Other Assets (Tables)

9 Months Ended

Sep. 30, 2018

Other Assets [Abstract]

Schedule of other assets

The following table presents the components of the Company’s Other assets at September 30, 2018 and December 31, 2017:

(In Thousands)	September 30, 2018		December 31, 2017
Securities obtained and pledged as collateral, at fair value	$	—	$	504,062
REO	223,105		152,356
MBS and loan related receivables	101,578		54,640
Swaps, at fair value	22,311		679
Goodwill	7,189		7,189
Other	51,886		23,983
Total Other Assets	$	406,069	$	742,909

Schedule of activity for real estate owned

The following table presents the activity in the Company’s REO for the three and nine months ended September 30, 2018 and 2017:

	Three Months Ended   September 30,						Nine Months Ended September 30,
(In Thousands)	2018			2017			2018			2017
Balance at beginning of period	$	192,162		$	104,443		$	152,356		$	80,503
Adjustments to record at lower of cost or fair value	(4,056		)	(3,129		)	(11,592		)	(7,306		)
Transfer from residential whole loans (1)	58,051			38,944			161,572			97,388
Purchases and capital improvements	4,897			15,342			10,179			17,224
Disposals	(27,949		)	(17,621		)	(89,410		)	(49,830		)
Balance at end of period	$	223,105		$	137,979		$	223,105		$	137,979

(1)  Includes net gain recorded on transfer of approximately $5.8 million and $2.8 million, for the three months ended September 30, 2018 and 2017, respectively; and approximately $17.0 million and $5.3 million for the nine months ended September 30, 2018 and 2017, respectively.

Schedule of derivative instruments and balance sheet location

The following table presents the fair value of the Company’s derivative instruments and their balance sheet location at September 30, 2018 and December 31, 2017:

			September 30, 2018				December 31, 2017
Derivative Instrument (1)	Designation	Balance Sheet Location	Notional Amount		Fair Value		Notional Amount		Fair Value
(In Thousands)
Swaps	Hedging	Other assets	$	2,122,000	$	18,650	$	750,000	$	679
Swaps	Hedging	Other liabilities	$	—	$	—	$	1,800,000	$	—
Swaps	Non-Hedging	Other assets	$	515,000	$	3,661	$	—	$	—

(1) Represents Swaps executed bilaterally with a counterparty in the over-the-counter market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties.

Schedule of assets pledged as collateral against derivative contracts

The following table presents the assets pledged as collateral against the Company’s Swap contracts at September 30, 2018 and December 31, 2017:

(In Thousands)	September 30, 2018		December 31, 2017
Agency MBS, at fair value	$	2,877	$	21,756
Restricted cash	—		6,405
Total assets pledged against Swaps	$	2,877	$	28,161

Schedule of information about swaps

The following table presents information about the Company’s Swaps at September 30, 2018 and December 31, 2017:

	September 30, 2018						December 31, 2017
	Notional Amount		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (2)		Notional Amount		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (2)
Maturity (1)
(Dollars in Thousands)
Within 30 days	$	—	—	%	—	%	$	—	—	%	—	%
Over 30 days to 3 months	—		—		—		—		—		—
Over 3 months to 6 months	100,000		1.71		2.21		50,000		1.45		1.56
Over 6 months to 12 months	100,000		1.71		2.21		500,000		1.50		1.46
Over 12 months to 24 months	1,630,000		2.27		2.20		200,000		1.71		1.54
Over 24 months to 36 months	322,000		2.34		2.17		1,500,000		2.22		1.51
Over 36 months to 48 months	—		—		—		200,000		2.20		1.53
Over 48 months to 60 months	355,000		2.85		2.28		—		—		—
Over 60 months to 72 months	—		—		—		100,000		2.75		1.50
Over 72 months to 84 months	—		—		—		—		—		—
Over 84 months	130,000		2.94		2.32		—		—		—
Total Swaps	$	2,637,000	2.35	%	2.21	%	$	2,550,000	2.04	%	1.50	%

(1)  Each maturity category reflects contractual amortization and/or maturity of notional amounts.

(2)  Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts monthly or quarterly based on one-month or three-month LIBOR, respectively.

Schedule of interest expense and the weighted average interest rate paid and received on swaps

The following table presents the net impact of the Company’s derivative hedging instruments on its interest expense and the weighted average interest rate paid and received for such Swaps for the three and nine months ended September 30, 2018 and 2017:

	Three Months Ended   September 30,						Nine Months Ended   September 30,
(Dollars in Thousands)	2018			2017			2018			2017
Interest expense attributable to Swaps	$	547		$	5,310		$	4,187		$	19,606
Weighted average Swap rate paid	2.19		%	2.04		%	2.09		%	1.96		%
Weighted average Swap rate received	2.09		%	1.23		%	1.86		%	1.00		%

Schedule of impact of hedging instruments on AOCI

The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the three and nine months ended September 30, 2018 and 2017:

	Three Months Ended   September 30,					Nine Months Ended   September 30,
(In Thousands)	2018		2017			2018			2017
AOCI from derivative hedging instruments:
Balance at beginning of period	$	16,160	$	(35,841	)	$	(11,424	)	$	(46,721	)
Net gain on Swaps	5,390		5,791			32,974			16,671
Balance at end of period	$	21,550	$	(30,050	)	$	21,550		$	(30,050	)