cash equivalents | 50,366 | 50,366 | 50,366 | |
Subsequent measurement period adjustments to cash and cash equivalents | 0 | |||
Intangible assets | 799 | 786 | 799 | |
Subsequent measurement period adjustments to intangible assets | 13 | |||
Other assets | 29,148 | 29,148 | 29,148 | |
Subsequent measurement period adjustments to other assets | 0 | |||
Total Assets Acquired | 80,313 | 80,300 | 80,313 | |
Subsequent measurement period adjustments to total assets acquired | 13 | |||
Accrued expenses | 4,483 | 4,483 | 4,483 | |
Subsequent measurement period adjustments to accrued expenses | 0 | |||
Other liabilities | 58,739 | 58,739 | 58,739 | |
Subsequent measurement period adjustments to other liabilities | 0 | |||
Total Liabilities Assumed | 63,222 | 63,222 | 63,222 | |
Subsequent measurement period adjustments to total liabilities assumed | 0 | |||
Net Assets | 17,091 | 17,078 | 17,091 | |
Subsequent measurement period adjustments to net assets | 13 | |||
Goodwill | 27,453 | $ 27,654 | 27,453 | |
Finite-lived trade names acquired | 200 | 200 | ||
Indefinite-lived mortgage servicing and origination licenses and approvals | 600 | 600 | ||
Goodwill for tax purposes | $ 27,500 | 27,500 | ||
Acquisition-related costs expensed during the period | $ 1,300 | $ 800 |
Summary of Unaudited Pro Forma
Summary of Unaudited Pro Forma Combined Revenue and Income Before Income Taxes (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Business Combination and Asset Acquisition [Abstract] | ||
Revenue | $ 806,945 | $ 889,186 |
Income before income taxes | (104,823) | 260,023 |
Servicing expenses due to RoundPoint recognized prior to the closing of the acquisition | $ 23,900 | $ 2,000 |
Variable Interest Entities (Det
Variable Interest Entities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Variable Interest Entity [Line Items] | ||
Accrued interest receivable | $ 35,339 | $ 36,018 |
Other assets | 236,857 | 193,219 |
Total Assets | 13,138,800 | 13,466,160 |
Term notes payable | 295,271 | 398,011 |
Revolving credit facilities | 1,329,171 | 1,118,831 |
Accrued interest payable | 141,773 | 94,034 |
Other liabilities | 225,434 | 145,991 |
Total Liabilities | 10,935,410 | 11,282,635 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Variable Interest Entity [Line Items] | ||
Note receivable | 399,317 | 398,011 |
Restricted cash | 45,642 | 31,691 |
Accrued interest receivable | 551 | 400 |
Other assets | 79,749 | 67,819 |
Total Assets | 525,259 | 497,921 |
Term notes payable | 399,317 | 398,011 |
Revolving credit facilities | 34,300 | 23,850 |
Accrued interest payable | 816 | 560 |
Other liabilities | 45,377 | 31,531 |
Total Liabilities | $ 479,810 | $ 453,952 |
Available-for-Sale Securities_3
Available-for-Sale Securities, at Fair Value (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 8,327,149 | $ 7,778,734 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 5,467,684 | 4,112,556 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 2,790,662 | 3,332,314 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 64,653 | 208,706 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 4,150 | $ 125,158 |
Available-for-Sale Securities P
Available-for-Sale Securities Pledged as Collateral for Financing (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Available-for-sale securities, at fair value | $ 8,327,149 | $ 7,778,734 |
Asset Pledged as Collateral | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Available-for-sale securities, at fair value | $ 8,100,000 | $ 7,400,000 |
Available-for-Sale Securities_4
Available-for-Sale Securities, at Fair Value Nonconsolidated Variable Interest Entities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Variable Interest Entity [Line Items] | ||
Available-for-sale securities, at fair value | $ 8,327,149 | $ 7,778,734 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Available-for-sale securities, at fair value | 4,200 | 125,200 |
Maximum exposure to loss of nonconsolidated Variable Interest Entities | $ 4,200 | $ 125,200 |
Schedule of Available-for-sale
Schedule of Available-for-sale Securities Reconciliation (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | $ 9,832,353 | $ 10,008,932 | ||
Unamortized Premium | 217,937 | 243,639 | ||
Accretable Purchase Discount | (130,951) | (33,638) | ||
Amortized Cost | 8,509,383 | 8,114,627 | ||
Allowance for Credit Losses | (3,943) | (6,958) | $ (14,238) | $ (22,528) |
Unrealized Gain | 23,757 | 8,745 | ||
Unrealized Loss | (202,048) | (337,680) | ||
Available-for-sale securities, at fair value | 8,327,149 | 7,778,734 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 9,262,456 | 8,745,143 | ||
Unamortized Premium | 213,738 | 235,128 | ||
Accretable Purchase Discount | (130,932) | (33,413) | ||
Amortized Cost | 8,504,539 | 7,982,992 | ||
Allowance for Credit Losses | (3,619) | (6,785) | (12,851) | (17,889) |
Unrealized Gain | 23,584 | 8,200 | ||
Unrealized Loss | (201,505) | (330,831) | ||
Available-for-sale securities, at fair value | 8,322,999 | 7,653,576 | ||
Mortgage-Backed Securities, Issued by US Government Sponsored Enterprises, Principal and Interest | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 8,421,733 | 7,781,277 | ||
Unamortized Premium | 155,171 | 189,246 | ||
Accretable Purchase Discount | (130,932) | (33,413) | ||
Amortized Cost | 8,445,972 | 7,937,110 | ||
Allowance for Credit Losses | 0 | 0 | ||
Unrealized Gain | 22,677 | 6,310 | ||
Unrealized Loss | (196,748) | (325,960) | ||
Available-for-sale securities, at fair value | 8,271,901 | 7,617,460 | ||
Mortgage-Backed Securities, Issued by US Government Sponsored Enterprises, Interest-Only-Strip | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 840,723 | 963,866 | ||
Unamortized Premium | 58,567 | 45,882 | ||
Accretable Purchase Discount | 0 | 0 | ||
Amortized Cost | 58,567 | 45,882 | ||
Allowance for Credit Losses | (3,619) | (6,785) | ||
Unrealized Gain | 907 | 1,890 | ||
Unrealized Loss | (4,757) | (4,871) | ||
Available-for-sale securities, at fair value | 51,098 | 36,116 | ||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 569,897 | 1,263,789 | ||
Unamortized Premium | 4,199 | 8,511 | ||
Accretable Purchase Discount | (19) | (225) | ||
Amortized Cost | 4,844 | 131,635 | ||
Allowance for Credit Losses | (324) | (173) | $ (1,387) | $ (4,639) |
Unrealized Gain | 173 | 545 | ||
Unrealized Loss | (543) | (6,849) | ||
Available-for-sale securities, at fair value | $ 4,150 | $ 125,158 |
Available-for-Sale Securities_5
Available-for-Sale Securities, Weighted Average Life Classifications (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | $ 86 | |
Greater than 1 year and less than or equal to 3 years | 17,577 | |
Greater than 3 years and less than or equal to 5 years | 261,625 | |
Greater than 5 years and less than or equal to 10 years | 6,848,236 | |
Greater than 10 years | 1,199,625 | |
Available-for-sale securities, at fair value | 8,327,149 | $ 7,778,734 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | 86 | |
Greater than 1 year and less than or equal to 3 years | 17,577 | |
Greater than 3 years and less than or equal to 5 years | 261,625 | |
Greater than 5 years and less than or equal to 10 years | 6,844,418 | |
Greater than 10 years | 1,199,293 | |
Available-for-sale securities, at fair value | 8,322,999 | 7,653,576 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | 0 | |
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 | 3,818 | |
Greater than 10 years | 332 | |
Available-for-sale securities, at fair value | $ 4,150 | $ 125,158 |
Available-for-sale Securities_6
Available-for-sale Securities, Rollforward of the Allowance for Credit Losses (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |||
Allowance for credit losses at beginning of period | $ (6,958) | $ (14,238) | $ (22,528) |
Additions on securities for which credit losses were not previously recorded | (425) | (983) | (4,555) |
Increase (decrease) on securities with previously recorded credit losses | 970 | (1,747) | (5,208) |
Writeoffs | 2,470 | 10,010 | 18,053 |
Allowance for credit losses at end of period | (3,943) | (6,958) | (14,238) |
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 | (6,785) | (12,851) | (17,889) |
Additions on securities for which credit losses were not previously recorded | (55) | (482) | (190) |
Increase (decrease) on securities with previously recorded credit losses | 965 | (3,462) | (4,542) |
Writeoffs | 2,256 | 10,010 | 9,770 |
Allowance for credit losses at end of period | (3,619) | (6,785) | (12,851) |
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 | (173) | (1,387) | (4,639) |
Additions on securities for which credit losses were not previously recorded | (370) | (501) | (4,365) |
Increase (decrease) on securities with previously recorded credit losses | 5 | 1,715 | (666) |
Writeoffs | 214 | 0 | 8,283 |
Allowance for credit losses at end of period | $ (324) | $ (173) | $ (1,387) |
Schedule of Available-for-sal_2
Schedule of Available-for-sale Debt Securities in Unrealized Loss Positions (Details) $ in Thousands | Dec. 31, 2023 USD ($) numberOfPositions | Dec. 31, 2022 USD ($) numberOfPositions |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Number of Positions | numberOfPositions | 646 | 704 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Number of Positions | numberOfPositions | 477 | 553 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Number of Positions | numberOfPositions | 0 | 0 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 6,270,731 | $ 7,286,510 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (199,449) | (334,191) |
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 | 6,270,731 | 7,286,510 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 199,449 | 334,191 |
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 | 6,269,848 | 7,168,694 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (199,276) | (328,258) |
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 | 6,269,848 | 7,168,694 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 199,276 | 328,258 |
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 | 883 | 117,816 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (173) | (5,933) |
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 | 883 | 117,816 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 173 | $ 5,933 |
Available-for-Sale Securities_7
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-Sale [Abstract] | |||
Proceeds from sales of available-for-sale securities | $ 2,673,827 | $ 7,793,705 | $ 6,274,193 |
Amortized cost of available-for-sale securities sold | (2,792,703) | (8,359,967) | (6,137,824) |
Total realized (losses) gains on sales, net | (118,876) | (566,262) | 136,369 |
Gross realized gains | 16,285 | 40,574 | 167,269 |
Gross realized losses | $ (135,161) | $ (606,836) | $ (30,900) |
Rollforward of Mortgage Servici
Rollforward of Mortgage Servicing Rights, at Fair Value (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | |||
Mortgage servicing rights, at fair value, at beginning of period | $ 2,984,937 | $ 2,191,578 | $ 1,596,153 |
Purchases of mortgage servicing rights | 317,194 | 640,051 | 777,305 |
Sales of mortgage servicing rights (1) | (115,754) | (259,059) | (43,411) |
Changes in valuation inputs or assumptions used in the valuation model | $ 97,859 | $ 793,631 | 562,843 |
Servicing Asset, At Fair Value, Other Change In Fair Value, Statement Of Income Or Comprehensive Income Extensible Enumeration Not Disclosed Flag | Other changes in fair value (3) | Other changes in fair value (3) | |
Other changes in fair value | $ (227,663) | $ (371,023) | (666,160) |
Other changes | (4,557) | (10,241) | (35,152) |
Mortgage servicing rights, at fair value, at end of period | $ 3,052,016 | $ 2,984,937 | $ 2,191,578 |
Mortgage Servicing Rights Pledg
Mortgage Servicing Rights Pledged as Collateral for Financing (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||||
Mortgage servicing rights, at fair value | $ 3,052,016 | $ 2,984,937 | $ 2,191,578 | $ 1,596,153 |
Asset Pledged as Collateral | ||||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||||
Mortgage servicing rights, at fair value | $ 3,000,000 | $ 3,000,000 |
Schedule of Mortgage Servicing
Schedule of Mortgage Servicing Rights Sensitivity Analysis of Fair Value (Details) $ in Thousands | Dec. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) |
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 | $ (74,042) | $ (50,192) |
Impact on fair value of 20% adverse change in prepayment speed | (146,237) | (100,995) |
Impact on fair value of 10% adverse change in delinquency | (4,654) | (3,880) |
Impact on fair value of 20% adverse change in delinquency | (12,376) | (7,777) |
Impact on fair value of 10% adverse change in discount rate | (59,285) | (44,431) |
Impact on fair value of 20% adverse change in discount rate | (119,776) | (87,354) |
Impact on fair value of 10% adverse change in per loan annual cost to service | (24,111) | (20,148) |
Impact on fair value of 20% adverse change in per loan annual cost to service | $ (48,985) | $ (39,401) |
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 | 0.062 | 0.069 |
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 | 0.009 | 0.009 |
Measurement Input, Discount Rate [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 0.053 | 0.053 |
Measurement Input, Per Loan Annual Cost to Service [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 68.27 | 67.92 |
Components of Servicing Revenue
Components of Servicing Revenue (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |||
Servicing fee income | $ 555,221 | $ 564,923 | $ 461,381 |
Ancillary and other fee income | 5,149 | 1,932 | 2,436 |
Float income | 125,407 | 37,056 | 4,589 |
Servicing income | $ 685,777 | $ 603,911 | $ 468,406 |
Mortgage Servicing Advances (De
Mortgage Servicing Advances (Details) - USD ($) $ in Millions | Dec. 31, 2023 | Dec. 31, 2022 |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Servicing advances | $ 143.2 | $ 119 |
Mortgage servicing rights, delinquency rate | 0.70% | 0.80% |
Line of Credit [Member] | Asset Pledged as Collateral | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Servicing advances | $ 79.7 | $ 67.8 |
Schedule of Restricted Cash and
Schedule of Restricted Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 65,101 | $ 443,026 |
Restricted Cash and Cash Equivalents Held for Securities Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 450 | 2,202 |
Restricted Cash and Cash Equivalents Held for Derivatives Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 1,669 | 79,220 |
Restricted Cash and Cash Equivalents Held for Servicing Activities [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 50,345 | 36,690 |
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 12,575 | 324,854 |
Restricted Cash and Cash Equivalents Held by Counterparties [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 65,039 | 442,966 |
Restricted Cash and Cash Equivalents for Lease [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 62 | $ 60 |
Schedule of Total Cash, Cash Eq
Schedule of Total Cash, Cash Equivalents and Restricted Cash (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Cash, Cash Equivalents, Restricted Cash, and Restricted Cash Equivalents [Abstract] | ||||
Cash and cash equivalents | $ 729,732 | $ 683,479 | ||
Restricted cash | 65,101 | 443,026 | ||
Total cash, cash equivalents and restricted cash | $ 794,833 | $ 1,126,505 | $ 2,088,670 | $ 2,646,431 |
Schedule of Derivative Instrume
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($) | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 |
Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | $ 15,045,799,000 | $ 17,159,801,000 | |
Net Short Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | $ 14,262,996,000 | ||
Inverse Interest-Only Securities [Member] | Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 163,735,000 | 196,456,000 | 247,101,000 |
Interest Rate Swap [Member] | Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 17,788,114,000 | 0 | 20,387,300,000 |
Interest Rate Swaption [Member] | Net Short Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 200,000,000 | 0 | 1,761,000,000 |
TBAs [Member] | Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 3,497,000,000 | 3,826,000,000 | 4,116,000,000 |
Futures [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Futures [Member] | Net Short Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 6,203,050,000 | 18,285,452,000 | $ 5,829,600,000 |
Derivative assets | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 85,291,000 | 26,438,000 | |
Derivative assets | Net Short Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 2,942,735,000 | 18,738,996,000 | |
Derivative assets | Inverse Interest-Only Securities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 12,292,000 | 15,293,000 | |
Derivative assets | Inverse Interest-Only Securities [Member] | Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 163,735,000 | 196,456,000 | |
Derivative assets | Interest Rate Swap [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Derivative assets | Interest Rate Swap [Member] | Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | 0 | |
Derivative assets | Interest Rate Swaption [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 19,000 | 0 | |
Derivative assets | Interest Rate Swaption [Member] | Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | ||
Derivative assets | Interest Rate Swaption [Member] | Net Short Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 200,000,000 | ||
Derivative assets | TBAs [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 72,980,000 | 11,145,000 | |
Derivative assets | TBAs [Member] | Net Long Position [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 72,980,000 | 11,145,000 | |
Derivative assets | TBAs [Member] | Net Short Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 2,979,000,000 | 650,000,000 | |
Derivative assets | Futures [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Derivative assets | Futures [Member] | Net Short Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | 18,285,452,000 | |
Derivative liabilities | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | (21,506,000) | (34,048,000) | |
Derivative liabilities | Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 12,103,064,000 | 4,476,000,000 | |
Derivative liabilities | Inverse Interest-Only Securities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Derivative liabilities | Inverse Interest-Only Securities [Member] | Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | 0 | |
Derivative liabilities | Interest Rate Swap [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Derivative liabilities | Interest Rate Swap [Member] | Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 17,788,114,000 | 0 | |
Derivative liabilities | Interest Rate Swaption [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Derivative liabilities | Interest Rate Swaption [Member] | Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | 0 | |
Derivative liabilities | TBAs [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | (21,506,000) | (34,048,000) | |
Derivative liabilities | TBAs [Member] | Net Long Position [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | (21,506,000) | (34,048,000) | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 518,000,000 | 4,476,000,000 | |
Derivative liabilities | Futures [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Fair Value | 0 | 0 | |
Derivative liabilities | Futures [Member] | Net Long Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | $ 0 | ||
Derivative liabilities | Futures [Member] | Net Short Position [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | $ 6,203,050,000 |
Schedule of Derivative Instru_2
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | $ (219,156) | $ 38,809 | $ (209,192) |
TBAs [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | (155,942) | (487,713) | (193,479) |
Futures [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | (8,973) | 514,467 | (49,213) |
Options on TBAs [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | 0 | 0 | (5,683) |
Options on Futures [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | (779) | (2,224) | 0 |
Interest Rate Swap [Member] | Long [Member] | (Loss) gain on interest rate swap, cap and swaption agreements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | (53,263) | 772,829 | 92,317 |
Interest Rate Swap [Member] | Short [Member] | (Loss) gain on interest rate swap, cap and swaption agreements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | 526 | (756,744) | (66,828) |
Interest Rate Swaption [Member] | (Loss) gain on interest rate swap, cap and swaption agreements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | (209) | 13,414 | 16,602 |
Inverse Interest-Only Securities [Member] | (Loss) gain on other derivative instruments | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount of Gain (Loss) Recognized in Income | $ (516) | $ (15,220) | $ (2,908) |
Derivative Instruments and He_3
Derivative Instruments and Hedging Activities Interest Spread on Interest Rate Swaps (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Interest Rate Contract [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net interest expense (income) on interest rate swaps and caps | $ (21,400,000) | $ (4,800,000) | $ (14,300,000) |
Net Long Position [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Average Notional Amount | 1,923,988,000 | 2,192,332,000 | |
Net Long Position [Member] | Interest Rate Contract [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Average Notional Amount | $ 8,000,000,000 | $ 12,400,000,000 | $ 15,900,000,000 |
Schedule of Notional Amounts of
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Derivative, Notional Amount [Roll Forward] | ||
Additions | $ 28,242,326,000 | $ 22,451,146,000 |
Settlement, Termination, Expiration or Exercise | 1,066,469,000 | (53,873,943,000) |
Realized Gain (Loss), net | (100,057,000) | 64,920,000 |
Inverse Interest-Only Securities [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 0 | 0 |
Settlement, Termination, Expiration or Exercise | (32,721,000) | (50,645,000) |
Realized Gain (Loss), net | 0 | 0 |
Interest Rate Swap [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 22,600,456,000 | 22,398,148,000 |
Settlement, Termination, Expiration or Exercise | (4,812,342,000) | (42,785,448,000) |
Realized Gain (Loss), net | (36,114,000) | 29,543,000 |
Interest Rate Swaption [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | (400,000,000) | (1,000,000,000) |
Settlement, Termination, Expiration or Exercise | 200,000,000 | 2,761,000,000 |
Realized Gain (Loss), net | (80,000) | 13,654,000 |
TBAs [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 42,018,000,000 | 69,828,000,000 |
Settlement, Termination, Expiration or Exercise | (42,347,000,000) | (70,118,000,000) |
Realized Gain (Loss), net | (230,319,000) | (463,320,000) |
Futures [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | (35,976,130,000) | (68,777,002,000) |
Settlement, Termination, Expiration or Exercise | 48,058,532,000 | 56,321,150,000 |
Realized Gain (Loss), net | 167,235,000 | 487,267,000 |
Options on Futures [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 0 | 2,000,000 |
Settlement, Termination, Expiration or Exercise | 0 | (2,000,000) |
Realized Gain (Loss), net | (779,000) | (2,224,000) |
Net Long Position [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 17,159,801,000 | |
End of Period Notional Amount | 15,045,799,000 | |
Average Notional Amount | 1,923,988,000 | 2,192,332,000 |
Net Long Position [Member] | Inverse Interest-Only Securities [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 196,456,000 | 247,101,000 |
End of Period Notional Amount | 163,735,000 | 196,456,000 |
Average Notional Amount | 180,080,000 | 219,813,000 |
Net Long Position [Member] | Interest Rate Swap [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 0 | 20,387,300,000 |
End of Period Notional Amount | 17,788,114,000 | 0 |
Average Notional Amount | 7,974,494,000 | 12,424,320,000 |
Net Long Position [Member] | TBAs [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 3,826,000,000 | 4,116,000,000 |
End of Period Notional Amount | 3,497,000,000 | 3,826,000,000 |
Average Notional Amount | 3,016,532,000 | 4,743,504,000 |
Net Long Position [Member] | Options on Futures [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 0 | 0 |
End of Period Notional Amount | 0 | 0 |
Average Notional Amount | 0 | 416,000 |
Net Short Position [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 14,262,996,000 | |
End of Period Notional Amount | 14,262,996,000 | |
Net Short Position [Member] | Interest Rate Swaption [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 0 | 1,761,000,000 |
End of Period Notional Amount | 200,000,000 | 0 |
Average Notional Amount | 161,644,000 | 1,274,101,000 |
Net Short Position [Member] | Futures [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 18,285,452,000 | 5,829,600,000 |
End of Period Notional Amount | 6,203,050,000 | 18,285,452,000 |
Average Notional Amount | $ 9,085,474,000 | $ 13,921,620,000 |
Derivative Instruments and He_4
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Derivatives, Fair Value [Line Items] | ||||
Available-for-sale securities, at fair value | $ 8,327,149 | $ 7,778,734 | ||
Mortgage servicing rights, at fair value | 3,052,016 | 2,984,937 | $ 2,191,578 | $ 1,596,153 |
Interest-Only-Strip [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Available-for-sale securities, at fair value | $ 41,900 | $ 23,800 |
Derivative Instruments and He_5
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) - USD ($) | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 |
Derivative assets | |||
Derivative [Line Items] | |||
Fair Value | $ 85,291,000 | $ 26,438,000 | |
Derivative liabilities | |||
Derivative [Line Items] | |||
Fair Value | (21,506,000) | (34,048,000) | |
Net Long Position [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 15,045,799,000 | $ 17,159,801,000 | |
Net Long Position [Member] | Derivative liabilities | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 12,103,064,000 | 4,476,000,000 | |
TBAs [Member] | Derivative assets | |||
Derivative [Line Items] | |||
Fair Value | 72,980,000 | 11,145,000 | |
TBAs [Member] | Derivative liabilities | |||
Derivative [Line Items] | |||
Fair Value | (21,506,000) | (34,048,000) | |
TBAs [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 4,194,000,000 | 4,826,000,000 | |
Cost Basis | 3,827,271,000 | 4,802,009,000 | |
Market Value | 3,898,874,000 | 4,767,989,000 | |
TBAs [Member] | Long [Member] | Derivative assets | |||
Derivative [Line Items] | |||
Fair Value | 72,980,000 | 28,000 | |
TBAs [Member] | Long [Member] | Derivative liabilities | |||
Derivative [Line Items] | |||
Fair Value | (1,377,000) | (34,048,000) | |
TBAs [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 697,000,000 | 1,000,000,000 | |
Cost Basis | 656,723,000 | 878,711,000 | |
Market Value | 676,852,000 | 867,594,000 | |
TBAs [Member] | Short [Member] | Derivative assets | |||
Derivative [Line Items] | |||
Fair Value | 0 | 11,117,000 | |
TBAs [Member] | Short [Member] | Derivative liabilities | |||
Derivative [Line Items] | |||
Fair Value | (20,129,000) | 0 | |
TBAs [Member] | Net Long Position [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 3,497,000,000 | 3,826,000,000 | $ 4,116,000,000 |
Cost Basis | 3,170,548,000 | 3,923,298,000 | |
Market Value | 3,222,022,000 | 3,900,395,000 | |
TBAs [Member] | Net Long Position [Member] | Derivative assets | |||
Derivative [Line Items] | |||
Fair Value | 72,980,000 | 11,145,000 | |
TBAs [Member] | Net Long Position [Member] | Derivative liabilities | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 518,000,000 | 4,476,000,000 | |
Fair Value | $ (21,506,000) | $ (34,048,000) |
Derivative Instruments and He_6
Derivative Instruments and Hedging Activities Futures (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2023 | Dec. 31, 2021 | |
Net Short Position [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ (14,262,996,000) | ||
Net Long Position [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ (15,045,799,000) | $ (17,159,801,000) | |
Futures [Member] | |||
Derivative [Line Items] | |||
Fair Value | $ 0 | $ 0 | |
Weighted Average Remaining Maturity | 122 days | 155 days | |
Futures [Member] | Net Short Position [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ (18,285,452,000) | $ (6,203,050,000) | $ (5,829,600,000) |
Futures [Member] | U.S. Treasury Futures [Member] | 2 Years | |||
Derivative [Line Items] | |||
Fair Value | $ 0 | $ 0 | |
Weighted Average Remaining Maturity | 95 days | 88 days | |
Futures [Member] | U.S. Treasury Futures [Member] | 5 Year | |||
Derivative [Line Items] | |||
Fair Value | $ 0 | $ 0 | |
Weighted Average Remaining Maturity | 95 days | 88 days | |
Futures [Member] | U.S. Treasury Futures [Member] | 10 Year | |||
Derivative [Line Items] | |||
Fair Value | $ 0 | $ 0 | |
Weighted Average Remaining Maturity | 90 days | 79 days | |
Futures [Member] | U.S. Treasury Futures [Member] | 20 Year | |||
Derivative [Line Items] | |||
Fair Value | $ 0 | $ 0 | |
Weighted Average Remaining Maturity | 90 days | 79 days | |
Futures [Member] | U.S. Treasury Futures [Member] | Net Short Position [Member] | 2 Years | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ (562,200,000) | $ (549,600,000) | |
Futures [Member] | U.S. Treasury Futures [Member] | Net Short Position [Member] | 5 Year | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | (3,855,500,000) | (1,876,700,000) | |
Futures [Member] | U.S. Treasury Futures [Member] | Net Short Position [Member] | 10 Year | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | (2,397,200,000) | (983,300,000) | |
Futures [Member] | U.S. Treasury Futures [Member] | Net Short Position [Member] | 20 Year | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | (388,200,000) | ||
Futures [Member] | U.S. Treasury Futures [Member] | Net Long Position [Member] | 20 Year | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | (101,000,000) | ||
Futures [Member] | Federal Funds Future | |||
Derivative [Line Items] | |||
Fair Value | $ 0 | $ 0 | |
Weighted Average Remaining Maturity | 92 days | 0 days | |
Futures [Member] | Federal Funds Future | Net Short Position [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ (7,948,552,000) | $ 0 | |
Futures [Member] | Eurodollar Futures [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Fair Value | $ 0 | $ 0 | |
Weighted Average Remaining Maturity | 184 days | 184 days | |
Futures [Member] | Eurodollar Futures [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | Net Short Position [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ (2,957,000,000) | $ (1,842,750,000) | |
Futures [Member] | Eurodollar Futures [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Fair Value | $ 0 | $ 0 | |
Weighted Average Remaining Maturity | 489 days | 534 days | |
Futures [Member] | Eurodollar Futures [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Net Short Position [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $ (666,000,000) | $ (562,500,000) |
Derivative Instruments and He_7
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Payers (Details) - Long [Member] | 12 Months Ended |
Dec. 31, 2023 USD ($) | |
Interest Rate Swap [Member] | |
Derivative [Line Items] | |
Notional | $ 12,127,483,000 |
Weighted Average Fixed Interest Rate | 4.245% |
Weighted Average Variable Interest Rate | 5.38% |
Weighted Average Remaining Maturity | 3 years 10 months 13 days |
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | |
Derivative [Line Items] | |
Notional | $ 0 |
Weighted Average Fixed Interest Rate | 0% |
Weighted Average Variable Interest Rate | 0% |
Weighted Average Remaining Maturity | 0 years |
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | |
Derivative [Line Items] | |
Notional | $ 4,827,881,000 |
Weighted Average Fixed Interest Rate | 4.741% |
Weighted Average Variable Interest Rate | 5.38% |
Weighted Average Remaining Maturity | 1 year 2 months 15 days |
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | |
Derivative [Line Items] | |
Notional | $ 1,968,891,000 |
Weighted Average Fixed Interest Rate | 4.087% |
Weighted Average Variable Interest Rate | 5.38% |
Weighted Average Remaining Maturity | 2 years 3 days |
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | |
Derivative [Line Items] | |
Notional | $ 0 |
Weighted Average Fixed Interest Rate | 0% |
Weighted Average Variable Interest Rate | 0% |
Weighted Average Remaining Maturity | 0 years |
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | |
Derivative [Line Items] | |
Notional | $ 5,330,711,000 |
Weighted Average Fixed Interest Rate | 3.748% |
Weighted Average Variable Interest Rate | 5.38% |
Weighted Average Remaining Maturity | 7 years 9 months 14 days |
Forward Starting Interest Rate Swap | |
Derivative [Line Items] | |
Notional | $ 1,100,000,000 |
Weighted Average Fixed Interest Rate | 4% |
Derivative Instruments and He_8
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Receivers (Details) - Short [Member] | 12 Months Ended |
Dec. 31, 2023 USD ($) | |
Interest Rate Swap [Member] | |
Derivative [Line Items] | |
Notional | $ 5,660,631,000 |
Weighted Average Variable Interest Rate | 5.38% |
Weighted Average Fixed Interest Rate | 4.052% |
Weighted Average Remaining Maturity | 5 years |
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | |
Derivative [Line Items] | |
Notional | $ 0 |
Weighted Average Variable Interest Rate | 0% |
Weighted Average Fixed Interest Rate | 0% |
Weighted Average Remaining Maturity | 0 years |
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | |
Derivative [Line Items] | |
Notional | $ 3,116,045,000 |
Weighted Average Variable Interest Rate | 5.38% |
Weighted Average Fixed Interest Rate | 4.204% |
Weighted Average Remaining Maturity | 1 year 4 months 9 days |
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | |
Derivative [Line Items] | |
Notional | $ 0 |
Weighted Average Variable Interest Rate | 0% |
Weighted Average Fixed Interest Rate | 0% |
Weighted Average Remaining Maturity | 0 years |
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | |
Derivative [Line Items] | |
Notional | $ 260,000,000 |
Weighted Average Variable Interest Rate | 5.38% |
Weighted Average Fixed Interest Rate | 3.328% |
Weighted Average Remaining Maturity | 3 years 9 months |
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | |
Derivative [Line Items] | |
Notional | $ 2,284,586,000 |
Weighted Average Variable Interest Rate | 5.38% |
Weighted Average Fixed Interest Rate | 3.97% |
Weighted Average Remaining Maturity | 9 years 1 month 2 days |
Forward Starting Interest Rate Swap | |
Derivative [Line Items] | |
Notional | $ 645,200,000 |
Weighted Average Fixed Interest Rate | 4.40% |
Derivative Instruments and He_9
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) - Variable Income Interest Rate [Member] - Less Than Six Months Remaining Maturity [Member] | 12 Months Ended |
Dec. 31, 2023 USD ($) | |
Interest Rate Swaption [Member] | Long [Member] | |
Derivative [Line Items] | |
Cost Basis | $ 480,000 |
Fair Value | $ 22,000 |
Weighted Average Remaining Maturity | 2 months 12 days |
Interest Rate Swaption [Member] | Short [Member] | |
Derivative [Line Items] | |
Cost Basis | $ 332,000 |
Fair Value | $ 3,000 |
Weighted Average Remaining Maturity | 2 months 12 days |
Underlying Swap [Member] | Long [Member] | |
Derivative [Line Items] | |
Weighted Average Remaining Maturity | 1 year |
Derivative, Notional Amount | $ 200,000,000 |
Weighted Average Fixed Interest Rate | 5.13% |
Underlying Swap [Member] | Short [Member] | |
Derivative [Line Items] | |
Weighted Average Remaining Maturity | 1 year |
Derivative, Notional Amount | $ 400,000,000 |
Weighted Average Fixed Interest Rate | 5.61% |
Derivative Instruments and H_10
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Derivative assets, at fair value | $ 85,291 | $ 26,438 |
Derivative liabilities, at fair value | $ (21,506) | $ (34,048) |
Reverse Repurchase Agreements (
Reverse Repurchase Agreements (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amounts due to counterparties as collateral for reverse repurchase agreements | $ 574,735 | $ 541,709 |
Reverse repurchase agreements | 284,091 | 1,066,935 |
Repurchase agreements | 8,020,207 | 8,603,011 |
US Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 888,295 |
Collateral Pledged | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Reverse repurchase agreements | 284,100 | 189,300 |
US Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Reverse repurchase agreements | 0 | 877,600 |
Collateral Pledged | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amounts due to counterparties as collateral for reverse repurchase agreements | $ 286,100 | $ 189,500 |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Offsetting [Abstract] | ||
Gross amount of recognized derivative assets | $ 228,227 | $ 98,609 |
Gross amount of derivative liabilities offset against derivative assets in the balance sheet | 142,936 | 72,171 |
Net amount of derivative assets presented in the balance sheet | 85,291 | 26,438 |
Gross amount of derivative liabilities not offset against derivative assets in the balance sheet | 21,506 | 26,438 |
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 | 63,785 | 0 |
Gross amount of recognized reverse repurchase agreements | 284,091 | 1,066,935 |
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 | 284,091 | 1,066,935 |
Gross amount of financial liabilities not offset against reverse repurchase agreements in the balance sheet | 0 | 888,295 |
Gross amount of cash collateral received not offset against reverse repurchase agreements in the balance sheet | (284,091) | (178,640) |
Net amount of reverse repurchase agreements after effects of amounts offset and not offset in the balance sheet | 0 | 0 |
Gross amount of recognized assets subject to master netting arrangements or similar agreements | 512,318 | 1,165,544 |
Gross amount of liabilities offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 142,936 | 72,171 |
Net amount of assets subject to master netting arrangements or similar agreements presented in the balance sheet | 369,382 | 1,093,373 |
Gross amount of liabilities not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 21,506 | 914,733 |
Gross amount of cash collateral received not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 284,091 | 178,640 |
Net amount of assets subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | 63,785 | 0 |
Gross amount of recognized repurchase agreements | 8,020,207 | 8,603,011 |
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 | 8,020,207 | 8,603,011 |
Gross amount of financial assets not offset against repurchase agreements in the balance sheet | 8,020,207 | 8,603,011 |
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 | 164,442 | 106,219 |
Gross amount of derivative assets offset against derivative liabilities in the balance sheet | 142,936 | 72,171 |
Net amount of derivative liabilities presented in the balance sheet | 21,506 | 34,048 |
Gross amount of derivatives assets not offset against derivative liabilities in the balance sheet | 21,506 | 26,438 |
Gross amount of cash collateral pledged not offset against derivative liabilities in the balance sheet | 0 | 0 |
Net amount of derivative liabilities after effects of amounts offset and not offset in the balance sheet | 0 | 7,610 |
Gross amount of recognized liabilities subject to master netting arrangements or similar agreements | 8,184,649 | 8,709,230 |
Gross amount of assets offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 142,936 | 72,171 |
Net amount of liabilities subject to master netting arrangements or similar agreements presented in the balance sheet | 8,041,713 | 8,637,059 |
Gross amount of assets not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 8,041,713 | 8,629,449 |
Gross amount of cash collateral pledged not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 0 | 0 |
Net amount of liabilities subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | $ 0 | $ 7,610 |
Fair Value, Measurement Inputs,
Fair Value, Measurement Inputs, Disclosure (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Debt Securities, Available-for-sale, Categorized as Level 2 Assets | 99.95% | |||
Debt Securities, Available-for-sale, Categorized as Level 3 Assets | 0.05% | |||
Mortgage Servicing Rights Categorized as Level 3 Assets | 100% | |||
Over-the-Counter Derivatives Categorized as Level 2 Assets (Liabilities) | 100% | |||
Other RMBS Classified as Derivatives Categorized as Level 2 Assets | 100% | |||
Other Derivatives Categorized as Level 1 Assets (Liabilities) | 100% | |||
Mortgage servicing rights | $ 3,052,016 | $ 2,984,937 | $ 2,191,578 | $ 1,596,153 |
Derivative assets, at fair value | 85,291 | 26,438 | ||
Derivative liabilities, at fair value | 21,506 | 34,048 | ||
Fair Value, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale securities | 8,327,149 | 7,778,734 | ||
Mortgage servicing rights | 3,052,016 | 2,984,937 | ||
Derivative assets, at fair value | 85,291 | 26,438 | ||
Total assets | 11,464,456 | 10,790,109 | ||
Derivative liabilities, at fair value | 21,506 | 34,048 | ||
Total liabilities | 21,506 | 34,048 | ||
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 | 72,980 | 11,145 | ||
Total assets | 72,980 | 11,145 | ||
Derivative liabilities, at fair value | 21,506 | 34,048 | ||
Total liabilities | 21,506 | 34,048 | ||
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 | 8,322,999 | 7,653,576 | ||
Mortgage servicing rights | 0 | 0 | ||
Derivative assets, at fair value | 12,311 | 15,293 | ||
Total assets | 8,335,310 | 7,668,869 | ||
Derivative liabilities, at fair value | 0 | 0 | ||
Total liabilities | 0 | 0 | ||
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 | 4,150 | 125,158 | ||
Mortgage servicing rights | 3,052,016 | 2,984,937 | ||
Derivative assets, at fair value | 0 | 0 | ||
Total assets | 3,056,166 | 3,110,095 | ||
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 | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Available-for-sale securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | $ 125,158 | $ 12,304 |
Realized gains (losses) | (1,408) | (1,405) |
Unrealized gains (losses) | 4,817 | (3,632) |
Reversal of provision for credit losses | (146) | 1,213 |
Net gains (losses) included in net income | 3,263 | (3,824) |
Other comprehensive income | 1,112 | 1,023 |
Purchases | 0 | 122,030 |
Sales | (125,383) | (6,375) |
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 | 4,150 | 125,158 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 1,112 | (4,535) |
Change in unrealized gains or losses for the period included in other comprehensive income (loss) for assets held at the end of the reporting period | 0 | (3,512) |
Mortgage servicing rights | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | 2,984,937 | 2,191,578 |
Realized gains (losses) | (209,479) | (368,255) |
Unrealized gains (losses) | 97,859 | 793,631 |
Reversal of provision for credit losses | 0 | 0 |
Net gains (losses) included in net income | (111,620) | 425,376 |
Other comprehensive income | 0 | 0 |
Purchases | 317,194 | 640,051 |
Sales | (133,938) | (261,827) |
Settlements | (4,557) | (10,241) |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 3,052,016 | 2,984,937 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 119,164 | 696,807 |
Change in unrealized gains or losses for the period included in other comprehensive income (loss) 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) | Dec. 31, 2023 | Dec. 31, 2022 |
Measurement Input, Constant Prepayment Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.062 | 0.069 |
Measurement Input, Constant Prepayment Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.050 | 0.062 |
Measurement Input, Constant Prepayment Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.069 | 0.076 |
Measurement Input, Discount Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.053 | 0.053 |
Measurement Input, Discount Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.048 | 0.051 |
Measurement Input, Discount Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.086 | 0.085 |
Measurement Input, Per Loan Annual Cost to Service [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 68.27 | 67.92 |
Measurement Input, Per Loan Annual Cost to Service [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 66.31 | 67.41 |
Measurement Input, Per Loan Annual Cost to Service [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 81.30 | 80.96 |
Fair Value by Balance Sheet Gro
Fair Value by Balance Sheet Grouping (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Available-for-sale securities, at fair value | $ 8,327,149 | $ 7,778,734 | ||
Mortgage servicing rights, at fair value | 3,052,016 | 2,984,937 | $ 2,191,578 | $ 1,596,153 |
Cash and cash equivalents | 729,732 | 683,479 | ||
Restricted cash | 65,101 | 443,026 | ||
Derivative assets, at fair value | 85,291 | 26,438 | ||
Reverse repurchase agreements | 284,091 | 1,066,935 | ||
Other assets | 31,704 | 3,493 | ||
Repurchase agreements | 8,020,207 | 8,603,011 | ||
Revolving credit facilities | 1,329,171 | 1,118,831 | ||
Term notes payable | 295,271 | 398,011 | ||
Term notes payable, at fair value | 289,653 | 361,905 | ||
Convertible senior notes | 268,582 | 282,496 | ||
Convertible senior notes, at fair value | 254,232 | 246,727 | ||
Derivative liabilities, at fair value | 21,506 | 34,048 | ||
Maturity Over One Year [Member] | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Revolving credit facilities | $ 1,004,871 | $ 918,831 |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2023 | |
Disclosure of Repurchase Agreements [Abstract] | ||
Repurchase agreements | $ 8,603,011 | $ 8,020,207 |
Weighted average borrowing rate | 3.95% | 5.74% |
Weighted average remaining maturity | 59 days | 55 days |
Schedule of Repurchase Agreemen
Schedule of Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 8,020,207 | $ 8,603,011 |
Weighted average borrowing rate | 5.74% | 3.95% |
US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 7,739,356 | $ 7,321,834 |
Weighted average borrowing rate | 5.64% | 3.70% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 233 | $ 70,809 |
Weighted average borrowing rate | 6.36% | 5.73% |
Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 8,046 | $ 13,073 |
Weighted average borrowing rate | 6.14% | 4.83% |
Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 272,572 | $ 309,000 |
Weighted average borrowing rate | 7.08% | 7.91% |
US Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 888,295 |
Weighted average borrowing rate | 0% | 4.49% |
Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 2,833,162 | $ 2,691,195 |
Maturity up to 30 days [Member] | US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,772,975 | 2,570,254 |
Maturity up to 30 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 59,648 |
Maturity up to 30 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,615 | 4,177 |
Maturity up to 30 days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 58,572 | 0 |
Maturity up to 30 days [Member] | US Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 57,116 |
Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,918,818 | 2,160,737 |
Maturity 30 to 59 Days [Member] | US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,918,818 | 1,774,622 |
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 | 10,984 |
Maturity 30 to 59 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 30 to 59 Days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 30 to 59 Days [Member] | US Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 375,131 |
Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,059,438 | 2,536,637 |
Maturity 60 to 89 Days [Member] | US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,058,518 | 2,280,675 |
Maturity 60 to 89 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 233 | 177 |
Maturity 60 to 89 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 687 | 503 |
Maturity 60 to 89 Days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 60 to 89 Days [Member] | US Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 255,282 |
Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 994,789 | 905,442 |
Maturity 90 to 119 Days [Member] | US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 989,045 | 696,283 |
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 | 5,744 | 8,393 |
Maturity 90 to 119 Days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 90 to 119 Days [Member] | US Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 200,766 |
Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 214,000 | 309,000 |
Maturity 120 to 364 days [Member] | US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 120 to 364 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 120 to 364 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 120 to 364 days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 214,000 | 309,000 |
Maturity 120 to 364 days [Member] | US Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Schedule of Underlying Assets o
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 8,650,229 | $ 9,333,270 |
Repurchase agreements | 8,020,207 | 8,603,011 |
Available-for-sale securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 8,126,028 | 7,426,953 |
Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 463,529 | 667,238 |
Repurchase agreements | 272,572 | 309,000 |
Mortgage servicing rights | Variable Funding Note | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 214,000 | 309,000 |
Mortgage servicing rights | Term notes payable | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 58,600 | |
Restricted cash | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 12,375 | 324,654 |
Due from counterparties | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 36,420 | 22,055 |
Derivative assets | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 11,877 | 14,738 |
US Treasury Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 0 | 877,632 |
Repurchase agreements | $ 0 | $ 888,295 |
Repurchase Agreement Counterpar
Repurchase Agreement Counterparties with Whom Amount at Risk Exceeds 10 Percent of Stockholders' Equity (Details) | Dec. 31, 2023 |
Disclosure of Repurchase Agreements [Abstract] | |
Percent of equity of the amount at risk under repurchase agreements | 10% |
Revolving Credit Facilities (De
Revolving Credit Facilities (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2023 | |
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | $ 1,118,831 | $ 1,329,171 |
Weighted average borrowing rate | 7.68% | 8.66% |
Weighted average remaining maturity | 1 year 1 month 6 days | 1 year 1 month 6 days |
Schedule of Revolving Credit Fa
Schedule of Revolving Credit Facilities by Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Revolving credit facilities | $ 1,329,171 | $ 1,118,831 |
Maturity up to 30 days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 30 to 59 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 60 to 89 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 90 to 119 Days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 120 to 364 days [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Revolving credit facilities | 324,300 | 200,000 |
Maturity Over One Year [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Revolving credit facilities | $ 1,004,871 | $ 918,831 |
Assets Pledged as Collateral fo
Assets Pledged as Collateral for Revolving Credit Facilities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 |
Line of Credit Facility [Line Items] | ||||
Mortgage servicing rights, at fair value | $ 3,052,016 | $ 2,984,937 | $ 2,191,578 | $ 1,596,153 |
Servicing advances | 143,200 | 119,000 | ||
Asset Pledged as Collateral | ||||
Line of Credit Facility [Line Items] | ||||
Mortgage servicing rights, at fair value | 3,000,000 | 3,000,000 | ||
Line of Credit [Member] | Asset Pledged as Collateral | ||||
Line of Credit Facility [Line Items] | ||||
Mortgage servicing rights, at fair value | 2,200,000 | 1,800,000 | ||
Servicing advances | $ 79,700 | $ 67,800 |
Term Notes Payable (Details)
Term Notes Payable (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2022 | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt Instrument [Line Items] | |||||
Aggregate principal amount | $ 400,000 | $ 295,800 | $ 400,000 | ||
Gain on repurchase of term notes payable and convertible senior notes | 5,104 | 0 | $ 0 | ||
Term notes payable | $ 398,011 | $ 295,271 | $ 398,011 | ||
Weighted average interest rate | 7.19% | 8.27% | 7.19% | ||
Weighted average remaining maturities | 1 year 6 months | 6 months | |||
Mortgage servicing rights, at fair value | $ 2,984,937 | $ 3,052,016 | $ 2,984,937 | $ 2,191,578 | $ 1,596,153 |
Weighted average underlying loan coupon of mortgage servicing rights pledged as collateral for borrowings | 3.33% | 3.32% | 3.33% | ||
Restricted cash | $ 443,026 | $ 65,101 | $ 443,026 | ||
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | |||||
Debt Instrument [Line Items] | |||||
Restricted cash | 324,854 | 12,575 | 324,854 | ||
Asset Pledged as Collateral | |||||
Debt Instrument [Line Items] | |||||
Mortgage servicing rights, at fair value | 3,000,000 | 3,000,000 | 3,000,000 | ||
Term notes payable | |||||
Debt Instrument [Line Items] | |||||
Principal amount of term notes payable repurchased | 104,200 | ||||
Cost of term notes payable repurchased | 101,000 | ||||
Gain on repurchase of term notes payable and convertible senior notes | 2,900 | ||||
Term notes payable | Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | |||||
Debt Instrument [Line Items] | |||||
Restricted cash | 200 | 200 | 200 | ||
Term notes payable | Asset Pledged as Collateral | |||||
Debt Instrument [Line Items] | |||||
Mortgage servicing rights, at fair value | $ 500,000 | $ 397,900 | $ 500,000 |
Convertible Senior Notes (Detai
Convertible Senior Notes (Details) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2022 USD ($) | Feb. 01, 2021 USD ($) | Dec. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) | |
Debt Instrument, Redemption [Line Items] | |||||
Aggregate principal amount | $ 400,000 | $ 295,800 | $ 400,000 | ||
Repurchase/repayment of convertible senior notes | 13,169 | 143,774 | $ 143,118 | ||
Convertible senior notes | $ 282,496 | $ 268,582 | $ 282,496 | ||
Maturity Year 2026 | |||||
Debt Instrument, Redemption [Line Items] | |||||
Convertible senior notes conversion ratio | 0.0338752 | 0.0338752 | |||
Convertible Debt [Member] | Maturity Year 2026 | |||||
Debt Instrument, Redemption [Line Items] | |||||
Aggregate principal amount | $ 287,500 | $ 271,900 | |||
Proceeds from convertible senior notes | $ 279,900 | ||||
Convertible senior notes interest rate per annum | 6.25% | ||||
Principal amount repurchased | $ 15,600 | ||||
Repurchase/repayment of convertible senior notes | 13,200 | ||||
Gain on repurchase of convertible notes | $ 2,200 |
Stockholders' Equity Redeemable
Stockholders' Equity Redeemable Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Feb. 04, 2021 | Dec. 31, 2023 | Dec. 31, 2022 | |
Class of Stock [Line Items] | |||
Preferred shares outstanding (in shares) | 25,356,426 | 26,092,050 | |
Preferred stock carrying value | $ 613,213 | ||
Preferred stock dividend variable rate spread | 26.161% | ||
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) | 5,085,268 | ||
Preferred stock carrying value | $ 122,818 | ||
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) | 10,439,260 | ||
Preferred stock carrying value | $ 252,443 | ||
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) | 9,831,898 | ||
Preferred stock carrying value | $ 237,952 | ||
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 Preferred
Stockholders' Equity Preferred Share Repurchase Program (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Class of Stock [Line Items] | |||
Gain on repurchase and retirement of preferred stock | $ 2,973 | $ 20,149 | $ 0 |
Preferred Stock | |||
Class of Stock [Line Items] | |||
Number of shares authorized to be repurchased under stock repurchase program (in shares) | 5,000,000 | ||
Series A Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Number of shares repurchased and retired to date (in shares) | 664,732 | ||
Preferred stock dividend rate | 8.125% | ||
Cost of shares repurchased and retired to date | $ 12,500 | ||
Number of shares of common stock repurchased during period (in shares) | 236,183 | 428,549 | 0 |
Repurchase of stock | $ 4,700 | $ 7,800 | $ 0 |
Series B Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Number of shares repurchased and retired to date (in shares) | 1,060,740 | ||
Preferred stock dividend rate | 7.625% | ||
Cost of shares repurchased and retired to date | $ 19,100 | ||
Number of shares of common stock repurchased during period (in shares) | 273,894 | 786,846 | 0 |
Repurchase of stock | $ 5,300 | $ 13,800 | $ 0 |
Series C Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Number of shares repurchased and retired to date (in shares) | 1,968,102 | ||
Preferred stock dividend rate | 7.25% | ||
Cost of shares repurchased and retired to date | $ 34,600 | ||
Number of shares of common stock repurchased during period (in shares) | 225,547 | 1,742,555 | 0 |
Repurchase of stock | $ 4,700 | $ 29,800 | $ 0 |
Stockholders' Equity Reverse St
Stockholders' Equity Reverse Stock Split (Details) | Nov. 01, 2022 shares | Dec. 31, 2023 shares | Dec. 31, 2022 shares | Oct. 31, 2022 shares |
Equity [Abstract] | ||||
Reverse stock split, conversion ratio | 0.25 | |||
Common shares authorized prior to reverse stock split (in shares) | 700,000,000 | |||
Common shares authorized (in shares) | 175,000,000 | 175,000,000 | 175,000,000 |
Stockholders' Equity Public Off
Stockholders' Equity Public Offerings (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||||
Feb. 06, 2023 | Jul. 14, 2021 | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Class of Stock [Line Items] | |||||
Issuance of stock, net of offering costs | $ 275,674 | $ 6,614 | $ 450,602 | ||
Common Stock [Member] | |||||
Class of Stock [Line Items] | |||||
Number of shares of stock issued during period (in shares) | 10,000,000 | 10,000,000 | 17,149,490 | 324,896 | 17,516,255 |
Price per share of common stock issued during period (in usd per share) | $ 17.59 | $ 25.68 | |||
Issuance of stock, net of offering costs | $ 175,600 | $ 256,500 | |||
Days within which shares may be purchased by underwriters | 30 days | 30 days | |||
Common Stock [Member] | Over-Allotment Option [Member] | |||||
Class of Stock [Line Items] | |||||
Number of shares of stock issued during period (in shares) | 1,500,000 | 1,500,000 |
Stockholders' Equity Common Sto
Stockholders' Equity Common Stock Rollforward (Details) - shares | 12 Months Ended | ||||
Feb. 06, 2023 | Jul. 14, 2021 | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||||
Common shares outstanding at beginning of period (in shares) | 86,428,845 | ||||
Common shares outstanding at end of period (in shares) | 103,206,457 | 86,428,845 | |||
Common Stock [Member] | |||||
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||||
Common shares outstanding at beginning of period (in shares) | 86,428,845 | 85,977,831 | 68,425,971 | ||
Number of shares of stock issued during period (in shares) | 10,000,000 | 10,000,000 | 17,149,490 | 324,896 | 17,516,255 |
Number of shares of common stock repurchased during period (in shares) | (593,453) | 0 | 0 | ||
Number of shares of restricted common stock issued during period (in shares) | 221,575 | 126,118 | 35,606 | ||
Common shares outstanding at end of period (in shares) | 103,206,457 | 86,428,845 | 85,977,831 |
Stockholders' Equity Schedule o
Stockholders' Equity Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 48,607 | $ 53,607 | $ 58,458 |
Series A Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 10,460 | $ 11,462 | $ 11,680 |
Dividends declared per preferred share (in usd per share) | $ 2.04 | $ 2.04 | $ 2.04 |
Series B Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 20,087 | $ 21,547 | $ 21,921 |
Dividends declared per preferred share (in usd per share) | $ 1.92 | $ 1.92 | $ 1.92 |
Series C Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Preferred dividends declared | $ 18,060 | $ 20,598 | $ 21,388 |
Dividends declared per preferred share (in usd per share) | $ 1.80 | $ 1.80 | $ 1.80 |
Common Stock [Member] | |||
Class of Stock [Line Items] | |||
Common dividends declared | $ 192,220 | $ 228,845 | $ 205,623 |
Dividends declared per common share (in usd per share) | $ 1.95 | $ 2.64 | $ 2.72 |
Stockholders' Equity Dividend R
Stockholders' Equity Dividend Reinvestment and Direct Stock Purchase Plan (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Equity [Abstract] | |||
Number of common shares reserved for issuance under dividend reinvestment plan (in shares) | 937,500 | ||
Number of common shares issued from dividend reinvestment plan and outstanding as of period-end (in shares) | 130,630 | ||
Accumulated proceeds from issuance of common shares from dividend reinvestment plan | $ 6.3 | ||
Number of common shares issued during period from dividend reinvestment plan (in shares) | 16,965 | 17,653 | 13,206 |
Proceeds from issuance of common shares during period from dividend reinvestment plan | $ 0.2 | $ 0.3 | $ 0.4 |
Stockholders' Equity Common Sha
Stockholders' Equity Common Share Repurchase Program (Details) - Common Stock [Member] - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Class of Stock [Line Items] | |||
Number of shares authorized to be repurchased under stock repurchase program (in shares) | 9,375,000 | ||
Number of shares repurchased and retired to date (in shares) | 3,637,028 | ||
Cost of shares repurchased and retired to date | $ 208.5 | ||
Number of shares of common stock repurchased during period (in shares) | 593,453 | 0 | 0 |
Repurchase of stock | $ 7.1 | $ 0 | $ 0 |
Stockholders' Equity At-the-Mar
Stockholders' Equity At-the-Market Offering (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Subsidiary, Sale of Stock [Line Items] | |||
Number of shares authorized to be sold under equity distribution agreement (in shares) | 11,000,000 | ||
Number of common shares issued under equity distribution agreement and outstanding as of period-end (in shares) | 9,315,703 | ||
Accumulated proceeds from issuance of common shares under equity distribution agreement | $ 234,600 | ||
Issuance of stock, net of offering costs | $ 275,674 | $ 6,614 | $ 450,602 |
At the Market Offering [Member] | |||
Subsidiary, Sale of Stock [Line Items] | |||
Number of shares of stock issued during period (in shares) | 7,132,525 | 307,569 | 3,050 |
Issuance of stock, net of offering costs | $ 99,800 | $ 6,100 | $ 100 |
Stockholders' Equity Schedule_2
Stockholders' Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Equity [Abstract] | ||
Unrealized gains | $ 23,305 | $ 47,656 |
Unrealized losses | (199,734) | (326,367) |
Accumulated other comprehensive loss | $ (176,429) | $ (278,711) |
Stockholders' Equity Reclassifi
Stockholders' Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Reclassification out of Accumulated Other Comprehensive Income [Member] | |||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | $ 140,900 | $ 428,500 | $ (135,600) |
Equity Incentive Plans (Details
Equity Incentive Plans (Details) | 12 Months Ended |
Dec. 31, 2023 shares | |
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) | 4,250,000 |
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) | 1,625,000 |
Schedule of Share-based Compens
Schedule of Share-based Compensation, Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs) - $ / shares | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
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) | 468,632 | 293,426 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 23.54 | $ 28.39 |
Number of equity awards granted during period under equity incentive plans (in shares) | 371,673 | 320,783 |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 16.19 | $ 20.94 |
Number of equity awards vested during period (in shares) | (221,575) | (127,283) |
Weighted average grant date fair value of equity awards vested during period (in usd per share) | $ (23.56) | $ (28.17) |
Number of equity awards forfeited during period (in shares) | (5,031) | (18,294) |
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ (20.20) | $ (23.73) |
Number of nonvested equity awards outstanding at end of period (in shares) | 613,699 | 468,632 |
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 19.11 | $ 23.54 |
Period from payment date of quarterly dividend that DERs on RSUs are paid in cash | 60 days | |
Key Employees [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Award vesting period of equity awards granted during period under equity incentive plans | 3 years | |
Director [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Award vesting period of equity awards granted during period under equity incentive plans | 1 year |
Schedule of Share-based Compe_2
Schedule of Share-based Compensation, Performance Share Units Activity (Details) - Performance Shares Units - $ / shares | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
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) | 485,822 | 265,261 | 109,356 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 26.93 | $ 34.68 | |
Number of equity awards granted during period under equity incentive plans (in shares) | 222,208 | 165,820 | |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 22.47 | $ 21.83 | |
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) | (1,647) | (9,915) | |
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ (25.21) | $ (27.21) | |
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 24.89 | $ 26.93 | |
Award vesting period of equity awards granted during period under equity incentive plans | 3 years | ||
Minimum [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||
Ultimate percentage of common shares to be vested per PSU award | 0% | ||
Maximum [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||
Ultimate percentage of common shares to be vested per PSU award | 200% |
Schedule of Share-based Compe_3
Schedule of Share-based Compensation, Restricted Common Stock Activity (Details) - Restricted Stock - $ / shares | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
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) | 42,884 | 113,239 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 60.91 | $ 60.18 |
Number of equity awards granted during period under equity incentive plans (in shares) | 0 | 0 |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 0 | $ 0 |
Number of equity awards vested during period (in shares) | (42,884) | (69,191) |
Weighted average grant date fair value of equity awards vested during period (in usd per share) | $ (60.91) | $ (59.71) |
Number of equity awards forfeited during period (in shares) | 0 | (1,164) |
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ 0 | $ (60.92) |
Number of nonvested equity awards outstanding at end of period (in shares) | 0 | 42,884 |
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 0 | $ 60.91 |
Key Employees [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Award vesting period of equity awards granted during period under equity incentive plans | 3 years |
Share-Based Compensation Costs
Share-Based Compensation Costs (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Share-Based Payment Arrangement [Abstract] | |||
Compensation costs related to equity awards | $ 11,000 | $ 11,600 | $ 11,500 |
Compensation cost not yet recognized | $ 4,300 | ||
Weighted-average period over which unrecognized compensation cost is expected to be recognized | 1 year 6 months |
Interest Income and Interest _3
Interest Income and Interest Expense (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Interest income: | |||
Available-for-sale securities | $ 412,310 | $ 272,230 | $ 167,310 |
Other | 68,054 | 23,310 | 1,287 |
Total interest income | 480,364 | 295,540 | 168,597 |
Interest expense: | |||
Repurchase agreements | 474,292 | 167,455 | 25,774 |
Revolving credit facilities | 121,124 | 51,814 | 22,425 |
Term notes payable | 28,994 | 19,514 | 12,936 |
Convertible senior notes | 18,815 | 19,612 | 28,038 |
Total interest expense | 643,225 | 258,395 | 89,173 |
Net interest (expense) income | $ (162,861) | $ 37,145 | $ 79,424 |
Income Taxes (Details)
Income Taxes (Details) | 12 Months Ended |
Dec. 31, 2023 | |
Income Tax Disclosure [Abstract] | |
Percent of REIT taxable income the entity intends to distribute | 100% |
Percent of excise tax on certain stock repurchases and similar transactions | 1% |
Components of Income Tax Expens
Components of Income Tax Expense (Benefit) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |||
Current federal tax provision | $ 3,498 | $ 0 | $ 0 |
Current state tax (benefit) provision | 4,976 | (1,028) | (1,768) |
Total current tax provision | 8,474 | (1,028) | (1,768) |
Deferred federal tax provision (benefit) | 16,602 | 90,916 | 14,851 |
Deferred state tax provision (benefit) | (2,098) | 14,325 | (8,891) |
Deferred tax provision (benefit) | 14,504 | 105,241 | 5,960 |
(Benefit from) provision for income taxes | $ 22,978 | $ 104,213 | $ 4,192 |
Loss Caryyforwards (Details)
Loss Caryyforwards (Details) $ in Millions | Dec. 31, 2023 USD ($) |
Income Tax Disclosure [Abstract] | |
Net operating loss carryforwards | $ 253 |
Effective Income Tax Rate Recon
Effective Income Tax Rate Reconciliation (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Income Tax Disclosure [Abstract] | |||
(Benefit from) provision for income taxes at statutory federal tax rate | $ (17,513) | $ 68,135 | $ 40,198 |
Federal income tax rate applicable to corporations | 21% | 21% | 21% |
State taxes, net of federal benefit, if applicable | $ 2,358 | $ 10,478 | $ (8,420) |
State taxes, net of federal benefit, if applicable, effective tax rate | (3.00%) | 3% | (4.00%) |
Permanent differences in taxable income from net income for U.S. GAAP purposes | $ 65,670 | $ (93) | $ 15 |
Permanent differences in taxable income from GAAP net income, effective tax rate | (79.00%) | 0% | 0% |
REIT (loss) income not subject to corporate income tax | $ (27,537) | $ 25,693 | $ (27,601) |
REIT income not subject to corporate income tax, effective tax rate | 33% | 8% | (14.00%) |
Provision for income taxes | $ 22,978 | $ 104,213 | $ 4,192 |
Provision for (benefit from) income taxes, effective tax rate | (28.00%) | 32% | 3% |
Current and Deferred Tax Assets
Current and Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Income Tax Disclosure [Abstract] | ||
Federal income taxes receivable | $ 52 | $ 0 |
State and local income taxes (payable) receivable | (735) | 404 |
Income taxes (payable) receivable, net | (683) | 404 |
Deferred tax asset | 20,083 | 33,426 |
Deferred tax liability | (81,765) | (80,603) |
Total net deferred tax assets (liabilities) | (61,682) | (47,177) |
Total tax assets (liabilities), net | $ (62,365) | $ (46,773) |
Components of Deferred Tax Asse
Components of Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Income Tax Disclosure [Abstract] | ||
Deferred tax liabilities, mortgage servicing rights | $ (81,765) | $ (80,492) |
Deferred tax assets, operating loss carryforward | 18,224 | 32,301 |
Deferred tax liabilities, other | 1,859 | 1,014 |
Deferred Tax Liabilities, Gross | (61,682) | (47,177) |
Deferred tax assets, valuation allowance | 0 | 0 |
Total net deferred tax assets (liabilities) | $ (61,682) | $ (47,177) |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | |||
Net (loss) income | $ (106,371) | $ 220,239 | $ 187,227 |
Dividends on preferred stock | (48,607) | (53,607) | (58,458) |
Gain on repurchase and retirement of preferred stock | 2,973 | 20,149 | 0 |
Dividends and undistributed earnings allocated to participating restricted stock units | (1,220) | (1,203) | (731) |
Net (loss) income attributable to common stockholders, basic | $ (153,225) | $ 185,578 | $ 128,038 |
Weighted average basic common shares (in shares) | 95,672,143 | 86,179,418 | 74,443,000 |
Basic (loss) earnings per weighted average common share | $ (1.60) | $ 2.15 | $ 1.72 |
Reallocation impact of undistributed earnings to participating restricted stock units | $ 0 | $ 0 | $ 0 |
Interest expense attributable to convertible notes | 0 | 19,382 | 0 |
Net (loss) income attributable to common stockholders, diluted | $ (153,225) | $ 204,960 | $ 128,038 |
Effect of dilutive shares issued in an assumed vesting of performance share units (in shares) | 0 | 157,591 | 67,884 |
Effect of dilutive shares issued in an assumed conversion (in shares) | 0 | 9,739,166 | 0 |
Weighted average diluted common shares (in shares) | 95,672,143 | 96,076,175 | 74,510,884 |
Diluted (loss) earnings per weighted average common share | $ (1.60) | $ 2.13 | $ 1.72 |
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) | 331,051 | ||
Convertible Debt Securities | |||
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | |||
Antidilutive securities excluded from computation of earnings per share (in shares) | 9,406,519 | 87,137 | 12,555,567 |
Interest expense attributable to antidilutive convertible notes excluded from computation of earnings per share | $ 18,800 | $ 200 | $ 28,000 |