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Repurchase Agreements and Other Advances (Tables)
 6 Months Ended
Jun. 30, 2016
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Company's borrowings under repurchase agreements and associated assets pledged as collateral
The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at June 30, 2016 and December 31, 2015:
(Dollars in Thousands)
 
June 30,
2016
 
December 31,
2015
Repurchase agreement borrowings secured by Agency MBS
 
$
3,276,823

 
$
2,727,542

Fair value of Agency MBS pledged as collateral under repurchase agreements
 
$
3,454,649

 
$
2,881,049

Weighted average haircut on Agency MBS (1)
 
4.67
%
 
4.67
%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS
 
$
1,865,974

 
$
1,960,222

Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements (2)
 
$
2,611,165

 
$
2,818,968

Weighted average haircut on Legacy Non-Agency MBS (1)
 
24.45
%
 
25.84
%
Repurchase agreement borrowings secured by RPL/NPL MBS 
 
$
2,069,976

 
$
2,080,163

Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements
 
$
2,690,238

 
$
2,625,866

Weighted average haircut on RPL/NPL MBS (1)
 
23.01
%
 
21.05
%
Repurchase agreements secured by U.S. Treasuries
 
$
505,751

 
$
504,760

Fair value of U.S. Treasuries pledged as collateral under repurchase agreements
 
$
512,059

 
$
507,443

Weighted average haircut on U.S. Treasuries (1)
 
1.59
%
 
1.60
%
Repurchase agreements secured by CRT securities 
 
$
190,973

 
$
128,465

Fair value of CRT securities pledged as collateral under repurchase agreements
 
$
255,675

 
$
170,352

Weighted average haircut on CRT securities (1)
 
25.29
%
 
25.04
%
Repurchase agreements secured by residential whole loans (3)
 
$
584,040

 
$
487,750

Fair value of residential whole loans pledged as collateral under repurchase agreements
 
$
818,527

 
$
684,136

Weighted average haircut on residential whole loans (1)
 
26.10
%
 
27.69
%
 
(1)
Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
(2) Includes $190.3 million and $570.5 million of Legacy Non-Agency MBS acquired from consolidated VIEs at June 30, 2016 and December 31, 2015, respectively, that are eliminated from the Company’s consolidated balance sheets.
(3) Excludes $450,000 and $1.3 million of unamortized debt issuance costs at June 30, 2016 and December 31, 2015, respectively.

Schedule of repricing information about borrowings under repurchase agreements
The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at June 30, 2016 and December 31, 2015:

 
 
June 30, 2016
 
December 31, 2015
 Balance 
 
Weighted Average Interest Rate
Balance
 
Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Within 30 days
 
$
7,340,126

 
1.39
%
 
$
7,054,483

 
1.44
%
Over 30 days to 3 months
 
896,242

 
1.92

 
734,955

 
1.79

Over 3 months to 12 months
 
257,169

 
2.03

 
99,464

 
2.36

Total repurchase agreements
 
8,493,537

 
1.47
%
 
7,888,902

 
1.48
%
Less debt issuance costs
 
450

 
 
 
1,280

 
 
Total repurchase agreements less debt
  issuance costs
 
$
8,493,087

 
 
 
$
7,887,622

 
 
Schedule of contractual maturity information about repurchase agreements
The following table presents contractual maturity information about the Company’s borrowings under repurchase agreements, all of which are accounted for as secured borrowings, at June 30, 2016 and does not reflect the impact of derivative contracts that hedge such repurchase agreements:

 
 
June 30, 2016
Contractual Maturity
 
Agency MBS
 
Legacy
Non-Agency MBS
 
RPL/NPL MBS
 
U.S. Treasuries
 
CRT Securities
 
Residential Whole Loans
 
Total (1)
 
Weighted 
Average Interest Rate
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Overnight
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
—
%
Within 30 days
 
3,190,594

 
933,213

 
1,426,126

 
505,751

 
159,051

 
—

 
6,214,735

 
1.20

Over 30 days to 3 months
 
86,229

 
570,918

 
428,483

 
—

 
31,922

 
134,721

 
1,252,273

 
2.00

Over 3 months to 12 months
 
—

 
361,843

 
215,367

 
—

 
—

 
282,457

 
859,667

 
2.26

Over 12 months
 
—

 
—

 
—

 
—

 
—

 
166,862

 
166,862

 
3.16

Total
 
$
3,276,823

 
$
1,865,974

 
$
2,069,976

 
$
505,751

 
$
190,973

 
$
584,040

 
$
8,493,537

 
1.47
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross amount of recognized liabilities for repurchase agreements in Note 11
 
$
8,493,537

 
 
Amounts related to repurchase agreements not included in offsetting disclosure in Note 11
 
$
—

 
 


(1)
Excludes $450,000 of unamortized debt issuance costs at June 30, 2016.
Schedule of information about counterparty for repurchase agreements for which the entity had greater than 5% of stockholders' equity at risk
The following table presents information with respect to each counterparty under repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at June 30, 2016:
 
 
 
June 30, 2016
 
 
Counterparty
Rating (1)
 
Amount 
at Risk (2)
 
Weighted 
Average Months 
to Maturity for
Repurchase Agreements
 
Percent of
Stockholders’ Equity
Counterparty
 
 
 
 
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Wells Fargo (3)
 
AA-/Aa2/AA
 
$
346,925

 
6
 
11.8
%
RBC (4)
 
AA-/Aa3/AA
 
291,718

 
2
 
9.9

Credit Suisse
 
BBB+/Aa2/A-
 
262,640

 
1
 
8.9

Goldman Sachs
 
BBB+/A3/A
 
216,956

 
4
 
7.4

UBS (5)
 
A+/A1/A+
 
167,154

 
14
 
5.7


(1)
As rated at June 30, 2016 by S&P, Moody’s and Fitch, Inc., respectively.  The counterparty rating presented is the lowest published for these entities.
(2)
The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities.
(3)
Includes $275.9 million at risk with Wells Fargo Bank, NA and $71.0 million at risk with Wells Fargo Securities LLC.
(4)
Includes $249.6 million at risk with RBC Barbados, $35.7 million at risk with Royal Bank of Canada and $6.4 million at risk with RBC Capital Markets LLC. Counterparty ratings are not published for RBC Barbados and RBC Capital Markets LLC.
(5)
Includes Non-Agency MBS pledged as collateral with contemporaneous repurchase and reverse repurchase agreements.