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Repurchase Agreements and Other Advances (Tables)
 12 Months Ended
Dec. 31, 2017
Repurchase Agreements  
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 December 31, 2017 and 2016:
 
(Dollars in Thousands)
 
December 31, 2017
 
December 31, 2016
Repurchase agreement borrowings secured by Agency MBS
 
$
2,501,340

 
$
3,095,020

Fair value of Agency MBS pledged as collateral under repurchase agreements
 
$
2,705,754

 
$
3,280,689

Weighted average haircut on Agency MBS (1)
 
4.65
%
 
4.67
%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS
 
$
1,256,033

 
$
1,690,937

Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements (2)
 
$
1,652,983

 
$
2,317,708

Weighted average haircut on Legacy Non-Agency MBS (1)
 
21.87
%
 
24.01
%
Repurchase agreement borrowings secured by RPL/NPL MBS
 
$
567,140

 
$
1,943,572

Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements
 
$
726,540

 
$
2,433,711

Weighted average haircut on RPL/NPL MBS (1)
 
22.05
%
 
20.98
%
Repurchase agreements secured by U.S. Treasuries
 
$
470,334

 
$
504,572

Fair value of U.S. Treasuries pledged as collateral under repurchase agreements
 
$
472,095

 
$
510,767

Weighted average haircut on U.S. Treasuries (1)
 
1.47
%
 
1.60
%
Repurchase agreements secured by CRT securities 
 
$
459,058

 
$
271,205

Fair value of CRT securities pledged as collateral under repurchase agreements
 
$
595,900

 
$
357,488

Weighted average haircut on CRT securities (1)
 
22.16
%
 
23.22
%
Repurchase agreements secured by MSR related assets
 
$
317,255

 
$
135,112

Fair value of MSR related assets pledged as collateral under repurchase agreements
 
$
482,158

 
$
226,780

Weighted average haircut on MSR related assets (1)
 
33.19
%
 
41.40
%
Repurchase agreements secured by residential whole loans (3)
 
$
1,043,747

 
$
832,060

Fair value of residential whole loans pledged as collateral under repurchase agreements
 
$
1,474,704

 
$
1,175,088

Weighted average haircut on residential whole loans (1)
 
26.10
%
 
25.03
%

(1)  Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
(2)  Includes $172.4 million of Legacy Non-Agency MBS acquired from consolidated VIEs that are eliminated from the Company’s consolidated balance sheets at December 31, 2016.
(3) Excludes $206,000 and $210,000 of unamortized debt issuance costs at December 31, 2017 and 2016, 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 December 31, 2017 and 2016:
 
 
 
December 31, 2017
 
December 31, 2016
Time Until Interest Rate Reset
 
Balance
 
Weighted
Average
Interest Rate
 
Balance 
 
Weighted
Average
Interest Rate
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Within 30 days
 
$
6,161,008

 
2.39
%
 
$
7,284,062

 
1.77
%
Over 30 days to 3 months
 
453,899

 
2.76

 
1,188,416

 
1.91

Over 3 months to 12 months
 
—

 
—

 
—

 
—

Total repurchase agreements
 
$
6,614,907

 
2.42
%
 
$
8,472,478

 
1.79
%
Less debt issuance costs
 
206

 
 
 
210

 
 
Total repurchase agreements less debt
  issuance costs
 
$
6,614,701

 
 
 
$
8,472,268

 
 
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 December 31, 2017 and does not reflect the impact of derivative contracts that hedge such repurchase agreements:
 
 
 
December 31, 2017
Contractual Maturity
 
Overnight
 
Within 30 Days
 
Over 30 Days to 3 Months
 
Over 3 Months to 12 Months
 
Over 12 months
 
Total
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
 
$
—

 
$
2,501,340

 
$
—

 
$
—

 
$
—

 
$
2,501,340

Legacy Non-Agency MBS
 
—

 
797,265

 
359,730

 
99,038

 
—

 
1,256,033

RPL/NPL MBS
 
—

 
482,860

 
69,833

 
14,447

 
—

 
567,140

U.S. Treasuries
 
—

 
470,334

 
—

 
—

 
—

 
470,334

CRT securities
 
—

 
434,722

 
24,336

 
—

 
—

 
459,058

MSR relates assets
 
—

 
317,255

 
—

 
—

 
—

 
317,255

Residential whole loans
 
—

 
—

 
113,415

 
930,332

 
—

 
1,043,747

Total (1)
 
$
—

 
$
5,003,776

 
$
567,314

 
$
1,043,817

 
$
—

 
$
6,614,907

 
 
 
 
 
 
 
 
 
 
 
 
 
Weighted Average Interest Rate
 
—
%
 
2.09
%
 
2.95
%
 
3.69
%
 
—
%
 
2.42
%
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross amount of recognized liabilities for repurchase agreements in Note 8
 
$
6,614,907

Amounts related to repurchase agreements not included in offsetting disclosure in Note 8
 
$
—


(1)
Excludes $206,000 of unamortized debt issuance costs at December 31, 2017.

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 December 31, 2017:
 
 
December 31, 2017
Counterparty
Counterparty
Rating (1)
 
Amount at
Risk (2)
 
Weighted
Average Months
to Maturity for
Repurchase
Agreements
 
Percent of
Stockholders’
Equity
(Dollars in Thousands)
 
 
 
 
 
 
 
Goldman Sachs (3)
BBB+/A3/A
 
$
239,473

 
5
 
7.3
%
Wells Fargo (4)
AA-/Aa2/AA-
 
189,015

 
5
 
5.8

RBC (5)
AA-/A1/AA
 
186,652

 
1
 
5.7

Credit Suisse (6)
BBB+/Aa2/A-
 
171,449

 
2
 
5.3

UBS (7)
A+/A1/A+
 
167,390

 
5
 
5.1


(1)
As rated at December 31, 2017 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 $186.4 million at risk with Goldman Sachs Lending Partners and $53.0 million at risk with Goldman Sachs Bank USA.
(4)
Includes $178.8 million at risk with Wells Fargo Bank, NA and $10.2 million at risk with Wells Fargo Securities LLC. 
(5)
Includes $166.8 million at risk with RBC Barbados, $15.1 million at risk with Royal of Canada and $4.8 million at risk with RBC Capital Markets LLC. Counterparty ratings are not published for RBC Barbados and RBS Capital Market LLC.
(6)
Includes $139.5 million at risk with Credit Suisse AG, Cayman Islands and $31.9 million at risk with Credit Suisse. Counterparty ratings are not published for Credit Suisse AG, Cayman Islands.
(7)
Includes Non-Agency MBS pledged as collateral with contemporaneous repurchase and reverse repurchase agreements.