Cover
Cover - shares | 3 Months Ended | |
Mar. 31, 2024 | Apr. 26, 2024 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2024 | |
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 | 2024 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 27-0312904 | |
Entity Address, Address Line One | 1601 Utica Avenue South, Suite 900 | |
Entity Address, City or Town | St. Louis Park, | |
Entity Address, State or Province | MN | |
Entity Address, Postal Zip Code | 55416 | |
City Area Code | 612 | |
Local Phone Number | 453-4100 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 103,494,421 | |
Common Stock | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | TWO | |
Security Exchange Name | NYSE | |
Series A Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 8.125% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | TWO PRA | |
Security Exchange Name | NYSE | |
Series B Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.625% Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | TWO PRB | |
Security Exchange Name | NYSE | |
Series C Preferred Stock [Member] | NEW YORK STOCK EXCHANGE, INC. [Member] | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.25% Series C Cumulative Redeemable Preferred Stock | |
Trading Symbol | TWO PRC | |
Security Exchange Name | NYSE |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
ASSETS | ||
Available-for-sale securities, at fair value (amortized cost $8,467,938 and $8,509,383, respectively; allowance for credit losses $3,607 and $3,943, respectively) | $ 8,182,544 | $ 8,327,149 |
Mortgage servicing rights, at fair value | 3,084,879 | 3,052,016 |
Cash and cash equivalents | 666,244 | 729,732 |
Restricted cash | 72,184 | 65,101 |
Accrued interest receivable | 35,487 | 35,339 |
Due from counterparties | 545,312 | 323,224 |
Derivative assets, at fair value | 24,397 | 85,291 |
Reverse repurchase agreements | 351,843 | 284,091 |
Other assets | 199,035 | 236,857 |
Total Assets | 13,161,925 | 13,138,800 |
Liabilities | ||
Repurchase agreements | 8,361,638 | 8,020,207 |
Revolving credit facilities | 1,357,671 | 1,329,171 |
Term notes payable | 295,520 | 295,271 |
Convertible senior notes | 268,953 | 268,582 |
Derivative liabilities, at fair value | 3,027 | 21,506 |
Due to counterparties | 330,551 | 574,735 |
Dividends payable | 58,685 | 58,731 |
Accrued interest payable | 79,990 | 141,773 |
Commitments and contingencies (see Note 16) | 0 | 0 |
Other liabilities | 165,820 | 225,434 |
Total Liabilities | 10,921,855 | 10,935,410 |
Stockholders' Equity | ||
Preferred stock, par value $0.01 per share; 100,000,000 shares authorized and 24,870,817 and 25,356,426 shares issued and outstanding, respectively ($621,770 and $633,911 liquidation preference, respectively) | 601,467 | 613,213 |
Common stock, par value $0.01 per share; 175,000,000 shares authorized and 103,474,944 and 103,206,457 shares issued and outstanding, respectively | 1,035 | 1,032 |
Additional paid-in capital | 5,931,558 | 5,925,424 |
Accumulated other comprehensive loss | (279,507) | (176,429) |
Cumulative earnings | 1,554,205 | 1,349,973 |
Cumulative distributions to stockholders | (5,568,688) | (5,509,823) |
Total Stockholders’ Equity | 2,240,070 | 2,203,390 |
Total Liabilities and Stockholders’ Equity | $ 13,161,925 | $ 13,138,800 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Available-for-sale securities, amortized cost | $ 8,467,938 | $ 8,509,383 |
Available-for-sale securities, allowance for credit losses | $ (3,607) | $ (3,943) |
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) | 24,870,817 | 25,356,426 |
Preferred shares outstanding (in shares) | 24,870,817 | 25,356,426 |
Preferred stock liquidation preference | $ 621,770 | $ 633,911 |
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) | 103,474,944 | 103,206,457 |
Common shares outstanding (in shares) | 103,474,944 | 103,206,457 |
Total Assets | $ 13,161,925 | $ 13,138,800 |
Total Liabilities | 10,921,855 | 10,935,410 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Total Assets | 535,160 | 525,259 |
Total Liabilities | $ 500,608 | $ 479,810 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE LOSS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Net interest income (expense): | ||
Interest income | $ 117,783 | $ 116,593 |
Interest expense | 160,000 | 142,490 |
Net interest (expense) income | (42,217) | (25,897) |
Net Servicing Income [Abstract] | ||
Servicing income | 166,333 | 153,320 |
Servicing costs | 7,119 | 28,366 |
Net Servicing Income | 159,214 | 124,954 |
Other income (loss): | ||
(Loss) gain on investment securities | (10,975) | 10,798 |
Gain (loss) on servicing asset | 11,012 | (28,079) |
Gain (loss) on interest rate swap and swaption agreements | 98,510 | (82,154) |
Gain (loss) on other derivative instruments | 47,599 | (155,771) |
Other (loss) income | (3) | 0 |
Total other income (loss) | 146,143 | (255,206) |
Expenses: | ||
Compensation and benefits | 26,529 | 14,083 |
Other operating expenses | 21,052 | 10,484 |
Total expenses | 47,581 | 24,567 |
Income (loss) before income taxes | 215,559 | (180,716) |
Provision for (benefit from) income taxes | 11,971 | (3,908) |
Net income (loss) | 203,588 | (176,808) |
Dividends on preferred stock | (11,784) | (12,365) |
Gain on repurchase and retirement of preferred stock | 644 | 0 |
Net income (loss) attributable to common stockholders | $ 192,448 | $ (189,173) |
Basic earnings (loss) per weighted average common share | $ 1.85 | $ (2.05) |
Diluted earnings (loss) per weighted average common share | $ 1.73 | $ (2.05) |
Weighted average basic common shares (in shares) | 103,401,940 | 92,575,840 |
Weighted average diluted common shares (in shares) | 112,973,317 | 92,575,840 |
Comprehensive income (loss): | ||
Net income (loss) | $ 203,588 | $ (176,808) |
Other comprehensive (loss) income: | ||
Unrealized (loss) gain on available-for-sale securities | (103,078) | 125,931 |
Other comprehensive (loss) income | (103,078) | 125,931 |
Comprehensive income (loss) | 100,510 | (50,877) |
Dividends on preferred stock | (11,784) | (12,365) |
Gain on repurchase and retirement of preferred stock | 644 | 0 |
Comprehensive income (loss) attributable to common stockholders | $ 89,370 | $ (63,242) |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Preferred Stock | Preferred Stock | Preferred Stock Preferred Stock | Common Stock | Additional Paid-in Capital | Accumulated Other Comprehensive Income (Loss) | Cumulative Earnings | Cumulative Earnings Preferred Stock | Cumulative Distributions to Stockholders |
Stockholders' equity at beginning 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) | (176,808) | (176,808) | ||||||||
Other comprehensive income (loss) before reclassifications | 62,709 | 62,709 | ||||||||
Amounts reclassified from accumulated other comprehensive income (loss) | (63,222) | 63,222 | ||||||||
Other comprehensive income (loss) | 125,931 | 125,931 | ||||||||
Issuance of stock, net of offering costs | 177,729 | 102 | 177,627 | |||||||
Preferred dividends declared | (12,365) | (12,365) | ||||||||
Common dividends declared | (58,381) | (58,381) | ||||||||
Non-cash equity award compensation | 6,052 | 1 | 6,051 | |||||||
Stockholders' equity at end of period at Mar. 31, 2023 | 2,245,683 | 630,999 | 967 | 5,829,676 | (152,780) | 1,276,563 | (5,339,742) | |||
Stockholders' equity at beginning of period at Dec. 31, 2023 | 2,203,390 | 613,213 | 1,032 | 5,925,424 | (176,429) | 1,349,973 | (5,509,823) | |||
Net income (loss) | 203,588 | 203,588 | ||||||||
Other comprehensive income (loss) before reclassifications | (109,658) | (109,658) | ||||||||
Amounts reclassified from accumulated other comprehensive income (loss) | (6,580) | 6,580 | ||||||||
Other comprehensive income (loss) | (103,078) | (103,078) | ||||||||
Repurchase of stock | $ (11,102) | $ (11,746) | $ 644 | |||||||
Issuance of stock, net of offering costs | 54 | 0 | 54 | |||||||
Preferred dividends declared | (11,784) | (11,784) | ||||||||
Common dividends declared | (47,081) | (47,081) | ||||||||
Non-cash equity award compensation | 6,083 | 3 | 6,080 | |||||||
Stockholders' equity at end of period at Mar. 31, 2024 | $ 2,240,070 | $ 601,467 | $ 1,035 | $ 5,931,558 | $ (279,507) | $ 1,554,205 | $ (5,568,688) |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Cash Flows From Operating Activities: | ||
Net income (loss) | $ 203,588 | $ (176,808) |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Amortization of premiums and discounts on investment securities, net | 3,559 | 7,978 |
Amortization of deferred debt issuance costs on term notes payable and convertible senior notes | 620 | 659 |
Provision for (reversal of) credit losses on investment securities | 80 | (142) |
Realized and unrealized losses (gains) on investment securities | 10,895 | (10,656) |
(Gain) loss on servicing asset | (11,012) | 28,079 |
Realized and unrealized (gains) losses on interest rate swaps, caps and swaptions | (84,216) | 85,765 |
Unrealized (gains) losses on other derivative instruments | (75,520) | 67,484 |
Equity based compensation | 6,083 | 6,052 |
Net change in assets and liabilities: | ||
Increase in accrued interest receivable | (148) | (4,808) |
Decrease (increase) in deferred income taxes, net | 9,868 | (5,997) |
Decrease in accrued interest payable | (61,783) | (19,118) |
Change in other operating assets and liabilities, net | (10,684) | 21,627 |
Net cash (used in) provided by operating activities | (8,670) | 115 |
Cash Flows From Investing Activities: | ||
Purchases of available-for-sale securities | (442,831) | (2,553,519) |
Proceeds from sales of available-for-sale securities | 333,082 | 1,360,742 |
Principal payments on available-for-sale securities | 136,742 | 139,442 |
Purchases of mortgage servicing rights, net of purchase price adjustments | (40,072) | (117,441) |
Proceeds from sales of mortgage servicing rights | 18,221 | 1,854 |
Short sales (purchases) of derivative instruments, net | 22,170 | (227) |
Proceeds from sales and settlement (payments for termination and settlement) of derivative instruments, net | 179,981 | (224,952) |
Payments for reverse repurchase agreements | (1,080,847) | (966,485) |
Proceeds from reverse repurchase agreements | 1,013,095 | 1,549,504 |
Acquisition of RoundPoint Mortgage Servicing LLC, net of cash acquired | (20,976) | 0 |
Decrease in due to counterparties, net | (466,272) | (258,903) |
Net cash used in investing activities | (347,707) | (1,069,985) |
Cash Flows From Financing Activities: | ||
Proceeds from repurchase agreements | 12,276,613 | 11,321,136 |
Principal payments on repurchase agreements | (11,935,182) | (10,839,435) |
Proceeds from revolving credit facilities | 58,500 | 174,000 |
Principal payments on revolving credit facilities | (30,000) | 0 |
Repurchase and retirement of preferred stock | (11,102) | 0 |
Proceeds from issuance of common stock, net of offering costs | 54 | 177,729 |
Dividends paid on preferred stock | (12,012) | (12,365) |
Dividends paid on common stock | (46,899) | (52,139) |
Net cash provided by financing activities | 299,972 | 768,926 |
Net decrease in cash, cash equivalents and restricted cash | (56,405) | (300,944) |
Cash, cash equivalents and restricted cash at beginning of period | 794,833 | 1,126,505 |
Cash, cash equivalents and restricted cash at end of period | 738,428 | 825,561 |
Supplemental Disclosure of Cash Flow Information: | ||
Cash paid for interest | 215,337 | 153,280 |
Cash paid for taxes, net | 103 | 42 |
Noncash Activities: | ||
Dividends declared but not paid at end of period | $ 58,685 | $ 70,746 |
Organization and Operations
Organization and Operations | 3 Months Ended |
Mar. 31, 2024 | |
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 more stable performance, relative to RMBS portfolios without MSR, 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 | 3 Months Ended |
Mar. 31, 2024 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | Basis of Presentation and Significant Accounting Policies Consolidation and Basis of Presentation The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or the SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or U.S. GAAP, have been condensed or omitted according to such SEC rules and regulations. However, management believes that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading. The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. All trust entities in which the Company holds investments that are considered variable interest entities, or VIEs, for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Whenever the Company has both the power to direct the activities of a trust that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trust. Certain prior period amounts have been reclassified to conform to the current period presentation. The accompanying condensed consolidated financial statements should be read in conjunction with the financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2023. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2024 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2024 should not be construed as indicative of the results to be expected for future periods or the full year. Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. , valuation changes due to supply and demand in the market, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. Significant Accounting Policies Included in Note 2 to the Consolidated Financial Statements of the Company’s 2023 Annual Report on Form 10-K is a summary of the Company’s significant accounting policies. Recently Issued and/or Adopted Accounting Standards 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 early adopted this ASU, which did 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. Enhancement and Standardization of Climate-Related Disclosures In March 2024, the Securities and Exchange Commission, or the SEC, issued Release No. 33-11275, its final rule on the enhancement and standardization of climate-related disclosures for investors requiring registrants to provide certain climate-related information in their registration statements and annual reports. The rules require information about a registrant’s climate-related risks that are reasonably likely to have a material impact on its business, results of operations, or financial condition. The required information about climate-related risks will also include disclosure of a registrant’s greenhouse gas emissions. In addition, the rules will require registrants to present certain climate-related financial metrics in their audited financial statements. For large accelerated filers like the Company, the individual requirements will be phased-in with the first phase being effective for the fiscal year beginning January 1, 2025. Disclosures will be required prospectively, with information for prior periods required only to the extent it was previously disclosed in an SEC filing. On April 4, 2024, the SEC voluntarily stayed the final rules pending judicial review. The Company is currently evaluating the impact of these final rules on its consolidated financial statements and disclosure. |
Acquisition of RoundPoint Mortg
Acquisition of RoundPoint Mortgage Servicing LLC | 3 Months Ended |
Mar. 31, 2024 | |
Business Combination, Asset Acquisition, and Joint Venture Formation [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 condensed 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. No measurement period adjustments were made subsequent to December 31, 2023. 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 condensed consolidated statements of comprehensive income (loss). During the three months ended March 31, 2023, the Company recognized $42 thousand of acquisition-related costs. The Company did not recognize any further acquisition-related costs in 2024. 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 March 31, 2024. 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 three months ended March 31, 2024 and 2023 prepared as if the RoundPoint acquisition had been consummated on January 1, 2023. Three Months Ended March 31, (in thousands) 2024 2023 Revenue (1) $ 430,259 $ 22,827 Income (loss) before income taxes $ 215,559 $ (192,735) ____________________ (1) The Company’s revenue is defined as the sum of the interest income, servicing income and total other income line items on the condensed consolidated statements of comprehensive income (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, 2023. 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 $5.2 million during the three months ended March 31, 2023. These subservicing expenses are included within the servicing costs line item on the Company’s condensed consolidated statements of comprehensive income (loss). |
Variable Interest Entities
Variable Interest Entities | 3 Months Ended |
Mar. 31, 2024 | |
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 condensed consolidated balance sheets as of March 31, 2024 and December 31, 2023: (in thousands) March 31, December 31, Note receivable (1) $ 399,654 $ 399,317 Restricted cash 41,013 45,642 Accrued interest receivable (1) 641 551 Other assets 93,852 79,749 Total Assets $ 535,160 $ 525,259 Term notes payable $ 399,654 $ 399,317 Revolving credit facilities 59,300 34,300 Accrued interest payable 1,066 816 Other liabilities 40,588 45,377 Total Liabilities $ 500,608 $ 479,810 ____________________ (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 | 3 Months Ended |
Mar. 31, 2024 | |
Debt Securities, Available-for-Sale [Abstract] | |
Available-for-Sale Securities, at Fair Value | Available-for-Sale Securities, at Fair Value The Company holds both Agency and non-Agency AFS investment securities which are carried at fair value on the condensed consolidated balance sheets. The following table presents the Company’s AFS investment securities by collateral type as of March 31, 2024 and December 31, 2023: (in thousands) March 31, December 31, Agency: Federal National Mortgage Association $ 5,205,459 $ 5,467,684 Federal Home Loan Mortgage Corporation 2,913,167 2,790,662 Government National Mortgage Association 59,965 64,653 Non-Agency 3,953 4,150 Total available-for-sale securities $ 8,182,544 $ 8,327,149 At March 31, 2024 and December 31, 2023, the Company pledged AFS securities with a carrying value of $8.2 billion and $8.1 billion, respectively, as collateral for repurchase agreements. See Note 12 - Repurchase Agreements . At March 31, 2024 and December 31, 2023, 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 condensed consolidated balance sheets. As of March 31, 2024 and December 31, 2023, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $4.0 million and $4.2 million, respectively. The following tables present the amortized cost and carrying value of AFS securities by collateral type as of March 31, 2024 and December 31, 2023: March 31, 2024 (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 $ 8,380,115 $ 151,096 $ (123,837) $ 8,407,374 $ — $ 6,079 $ (283,136) $ 8,130,317 Interest-only 787,501 55,875 — 55,875 (3,217) 620 (5,004) 48,274 Total Agency 9,167,616 206,971 (123,837) 8,463,249 (3,217) 6,699 (288,140) 8,178,591 Non-Agency 551,699 4,082 (19) 4,689 (390) 164 (510) 3,953 Total $ 9,719,315 $ 211,053 $ (123,856) $ 8,467,938 $ (3,607) $ 6,863 $ (288,650) $ 8,182,544 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 The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of March 31, 2024: March 31, 2024 (in thousands) Agency Non-Agency Total < 1 year $ 282 $ — $ 282 ≥ 1 and < 3 years 16,243 — 16,243 ≥ 3 and < 5 years 177,196 — 177,196 ≥ 5 and < 10 years 7,984,870 3,631 7,988,501 ≥ 10 years — 322 322 Total $ 8,178,591 $ 3,953 $ 8,182,544 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 table presents the changes for the three months ended March 31, 2024 and 2023 in the allowance for credit losses on Agency and non-Agency AFS securities: Three Months Ended Three Months Ended March 31, 2024 March 31, 2023 (in thousands) Agency Non-Agency Total Agency Non-Agency Total Allowance for credit losses at beginning of period $ (3,619) $ (324) $ (3,943) $ (6,785) $ (173) $ (6,958) Additions on securities for which credit losses were not previously recorded (37) (17) (54) — (318) (318) Decrease (increase) on securities with previously recorded credit losses 24 (50) (26) 827 (367) 460 Write-offs 415 1 416 684 210 894 Allowance for credit losses at end of period $ (3,217) $ (390) $ (3,607) $ (5,274) $ (648) $ (5,922) 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 March 31, 2024 and December 31, 2023. At March 31, 2024 and December 31, 2023, the Company held 647 and 646 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 530 and 477 were in an unrealized loss position for less than twelve consecutive months. At both March 31, 2024 and December 31, 2023, 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. March 31, 2024 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 $ 7,023,251 $ (285,881) $ — $ — $ 7,023,251 $ (285,881) Non-Agency 249 (73) — — 249 (73) Total $ 7,023,500 $ (285,954) $ — $ — $ 7,023,500 $ (285,954) 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) Gross Realized Gains and Losses Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within (loss) gain on investment securities in the Company’s condensed consolidated statements of comprehensive income (loss). The following table presents details around sales of AFS securities during the three months ended March 31, 2024 and 2023: Three Months Ended March 31, (in thousands) 2024 2023 Proceeds from sales of available-for-sale securities $ 333,082 $ 1,360,742 Amortized cost of available-for-sale securities sold (343,245) (1,393,484) Total realized losses on sales, net $ (10,163) $ (32,742) Gross realized gains $ — $ 14,070 Gross realized losses (10,163) (46,812) Total realized losses on sales, net $ (10,163) $ (32,742) |
Servicing Activities
Servicing Activities | 3 Months Ended |
Mar. 31, 2024 | |
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 three months ended March 31, 2024 and 2023. Three Months Ended March 31, (in thousands) 2024 2023 Balance at beginning of period $ 3,052,016 $ 2,984,937 Purchases of mortgage servicing rights 40,335 118,341 Sales of mortgage servicing rights (12,871) (2,693) Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (1) 54,430 20,421 Other changes in fair value (2) (48,768) (47,661) Other changes (3) (263) (900) Balance at end of period (4) $ 3,084,879 $ 3,072,445 ____________________ (1) Includes the impact of acquiring MSR at a cost different from fair value. (2) Primarily represents changes due to the realization of cash flows. (3) Includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. (4) Based on the principal balance of the loans underlying the MSR reported by servicers on a month lag, adjusted for current month purchases. At March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023, 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) March 31, December 31, Weighted average prepayment speed: 6.2 % 6.2 % Impact on fair value of 10% adverse change $ (78,387) $ (74,042) Impact on fair value of 20% adverse change $ (154,074) $ (146,237) Weighted average delinquency: 1.0 % 0.9 % Impact on fair value of 10% adverse change $ (5,445) $ (4,654) Impact on fair value of 20% adverse change $ (13,974) $ (12,376) Weighted average option-adjusted spread: 5.4 % 5.3 % Impact on fair value of 10% adverse change $ (71,353) $ (59,285) Impact on fair value of 20% adverse change $ (138,989) $ (119,776) Weighted average per loan annual cost to service: $ 68.47 $ 68.27 Impact on fair value of 10% adverse change $ (27,471) $ (24,111) Impact on fair value of 20% adverse change $ (55,188) $ (48,985) 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 condensed consolidated statements of comprehensive income (loss) for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, (in thousands) 2024 2023 Servicing fee income $ 134,320 $ 129,237 Ancillary and other fee income 3,857 369 Float income 28,156 23,714 Total $ 166,333 $ 153,320 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 $103.3 million and $143.2 million and were included in other assets on the condensed consolidated balance sheets as of March 31, 2024 and December 31, 2023, respectively. At March 31, 2024 and December 31, 2023, mortgage loans in 60+ day delinquent status (whether or not subject to forbearance) accounted for approximately 0.7% and 0.7%, 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 March 31, 2024 and December 31, 2023, the Company had pledged servicing advances with a carrying value of $93.9 million and $79.7 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 | 3 Months Ended |
Mar. 31, 2024 | |
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 March 31, 2024 and December 31, 2023: (in thousands) March 31, December 31, Restricted cash balances held by trading counterparties: For securities trading activity $ 450 $ 450 For derivatives trading activity — 1,669 For servicing activities 45,099 50,345 As restricted collateral for borrowings 26,572 12,575 Total restricted cash balances held by trading counterparties 72,121 65,039 Restricted cash balance pursuant to letter of credit on office lease 63 62 Total $ 72,184 $ 65,101 The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company’s condensed consolidated balance sheets as of March 31, 2024 and December 31, 2023 that sum to the total of the same such amounts shown in the statements of cash flows: (in thousands) March 31, December 31, Cash and cash equivalents $ 666,244 $ 729,732 Restricted cash 72,184 65,101 Total cash, cash equivalents and restricted cash $ 738,428 $ 794,833 |
Derivative Instruments and Hedg
Derivative Instruments and Hedging Activities | 3 Months Ended |
Mar. 31, 2024 | |
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 condensed consolidated balance sheets as assets or liabilities at fair value. Changes in fair value are accounted for depending on the use of the derivative instruments and whether they are designated or qualifying as hedge instruments. Due to the volatility of the interest rate and credit markets and difficulty in effectively matching pricing or cash flows, the Company has not designated any current derivatives as hedging instruments. The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading derivatives as of March 31, 2024 and December 31, 2023: March 31, 2024 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 9,885 $ 156,527 $ — $ — Interest rate swap agreements — 9,822,112 — — Swaptions, net — — — — TBAs 14,512 3,968,000 (3,027) (518,000) Futures, net — (5,638,800) — — Total $ 24,397 $ 8,307,839 $ (3,027) $ (518,000) 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 Comprehensive Income (Loss) Statement Presentation The Company has not applied hedge accounting to its current derivative portfolio held to mitigate interest rate risk and credit risk. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its derivative instruments. The following table summarizes the location and amount of gains and losses on derivative instruments reported in the condensed consolidated statements of comprehensive income (loss): Derivative Instruments Location of Gain (Loss) Recognized in Income Amount of Gain (Loss) Recognized in Income Three Months Ended (in thousands) March 31, 2024 2023 Interest rate risk management: TBAs Gain (loss) on other derivative instruments $ (59,180) $ (17,164) Futures Gain (loss) on other derivative instruments 108,936 (140,087) Options on futures Gain (loss) on other derivative instruments (127) — Interest rate swaps - Payers Gain (loss) on interest rate swap and swaption agreements 194,430 (71,760) Interest rate swaps - Receivers Gain (loss) on interest rate swap and swaption agreements (95,951) (10,368) Swaptions Gain (loss) on interest rate swap and swaption agreements 31 (26) Non-risk management: Inverse interest-only securities Gain (loss) on other derivative instruments (2,030) 1,480 Total $ 146,109 $ (237,925) For the three months ended March 31, 2024 and 2023, the Company recognized $14.3 million and $3.6 million of income, respectively, for the accrual and/or settlement of the net interest spread associated with its interest rate swaps. 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 $15.1 billion and $3.2 billion notional, respectively. The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 (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 $ 163,735 $ — $ (7,208) $ 156,527 $ 160,491 $ — Interest rate swap agreements 17,788,114 6,567,062 (14,533,064) 9,822,112 15,136,445 13,988 Swaptions, net (200,000) (500,000) 700,000 — (232,967) (98) TBAs, net 3,497,000 12,173,000 (12,220,000) 3,450,000 3,037,747 (19,190) Futures, net (6,203,050) (7,738,100) 8,302,350 (5,638,800) (6,576,900) (8,714) Options on futures, net — — — — — (127) Total $ 15,045,799 $ 10,501,962 $ (17,757,922) $ 7,789,839 $ 11,524,816 $ (14,141) Three Months Ended March 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 $ — $ (8,371) $ 188,085 $ 192,729 $ — Interest rate swap agreements — 9,992,941 (1,588,069) 8,404,872 3,196,969 (18,580) Swaptions, net — (200,000) — (200,000) (57,778) — TBAs, net 3,826,000 14,666,000 (14,774,000) 3,718,000 4,073,467 (88,483) Futures, net (18,285,452) (13,034,050) 24,373,952 (6,945,550) (15,622,322) 131 Total $ (14,262,996) $ 11,424,891 $ 8,003,512 $ 5,165,407 $ (8,216,935) $ (106,932) ____________________ (1) Excludes net interest paid or received in full settlement of the net interest spread liability. Cash flow activity related to derivative instruments is reflected within the operating activities and investing activities sections of the condensed consolidated statements of cash flows. Realized gains and losses and derivative fair value adjustments are reflected within the realized and unrealized (gain) loss on interest rate swaps and swaptions and unrealized (gains) losses on other derivative instruments line items within the operating activities section of the condensed consolidated statements of cash flows. The remaining cash flow activity related to derivative instruments is reflected within the short sales (purchases) of derivative instruments, net; proceeds from sales and settlement (payments for termination and settlement) of derivative instruments, net; and decrease in due to counterparties, net line items within the investing activities section of the condensed consolidated statements of cash flows. Interest Rate Sensitive Assets/Liabilities The Company’s Agency RMBS portfolio is generally subject to change in value when 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 March 31, 2024 and December 31, 2023, the Company had $40.6 million and $41.9 million, respectively, of interest-only securities, and $3.1 billion and $3.1 billion, respectively, of MSR. Interest-only securities are included in AFS securities, at fair value, in the condensed consolidated balance sheets. The Company monitors its borrowings under repurchase agreements and revolving credit facilities, which are generally floating-rate debt, in relation to the rate profile of its portfolio. In connection with its risk management activities, the Company enters into a variety of derivative and non-derivative instruments to economically hedge interest rate risk or duration mismatch (or gap) by adjusting the duration of its floating-rate borrowings into fixed-rate borrowings to more closely match the duration of its assets. This particularly applies to borrowing agreements with maturities or interest rate resets of less than six months. Typically, the interest receivable terms ( e.g. , 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. 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 March 31, 2024 and December 31, 2023: March 31, 2024 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 4,193,000 $ 4,129,470 $ 4,143,411 $ 14,512 $ (571) Sale contracts (743,000) (707,538) (709,994) — (2,456) TBAs, net $ 3,450,000 $ 3,421,932 $ 3,433,417 $ 14,512 $ (3,027) 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) ___________________ (1) Notional amount represents the face amount of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period end. (4) Net carrying value represents the difference between the market value of the TBA as of period end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the condensed consolidated balance sheets. 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 March 31, 2024 and December 31, 2023: (dollars in thousands) March 31, 2024 December 31, 2023 Type & Maturity Notional Amount Carrying Value Weighted Average Months to Expiration Notional Amount Carrying Value Weighted Average Months to Expiration U.S. Treasury futures - 2 year $ (497,400) $ — 2.93 $ (549,600) $ — 2.89 U.S. Treasury futures - 5 year (1,354,200) — 2.93 (1,876,700) — 2.89 U.S. Treasury futures - 10 year (1,925,500) — 2.60 (983,300) — 2.60 U.S. Treasury futures - 20 year (40,700) — 2.60 (388,200) — 2.89 Eris SOFR swap futures - 10 year (30,000) — 122.73 — — — SOFR futures ≤ 1 year (1,416,000) — 5.68 (1,842,750) — 6.05 > 1 and ≤ 2 years (375,000) — 16.06 (562,500) — 17.56 Total futures $ (5,638,800) $ — 5.01 $ (6,203,050) $ — 5.10 Interest Rate Swap Agreements . The Company may use interest rate swaps independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of March 31, 2024 and 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) March 31, 2024 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate Weighted Average Maturity (Years) ≤ 1 year $ 2,647,671 4.730 % 5.340 % 0.96 > 1 and ≤ 3 years 1,968,891 4.087 % 5.340 % 1.76 > 3 and ≤ 5 years 1,784,642 3.546 % 5.340 % 3.78 > 5 and ≤ 7 years — — % — % 0.00 > 7 and ≤ 10 years 1,005,904 3.577 % 5.340 % 9.00 > 10 years 466,637 3.753 % 5.340 % 14.32 Total $ 7,873,745 4.180 % 5.340 % 3.38 (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) ≤ 1 year $ — — % — % 0.00 > 1 and ≤ 3 years 6,796,772 4.551 % 5.380 % 1.44 > 3 and ≤ 5 years 2,040,444 3.800 % 5.380 % 4.07 > 5 and ≤ 7 years 697,800 4.282 % 5.380 % 6.67 > 7 and ≤ 10 years 2,125,830 3.606 % 5.380 % 9.32 > 10 years 466,637 3.753 % 5.380 % 14.57 Total $ 12,127,483 4.245 % 5.380 % 3.87 ____________________ (1) Notional amount includes $1.1 billion and $1.1 billion in forward starting interest rate swaps as of March 31, 2024 and December 31, 2023, respectively. (2) Weighted averages exclude forward starting interest rate swaps. As of March 31, 2024 and December 31, 2023, the weighted average fixed pay rate on forward starting interest rate swaps was 4.0% and 4.0%, respectively. Additionally, as of March 31, 2024 and 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) March 31, 2024 Swaps Maturities Notional Amount (1) Weighted Average Pay Rate (2) Weighted Average Fixed Receive Rate (2) Weighted Average Maturity (Years) (2) ≤ 1 year $ 786,641 5.340 % 4.025 % 0.97 > 1 and ≤ 3 years 641,100 — % — % 0.00 > 3 and ≤ 5 years 260,000 5.340 % 3.328 % 3.50 > 5 and ≤ 7 years — — % — % 0.00 > 7 and ≤ 10 years — — % — % 0.00 > 10 years 260,626 5.340 % 3.444 % 19.76 Total $ 1,948,367 5.340 % 3.770 % 5.22 (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) ≤ 1 year $ — — % — % 0.00 > 1 and ≤ 3 years 2,470,819 5.380 % 4.204 % 1.36 > 3 and ≤ 5 years 780,000 5.380 % 3.845 % 1.36 > 5 and ≤ 7 years 988,026 5.380 % 4.023 % 4.03 > 7 and ≤ 10 years 1,161,160 5.380 % 4.013 % 9.57 > 10 years 260,626 5.380 % 3.444 % 20.01 Total $ 5,660,631 5.380 % 4.052 % 5.00 ____________________ (1) Notional amount includes $641.1 million and $645.2 million in forward starting interest rate swaps as of March 31, 2024 and December 31, 2023, respectively. (2) Weighted averages exclude forward starting interest rate swaps. As of March 31, 2024 and December 31, 2023, the weighted average fixed receive rate on forward starting interest rate swaps was 4.3% and 4.4%, respectively. 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 March 31, 2024. 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 Fair Value Average Months to Expiration Notional Amount Average Fixed Rate 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 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 March 31, 2024, the fair value of derivative financial instruments as an asset and liability position was $24.4 million and $3.0 million, respectively. |
Reverse Repurchase Agreements
Reverse Repurchase Agreements | 3 Months Ended |
Mar. 31, 2024 | |
Reverse Repurchase Agreements [Abstract] | |
Reverse Repurchase Agreements | Reverse Repurchase Agreements As of March 31, 2024 and December 31, 2023, the Company had $295.8 million and $286.1 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 $351.8 million and $284.1 million, respectively. |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 3 Months Ended |
Mar. 31, 2024 | |
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 condensed consolidated balance sheets when the terms of the agreements meet the criteria to permit netting. The Company reports cash flows on repurchase agreements as financing activities and cash flows on reverse repurchase agreements as investing activities in the condensed consolidated statements of cash flows. The Company presents derivative assets and liabilities (other than centrally cleared 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 condensed 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 condensed 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 condensed consolidated balance sheets. The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of March 31, 2024 and December 31, 2023: March 31, 2024 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 $ 126,128 $ (101,731) $ 24,397 $ (3,027) $ — $ 21,370 Reverse repurchase agreements 351,843 — 351,843 — (295,774) 56,069 Total Assets $ 477,971 $ (101,731) $ 376,240 $ (3,027) $ (295,774) $ 77,439 Liabilities: Repurchase agreements $ (8,361,638) $ — $ (8,361,638) $ 8,361,638 $ — $ — Derivative liabilities (104,758) 101,731 (3,027) 3,027 — — Total Liabilities $ (8,466,396) $ 101,731 $ (8,364,665) $ 8,364,665 $ — $ — 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 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. |
Fair Value
Fair Value | 3 Months Ended |
Mar. 31, 2024 | |
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 condensed consolidated balance sheets and primarily comprised of Agency and non-Agency investment securities. The Company determines the fair value of its Agency RMBS based upon prices obtained from third-party brokers and pricing vendors received using bid price, which are deemed indicative of market activity. The third-party pricing vendors use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. In determining the fair value of its non-Agency securities, management judgment may be used to arrive at fair value that considers prices obtained from third-party pricing vendors and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels, and credit losses). The Company classified 99.95% and 0.05% of its AFS securities as Level 2 and Level 3 fair value assets, respectively, at March 31, 2024. Mortgage servicing rights . The Company holds a portfolio of MSR that are carried at fair value on the condensed consolidated balance sheets. The Company determines fair value of its MSR based on prices obtained from third-party pricing vendors. Although MSR transactions may be observable in the marketplace, the details of those transactions are not necessarily reflective of the value of the Company’s MSR portfolio. Third-party vendors use both observable market data and unobservable market data (including forecasted prepayment speeds, 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 March 31, 2024. 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 reported at fair value as Level 2 at March 31, 2024. The Company did not hold any interest rate swaptions at March 31, 2024. 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 March 31, 2024. 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 March 31, 2024. The Company did not hold any options on futures at March 31, 2024. 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 March 31, 2024 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 8,178,591 $ 3,953 $ 8,182,544 Mortgage servicing rights — — 3,084,879 3,084,879 Derivative assets 14,512 9,885 — 24,397 Total assets $ 14,512 $ 8,188,476 $ 3,088,832 $ 11,291,820 Liabilities: Derivative liabilities $ 3,027 $ — $ — $ 3,027 Total liabilities $ 3,027 $ — $ — $ 3,027 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 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 March 31, 2024, the Company did not have any assets or liabilities measured at fair value on a nonrecurring basis in the periods presented. The valuation of Level 3 instruments requires significant judgment by the third-party pricing vendors and/or management. The third-party pricing vendors and/or management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the third-party pricing vendors in the absence of market information. Assumptions used by the third-party pricing vendors due to lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s condensed consolidated financial statements. The Company’s valuation committee reviews all valuations that are based on pricing information received from third-party pricing vendors. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable. In addition, the Company performs back-testing of pricing information to validate price information and identify any pricing trends of a third-party pricing vendors. In determining fair value, third-party pricing vendors use various valuation approaches, including market and income approaches. Inputs that are used in determining fair value of an instrument may include pricing information, credit data, volatility statistics, and other factors. In addition, inputs can be either observable or unobservable. The availability of observable inputs can vary by instrument and is affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. The third-party pricing vendor uses prices and inputs that are current as of the measurement date, including during periods of market dislocations. In periods of market dislocation, the availability of prices and inputs may be reduced for many instruments. This condition could cause an instrument to be reclassified to or from various levels within the fair value hierarchy. Securities that are priced using third-party broker quotations are valued at the bid price (in the case of long positions) or the ask price (in the case of short positions) at the close of trading on the date as of which value is determined. Exchange-traded securities for which no bid or ask price is available are valued at the last traded price. OTC derivative contracts, including interest rate swap and swaption agreements, 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: Three Months Ended March 31, 2024 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Beginning of period level 3 fair value $ 4,150 $ 3,052,016 Gains (losses) included in net income (loss): Realized (155) (43,418) Unrealized — (1) 54,430 (2) Reversal of provision for credit losses (65) — Net gains (losses) included in net income (loss) (220) 11,012 Other comprehensive income 23 — Purchases — 40,335 Sales — (18,221) Settlements — (263) Gross transfers into level 3 — — Gross transfers out of level 3 — — End of period level 3 fair value $ 3,953 $ 3,084,879 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ — (3) $ 61,247 (4) Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period $ 23 $ — ____________________ (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 condensed consolidated statements of comprehensive income (loss). (2) The change in unrealized gains or losses on MSR was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive income (loss). (3) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option that were held at the end of the reporting period was recorded in (loss) gain on investment securities on the condensed consolidated statements of comprehensive income (loss). (4) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive income (loss). No transfers between Level 1, Level 2 or Level 3 were made during the three months ended March 31, 2024 and 2023. 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 March 31, 2024 and December 31, 2023: March 31, 2024 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 5.6% - 6.8% 6.2% Option-adjusted spread 5.2% - 8.7% 5.4% Per loan annual cost to service $67.90 - $81.54 $68.47 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 ___________________ (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 three months ended March 31, 2024 and 2023. Fair Value of Financial Instruments In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the condensed consolidated balance sheets, for which fair value can be estimated. The following describes the Company’s methods for estimating the fair value for financial instruments. • AFS securities, MSR, and derivative assets and liabilities are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the Fair Value Measurements section of this Note 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 March 31, 2024, 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 March 31, 2024. 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 March 31, 2024 and December 31, 2023: March 31, 2024 December 31, 2023 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets: Available-for-sale securities $ 8,182,544 $ 8,182,544 $ 8,327,149 $ 8,327,149 Mortgage servicing rights $ 3,084,879 $ 3,084,879 $ 3,052,016 $ 3,052,016 Cash and cash equivalents $ 666,244 $ 666,244 $ 729,732 $ 729,732 Restricted cash $ 72,184 $ 72,184 $ 65,101 $ 65,101 Derivative assets $ 24,397 $ 24,397 $ 85,291 $ 85,291 Reverse repurchase agreements $ 351,843 $ 351,843 $ 284,091 $ 284,091 Other assets $ 31,562 $ 31,562 $ 31,704 $ 31,704 Liabilities: Repurchase agreements $ 8,361,638 $ 8,361,638 $ 8,020,207 $ 8,020,207 Revolving credit facilities $ 1,357,671 $ 1,357,671 $ 1,329,171 $ 1,329,171 Term notes payable $ 295,520 $ 292,552 $ 295,271 $ 289,653 Convertible senior notes $ 268,953 $ 259,507 $ 268,582 $ 254,232 Derivative liabilities $ 3,027 $ 3,027 $ 21,506 $ 21,506 |
Repurchase Agreements
Repurchase Agreements | 3 Months Ended |
Mar. 31, 2024 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Repurchase Agreements As of March 31, 2024 and December 31, 2023, the Company had outstanding $8.4 billion and $8.0 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 5.61% and 5.74% and weighted average remaining maturities of 91 and 55 days as of March 31, 2024 and December 31, 2023, respectively. At March 31, 2024 and December 31, 2023, the Company’s repurchase agreements had the following characteristics and remaining maturities: March 31, 2024 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 2,262,318 $ — $ 7,752 $ 58,977 $ 2,329,047 30 to 59 days 1,367,028 — — — 1,367,028 60 to 89 days 1,022,997 — — — 1,022,997 90 to 119 days 702,452 — — — 702,452 120 to 364 days 2,739,235 217 662 200,000 2,940,114 Total $ 8,094,030 $ 217 $ 8,414 $ 258,977 $ 8,361,638 Weighted average borrowing rate 5.51 % 6.13 % 6.10 % 6.92 % 5.61 % December 31, 2023 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights 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 % 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) March 31, December 31, Available-for-sale securities, at fair value $ 8,178,289 $ 8,126,028 Mortgage servicing rights, at fair value (1) 468,610 463,529 Restricted cash 24,871 12,375 Due from counterparties 237,711 36,420 Derivative assets, at fair value 9,546 11,877 Total $ 8,919,027 $ 8,650,229 ____________________ (1) As of March 31, 2024 and December 31, 2023 , MSR repurchase agreements of $200.0 million and $214.0 million, respectively, were secured by a VFN issued in connection with the Company’s securitization of MSR and MSR repurchase agreements of $59.0 million and $58.6 million, respectively, 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. 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 March 31, 2024 and December 31, 2023, 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 | 3 Months Ended |
Mar. 31, 2024 | |
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 March 31, 2024 and December 31, 2023, the Company had outstanding short- and long-term borrowings under revolving credit facilities of $1.4 billion and $1.3 billion with a weighted average borrowing rate of 8.56% and 8.66% and weighted average remaining maturities of 1.3 and 1.1 years, respectively. At March 31, 2024 and December 31, 2023, borrowings under revolving credit facilities had the following remaining maturities: (in thousands) March 31, December 31, Within 30 days $ — $ — 30 to 59 days — — 60 to 89 days — — 90 to 119 days — — 120 to 364 days 381,800 324,300 One year and over 975,871 1,004,871 Total $ 1,357,671 $ 1,329,171 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 March 31, 2024 and December 31, 2023, MSR with a carrying value of $2.2 billion and $2.2 billion, respectively, was pledged as collateral for the Company’s future payment obligations under its MSR revolving credit facilities. As of March 31, 2024 and December 31, 2023, servicing advances with a carrying value of $93.9 million and $79.7 million, respectively, were pledged as collateral for the Company’s future payment obligations under its servicing advance revolving credit facility. Additionally, as of March 31, 2024, $1.5 million of cash was held in restricted accounts as collateral for the future payment obligations of outstanding revolving credit facility balances. 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 | 3 Months Ended |
Mar. 31, 2024 | |
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 both March 31, 2024 and December 31, 2023, net of unamortized deferred debt issuance costs, on the Company’s condensed consolidated balance sheets. During the three months ended September 30, 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 (loss) income line item on the condensed consolidated statements of comprehensive income (loss). No notes were repurchased during the three months ended March 31, 2024 or 2023. As of March 31, 2024 and December 31, 2023, the outstanding amount due on term notes payable was $295.5 million and $295.3 million, net of deferred debt issuance costs, with a weighted average interest rate of 8.24% and 8.27% and weighted average remaining maturities of 0.2 years and 0.5 years. At March 31, 2024 and December 31, 2023, the Company pledged MSR with a carrying value of $394.8 million and $397.9 million and weighted average underlying loan coupon of 3.31% and 3.32%, respectively, as collateral for term notes payable. Additionally, as of March 31, 2024 and December 31, 2023, $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 | 3 Months Ended |
Mar. 31, 2024 | |
Debt Disclosure [Abstract] | |
Convertible Senior Notes | Convertible Senior Notes The Company’s convertible senior 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 March 31, 2024 and December 31, 2023, the 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 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 its convertible senior notes prior to maturity, but may repurchase the notes in open market or privately negotiated transactions at the same or differing price without giving prior notice to or obtaining any consent of the holders. The Company may also be required to repurchase the notes from holders under certain circumstances. During the three months ended June 30, 2023, the Company repurchased $15.6 million principal amount of its convertible senior 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 (loss) income line item on the condensed consolidated statements of comprehensive income (loss). No notes were repurchased during the three months ended March 31, 2024 or 2023. As of both March 31, 2024 and December 31, 2023, $271.9 million principal amount of convertible senior notes remained outstanding. The outstanding amount due on the notes as of March 31, 2024 and December 31, 2023 was $269.0 million and $268.6 million, respectively, net of unamortized deferred issuance costs. |
Commitment and Contingencies
Commitment and Contingencies | 3 Months Ended |
Mar. 31, 2024 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies The following represent the material commitments and contingencies of the Company as of March 31, 2024: 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 March 31, 2024, the Company’s condensed consolidated financial statements do not recognize a contingency liability or disclose a range of reasonably possible loss under ASC 450 because management does not believe that a loss or expense related to the Federal Complaint 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 condensed consolidated financial statements and therefore no accrual is required as of March 31, 2024. |
Stockholders' Equity
Stockholders' Equity | 3 Months Ended |
Mar. 31, 2024 | |
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 March 31, 2024. 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 5,050,221 $ 121,971 8.125 % April 27, 2027 April 27, 2027 3M Rate + 5.660% Series B July 19, 2017 10,159,200 245,670 7.625 % July 27, 2027 July 27, 2027 3M Rate + 5.352% Series C November 27, 2017 9,661,396 233,826 7.250 % January 27, 2025 January 27, 2025 3M Rate + 5.011% Total 24,870,817 $ 601,467 ____________________ (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 Adjustable Interest Rate (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 March 31, 2024, the Company had declared and paid all required quarterly dividends on the Company’s preferred stock. Preferred Share Repurchase Program In June 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 March 31, 2024, a total of 699,779 shares of the Company’s 8.125% Series A Cumulative Redeemable Preferred Stock, 1,340,800 shares of the Company’s 7.625% Series B Cumulative Redeemable Preferred Stock and 2,138,604 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 $13.3 million, $25.5 million and $38.5 million, respectively, of which 35,047, 280,060 and 170,502 shares were repurchased for a total cost of $0.8 million, $6.4 million and $3.9 million, respectively, during the three months ended March 31, 2024. The difference between the consideration transferred and the carrying value of the preferred stock repurchased resulted in a gain attributable to common stockholders of $0.6 million for the three months ended March 31, 2024. No preferred shares were repurchased during the three months ended March 31, 2023. Common Stock 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. As of March 31, 2024, the Company had 103,474,944 shares of common stock outstanding. The following table presents a reconciliation of the common shares outstanding for the three months ended March 31, 2024 and 2023: Number of common shares Common shares outstanding, December 31, 2022 86,428,845 Issuance of common stock 10,121,107 Non-cash equity award compensation (1) 114,366 Common shares outstanding, March 31, 2023 96,664,318 Common shares outstanding, December 31, 2023 103,206,457 Issuance of common stock 4,058 Non-cash equity award compensation (1) 264,429 Common shares outstanding, March 31, 2024 103,474,944 ____________________ (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 three months ended March 31, 2024 and 2023: Three Months Ended March 31, (dollars in thousands) 2024 2023 Class of Stock Amount Per Share Amount Per Share Series A Preferred Stock $ 2,565 $ 0.51 $ 2,702 $ 0.51 Series B Preferred Stock $ 4,841 $ 0.48 $ 5,106 $ 0.48 Series C Preferred Stock $ 4,378 $ 0.45 $ 4,557 $ 0.45 Common Stock $ 47,081 $ 0.45 $ 58,381 $ 0.60 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 March 31, 2024, 134,688 shares have been issued under the plan for total proceeds of approximately $6.3 million, of which 4,058 and 3,680 shares were issued for total proceeds of $0.1 million and $0.1 million during the three months ended March 31, 2024 and 2023, 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 March 31, 2024, 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. No shares of common stock were repurchased during the three months ended March 31, 2024 or 2023. 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, of which 3,819,406 shares remain available for issuance, 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 March 31, 2024, 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 117,427 shares were sold for net proceeds of $2.1 million during the three months ended March 31, 2023. No shares were sold under the “at the market” equity distribution agreements during the three months ended March 31, 2024. Accumulated Other Comprehensive Loss Accumulated other comprehensive loss at March 31, 2024 and December 31, 2023 was as follows: (in thousands) March 31, December 31, Available-for-sale securities: Unrealized gains $ 6,654 $ 23,305 Unrealized losses (286,161) (199,734) Accumulated other comprehensive loss $ (279,507) $ (176,429) Reclassifications out of Accumulated Other Comprehensive Loss The Company reclassifies unrealized gains and losses on AFS securities in accumulated other comprehensive loss to net income (loss) upon the recognition of any realized gains and losses on sales as individual securities are sold. For the three months ended March 31, 2024 and 2023, the Company reclassified $6.6 million in unrealized losses and $63.2 million in unrealized losses, respectively, on sold AFS securities from accumulated other comprehensive loss to (loss) gain on investment securities on the condensed consolidated statements of comprehensive income (loss). |
Equity Incentive Plans
Equity Incentive Plans | 3 Months Ended |
Mar. 31, 2024 | |
Share-Based Payment Arrangement [Abstract] | |
Equity Incentive Plans | Equity Incentive Plans The Company’s 2021 Equity Incentive Plan, or the Equity Incentive Plan, provides incentive compensation to attract and retain qualified directors, officers, personnel and other parties who may provide significant services to the Company. The Equity Incentive Plan is administered by the compensation committee of the Company’s board of directors. The compensation committee has the full authority to administer and interpret the Equity Incentive Plan, to authorize the granting of awards, to determine the eligibility of potential recipients to receive an award, to determine the number of shares of common stock to be covered by each award (subject to the individual participant limitations provided in the Equity Incentive Plan), to determine the terms, provisions and conditions of each award (which may not be inconsistent with the terms of the Equity Incentive Plan), to prescribe the form of instruments evidencing awards and to take any other actions and make all other determinations that it deems necessary or appropriate in connection with the Equity Incentive Plan or the administration or interpretation thereof. In connection with this authority, the compensation committee may, among other things, establish performance goals that must be met in order for awards to be granted or to vest, or for the restrictions on any such awards to lapse. The Equity Incentive Plan provides 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 Equity Incentive Plan is subject to a ceiling of 4,250,000 shares of the Company’s common stock. The Company’s Second Restated 2009 Equity Incentive Plan, or the Prior Plan, was subject to a ceiling of 1,625,000 shares of the Company’s common stock; however, following stockholder approval of the Equity Incentive Plan in May 2021, no new awards will be granted under the Prior Plan. All awards previously granted under the Prior Plan, which remained outstanding and valid in accordance with their terms, have since vested or been forfeited. The Equity Incentive Plan allows for the Company’s board of directors to expand the types of awards available under the Equity Incentive Plan to include long-term incentive plan units in the future. If an award granted under the Equity Incentive Plan expires or terminates, the shares subject to any portion of the award that expires or terminates without having been exercised or paid, as the case may be, will again become available for the issuance of additional awards. Unless earlier terminated by the Company’s board of directors, no new award may be granted under the Equity Incentive Plan after the tenth anniversary of the date that the Equity Incentive Plan was approved by the Company’s board of directors. No award may be granted under the Equity Incentive Plan to any person who, assuming payment of all awards held by such person, would own or be deemed to own more than 9.8% of the outstanding shares of the Company’s common stock. Restricted Stock Units The following table summarizes the activity related to RSUs for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 2023 Units Weighted Average Grant Date Fair Market Value Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 613,699 $ 19.11 468,632 $ 23.54 Granted 340,376 14.17 282,090 17.43 Vested (203,652) (21.07) (114,366) (24.14) Forfeited — — — — Outstanding at End of Period 750,423 $ 16.34 636,356 $ 20.72 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 three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 2023 Target Units Weighted Average Grant Date Fair Market Value Target Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 485,822 $ 24.89 265,261 $ 26.93 Granted 292,000 16.19 222,208 22.47 Vested (60,777) (34.68) — — Forfeited (43,959) (34.68) — — Outstanding at End of Period 673,086 $ 19.60 487,469 $ 24.90 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 three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 2023 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 Granted — — — — Vested — — (42,884) (60.91) Forfeited — — — — Outstanding at End of Period — $ — — $ — 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 three months ended March 31, 2024 and 2023, the Company recognized compensation related to RSUs, PSUs and restricted common stock granted pursuant to the Equity Incentive Plan and/or the Prior Plan of $6.1 million and $6.1 million, respectively. As of March 31, 2024, the Company had $8.0 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 1.7 years. |
Interest Income and Interest Ex
Interest Income and Interest Expense | 3 Months Ended |
Mar. 31, 2024 | |
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 three months ended March 31, 2024 and 2023. Three Months Ended March 31, 2024 2023 Interest income: Available-for-sale securities $ 100,605 $ 97,038 Other 17,178 19,555 Total interest income 117,783 116,593 Interest expense: Repurchase agreements 118,716 104,355 Revolving credit facilities 30,247 25,656 Term notes payable 6,418 7,643 Convertible senior notes 4,619 4,836 Total interest expense 160,000 142,490 Net interest (expense) income $ (42,217) $ (25,897) |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2024 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the three months ended March 31, 2024 and 2023, the Company qualified to be taxed as a REIT under the Code for U.S. federal income tax purposes. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes its net taxable income to stockholders, and does not engage in prohibited transactions. The Company intends to distribute 100% of its REIT taxable income and comply with all requirements to continue to qualify as a REIT. The majority of states also recognize the Company’s REIT status. The Company’s TRSs file separate tax returns and are fully taxed as standalone U.S. C corporations. It is assumed that the Company will retain its REIT status and will incur no REIT level taxation as it intends to comply with the REIT regulations and annual distribution requirements. During the three months ended March 31, 2024, the Company recognized a provision for income taxes of $12.0 million, which was primarily due to net income from MSR servicing activity and net gains recognized on MSR, offset by operating expenses incurred in the Company’s TRSs. During the three months ended March 31, 2023, the Company recognized a benefit from income taxes of $3.9 million, which was primarily due to net losses recognized on MSR and operating expenses incurred, offset by net income from MSR servicing activity in the Company’s TRSs. Based on the Company’s evaluation, it has been concluded that there are no significant uncertain tax positions requiring recognition in the Company’s condensed consolidated financial statements of a contingent tax liability for uncertain tax positions. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these condensed consolidated financial statements. |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Mar. 31, 2024 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share The following table presents a reconciliation of the earnings (loss) and shares used in calculating basic and diluted earnings (loss) per share for the three months ended March 31, 2024 and 2023. Three Months Ended March 31, (in thousands, except share data) 2024 2023 Basic Earnings (Loss) Per Share: Net income (loss) $ 203,588 $ (176,808) Dividends on preferred stock (11,784) (12,365) Gain on repurchase and retirement of preferred stock 644 — Dividends and undistributed earnings allocated to participating restricted stock units (1,441) (382) Net income (loss) attributable to common stockholders, basic $ 191,007 $ (189,555) Basic weighted average common shares 103,401,940 92,575,840 Basic earnings (loss) per weighted average common share $ 1.85 $ (2.05) Diluted Earnings (Loss) Per Share: Net income (loss) attributable to common stockholders, basic $ 191,007 $ (189,555) Reallocation impact of undistributed earnings to participating restricted stock units 61 — Interest expense attributable to convertible notes 4,619 — Net income (loss) attributable to common stockholders, diluted $ 195,687 $ (189,555) Basic weighted average common shares 103,401,940 92,575,840 Effect of dilutive shares issued in an assumed vesting of performance share units 361,286 — Effect of dilutive shares issued in an assumed conversion 9,210,091 — Diluted weighted average common shares 112,973,317 92,575,840 Diluted earnings (loss) per weighted average common share $ 1.73 $ (2.05) For the three months ended March 31, 2024, 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 three months ended March 31, 2023, excluded from the calculation of diluted earnings per share was the effect of adding undistributed earnings reallocated to 655,137 weighted average participating RSUs, respectively, as their inclusion would have been antidilutive. For the three months ended March 31, 2024, 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 three months ended March 31, 2023, excluded from the calculation of diluted earnings per share was the effect of adding 304,739 weighted average common share equivalents, related to the assumed vesting of outstanding PSUs, as their inclusion would have been antidilutive. For the three months ended March 31, 2024, the assumed conversion of the Company’s convertible senior notes was included in the calculation of diluted earnings per share under the if-converted method. For the three months ended March 31, 2023, excluded from the calculation of diluted earnings per share was the effect of adding back $4.8 million of interest expense and 9,739,120 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. |
Segment Reporting
Segment Reporting | 3 Months Ended |
Mar. 31, 2024 | |
Segment Reporting [Abstract] | |
Segment Reporting Disclosure | Segment Reporting The Company generally derives its revenues from its investment portfolio of MSR and Agency RMBS, which includes servicing fee income, float income, ancillary and other fee income, and interest income, net of premium amortization and discount accretion. The Company’s investment portfolio is subject to market risks, primarily interest rate risk, basis risk and prepayment risk. Management seeks to offset a portion of its Agency pool market value exposure through its investment in MSR and interest-only Agency RMBS. The Company’s strategy of pairing Agency RMBS with MSR, with a focus on managing various associated risks, including interest rate, basis, prepayment, and credit and financing risk, is intended to generate more stable performance relative to an investment portfolio of RMBS without MSR, across changing market environments. The Company’s investment portfolio is managed as a whole and resources are allocated and financial performance is assessed by the Company’s chief operating decision maker, or the CODM, based on total assets reported on the consolidated balance sheet and comprehensive income (loss) reported on the consolidated statement of comprehensive income (loss). The Company’s CODM views consolidated expense information related to interest expenses, compensation and benefits, other operating expenses and tax expenses to be significant. Consolidated comprehensive income (loss) is also used by the CODM to monitor actual results and benchmarking to that of its peers, the results of which are used to establish management’s compensation. Investment and hedging decisions are assessed collectively by the CODM, based on the inputs discussed above. Accordingly, the Company consists of a single operating and reportable segment and the condensed consolidated financial statements and notes thereto are presented as a single reportable segment. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2024 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Events subsequent to March 31, 2024 were evaluated through the date these condensed consolidated financial statements were issued and no other additional events were identified requiring further disclosure in these condensed consolidated financial statements. |
Pay vs Performance Disclosure
Pay vs Performance Disclosure - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Pay vs Performance Disclosure | ||
Net income (loss) | $ 203,588 | $ (176,808) |
Insider Trading Arrangements
Insider Trading Arrangements | 3 Months Ended |
Mar. 31, 2024 | |
Trading Arrangements, by Individual | |
Material Terms of Trading Arrangement | During the three months ended March 31, 2024, the following executive officers adopted a written plan intended to satisfy affirmative defense conditions of Rule 10b5–1(c) of the Exchange Act. Each of these written plans relates to the sale of Two Harbors common stock for the purpose of satisfying tax obligations associated with future vestings of equity compensation, as permitted pursuant to the stock ownership guidelines applicable to our executive officers. In addition, each of these written plans was entered into during an open trading window and shall take effect ninety days after adoption. Each of the new plans shall remain in effect until amended or terminated. On February 6, 2024, Rebecca Sandberg, our Chief Legal Officer and Secretary, adopted a written plan pursuant to which Ms. Sandberg has elected to sell a number of shares sufficient to cover the local, state and federal tax liability associated with each future vesting of equity compensation, subject to the maximum of fifty percent of shares vesting. This plan replaces and supersedes a prior written plan entered into by Ms. Sandberg related to the same. On February 7, 2024, Nathan Boucher, Executive Vice President, General Counsel and Secretary of RoundPoint, adopted a written plan pursuant to which Mr. Boucher has elected to sell a number of shares sufficient to cover the local, state and federal tax liability associated with each future vesting of equity compensation, subject to the maximum of fifty percent of shares vesting. On February 8, 2024, David Hughes, Executive Vice President, Servicing Operations at RoundPoint, adopted a written plan pursuant to which Mr. Hughes has elected to sell a number of shares sufficient to cover the local, state and federal tax liability associated with each future vesting of equity compensation, subject to the maximum of fifty percent of shares vesting. Except as set forth above, 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, during the three months ended March 31, 2024. |
Basis of Presentation and Sig_2
Basis of Presentation and Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2024 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Consolidation and Basis of Presentation | Consolidation and Basis of Presentation The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or the SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or U.S. GAAP, have been condensed or omitted according to such SEC rules and regulations. However, management believes that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading. The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. All trust entities in which the Company holds investments that are considered variable interest entities, or VIEs, for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Whenever the Company has both the power to direct the activities of a trust that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trust. Certain prior period amounts have been reclassified to conform to the current period presentation. The accompanying condensed consolidated financial statements should be read in conjunction with the financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2023. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2024 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2024 should not be construed as indicative of the results to be expected for future periods or the full year. |
Use of Estimates | Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. , valuation changes due to supply and demand in the market, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. |
Recently Issued and/or Adopted Accounting Standards | Recently Issued and/or Adopted Accounting Standards 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 early adopted this ASU, which did 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. Enhancement and Standardization of Climate-Related Disclosures In March 2024, the Securities and Exchange Commission, or the SEC, issued Release No. 33-11275, its final rule on the enhancement and standardization of climate-related disclosures for investors requiring registrants to provide certain climate-related information in their registration statements and annual reports. The rules require information about a registrant’s climate-related risks that are reasonably likely to have a material impact on its business, results of operations, or financial condition. The required information about climate-related risks will also include disclosure of a registrant’s greenhouse gas emissions. In addition, the rules will require registrants to present certain climate-related financial metrics in their audited financial statements. For large accelerated filers like the Company, the individual requirements will be phased-in with the first phase being effective for the fiscal year beginning January 1, 2025. Disclosures will be required prospectively, with information for prior periods required only to the extent it was previously disclosed in an SEC filing. On April 4, 2024, the SEC voluntarily stayed the final rules pending judicial review. The Company is currently evaluating the impact of these final rules on its consolidated financial statements and disclosure. |
Acquisition of RoundPoint Mor_2
Acquisition of RoundPoint Mortgage Servicing LLC (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Business Combination, Asset Acquisition, and Joint Venture Formation [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. No measurement period adjustments were made subsequent to December 31, 2023. 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 three months ended March 31, 2024 and 2023 prepared as if the RoundPoint acquisition had been consummated on January 1, 2023. Three Months Ended March 31, (in thousands) 2024 2023 Revenue (1) $ 430,259 $ 22,827 Income (loss) before income taxes $ 215,559 $ (192,735) ____________________ (1) The Company’s revenue is defined as the sum of the interest income, servicing income and total other income line items on the condensed consolidated statements of comprehensive income (loss). |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Variable Interest Entities [Abstract] | |
Schedule of Variable Interest Entities | The following table presents a summary of the assets and liabilities of all consolidated trusts as reported on the condensed consolidated balance sheets as of March 31, 2024 and December 31, 2023: (in thousands) March 31, December 31, Note receivable (1) $ 399,654 $ 399,317 Restricted cash 41,013 45,642 Accrued interest receivable (1) 641 551 Other assets 93,852 79,749 Total Assets $ 535,160 $ 525,259 Term notes payable $ 399,654 $ 399,317 Revolving credit facilities 59,300 34,300 Accrued interest payable 1,066 816 Other liabilities 40,588 45,377 Total Liabilities $ 500,608 $ 479,810 ____________________ (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) | 3 Months Ended |
Mar. 31, 2024 | |
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 March 31, 2024 and December 31, 2023: (in thousands) March 31, December 31, Agency: Federal National Mortgage Association $ 5,205,459 $ 5,467,684 Federal Home Loan Mortgage Corporation 2,913,167 2,790,662 Government National Mortgage Association 59,965 64,653 Non-Agency 3,953 4,150 Total available-for-sale securities $ 8,182,544 $ 8,327,149 |
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 March 31, 2024 and December 31, 2023: March 31, 2024 (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 $ 8,380,115 $ 151,096 $ (123,837) $ 8,407,374 $ — $ 6,079 $ (283,136) $ 8,130,317 Interest-only 787,501 55,875 — 55,875 (3,217) 620 (5,004) 48,274 Total Agency 9,167,616 206,971 (123,837) 8,463,249 (3,217) 6,699 (288,140) 8,178,591 Non-Agency 551,699 4,082 (19) 4,689 (390) 164 (510) 3,953 Total $ 9,719,315 $ 211,053 $ (123,856) $ 8,467,938 $ (3,607) $ 6,863 $ (288,650) $ 8,182,544 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 |
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 March 31, 2024: March 31, 2024 (in thousands) Agency Non-Agency Total < 1 year $ 282 $ — $ 282 ≥ 1 and < 3 years 16,243 — 16,243 ≥ 3 and < 5 years 177,196 — 177,196 ≥ 5 and < 10 years 7,984,870 3,631 7,988,501 ≥ 10 years — 322 322 Total $ 8,178,591 $ 3,953 $ 8,182,544 |
Debt Securities, Available-for-sale, Allowance for Credit Losses | The following table presents the changes for the three months ended March 31, 2024 and 2023 in the allowance for credit losses on Agency and non-Agency AFS securities: Three Months Ended Three Months Ended March 31, 2024 March 31, 2023 (in thousands) Agency Non-Agency Total Agency Non-Agency Total Allowance for credit losses at beginning of period $ (3,619) $ (324) $ (3,943) $ (6,785) $ (173) $ (6,958) Additions on securities for which credit losses were not previously recorded (37) (17) (54) — (318) (318) Decrease (increase) on securities with previously recorded credit losses 24 (50) (26) 827 (367) 460 Write-offs 415 1 416 684 210 894 Allowance for credit losses at end of period $ (3,217) $ (390) $ (3,607) $ (5,274) $ (648) $ (5,922) |
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 March 31, 2024 and December 31, 2023. At March 31, 2024 and December 31, 2023, the Company held 647 and 646 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 530 and 477 were in an unrealized loss position for less than twelve consecutive months. At both March 31, 2024 and December 31, 2023, 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. March 31, 2024 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 $ 7,023,251 $ (285,881) $ — $ — $ 7,023,251 $ (285,881) Non-Agency 249 (73) — — 249 (73) Total $ 7,023,500 $ (285,954) $ — $ — $ 7,023,500 $ (285,954) 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) |
Schedule of Realized Gain (Loss) on Sales of Debt Securities, Available-for-sale | The following table presents details around sales of AFS securities during the three months ended March 31, 2024 and 2023: Three Months Ended March 31, (in thousands) 2024 2023 Proceeds from sales of available-for-sale securities $ 333,082 $ 1,360,742 Amortized cost of available-for-sale securities sold (343,245) (1,393,484) Total realized losses on sales, net $ (10,163) $ (32,742) Gross realized gains $ — $ 14,070 Gross realized losses (10,163) (46,812) Total realized losses on sales, net $ (10,163) $ (32,742) |
Servicing Activities (Tables)
Servicing Activities (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
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 three months ended March 31, 2024 and 2023. Three Months Ended March 31, (in thousands) 2024 2023 Balance at beginning of period $ 3,052,016 $ 2,984,937 Purchases of mortgage servicing rights 40,335 118,341 Sales of mortgage servicing rights (12,871) (2,693) Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (1) 54,430 20,421 Other changes in fair value (2) (48,768) (47,661) Other changes (3) (263) (900) Balance at end of period (4) $ 3,084,879 $ 3,072,445 ____________________ (1) Includes the impact of acquiring MSR at a cost different from fair value. (2) Primarily represents changes due to the realization of cash flows. (3) Includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. (4) Based on the principal balance of the loans underlying the MSR reported by servicers on a month lag, adjusted for current month purchases. |
Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets | As of March 31, 2024 and December 31, 2023, 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) March 31, December 31, Weighted average prepayment speed: 6.2 % 6.2 % Impact on fair value of 10% adverse change $ (78,387) $ (74,042) Impact on fair value of 20% adverse change $ (154,074) $ (146,237) Weighted average delinquency: 1.0 % 0.9 % Impact on fair value of 10% adverse change $ (5,445) $ (4,654) Impact on fair value of 20% adverse change $ (13,974) $ (12,376) Weighted average option-adjusted spread: 5.4 % 5.3 % Impact on fair value of 10% adverse change $ (71,353) $ (59,285) Impact on fair value of 20% adverse change $ (138,989) $ (119,776) Weighted average per loan annual cost to service: $ 68.47 $ 68.27 Impact on fair value of 10% adverse change $ (27,471) $ (24,111) Impact on fair value of 20% adverse change $ (55,188) $ (48,985) |
Components of Servicing Revenue | The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive income (loss) for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, (in thousands) 2024 2023 Servicing fee income $ 134,320 $ 129,237 Ancillary and other fee income 3,857 369 Float income 28,156 23,714 Total $ 166,333 $ 153,320 |
Cash, Cash Equivalents and Re_2
Cash, Cash Equivalents and Restricted Cash (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
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 March 31, 2024 and December 31, 2023: (in thousands) March 31, December 31, Restricted cash balances held by trading counterparties: For securities trading activity $ 450 $ 450 For derivatives trading activity — 1,669 For servicing activities 45,099 50,345 As restricted collateral for borrowings 26,572 12,575 Total restricted cash balances held by trading counterparties 72,121 65,039 Restricted cash balance pursuant to letter of credit on office lease 63 62 Total $ 72,184 $ 65,101 |
Schedule of Cash, Cash Equivalents and Restricted Cash | The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company’s condensed consolidated balance sheets as of March 31, 2024 and December 31, 2023 that sum to the total of the same such amounts shown in the statements of cash flows: (in thousands) March 31, December 31, Cash and cash equivalents $ 666,244 $ 729,732 Restricted cash 72,184 65,101 Total cash, cash equivalents and restricted cash $ 738,428 $ 794,833 |
Derivative Instruments and He_2
Derivative Instruments and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
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 March 31, 2024 and December 31, 2023: March 31, 2024 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 9,885 $ 156,527 $ — $ — Interest rate swap agreements — 9,822,112 — — Swaptions, net — — — — TBAs 14,512 3,968,000 (3,027) (518,000) Futures, net — (5,638,800) — — Total $ 24,397 $ 8,307,839 $ (3,027) $ (518,000) 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 |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | The following table summarizes the location and amount of gains and losses on derivative instruments reported in the condensed consolidated statements of comprehensive income (loss): Derivative Instruments Location of Gain (Loss) Recognized in Income Amount of Gain (Loss) Recognized in Income Three Months Ended (in thousands) March 31, 2024 2023 Interest rate risk management: TBAs Gain (loss) on other derivative instruments $ (59,180) $ (17,164) Futures Gain (loss) on other derivative instruments 108,936 (140,087) Options on futures Gain (loss) on other derivative instruments (127) — Interest rate swaps - Payers Gain (loss) on interest rate swap and swaption agreements 194,430 (71,760) Interest rate swaps - Receivers Gain (loss) on interest rate swap and swaption agreements (95,951) (10,368) Swaptions Gain (loss) on interest rate swap and swaption agreements 31 (26) Non-risk management: Inverse interest-only securities Gain (loss) on other derivative instruments (2,030) 1,480 Total $ 146,109 $ (237,925) |
Schedule of Notional Amounts of Outstanding Derivative Positions | The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 (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 $ 163,735 $ — $ (7,208) $ 156,527 $ 160,491 $ — Interest rate swap agreements 17,788,114 6,567,062 (14,533,064) 9,822,112 15,136,445 13,988 Swaptions, net (200,000) (500,000) 700,000 — (232,967) (98) TBAs, net 3,497,000 12,173,000 (12,220,000) 3,450,000 3,037,747 (19,190) Futures, net (6,203,050) (7,738,100) 8,302,350 (5,638,800) (6,576,900) (8,714) Options on futures, net — — — — — (127) Total $ 15,045,799 $ 10,501,962 $ (17,757,922) $ 7,789,839 $ 11,524,816 $ (14,141) Three Months Ended March 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 $ — $ (8,371) $ 188,085 $ 192,729 $ — Interest rate swap agreements — 9,992,941 (1,588,069) 8,404,872 3,196,969 (18,580) Swaptions, net — (200,000) — (200,000) (57,778) — TBAs, net 3,826,000 14,666,000 (14,774,000) 3,718,000 4,073,467 (88,483) Futures, net (18,285,452) (13,034,050) 24,373,952 (6,945,550) (15,622,322) 131 Total $ (14,262,996) $ 11,424,891 $ 8,003,512 $ 5,165,407 $ (8,216,935) $ (106,932) ____________________ (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 March 31, 2024 and December 31, 2023: March 31, 2024 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 4,193,000 $ 4,129,470 $ 4,143,411 $ 14,512 $ (571) Sale contracts (743,000) (707,538) (709,994) — (2,456) TBAs, net $ 3,450,000 $ 3,421,932 $ 3,433,417 $ 14,512 $ (3,027) 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) ___________________ (1) Notional amount represents the face amount of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period end. (4) Net carrying value represents the difference between the market value of the TBA as of period end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the condensed consolidated balance sheets. |
Schedule of Futures | The following table summarizes certain characteristics of the Company’s futures as of March 31, 2024 and December 31, 2023: (dollars in thousands) March 31, 2024 December 31, 2023 Type & Maturity Notional Amount Carrying Value Weighted Average Months to Expiration Notional Amount Carrying Value Weighted Average Months to Expiration U.S. Treasury futures - 2 year $ (497,400) $ — 2.93 $ (549,600) $ — 2.89 U.S. Treasury futures - 5 year (1,354,200) — 2.93 (1,876,700) — 2.89 U.S. Treasury futures - 10 year (1,925,500) — 2.60 (983,300) — 2.60 U.S. Treasury futures - 20 year (40,700) — 2.60 (388,200) — 2.89 Eris SOFR swap futures - 10 year (30,000) — 122.73 — — — SOFR futures ≤ 1 year (1,416,000) — 5.68 (1,842,750) — 6.05 > 1 and ≤ 2 years (375,000) — 16.06 (562,500) — 17.56 Total futures $ (5,638,800) $ — 5.01 $ (6,203,050) $ — 5.10 |
Schedule of Interest Rate Swap Payers | As of March 31, 2024 and 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) March 31, 2024 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate Weighted Average Maturity (Years) ≤ 1 year $ 2,647,671 4.730 % 5.340 % 0.96 > 1 and ≤ 3 years 1,968,891 4.087 % 5.340 % 1.76 > 3 and ≤ 5 years 1,784,642 3.546 % 5.340 % 3.78 > 5 and ≤ 7 years — — % — % 0.00 > 7 and ≤ 10 years 1,005,904 3.577 % 5.340 % 9.00 > 10 years 466,637 3.753 % 5.340 % 14.32 Total $ 7,873,745 4.180 % 5.340 % 3.38 (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) ≤ 1 year $ — — % — % 0.00 > 1 and ≤ 3 years 6,796,772 4.551 % 5.380 % 1.44 > 3 and ≤ 5 years 2,040,444 3.800 % 5.380 % 4.07 > 5 and ≤ 7 years 697,800 4.282 % 5.380 % 6.67 > 7 and ≤ 10 years 2,125,830 3.606 % 5.380 % 9.32 > 10 years 466,637 3.753 % 5.380 % 14.57 Total $ 12,127,483 4.245 % 5.380 % 3.87 ____________________ (1) Notional amount includes $1.1 billion and $1.1 billion in forward starting interest rate swaps as of March 31, 2024 and December 31, 2023, respectively. (2) Weighted averages exclude forward starting interest rate swaps. As of March 31, 2024 and December 31, 2023, the weighted average fixed pay rate on forward starting interest rate swaps was 4.0% and 4.0%, respectively. |
Schedule of Interest Rate Swap Receivers | Additionally, as of March 31, 2024 and 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) March 31, 2024 Swaps Maturities Notional Amount (1) Weighted Average Pay Rate (2) Weighted Average Fixed Receive Rate (2) Weighted Average Maturity (Years) (2) ≤ 1 year $ 786,641 5.340 % 4.025 % 0.97 > 1 and ≤ 3 years 641,100 — % — % 0.00 > 3 and ≤ 5 years 260,000 5.340 % 3.328 % 3.50 > 5 and ≤ 7 years — — % — % 0.00 > 7 and ≤ 10 years — — % — % 0.00 > 10 years 260,626 5.340 % 3.444 % 19.76 Total $ 1,948,367 5.340 % 3.770 % 5.22 (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) ≤ 1 year $ — — % — % 0.00 > 1 and ≤ 3 years 2,470,819 5.380 % 4.204 % 1.36 > 3 and ≤ 5 years 780,000 5.380 % 3.845 % 1.36 > 5 and ≤ 7 years 988,026 5.380 % 4.023 % 4.03 > 7 and ≤ 10 years 1,161,160 5.380 % 4.013 % 9.57 > 10 years 260,626 5.380 % 3.444 % 20.01 Total $ 5,660,631 5.380 % 4.052 % 5.00 ____________________ (1) Notional amount includes $641.1 million and $645.2 million in forward starting interest rate swaps as of March 31, 2024 and December 31, 2023, respectively. (2) Weighted averages exclude forward starting interest rate swaps. As of March 31, 2024 and December 31, 2023, the weighted average fixed receive rate on forward starting interest rate swaps was 4.3% and 4.4%, respectively. |
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 Fair Value Average Months to Expiration Notional Amount Average Fixed Rate 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 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Offsetting [Abstract] | |
Offsetting Assets | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of March 31, 2024 and December 31, 2023: March 31, 2024 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 $ 126,128 $ (101,731) $ 24,397 $ (3,027) $ — $ 21,370 Reverse repurchase agreements 351,843 — 351,843 — (295,774) 56,069 Total Assets $ 477,971 $ (101,731) $ 376,240 $ (3,027) $ (295,774) $ 77,439 Liabilities: Repurchase agreements $ (8,361,638) $ — $ (8,361,638) $ 8,361,638 $ — $ — Derivative liabilities (104,758) 101,731 (3,027) 3,027 — — Total Liabilities $ (8,466,396) $ 101,731 $ (8,364,665) $ 8,364,665 $ — $ — 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 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. |
Offsetting Liabilities | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of March 31, 2024 and December 31, 2023: March 31, 2024 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 $ 126,128 $ (101,731) $ 24,397 $ (3,027) $ — $ 21,370 Reverse repurchase agreements 351,843 — 351,843 — (295,774) 56,069 Total Assets $ 477,971 $ (101,731) $ 376,240 $ (3,027) $ (295,774) $ 77,439 Liabilities: Repurchase agreements $ (8,361,638) $ — $ (8,361,638) $ 8,361,638 $ — $ — Derivative liabilities (104,758) 101,731 (3,027) 3,027 — — Total Liabilities $ (8,466,396) $ 101,731 $ (8,364,665) $ 8,364,665 $ — $ — 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 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. |
Fair Value (Tables)
Fair Value (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
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 March 31, 2024 (in thousands) Level 1 Level 2 Level 3 Total Assets: Available-for-sale securities $ — $ 8,178,591 $ 3,953 $ 8,182,544 Mortgage servicing rights — — 3,084,879 3,084,879 Derivative assets 14,512 9,885 — 24,397 Total assets $ 14,512 $ 8,188,476 $ 3,088,832 $ 11,291,820 Liabilities: Derivative liabilities $ 3,027 $ — $ — $ 3,027 Total liabilities $ 3,027 $ — $ — $ 3,027 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 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following table presents the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis: Three Months Ended March 31, 2024 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Beginning of period level 3 fair value $ 4,150 $ 3,052,016 Gains (losses) included in net income (loss): Realized (155) (43,418) Unrealized — (1) 54,430 (2) Reversal of provision for credit losses (65) — Net gains (losses) included in net income (loss) (220) 11,012 Other comprehensive income 23 — Purchases — 40,335 Sales — (18,221) Settlements — (263) Gross transfers into level 3 — — Gross transfers out of level 3 — — End of period level 3 fair value $ 3,953 $ 3,084,879 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ — (3) $ 61,247 (4) Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period $ 23 $ — ____________________ (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 condensed consolidated statements of comprehensive income (loss). (2) The change in unrealized gains or losses on MSR was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive income (loss). (3) The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option that were held at the end of the reporting period was recorded in (loss) gain on investment securities on the condensed consolidated statements of comprehensive income (loss). (4) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive income (loss). |
Fair Value Inputs, Assets, Quantitative Information | The tables below present information about the significant unobservable market data used by the third-party pricing vendors as inputs into models utilized to inform their best estimates of the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at March 31, 2024 and December 31, 2023: March 31, 2024 Valuation Technique Unobservable Input Range Weighted Average (1) Discounted cash flow Constant prepayment speed 5.6% - 6.8% 6.2% Option-adjusted spread 5.2% - 8.7% 5.4% Per loan annual cost to service $67.90 - $81.54 $68.47 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 ___________________ (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 March 31, 2024 and December 31, 2023: March 31, 2024 December 31, 2023 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets: Available-for-sale securities $ 8,182,544 $ 8,182,544 $ 8,327,149 $ 8,327,149 Mortgage servicing rights $ 3,084,879 $ 3,084,879 $ 3,052,016 $ 3,052,016 Cash and cash equivalents $ 666,244 $ 666,244 $ 729,732 $ 729,732 Restricted cash $ 72,184 $ 72,184 $ 65,101 $ 65,101 Derivative assets $ 24,397 $ 24,397 $ 85,291 $ 85,291 Reverse repurchase agreements $ 351,843 $ 351,843 $ 284,091 $ 284,091 Other assets $ 31,562 $ 31,562 $ 31,704 $ 31,704 Liabilities: Repurchase agreements $ 8,361,638 $ 8,361,638 $ 8,020,207 $ 8,020,207 Revolving credit facilities $ 1,357,671 $ 1,357,671 $ 1,329,171 $ 1,329,171 Term notes payable $ 295,520 $ 292,552 $ 295,271 $ 289,653 Convertible senior notes $ 268,953 $ 259,507 $ 268,582 $ 254,232 Derivative liabilities $ 3,027 $ 3,027 $ 21,506 $ 21,506 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements by Maturity | At March 31, 2024 and December 31, 2023, the Company’s repurchase agreements had the following characteristics and remaining maturities: March 31, 2024 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 2,262,318 $ — $ 7,752 $ 58,977 $ 2,329,047 30 to 59 days 1,367,028 — — — 1,367,028 60 to 89 days 1,022,997 — — — 1,022,997 90 to 119 days 702,452 — — — 702,452 120 to 364 days 2,739,235 217 662 200,000 2,940,114 Total $ 8,094,030 $ 217 $ 8,414 $ 258,977 $ 8,361,638 Weighted average borrowing rate 5.51 % 6.13 % 6.10 % 6.92 % 5.61 % December 31, 2023 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights 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 % |
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) March 31, December 31, Available-for-sale securities, at fair value $ 8,178,289 $ 8,126,028 Mortgage servicing rights, at fair value (1) 468,610 463,529 Restricted cash 24,871 12,375 Due from counterparties 237,711 36,420 Derivative assets, at fair value 9,546 11,877 Total $ 8,919,027 $ 8,650,229 ____________________ (1) As of March 31, 2024 and December 31, 2023 , MSR repurchase agreements of $200.0 million and $214.0 million, respectively, were secured by a VFN issued in connection with the Company’s securitization of MSR and MSR repurchase agreements of $59.0 million and $58.6 million, respectively, 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. |
Revolving Credit Facilities (Ta
Revolving Credit Facilities (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Revolving Credit Facilities [Abstract] | |
Schedule of Line of Credit Facilities | At March 31, 2024 and December 31, 2023, borrowings under revolving credit facilities had the following remaining maturities: (in thousands) March 31, December 31, Within 30 days $ — $ — 30 to 59 days — — 60 to 89 days — — 90 to 119 days — — 120 to 364 days 381,800 324,300 One year and over 975,871 1,004,871 Total $ 1,357,671 $ 1,329,171 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Equity [Abstract] | |
Preferred Stock | The following is a summary of the Company’s series of cumulative redeemable preferred stock issued and outstanding as of March 31, 2024. 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 5,050,221 $ 121,971 8.125 % April 27, 2027 April 27, 2027 3M Rate + 5.660% Series B July 19, 2017 10,159,200 245,670 7.625 % July 27, 2027 July 27, 2027 3M Rate + 5.352% Series C November 27, 2017 9,661,396 233,826 7.250 % January 27, 2025 January 27, 2025 3M Rate + 5.011% Total 24,870,817 $ 601,467 ____________________ (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 three months ended March 31, 2024 and 2023: Number of common shares Common shares outstanding, December 31, 2022 86,428,845 Issuance of common stock 10,121,107 Non-cash equity award compensation (1) 114,366 Common shares outstanding, March 31, 2023 96,664,318 Common shares outstanding, December 31, 2023 103,206,457 Issuance of common stock 4,058 Non-cash equity award compensation (1) 264,429 Common shares outstanding, March 31, 2024 103,474,944 ____________________ (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 three months ended March 31, 2024 and 2023: Three Months Ended March 31, (dollars in thousands) 2024 2023 Class of Stock Amount Per Share Amount Per Share Series A Preferred Stock $ 2,565 $ 0.51 $ 2,702 $ 0.51 Series B Preferred Stock $ 4,841 $ 0.48 $ 5,106 $ 0.48 Series C Preferred Stock $ 4,378 $ 0.45 $ 4,557 $ 0.45 Common Stock $ 47,081 $ 0.45 $ 58,381 $ 0.60 |
Schedule of Accumulated Other Comprehensive Income (Loss) | Accumulated other comprehensive loss at March 31, 2024 and December 31, 2023 was as follows: (in thousands) March 31, December 31, Available-for-sale securities: Unrealized gains $ 6,654 $ 23,305 Unrealized losses (286,161) (199,734) Accumulated other comprehensive loss $ (279,507) $ (176,429) |
Equity Incentive Plans (Tables)
Equity Incentive Plans (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Share-Based Payment Arrangement [Abstract] | |
Schedule of Nonvested Restricted Stock Units Activity | The following table summarizes the activity related to RSUs for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 2023 Units Weighted Average Grant Date Fair Market Value Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 613,699 $ 19.11 468,632 $ 23.54 Granted 340,376 14.17 282,090 17.43 Vested (203,652) (21.07) (114,366) (24.14) Forfeited — — — — Outstanding at End of Period 750,423 $ 16.34 636,356 $ 20.72 |
Schedule of Nonvested Performance Share Units Activity | The following table summarizes the activity related to PSUs for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 2023 Target Units Weighted Average Grant Date Fair Market Value Target Units Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 485,822 $ 24.89 265,261 $ 26.93 Granted 292,000 16.19 222,208 22.47 Vested (60,777) (34.68) — — Forfeited (43,959) (34.68) — — Outstanding at End of Period 673,086 $ 19.60 487,469 $ 24.90 |
Nonvested Restricted Stock Shares Activity | The following table summarizes the activity related to restricted common stock for the three months ended March 31, 2024 and 2023: Three Months Ended March 31, 2024 2023 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 Granted — — — — Vested — — (42,884) (60.91) Forfeited — — — — Outstanding at End of Period — $ — — $ — |
Interest Income and Interest _2
Interest Income and Interest Expense (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
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 three months ended March 31, 2024 and 2023. Three Months Ended March 31, 2024 2023 Interest income: Available-for-sale securities $ 100,605 $ 97,038 Other 17,178 19,555 Total interest income 117,783 116,593 Interest expense: Repurchase agreements 118,716 104,355 Revolving credit facilities 30,247 25,656 Term notes payable 6,418 7,643 Convertible senior notes 4,619 4,836 Total interest expense 160,000 142,490 Net interest (expense) income $ (42,217) $ (25,897) |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted | The following table presents a reconciliation of the earnings (loss) and shares used in calculating basic and diluted earnings (loss) per share for the three months ended March 31, 2024 and 2023. Three Months Ended March 31, (in thousands, except share data) 2024 2023 Basic Earnings (Loss) Per Share: Net income (loss) $ 203,588 $ (176,808) Dividends on preferred stock (11,784) (12,365) Gain on repurchase and retirement of preferred stock 644 — Dividends and undistributed earnings allocated to participating restricted stock units (1,441) (382) Net income (loss) attributable to common stockholders, basic $ 191,007 $ (189,555) Basic weighted average common shares 103,401,940 92,575,840 Basic earnings (loss) per weighted average common share $ 1.85 $ (2.05) Diluted Earnings (Loss) Per Share: Net income (loss) attributable to common stockholders, basic $ 191,007 $ (189,555) Reallocation impact of undistributed earnings to participating restricted stock units 61 — Interest expense attributable to convertible notes 4,619 — Net income (loss) attributable to common stockholders, diluted $ 195,687 $ (189,555) Basic weighted average common shares 103,401,940 92,575,840 Effect of dilutive shares issued in an assumed vesting of performance share units 361,286 — Effect of dilutive shares issued in an assumed conversion 9,210,091 — Diluted weighted average common shares 112,973,317 92,575,840 Diluted earnings (loss) per weighted average common share $ 1.73 $ (2.05) |
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 | Mar. 31, 2023 | Sep. 30, 2023 | Dec. 31, 2023 | |
Business Combination, Asset Acquisition, and Joint Venture Formation [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 | |||
Indefinite-lived mortgage servicing and origination licenses and approvals | 600 | |||
Goodwill for tax purposes | $ 27,500 | |||
Acquisition-related costs expensed during the period | $ 42 |
Summary of Unaudited Pro Forma
Summary of Unaudited Pro Forma Combined Revenue and Income Before Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Business Combination, Asset Acquisition, and Joint Venture Formation [Abstract] | ||
Revenue | $ 430,259 | $ 22,827 |
Income before income taxes | $ 215,559 | (192,735) |
Servicing expenses due to RoundPoint recognized prior to the closing of the acquisition | $ 5,200 |
Variable Interest Entities (Det
Variable Interest Entities (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Variable Interest Entity [Line Items] | ||
Total Assets | $ 13,161,925 | $ 13,138,800 |
Term notes payable | 295,520 | 295,271 |
Revolving credit facilities | 1,357,671 | 1,329,171 |
Accrued interest payable | 79,990 | 141,773 |
Other liabilities | 165,820 | 225,434 |
Total Liabilities | 10,921,855 | 10,935,410 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Variable Interest Entity [Line Items] | ||
Note receivable | 399,654 | 399,317 |
Restricted cash | 41,013 | 45,642 |
Accrued interest receivable | 641 | 551 |
Other assets | 93,852 | 79,749 |
Total Assets | 535,160 | 525,259 |
Term notes payable | 399,654 | 399,317 |
Revolving credit facilities | 59,300 | 34,300 |
Accrued interest payable | 1,066 | 816 |
Other liabilities | 40,588 | 45,377 |
Total Liabilities | $ 500,608 | $ 479,810 |
Available-for-Sale Securities_3
Available-for-Sale Securities, at Fair Value (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 8,182,544 | $ 8,327,149 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 5,205,459 | 5,467,684 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 2,913,167 | 2,790,662 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 59,965 | 64,653 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 3,953 | $ 4,150 |
Available-for-Sale Securities P
Available-for-Sale Securities Pledged as Collateral for Financing (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Available-for-sale securities, at fair value | $ 8,182,544 | $ 8,327,149 |
Asset Pledged as Collateral | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Available-for-sale securities, at fair value | $ 8,200,000 | $ 8,100,000 |
Available-for-Sale Securities_4
Available-for-Sale Securities, at Fair Value Nonconsolidated Variable Interest Entities (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Variable Interest Entity [Line Items] | ||
Available-for-sale securities, at fair value | $ 8,182,544 | $ 8,327,149 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Available-for-sale securities, at fair value | 4,000 | 4,200 |
Maximum exposure to loss of nonconsolidated Variable Interest Entities | $ 4,000 | $ 4,200 |
Schedule of Available-for-sale
Schedule of Available-for-sale Securities Reconciliation (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | $ 9,719,315 | $ 9,832,353 | ||
Unamortized Premium | 211,053 | 217,937 | ||
Accretable Purchase Discount | (123,856) | (130,951) | ||
Amortized Cost | 8,467,938 | 8,509,383 | ||
Allowance for Credit Losses | (3,607) | (3,943) | $ (5,922) | $ (6,958) |
Unrealized Gain | 6,863 | 23,757 | ||
Unrealized Loss | (288,650) | (202,048) | ||
Available-for-sale securities, at fair value | 8,182,544 | 8,327,149 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 9,167,616 | 9,262,456 | ||
Unamortized Premium | 206,971 | 213,738 | ||
Accretable Purchase Discount | (123,837) | (130,932) | ||
Amortized Cost | 8,463,249 | 8,504,539 | ||
Allowance for Credit Losses | (3,217) | (3,619) | (5,274) | (6,785) |
Unrealized Gain | 6,699 | 23,584 | ||
Unrealized Loss | (288,140) | (201,505) | ||
Available-for-sale securities, at fair value | 8,178,591 | 8,322,999 | ||
Mortgage-Backed Securities, Issued by US Government Sponsored Enterprises, Principal and Interest | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 8,380,115 | 8,421,733 | ||
Unamortized Premium | 151,096 | 155,171 | ||
Accretable Purchase Discount | (123,837) | (130,932) | ||
Amortized Cost | 8,407,374 | 8,445,972 | ||
Allowance for Credit Losses | 0 | 0 | ||
Unrealized Gain | 6,079 | 22,677 | ||
Unrealized Loss | (283,136) | (196,748) | ||
Available-for-sale securities, at fair value | 8,130,317 | 8,271,901 | ||
Mortgage-Backed Securities, Issued by US Government Sponsored Enterprises, Interest-Only-Strip | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 787,501 | 840,723 | ||
Unamortized Premium | 55,875 | 58,567 | ||
Accretable Purchase Discount | 0 | 0 | ||
Amortized Cost | 55,875 | 58,567 | ||
Allowance for Credit Losses | (3,217) | (3,619) | ||
Unrealized Gain | 620 | 907 | ||
Unrealized Loss | (5,004) | (4,757) | ||
Available-for-sale securities, at fair value | 48,274 | 51,098 | ||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Principal/Current Face | 551,699 | 569,897 | ||
Unamortized Premium | 4,082 | 4,199 | ||
Accretable Purchase Discount | (19) | (19) | ||
Amortized Cost | 4,689 | 4,844 | ||
Allowance for Credit Losses | (390) | (324) | $ (648) | $ (173) |
Unrealized Gain | 164 | 173 | ||
Unrealized Loss | (510) | (543) | ||
Available-for-sale securities, at fair value | $ 3,953 | $ 4,150 |
Available-for-Sale Securities_5
Available-for-Sale Securities, Weighted Average Life Classifications (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | $ 282 | |
Greater than 1 year and less than or equal to 3 years | 16,243 | |
Greater than 3 years and less than or equal to 5 years | 177,196 | |
Greater than 5 years and less than or equal to 10 years | 7,988,501 | |
Greater than 10 years | 322 | |
Available-for-sale securities, at fair value | 8,182,544 | $ 8,327,149 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | 282 | |
Greater than 1 year and less than or equal to 3 years | 16,243 | |
Greater than 3 years and less than or equal to 5 years | 177,196 | |
Greater than 5 years and less than or equal to 10 years | 7,984,870 | |
Greater than 10 years | 0 | |
Available-for-sale securities, at fair value | 8,178,591 | 8,322,999 |
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 | 3,631 | |
Greater than 10 years | 322 | |
Available-for-sale securities, at fair value | $ 3,953 | $ 4,150 |
Available-for-sale Securities_6
Available-for-sale Securities, Rollforward of the Allowance for Credit Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||
Allowance for credit losses at beginning of period | $ (3,943) | $ (6,958) |
Additions on securities for which credit losses were not previously recorded | (54) | (318) |
Increase (decrease) on securities with previously recorded credit losses | (26) | 460 |
Writeoffs | (416) | 894 |
Allowance for credit losses at end of period | (3,607) | (5,922) |
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 | (3,619) | (6,785) |
Additions on securities for which credit losses were not previously recorded | (37) | 0 |
Increase (decrease) on securities with previously recorded credit losses | 24 | 827 |
Writeoffs | 415 | 684 |
Allowance for credit losses at end of period | (3,217) | (5,274) |
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 | (324) | (173) |
Additions on securities for which credit losses were not previously recorded | (17) | (318) |
Increase (decrease) on securities with previously recorded credit losses | (50) | (367) |
Writeoffs | 1 | 210 |
Allowance for credit losses at end of period | $ (390) | $ (648) |
Schedule of Available-for-sal_2
Schedule of Available-for-sale Debt Securities in Unrealized Loss Positions (Details) $ in Thousands | Mar. 31, 2024 USD ($) numberOfPositions | Dec. 31, 2023 USD ($) numberOfPositions |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Debt Securities, Available-for-sale, Number of Positions | numberOfPositions | 647 | 646 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Number of Positions | numberOfPositions | 530 | 477 |
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 | $ 7,023,500 | $ 6,270,731 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (285,954) | (199,449) |
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 | 7,023,500 | 6,270,731 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 285,954 | 199,449 |
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 | 7,023,251 | 6,269,848 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (285,881) | (199,276) |
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 | 7,023,251 | 6,269,848 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 285,881 | 199,276 |
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 | 249 | 883 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (73) | (173) |
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 | 249 | 883 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ 73 | $ 173 |
Available-for-Sale Securities_7
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Debt Securities, Available-for-Sale [Abstract] | ||
Proceeds from sales of available-for-sale securities | $ 333,082 | $ 1,360,742 |
Amortized cost of available-for-sale securities sold | (343,245) | (1,393,484) |
Total realized losses on sales, net | (10,163) | (32,742) |
Gross realized gains | 0 | 14,070 |
Gross realized losses | $ (10,163) | $ (46,812) |
Rollforward of Mortgage Servici
Rollforward of Mortgage Servicing Rights, at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | ||
Mortgage servicing rights, at fair value, at beginning of period | $ 3,052,016 | $ 2,984,937 |
Purchases of mortgage servicing rights | 40,335 | 118,341 |
Sales of mortgage servicing rights | (12,871) | (2,693) |
Changes in valuation inputs or assumptions used in the valuation model | $ 54,430 | $ 20,421 |
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 (2) | Other changes in fair value (2) |
Other changes in fair value | $ (48,768) | $ (47,661) |
Other changes | (263) | (900) |
Mortgage servicing rights, at fair value, at end of period | $ 3,084,879 | $ 3,072,445 |
Mortgage Servicing Rights Pledg
Mortgage Servicing Rights Pledged as Collateral for Financing (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 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] | ||||
Mortgage servicing rights, at fair value | $ 3,084,879 | $ 3,052,016 | $ 3,072,445 | $ 2,984,937 |
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 | Mar. 31, 2024 USD ($) | Dec. 31, 2023 USD ($) |
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 | $ (78,387) | $ (74,042) |
Impact on fair value of 20% adverse change in prepayment speed | (154,074) | (146,237) |
Impact on fair value of 10% adverse change in delinquency | (5,445) | (4,654) |
Impact on fair value of 20% adverse change in delinquency | (13,974) | (12,376) |
Impact on fair value of 10% adverse change in discount rate | (71,353) | (59,285) |
Impact on fair value of 20% adverse change in discount rate | (138,989) | (119,776) |
Impact on fair value of 10% adverse change in per loan annual cost to service | (27,471) | (24,111) |
Impact on fair value of 20% adverse change in per loan annual cost to service | $ (55,188) | $ (48,985) |
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 | 0.062 |
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 | 0.010 | 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 | 0.054 | 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 | 68.47 | 68.27 |
Components of Servicing Revenue
Components of Servicing Revenue (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | ||
Servicing fee income | $ 134,320 | $ 129,237 |
Ancillary and other fee income | 3,857 | 369 |
Float income | 28,156 | 23,714 |
Servicing income | $ 166,333 | $ 153,320 |
Mortgage Servicing Advances (De
Mortgage Servicing Advances (Details) - USD ($) $ in Millions | Mar. 31, 2024 | Dec. 31, 2023 |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Servicing advances | $ 103.3 | $ 143.2 |
Mortgage servicing rights, delinquency rate | 0.70% | 0.70% |
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 | $ 93.9 | $ 79.7 |
Schedule of Restricted Cash and
Schedule of Restricted Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 72,184 | $ 65,101 |
Restricted Cash and Cash Equivalents Held for Securities Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 450 | 450 |
Restricted Cash and Cash Equivalents Held for Derivatives Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 0 | 1,669 |
Restricted Cash and Cash Equivalents Held for Servicing Activities [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 45,099 | 50,345 |
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 26,572 | 12,575 |
Restricted Cash and Cash Equivalents Held by Counterparties [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 72,121 | 65,039 |
Restricted Cash and Cash Equivalents for Lease [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 63 | $ 62 |
Schedule of Total Cash, Cash Eq
Schedule of Total Cash, Cash Equivalents and Restricted Cash (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Cash, Cash Equivalents, Restricted Cash, and Restricted Cash Equivalents [Abstract] | ||||
Cash and cash equivalents | $ 666,244 | $ 729,732 | ||
Restricted cash | 72,184 | 65,101 | ||
Total cash, cash equivalents and restricted cash | $ 738,428 | $ 794,833 | $ 825,561 | $ 1,126,505 |
Schedule of Derivative Instrume
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($) | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Net Long Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | $ (7,789,839,000) | $ (15,045,799,000) | $ (5,165,407,000) | |
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 | (156,527,000) | (163,735,000) | (188,085,000) | (196,456,000) |
Interest Rate Swap [Member] | Net Long Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | (9,822,112,000) | (17,788,114,000) | (8,404,872,000) | 0 |
Interest Rate Swaption [Member] | Net Short Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | 0 | (200,000,000) | (200,000,000) | 0 |
TBAs [Member] | Net Long Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | (3,450,000,000) | (3,497,000,000) | (3,718,000,000) | (3,826,000,000) |
Futures [Member] | ||||
Derivative, Fair Value, Net [Abstract] | ||||
Fair Value | 0 | 0 | ||
Futures [Member] | Net Short Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | (5,638,800,000) | (6,203,050,000) | $ (6,945,550,000) | $ (18,285,452,000) |
Derivative assets | ||||
Derivative, Fair Value, Net [Abstract] | ||||
Fair Value | 24,397,000 | 85,291,000 | ||
Derivative assets | Net Long Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | (8,307,839,000) | (2,942,735,000) | ||
Derivative assets | Inverse Interest-Only Securities [Member] | ||||
Derivative, Fair Value, Net [Abstract] | ||||
Fair Value | 9,885,000 | 12,292,000 | ||
Derivative assets | Inverse Interest-Only Securities [Member] | Net Long Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | (156,527,000) | (163,735,000) | ||
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 | (9,822,112,000) | 0 | ||
Derivative assets | Interest Rate Swaption [Member] | ||||
Derivative, Fair Value, Net [Abstract] | ||||
Fair Value | 0 | 19,000 | ||
Derivative assets | Interest Rate Swaption [Member] | Net Short Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | 0 | (200,000,000) | ||
Derivative assets | TBAs [Member] | ||||
Derivative, Fair Value, Net [Abstract] | ||||
Fair Value | 14,512,000 | 72,980,000 | ||
Derivative assets | TBAs [Member] | Net Long Position [Member] | ||||
Derivative, Fair Value, Net [Abstract] | ||||
Fair Value | 14,512,000 | 72,980,000 | ||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | (3,968,000,000) | (2,979,000,000) | ||
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 | (5,638,800,000) | 0 | ||
Derivative liabilities | ||||
Derivative, Fair Value, Net [Abstract] | ||||
Fair Value | (3,027,000) | (21,506,000) | ||
Derivative liabilities | Net Long Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | (12,103,064,000) | |||
Derivative liabilities | Net Short Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | (518,000,000) | |||
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 | 0 | (17,788,114,000) | ||
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 | (3,027,000) | (21,506,000) | ||
Derivative liabilities | TBAs [Member] | Net Long Position [Member] | ||||
Derivative, Fair Value, Net [Abstract] | ||||
Fair Value | (3,027,000) | (21,506,000) | ||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | (518,000,000) | |||
Derivative liabilities | TBAs [Member] | Net Short Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | (518,000,000) | |||
Derivative liabilities | Futures [Member] | ||||
Derivative, Fair Value, Net [Abstract] | ||||
Fair Value | 0 | 0 | ||
Derivative liabilities | Futures [Member] | Net Short Position [Member] | ||||
Notional Disclosures [Abstract] | ||||
Derivative, Notional Amount | $ 0 | $ (6,203,050,000) |
Schedule of Derivative Instru_2
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amount of Gain (Loss) Recognized in Income | $ 146,109 | $ (237,925) |
TBAs [Member] | Gain (loss) on other derivative instruments | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amount of Gain (Loss) Recognized in Income | (59,180) | (17,164) |
Futures [Member] | Gain (loss) on other derivative instruments | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amount of Gain (Loss) Recognized in Income | 108,936 | (140,087) |
Options on Futures [Member] | Gain (loss) on other derivative instruments | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amount of Gain (Loss) Recognized in Income | (127) | 0 |
Interest Rate Swap [Member] | Long [Member] | Gain (loss) on interest rate swap and swaption agreements | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amount of Gain (Loss) Recognized in Income | 194,430 | (71,760) |
Interest Rate Swap [Member] | Short [Member] | Gain (loss) on interest rate swap and swaption agreements | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amount of Gain (Loss) Recognized in Income | (95,951) | (10,368) |
Interest Rate Swaption [Member] | Gain (loss) on interest rate swap and swaption agreements | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amount of Gain (Loss) Recognized in Income | 31 | (26) |
Inverse Interest-Only Securities [Member] | Gain (loss) on other derivative instruments | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Amount of Gain (Loss) Recognized in Income | $ (2,030) | $ 1,480 |
Derivative Instruments and He_3
Derivative Instruments and Hedging Activities Interest Spread on Interest Rate Swaps (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Interest Rate Contract [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net interest expense (income) on interest rate swaps and caps | $ (14,300,000) | $ 3,600,000 |
Net Long Position [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Average Notional Amount | 11,524,816,000 | |
Net Long Position [Member] | Interest Rate Contract [Member] | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Average Notional Amount | $ 15,100,000,000 | $ 3,200,000,000 |
Schedule of Notional Amounts of
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Derivative, Notional Amount [Roll Forward] | ||
Additions | $ 10,501,962,000 | $ 11,424,891,000 |
Settlement, Termination, Expiration or Exercise | (17,757,922,000) | 8,003,512,000 |
Realized Gain (Loss), net | (14,141,000) | (106,932,000) |
Inverse Interest-Only Securities [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 0 | 0 |
Settlement, Termination, Expiration or Exercise | (7,208,000) | (8,371,000) |
Realized Gain (Loss), net | 0 | 0 |
Interest Rate Swap [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 6,567,062,000 | 9,992,941,000 |
Settlement, Termination, Expiration or Exercise | (14,533,064,000) | (1,588,069,000) |
Realized Gain (Loss), net | 13,988,000 | (18,580,000) |
Interest Rate Swaption [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | (500,000,000) | (200,000,000) |
Settlement, Termination, Expiration or Exercise | 700,000,000 | 0 |
Realized Gain (Loss), net | (98,000) | 0 |
TBAs [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 12,173,000,000 | 14,666,000,000 |
Settlement, Termination, Expiration or Exercise | (12,220,000,000) | (14,774,000,000) |
Realized Gain (Loss), net | (19,190,000) | (88,483,000) |
Futures [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | (7,738,100,000) | (13,034,050,000) |
Settlement, Termination, Expiration or Exercise | 8,302,350,000 | 24,373,952,000 |
Realized Gain (Loss), net | (8,714,000) | 131,000 |
Options on Futures [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Additions | 0 | |
Settlement, Termination, Expiration or Exercise | 0 | |
Realized Gain (Loss), net | (127,000) | |
Net Long Position [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 15,045,799,000 | |
End of Period Notional Amount | 7,789,839,000 | 5,165,407,000 |
Average Notional Amount | (11,524,816,000) | |
Net Long Position [Member] | Inverse Interest-Only Securities [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 163,735,000 | 196,456,000 |
End of Period Notional Amount | 156,527,000 | 188,085,000 |
Average Notional Amount | (160,491,000) | (192,729,000) |
Net Long Position [Member] | Interest Rate Swap [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 17,788,114,000 | 0 |
End of Period Notional Amount | 9,822,112,000 | 8,404,872,000 |
Average Notional Amount | (15,136,445,000) | (3,196,969,000) |
Net Long Position [Member] | TBAs [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 3,497,000,000 | 3,826,000,000 |
End of Period Notional Amount | 3,450,000,000 | 3,718,000,000 |
Average Notional Amount | (3,037,747,000) | (4,073,467,000) |
Net Long Position [Member] | Options on Futures [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 0 | |
End of Period Notional Amount | 0 | |
Average Notional Amount | 0 | |
Net Short Position [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 14,262,996,000 | |
Average Notional Amount | (8,216,935,000) | |
Net Short Position [Member] | Interest Rate Swaption [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 200,000,000 | 0 |
End of Period Notional Amount | 0 | 200,000,000 |
Average Notional Amount | (232,967,000) | (57,778,000) |
Net Short Position [Member] | Futures [Member] | ||
Derivative, Notional Amount [Roll Forward] | ||
Beginning of Period Notional Amount | 6,203,050,000 | 18,285,452,000 |
End of Period Notional Amount | 5,638,800,000 | 6,945,550,000 |
Average Notional Amount | $ (6,576,900,000) | $ (15,622,322,000) |
Derivative Instruments and He_4
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Derivatives, Fair Value [Line Items] | ||||
Available-for-sale securities, at fair value | $ 8,182,544 | $ 8,327,149 | ||
Mortgage servicing rights, at fair value | 3,084,879 | 3,052,016 | $ 3,072,445 | $ 2,984,937 |
Interest-Only-Strip [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Available-for-sale securities, at fair value | $ 40,600 | $ 41,900 |
Derivative Instruments and He_5
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) - USD ($) | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Derivative assets | ||||
Derivative [Line Items] | ||||
Fair Value | $ 24,397,000 | $ 85,291,000 | ||
Derivative liabilities | ||||
Derivative [Line Items] | ||||
Fair Value | (3,027,000) | (21,506,000) | ||
Net Long Position [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 7,789,839,000 | 15,045,799,000 | $ 5,165,407,000 | |
Net Long Position [Member] | Derivative assets | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 8,307,839,000 | 2,942,735,000 | ||
Net Long Position [Member] | Derivative liabilities | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 12,103,064,000 | |||
TBAs [Member] | Derivative assets | ||||
Derivative [Line Items] | ||||
Fair Value | 14,512,000 | 72,980,000 | ||
TBAs [Member] | Derivative liabilities | ||||
Derivative [Line Items] | ||||
Fair Value | (3,027,000) | (21,506,000) | ||
TBAs [Member] | Long [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 4,193,000,000 | 4,194,000,000 | ||
Cost Basis | 4,129,470,000 | 3,827,271,000 | ||
Market Value | 4,143,411,000 | 3,898,874,000 | ||
TBAs [Member] | Long [Member] | Derivative assets | ||||
Derivative [Line Items] | ||||
Fair Value | 14,512,000 | 72,980,000 | ||
TBAs [Member] | Long [Member] | Derivative liabilities | ||||
Derivative [Line Items] | ||||
Fair Value | (571,000) | (1,377,000) | ||
TBAs [Member] | Short [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 743,000,000 | 697,000,000 | ||
Cost Basis | 707,538,000 | 656,723,000 | ||
Market Value | 709,994,000 | 676,852,000 | ||
TBAs [Member] | Short [Member] | Derivative assets | ||||
Derivative [Line Items] | ||||
Fair Value | 0 | 0 | ||
TBAs [Member] | Short [Member] | Derivative liabilities | ||||
Derivative [Line Items] | ||||
Fair Value | (2,456,000) | (20,129,000) | ||
TBAs [Member] | Net Long Position [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 3,450,000,000 | 3,497,000,000 | $ 3,718,000,000 | $ 3,826,000,000 |
Cost Basis | 3,421,932,000 | 3,170,548,000 | ||
Market Value | 3,433,417,000 | 3,222,022,000 | ||
TBAs [Member] | Net Long Position [Member] | Derivative assets | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 3,968,000,000 | 2,979,000,000 | ||
Fair Value | 14,512,000 | 72,980,000 | ||
TBAs [Member] | Net Long Position [Member] | Derivative liabilities | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | 518,000,000 | |||
Fair Value | $ (3,027,000) | $ (21,506,000) |
Derivative Instruments and He_6
Derivative Instruments and Hedging Activities Futures (Details) - USD ($) | 3 Months Ended | |||
Dec. 31, 2023 | Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2022 | |
Net Short Position [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ (14,262,996,000) | |||
Futures [Member] | ||||
Derivative [Line Items] | ||||
Fair Value | $ 0 | $ 0 | ||
Weighted Average Remaining Maturity | 5 months 3 days | 5 months | ||
Futures [Member] | Net Short Position [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ (6,203,050,000) | $ (5,638,800,000) | $ (6,945,550,000) | $ (18,285,452,000) |
Futures [Member] | U.S. Treasury Futures [Member] | 2 Years | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | (549,600,000) | (497,400,000) | ||
Fair Value | $ 0 | $ 0 | ||
Weighted Average Remaining Maturity | 2 months 27 days | 2 months 28 days | ||
Futures [Member] | U.S. Treasury Futures [Member] | 5 Year | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ (1,876,700,000) | $ (1,354,200,000) | ||
Fair Value | $ 0 | $ 0 | ||
Weighted Average Remaining Maturity | 2 months 27 days | 2 months 28 days | ||
Futures [Member] | U.S. Treasury Futures [Member] | 10 Year | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ (983,300,000) | $ (1,925,500,000) | ||
Fair Value | $ 0 | $ 0 | ||
Weighted Average Remaining Maturity | 2 months 18 days | 2 months 18 days | ||
Futures [Member] | U.S. Treasury Futures [Member] | 20 Year | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ (388,200,000) | $ (40,700,000) | ||
Fair Value | $ 0 | $ 0 | ||
Weighted Average Remaining Maturity | 2 months 27 days | 2 months 18 days | ||
Futures [Member] | Federal Funds Future | ||||
Derivative [Line Items] | ||||
Weighted Average Remaining Maturity | 0 months | 10 years 2 months 22 days | ||
Futures [Member] | Eurodollar Futures [Member] | Derivative Maturity Within One Year From Balance Sheet Date | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ (1,842,750,000) | $ (1,416,000,000) | ||
Fair Value | $ 0 | $ 0 | ||
Weighted Average Remaining Maturity | 6 months 1 day | 5 months 21 days | ||
Futures [Member] | Eurodollar Futures [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ (562,500,000) | $ (375,000,000) | ||
Fair Value | $ 0 | $ 0 | ||
Weighted Average Remaining Maturity | 1 year 5 months 17 days | 1 year 4 months 2 days | ||
Futures [Member] | Eris SOFR Swap Future | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount | $ 0 | $ (30,000,000) | ||
Fair Value | $ 0 | $ 0 |
Derivative Instruments and He_7
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Payers (Details) - Long [Member] - USD ($) | 3 Months Ended | |
Dec. 31, 2023 | Mar. 31, 2024 | |
Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Notional | $ 12,127,483,000 | $ 7,873,745,000 |
Weighted Average Fixed Interest Rate | 4.245% | 4.18% |
Weighted Average Variable Interest Rate | 5.38% | 5.34% |
Weighted Average Remaining Maturity | 3 years 10 months 13 days | 3 years 4 months 17 days |
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 0 | $ 2,647,671,000 |
Weighted Average Fixed Interest Rate | 0% | 4.73% |
Weighted Average Variable Interest Rate | 0% | 5.34% |
Weighted Average Remaining Maturity | 0 years | 11 months 15 days |
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Three Years From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 6,796,772,000 | $ 1,968,891,000 |
Weighted Average Fixed Interest Rate | 4.551% | 4.087% |
Weighted Average Variable Interest Rate | 5.38% | 5.34% |
Weighted Average Remaining Maturity | 1 year 5 months 8 days | 1 year 9 months 3 days |
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Five Years From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 2,040,444,000 | $ 1,784,642,000 |
Weighted Average Fixed Interest Rate | 3.80% | 3.546% |
Weighted Average Variable Interest Rate | 5.38% | 5.34% |
Weighted Average Remaining Maturity | 4 years 25 days | 3 years 9 months 10 days |
Interest Rate Swap [Member] | Derivative Maturity Over Five And Within Seven Years From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 697,800,000 | $ 0 |
Weighted Average Fixed Interest Rate | 4.282% | 0% |
Weighted Average Variable Interest Rate | 5.38% | 0% |
Weighted Average Remaining Maturity | 6 years 8 months 1 day | 0 years |
Interest Rate Swap [Member] | Derivative Maturity Over Seven And Within Ten Years From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 2,125,830,000 | $ 1,005,904,000 |
Weighted Average Fixed Interest Rate | 3.606% | 3.577% |
Weighted Average Variable Interest Rate | 5.38% | 5.34% |
Weighted Average Remaining Maturity | 9 years 3 months 25 days | 9 years |
Interest Rate Swap [Member] | Derivative Maturity Over Ten Years From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 466,637,000 | $ 466,637,000 |
Weighted Average Fixed Interest Rate | 3.753% | 3.753% |
Weighted Average Variable Interest Rate | 5.38% | 5.34% |
Weighted Average Remaining Maturity | 14 years 6 months 25 days | 14 years 3 months 25 days |
Forward Starting Interest Rate Swap | ||
Derivative [Line Items] | ||
Notional | $ 1,100,000,000 | $ 1,100,000,000 |
Weighted Average Fixed Interest Rate | 4% | 4% |
Derivative Instruments and He_8
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Receivers (Details) - Short [Member] - USD ($) | 3 Months Ended | |
Dec. 31, 2023 | Mar. 31, 2024 | |
Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Notional | $ 5,660,631,000 | $ 1,948,367,000 |
Weighted Average Variable Interest Rate | 5.38% | 5.34% |
Weighted Average Fixed Interest Rate | 4.052% | 3.77% |
Weighted Average Remaining Maturity | 5 years | 5 years 2 months 19 days |
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 0 | $ 786,641,000 |
Weighted Average Variable Interest Rate | 0% | 5.34% |
Weighted Average Fixed Interest Rate | 0% | 4.025% |
Weighted Average Remaining Maturity | 0 years | 11 months 19 days |
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Three Years From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 2,470,819,000 | $ 641,100,000 |
Weighted Average Variable Interest Rate | 5.38% | 0% |
Weighted Average Fixed Interest Rate | 4.204% | 0% |
Weighted Average Remaining Maturity | 1 year 4 months 9 days | 0 years |
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Five Years From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 780,000,000 | $ 260,000,000 |
Weighted Average Variable Interest Rate | 5.38% | 5.34% |
Weighted Average Fixed Interest Rate | 3.845% | 3.328% |
Weighted Average Remaining Maturity | 1 year 4 months 9 days | 3 years 6 months |
Interest Rate Swap [Member] | Derivative Maturity Over Five And Within Seven Years From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 988,026,000 | $ 0 |
Weighted Average Variable Interest Rate | 5.38% | 0% |
Weighted Average Fixed Interest Rate | 4.023% | 0% |
Weighted Average Remaining Maturity | 4 years 10 days | 0 years |
Interest Rate Swap [Member] | Derivative Maturity Over Seven And Within Ten Years From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 1,161,160,000 | $ 0 |
Weighted Average Variable Interest Rate | 5.38% | 0% |
Weighted Average Fixed Interest Rate | 4.013% | 0% |
Weighted Average Remaining Maturity | 9 years 6 months 25 days | 0 years |
Interest Rate Swap [Member] | Derivative Maturity Over Ten Years From Balance Sheet Date | ||
Derivative [Line Items] | ||
Notional | $ 260,626,000 | $ 260,626,000 |
Weighted Average Variable Interest Rate | 5.38% | 5.34% |
Weighted Average Fixed Interest Rate | 3.444% | 3.444% |
Weighted Average Remaining Maturity | 20 years 3 days | 19 years 9 months 3 days |
Forward Starting Interest Rate Swap | ||
Derivative [Line Items] | ||
Notional | $ 645,200,000 | $ 641,100,000 |
Weighted Average Fixed Interest Rate | 4.40% | 4.30% |
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] - USD ($) | 3 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2021 | Mar. 31, 2024 | |
Interest Rate Swaption [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Cost Basis | $ 480,000 | $ 0 | |
Fair Value | 22,000 | $ 0 | |
Weighted Average Remaining Maturity | 2 months 12 days | 0 months | |
Interest Rate Swaption [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Cost Basis | 332,000 | $ 0 | |
Fair Value | $ 3,000 | $ 0 | |
Weighted Average Remaining Maturity | 2 months 12 days | 0 months | |
Underlying Swap [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Weighted Average Remaining Maturity | 1 year | 0 years | |
Derivative, Notional Amount | $ 200,000,000 | $ 0 | |
Weighted Average Fixed Interest Rate | 5.13% | 0% | |
Underlying Swap [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Weighted Average Remaining Maturity | 1 year | 0 years | |
Derivative, Notional Amount | $ 400,000,000 | $ 0 | |
Weighted Average Fixed Interest Rate | 5.61% | 0% |
Derivative Instruments and H_10
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Derivative assets, at fair value | $ 24,397 | $ 85,291 |
Derivative liabilities, at fair value | $ (3,027) | $ (21,506) |
Reverse Repurchase Agreements (
Reverse Repurchase Agreements (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amounts due to counterparties as collateral for reverse repurchase agreements | $ 330,551 | $ 574,735 |
Reverse repurchase agreements | 351,843 | 284,091 |
Collateral Pledged | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Amounts due to counterparties as collateral for reverse repurchase agreements | 295,800 | 286,100 |
Collateral Pledged | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Reverse repurchase agreements | $ 351,800 | $ 284,100 |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Offsetting [Abstract] | ||
Gross amount of recognized derivative assets | $ 126,128 | $ 228,227 |
Gross amount of derivative liabilities offset against derivative assets in the balance sheet | 101,731 | 142,936 |
Net amount of derivative assets presented in the balance sheet | 24,397 | 85,291 |
Gross amount of derivative liabilities not offset against derivative assets in the balance sheet | 3,027 | 21,506 |
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 | 21,370 | 63,785 |
Gross amount of recognized reverse repurchase agreements | 351,843 | 284,091 |
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 | 351,843 | 284,091 |
Gross amount of financial liabilities not offset against reverse repurchase agreements in the balance sheet | 0 | 0 |
Gross amount of cash collateral received not offset against reverse repurchase agreements in the balance sheet | (295,774) | (284,091) |
Net amount of reverse repurchase agreements after effects of amounts offset and not offset in the balance sheet | 56,069 | 0 |
Gross amount of recognized assets subject to master netting arrangements or similar agreements | 477,971 | 512,318 |
Gross amount of liabilities offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 101,731 | 142,936 |
Net amount of assets subject to master netting arrangements or similar agreements presented in the balance sheet | 376,240 | 369,382 |
Gross amount of liabilities not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 3,027 | 21,506 |
Gross amount of cash collateral received not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 295,774 | 284,091 |
Net amount of assets subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | 77,439 | 63,785 |
Gross amount of recognized repurchase agreements | 8,361,638 | 8,020,207 |
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 | 8,361,638 | 8,020,207 |
Gross amount of financial assets not offset against repurchase agreements in the balance sheet | 8,361,638 | 8,020,207 |
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 | 104,758 | 164,442 |
Gross amount of derivative assets offset against derivative liabilities in the balance sheet | 101,731 | 142,936 |
Net amount of derivative liabilities presented in the balance sheet | 3,027 | 21,506 |
Gross amount of derivatives assets not offset against derivative liabilities in the balance sheet | 3,027 | 21,506 |
Gross amount of cash collateral pledged not offset against derivative liabilities in the balance sheet | 0 | 0 |
Net amount of derivative liabilities after effects of amounts offset and not offset in the balance sheet | 0 | 0 |
Gross amount of recognized liabilities subject to master netting arrangements or similar agreements | 8,466,396 | 8,184,649 |
Gross amount of assets offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 101,731 | 142,936 |
Net amount of liabilities subject to master netting arrangements or similar agreements presented in the balance sheet | 8,364,665 | 8,041,713 |
Gross amount of assets not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 8,364,665 | 8,041,713 |
Gross amount of cash collateral pledged not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 0 | 0 |
Net amount of liabilities subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | $ 0 | $ 0 |
Fair Value, Measurement Inputs,
Fair Value, Measurement Inputs, Disclosure (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
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 | $ 3,084,879 | $ 3,052,016 | $ 3,072,445 | $ 2,984,937 |
Derivative assets, at fair value | 24,397 | 85,291 | ||
Derivative liabilities, at fair value | 3,027 | 21,506 | ||
Fair Value, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Available-for-sale securities | 8,182,544 | 8,327,149 | ||
Mortgage servicing rights | 3,084,879 | 3,052,016 | ||
Derivative assets, at fair value | 24,397 | 85,291 | ||
Total assets | 11,291,820 | 11,464,456 | ||
Derivative liabilities, at fair value | 3,027 | 21,506 | ||
Total liabilities | 3,027 | 21,506 | ||
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 | 14,512 | 72,980 | ||
Total assets | 14,512 | 72,980 | ||
Derivative liabilities, at fair value | 3,027 | 21,506 | ||
Total liabilities | 3,027 | 21,506 | ||
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 | 8,178,591 | 8,322,999 | ||
Mortgage servicing rights | 0 | 0 | ||
Derivative assets, at fair value | 9,885 | 12,311 | ||
Total assets | 8,188,476 | 8,335,310 | ||
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 | 3,953 | 4,150 | ||
Mortgage servicing rights | 3,084,879 | 3,052,016 | ||
Derivative assets, at fair value | 0 | 0 | ||
Total assets | 3,088,832 | 3,056,166 | ||
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) $ in Thousands | 3 Months Ended |
Mar. 31, 2024 USD ($) | |
Available-for-sale securities | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning of period level 3 fair value | $ 4,150 |
Realized gains (losses) | (155) |
Unrealized gains (losses) | 0 |
Reversal of provision for credit losses | (65) |
Net gains (losses) included in net income | (220) |
Other comprehensive income | 23 |
Purchases | 0 |
Sales | 0 |
Settlements | 0 |
Gross transfers into level 3 | 0 |
Gross transfers out of level 3 | 0 |
End of period level 3 fair value | 3,953 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 0 |
Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period | 23 |
Mortgage servicing rights | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Beginning of period level 3 fair value | 3,052,016 |
Realized gains (losses) | (43,418) |
Unrealized gains (losses) | 54,430 |
Reversal of provision for credit losses | 0 |
Net gains (losses) included in net income | 11,012 |
Other comprehensive income | 0 |
Purchases | 40,335 |
Sales | (18,221) |
Settlements | (263) |
Gross transfers into level 3 | 0 |
Gross transfers out of level 3 | 0 |
End of period level 3 fair value | 3,084,879 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 61,247 |
Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period | $ 0 |
Fair Value, Quantitative Inform
Fair Value, Quantitative Information about Level 3 Fair Value Measurements (Details) | Mar. 31, 2024 | Dec. 31, 2023 |
Measurement Input, Constant Prepayment Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.062 | 0.062 |
Measurement Input, Constant Prepayment Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.056 | 0.050 |
Measurement Input, Constant Prepayment Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.068 | 0.069 |
Measurement Input, Discount Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.054 | 0.053 |
Measurement Input, Discount Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.052 | 0.048 |
Measurement Input, Discount Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.087 | 0.086 |
Measurement Input, Per Loan Annual Cost to Service [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 68.47 | 68.27 |
Measurement Input, Per Loan Annual Cost to Service [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 67.90 | 66.31 |
Measurement Input, Per Loan Annual Cost to Service [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 81.54 | 81.30 |
Fair Value by Balance Sheet Gro
Fair Value by Balance Sheet Grouping (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Available-for-sale securities, at fair value | $ 8,182,544 | $ 8,327,149 | ||
Mortgage servicing rights, at fair value | 3,084,879 | 3,052,016 | $ 3,072,445 | $ 2,984,937 |
Cash and cash equivalents | 666,244 | 729,732 | ||
Restricted cash | 72,184 | 65,101 | ||
Derivative assets, at fair value | 24,397 | 85,291 | ||
Reverse repurchase agreements | 351,843 | 284,091 | ||
Other assets | 31,562 | 31,704 | ||
Repurchase agreements | 8,361,638 | 8,020,207 | ||
Revolving credit facilities | 1,357,671 | 1,329,171 | ||
Term notes payable | 295,520 | 295,271 | ||
Term notes payable, at fair value | 292,552 | 289,653 | ||
Convertible senior notes | 268,953 | 268,582 | ||
Convertible senior notes, at fair value | 259,507 | 254,232 | ||
Derivative liabilities, at fair value | 3,027 | 21,506 | ||
Maturity Over One Year [Member] | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Revolving credit facilities | $ 975,871 | $ 1,004,871 |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Dec. 31, 2022 | Mar. 31, 2024 | Dec. 31, 2023 | |
Disclosure of Repurchase Agreements [Abstract] | |||
Repurchase agreements | $ 8,361,638 | $ 8,020,207 | |
Weighted average borrowing rate | 5.61% | 5.74% | |
Weighted average remaining maturity | 55 days | 91 days |
Schedule of Repurchase Agreemen
Schedule of Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 8,361,638 | $ 8,020,207 |
Weighted average borrowing rate | 5.61% | 5.74% |
US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 8,094,030 | $ 7,739,356 |
Weighted average borrowing rate | 5.51% | 5.64% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 217 | $ 233 |
Weighted average borrowing rate | 6.13% | 6.36% |
Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 8,414 | $ 8,046 |
Weighted average borrowing rate | 6.10% | 6.14% |
Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 258,977 | $ 272,572 |
Weighted average borrowing rate | 6.92% | 7.08% |
Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 2,329,047 | $ 2,833,162 |
Maturity up to 30 days [Member] | US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,262,318 | 2,772,975 |
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 | 0 |
Maturity up to 30 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 7,752 | 1,615 |
Maturity up to 30 days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 58,977 | 58,572 |
Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,367,028 | 1,918,818 |
Maturity 30 to 59 Days [Member] | US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,367,028 | 1,918,818 |
Maturity 30 to 59 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 30 to 59 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 30 to 59 Days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,022,997 | 2,059,438 |
Maturity 60 to 89 Days [Member] | US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,022,997 | 2,058,518 |
Maturity 60 to 89 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 233 |
Maturity 60 to 89 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 687 |
Maturity 60 to 89 Days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 702,452 | 994,789 |
Maturity 90 to 119 Days [Member] | US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 702,452 | 989,045 |
Maturity 90 to 119 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 90 to 119 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 5,744 |
Maturity 90 to 119 Days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,940,114 | 214,000 |
Maturity 120 to 364 days [Member] | US Government-sponsored Enterprises Debt Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,739,235 | 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 | 217 | 0 |
Maturity 120 to 364 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 662 | 0 |
Maturity 120 to 364 days [Member] | Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 200,000 | $ 214,000 |
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 | Mar. 31, 2024 | Dec. 31, 2023 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 8,919,027 | $ 8,650,229 |
Repurchase agreements | 8,361,638 | 8,020,207 |
Available-for-sale securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 8,178,289 | 8,126,028 |
Mortgage servicing rights | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 468,610 | 463,529 |
Repurchase agreements | 258,977 | 272,572 |
Mortgage servicing rights | Variable Funding Note | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 200,000 | 214,000 |
Mortgage servicing rights | Term notes payable | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 59,000 | 58,600 |
Restricted cash | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 24,871 | 12,375 |
Due from counterparties | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 237,711 | 36,420 |
Derivative assets | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 9,546 | $ 11,877 |
Repurchase Agreement Counterpar
Repurchase Agreement Counterparties with Whom Amount at Risk Exceeds 10 Percent of Stockholders' Equity (Details) | Mar. 31, 2024 |
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 | 3 Months Ended | ||
Dec. 31, 2022 | Mar. 31, 2024 | Dec. 31, 2023 | |
Line of Credit Facility [Line Items] | |||
Revolving credit facilities | $ 1,357,671 | $ 1,329,171 | |
Weighted average borrowing rate | 8.56% | 8.66% | |
Weighted average remaining maturity | 1 year 1 month 6 days | 1 year 3 months 18 days |
Schedule of Revolving Credit Fa
Schedule of Revolving Credit Facilities by Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Revolving credit facilities | $ 1,357,671 | $ 1,329,171 |
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 | 381,800 | 324,300 |
Maturity Over One Year [Member] | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Revolving credit facilities | $ 975,871 | $ 1,004,871 |
Assets Pledged as Collateral fo
Assets Pledged as Collateral for Revolving Credit Facilities (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Line of Credit Facility [Line Items] | ||||
Mortgage servicing rights, at fair value | $ 3,084,879 | $ 3,052,016 | $ 3,072,445 | $ 2,984,937 |
Servicing advances | 103,300 | 143,200 | ||
Restricted cash | 72,184 | 65,101 | ||
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||||
Line of Credit Facility [Line Items] | ||||
Restricted cash | 26,572 | 12,575 | ||
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] | Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||||
Line of Credit Facility [Line Items] | ||||
Restricted cash | 1,500 | |||
Line of Credit [Member] | Asset Pledged as Collateral | ||||
Line of Credit Facility [Line Items] | ||||
Mortgage servicing rights, at fair value | 2,200,000 | 2,200,000 | ||
Servicing advances | $ 93,900 | $ 79,700 |
Term Notes Payable (Details)
Term Notes Payable (Details) - USD ($) $ in Thousands | 3 Months Ended | ||||
Dec. 31, 2022 | Mar. 31, 2024 | Sep. 30, 2023 | Dec. 31, 2023 | Mar. 31, 2023 | |
Debt Instrument [Line Items] | |||||
Aggregate principal amount | $ 295,800 | $ 295,800 | |||
Term notes payable | $ 295,520 | $ 295,271 | |||
Weighted average interest rate | 8.24% | 8.27% | |||
Weighted average remaining maturities | 6 months | 2 months 12 days | |||
Mortgage servicing rights, at fair value | $ 2,984,937 | $ 3,084,879 | $ 3,052,016 | $ 3,072,445 | |
Weighted average underlying loan coupon of mortgage servicing rights pledged as collateral for borrowings | 3.31% | 3.32% | |||
Restricted cash | $ 72,184 | $ 65,101 | |||
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | |||||
Debt Instrument [Line Items] | |||||
Restricted cash | 26,572 | 12,575 | |||
Asset Pledged as Collateral | |||||
Debt Instrument [Line Items] | |||||
Mortgage servicing rights, at fair value | 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 | ||||
Loss 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 | |||
Term notes payable | Asset Pledged as Collateral | |||||
Debt Instrument [Line Items] | |||||
Mortgage servicing rights, at fair value | $ 394,800 | $ 397,900 |
Convertible Senior Notes (Detai
Convertible Senior Notes (Details) $ in Thousands | 3 Months Ended | |||
Dec. 31, 2022 | Mar. 31, 2024 USD ($) | Jun. 30, 2023 USD ($) | Dec. 31, 2023 USD ($) | |
Debt Instrument, Redemption [Line Items] | ||||
Aggregate principal amount | $ 295,800 | $ 295,800 | ||
Convertible senior notes | $ 268,953 | 268,582 | ||
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 | $ 271,900 | $ 271,900 | ||
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 | 3 Months Ended | |
Mar. 31, 2024 | Dec. 31, 2023 | |
Class of Stock [Line Items] | ||
Preferred shares outstanding (in shares) | 24,870,817 | 25,356,426 |
Preferred stock carrying value | $ 601,467 | |
Preferred stock dividend variable rate spread | 26.161% | |
Preferred stock liquidation preference per share (in usd per share) | $ 25 | |
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 |
Series A Preferred Stock [Member] | ||
Class of Stock [Line Items] | ||
Preferred shares outstanding (in shares) | 5,050,221 | |
Preferred stock carrying value | $ 121,971 | |
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) | 10,159,200 | |
Preferred stock carrying value | $ 245,670 | |
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) | 9,661,396 | |
Preferred stock carrying value | $ 233,826 | |
Preferred stock dividend rate | 7.25% | |
Preferred stock dividend variable rate spread | 5.011% |
Stockholders' Equity Preferred
Stockholders' Equity Preferred Share Repurchase Program (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Class of Stock [Line Items] | ||
Gain on repurchase and retirement of preferred stock | $ 644 | $ 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) | 699,779 | |
Preferred stock dividend rate | 8.125% | |
Cost of shares repurchased and retired to date | $ 13,300 | |
Number of shares of common stock repurchased during period (in shares) | 35,047 | 0 |
Repurchase of stock | $ 800 | $ 0 |
Series B Preferred Stock [Member] | ||
Class of Stock [Line Items] | ||
Number of shares repurchased and retired to date (in shares) | 1,340,800 | |
Preferred stock dividend rate | 7.625% | |
Cost of shares repurchased and retired to date | $ 25,500 | |
Number of shares of common stock repurchased during period (in shares) | 280,060 | 0 |
Repurchase of stock | $ 6,400 | $ 0 |
Series C Preferred Stock [Member] | ||
Class of Stock [Line Items] | ||
Number of shares repurchased and retired to date (in shares) | 2,138,604 | |
Preferred stock dividend rate | 7.25% | |
Cost of shares repurchased and retired to date | $ 38,500 | |
Number of shares of common stock repurchased during period (in shares) | 170,502 | 0 |
Repurchase of stock | $ 3,900 | $ 0 |
Stockholders' Equity Public Off
Stockholders' Equity Public Offerings (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | ||
Feb. 06, 2023 | Mar. 31, 2024 | Mar. 31, 2023 | |
Class of Stock [Line Items] | |||
Issuance of stock, net of offering costs | $ 54 | $ 177,729 | |
Common Stock [Member] | |||
Class of Stock [Line Items] | |||
Number of shares of stock issued during period (in shares) | 10,000,000 | 4,058 | 10,121,107 |
Price per share of common stock issued during period (in usd per share) | $ 17.59 | ||
Issuance of stock, net of offering costs | $ 175,600 | ||
Days within which shares may be purchased by underwriters | 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 |
Stockholders' Equity Common Sto
Stockholders' Equity Common Stock Rollforward (Details) - shares | 3 Months Ended | ||
Feb. 06, 2023 | Mar. 31, 2024 | Mar. 31, 2023 | |
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||
Common shares outstanding at beginning of period (in shares) | 103,206,457 | ||
Common shares outstanding at end of period (in shares) | 103,474,944 | ||
Common Stock [Member] | |||
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||
Common shares outstanding at beginning of period (in shares) | 103,206,457 | 86,428,845 | |
Number of shares of stock issued during period (in shares) | 10,000,000 | 4,058 | 10,121,107 |
Number of shares of common stock repurchased during period (in shares) | 0 | 0 | |
Number of shares of restricted common stock issued during period (in shares) | 264,429 | 114,366 | |
Common shares outstanding at end of period (in shares) | 103,474,944 | 96,664,318 |
Stockholders' Equity Schedule o
Stockholders' Equity Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Class of Stock [Line Items] | ||
Preferred dividends declared | $ 11,784 | $ 12,365 |
Series A Preferred Stock [Member] | ||
Class of Stock [Line Items] | ||
Preferred dividends declared | $ 2,565 | $ 2,702 |
Dividends declared per preferred share (in usd per share) | $ 0.51 | $ 0.51 |
Series B Preferred Stock [Member] | ||
Class of Stock [Line Items] | ||
Preferred dividends declared | $ 4,841 | $ 5,106 |
Dividends declared per preferred share (in usd per share) | $ 0.48 | $ 0.48 |
Series C Preferred Stock [Member] | ||
Class of Stock [Line Items] | ||
Preferred dividends declared | $ 4,378 | $ 4,557 |
Dividends declared per preferred share (in usd per share) | $ 0.45 | $ 0.45 |
Common Stock [Member] | ||
Class of Stock [Line Items] | ||
Common dividends declared | $ 47,081 | $ 58,381 |
Dividends declared per common share (in usd per share) | $ 0.45 | $ 0.60 |
Stockholders' Equity Dividend R
Stockholders' Equity Dividend Reinvestment and Direct Stock Purchase Plan (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
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) | 134,688 | |
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) | 4,058 | 3,680 |
Proceeds from issuance of common shares during period from dividend reinvestment plan | $ 0.1 | $ 0.1 |
Stockholders' Equity Common Sha
Stockholders' Equity Common Share Repurchase Program (Details) - Common Stock [Member] - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
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) | 0 | 0 |
Repurchase of stock | $ 0 | $ 0 |
Stockholders' Equity At-the-Mar
Stockholders' Equity At-the-Market Offering (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Subsidiary, Sale of Stock [Line Items] | ||
Number of shares authorized to be sold under equity distribution agreement (in shares) | 11,000,000 | |
Number of shares remaining available for issuance under equity distribution agreement (in shares) | 3,819,406 | |
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 | $ 54 | $ 177,729 |
At the Market Offering [Member] | ||
Subsidiary, Sale of Stock [Line Items] | ||
Number of shares of stock issued during period (in shares) | 0 | 117,427 |
Issuance of stock, net of offering costs | $ 0 | $ 2,100 |
Stockholders' Equity Schedule_2
Stockholders' Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Equity [Abstract] | ||
Unrealized gains | $ 6,654 | $ 23,305 |
Unrealized losses | (286,161) | (199,734) |
Accumulated other comprehensive loss | $ (279,507) | $ (176,429) |
Stockholders' Equity Reclassifi
Stockholders' Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Millions | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
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 | $ 6.6 | $ 63.2 |
Equity Incentive Plans (Details
Equity Incentive Plans (Details) | 3 Months Ended |
Mar. 31, 2024 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 | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
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) | 613,699 | 468,632 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 19.11 | $ 23.54 |
Number of equity awards granted during period under equity incentive plans (in shares) | 340,376 | 282,090 |
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 14.17 | $ 17.43 |
Number of equity awards vested during period (in shares) | (203,652) | (114,366) |
Weighted average grant date fair value of equity awards vested during period (in usd per share) | $ (21.07) | $ (24.14) |
Number of equity awards forfeited during period (in shares) | 0 | 0 |
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ 0 | $ 0 |
Number of nonvested equity awards outstanding at end of period (in shares) | 750,423 | 636,356 |
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 16.34 | $ 20.72 |
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 | 3 Months Ended | |||
Mar. 31, 2024 | Mar. 31, 2023 | 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 restricted common shares outstanding (in shares) | 673,086 | 487,469 | 485,822 | 265,261 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 24.89 | $ 26.93 | ||
Number of equity awards granted during period under equity incentive plans (in shares) | 292,000 | 222,208 | ||
Weighted average grant date fair value of equity awards granted during period under equity incentive plans (in usd per share) | $ 16.19 | $ 22.47 | ||
Number of equity awards vested during period (in shares) | (60,777) | 0 | ||
Weighted average grant date fair value of equity awards vested during period (in usd per share) | $ (34.68) | $ 0 | ||
Number of equity awards forfeited during period (in shares) | (43,959) | 0 | ||
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ (34.68) | $ 0 | ||
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 19.60 | $ 24.90 | ||
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 | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||
Number of nonvested equity awards outstanding at beginning of period (in shares) | 0 | 42,884 |
Weighted average grant date fair value of nonvested equity awards outstanding at beginning of period (in usd per share) | $ 0 | $ 60.91 |
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) | 0 | (42,884) |
Weighted average grant date fair value of equity awards vested during period (in usd per share) | $ 0 | $ (60.91) |
Number of equity awards forfeited during period (in shares) | 0 | 0 |
Weighted average grant date fair value of equity awards forfeited during period (in usd per share) | $ 0 | $ 0 |
Number of nonvested equity awards outstanding at end of period (in shares) | 0 | 0 |
Weighted average grant date fair value of nonvested equity awards outstanding at end of period (in usd per share) | $ 0 | $ 0 |
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 | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Share-Based Payment Arrangement [Abstract] | ||
Compensation costs related to equity awards | $ 6,100 | $ 6,100 |
Compensation cost not yet recognized | $ 8,000 | |
Weighted-average period over which unrecognized compensation cost is expected to be recognized | 1 year 8 months 12 days |
Interest Income and Interest _3
Interest Income and Interest Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Interest income: | ||
Available-for-sale securities | $ 100,605 | $ 97,038 |
Other | 17,178 | 19,555 |
Total interest income | 117,783 | 116,593 |
Interest expense: | ||
Repurchase agreements | 118,716 | 104,355 |
Revolving credit facilities | 30,247 | 25,656 |
Term notes payable | 6,418 | 7,643 |
Convertible senior notes | 4,619 | 4,836 |
Total interest expense | 160,000 | 142,490 |
Net interest (expense) income | $ (42,217) | $ (25,897) |
Income Taxes (Details)
Income Taxes (Details) | Mar. 31, 2024 |
Income Tax Disclosure [Abstract] | |
Percent of REIT taxable income the entity intends to distribute | 100% |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||
Net income (loss) | $ 203,588 | $ (176,808) |
Dividends on preferred stock | (11,784) | (12,365) |
Gain on repurchase and retirement of preferred stock | 644 | 0 |
Dividends and undistributed earnings allocated to participating restricted stock units | (1,441) | (382) |
Net income (loss) attributable to common stockholders, basic | $ 191,007 | $ (189,555) |
Weighted average basic common shares (in shares) | 103,401,940 | 92,575,840 |
Basic earnings (loss) per weighted average common share | $ 1.85 | $ (2.05) |
Reallocation impact of undistributed earnings to participating restricted stock units | $ 61 | $ 0 |
Interest expense attributable to convertible notes | 4,619 | 0 |
Net income (loss) attributable to common stockholders, diluted | $ 195,687 | $ (189,555) |
Effect of dilutive shares issued in an assumed vesting of performance share units (in shares) | 361,286 | 0 |
Effect of dilutive shares issued in an assumed conversion (in shares) | 9,210,091 | 0 |
Weighted average diluted common shares (in shares) | 112,973,317 | 92,575,840 |
Diluted earnings (loss) per weighted average common share | $ 1.73 | $ (2.05) |
Restricted Stock Units (RSUs) | ||
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||
Antidilutive securities excluded from computation of earnings per share (in shares) | 655,137 | |
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) | 304,739 | |
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) | 9,739,120 | |
Interest expense attributable to antidilutive convertible notes excluded from computation of earnings per share | $ 4,800 |