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Repurchase Agreements (Tables)
 9 Months Ended
Sep. 30, 2018
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 September 30, 2018 and December 31, 2017:
(Dollars in Thousands)
 
September 30,
2018
 
December 31,
2017
Repurchase agreement borrowings secured by Agency MBS
 
$
2,584,097

 
$
2,501,340

Fair value of Agency MBS pledged as collateral under repurchase agreements
 
$
2,792,396

 
$
2,705,754

Weighted average haircut on Agency MBS (1)
 
4.48
%
 
4.65
%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS
 
$
1,592,067

 
$
1,256,033

Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements
 
$
2,075,540

 
$
1,652,983

Weighted average haircut on Legacy Non-Agency MBS (1)
 
21.70
%
 
21.87
%
Repurchase agreement borrowings secured by RPL/NPL MBS
 
$
913,249

 
$
567,140

Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements
 
$
1,161,568

 
$
726,540

Weighted average haircut on RPL/NPL MBS (1)
 
21.22
%
 
22.05
%
Repurchase agreements secured by U.S. Treasuries
 
$
—

 
$
470,334

Fair value of U.S. Treasuries pledged as collateral under repurchase agreements
 
$
—

 
$
472,095

Weighted average haircut on U.S. Treasuries (1)
 
—
%
 
1.47
%
Repurchase agreements secured by CRT securities 
 
$
405,168

 
$
459,058

Fair value of CRT securities pledged as collateral under repurchase agreements
 
$
504,931

 
$
595,900

Weighted average haircut on CRT securities (1)
 
19.73
%
 
22.16
%
Repurchase agreements secured by MSR related assets
 
$
435,762

 
$
317,255

Fair value of MSR related assets pledged as collateral under repurchase agreements
 
$
565,272

 
$
482,158

Weighted average haircut on MSR related assets (1)
 
22.56
%
 
33.19
%
Repurchase agreements secured by residential whole loans (2)
 
$
1,347,946

 
$
1,043,747

Fair value of residential whole loans pledged as collateral under repurchase agreements (3)
 
$
1,888,445

 
$
1,474,704

Weighted average haircut on residential whole loans (1)
 
21.93
%
 
26.10
%
 
(1)
Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
(2) Excludes $19,000 and $206,000 of unamortized debt issuance costs at September 30, 2018 and December 31, 2017, respectively.
(3) At September 30, 2018 includes Non-Agency MBS with an aggregate fair value of $27.0 million obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.
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 September 30, 2018 and December 31, 2017:

 
 
September 30, 2018
 
December 31, 2017
 Balance 
 
Weighted Average Interest Rate
Balance
 
Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Within 30 days
 
$
6,985,487

 
3.01
%
 
$
6,161,008

 
2.39
%
Over 30 days to 3 months
 
29,501

 
2.48

 
453,899

 
2.76

Over 3 months to 12 months
 
263,301

 
3.09

 
—

 
—

Total repurchase agreements
 
7,278,289

 
3.01
%
 
6,614,907

 
2.42
%
Less debt issuance costs
 
19

 
 
 
206

 
 
Total repurchase agreements less debt
  issuance costs
 
$
7,278,270

 
 
 
$
6,614,701

 
 
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 September 30, 2018, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:

 
 
September 30, 2018
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
 
$
—

 
$
2,570,990

 
$
13,107

 
$
—

 
$
—

 
$
2,584,097

Legacy Non-Agency MBS
 
—

 
1,544,995

 
47,072

 
—

 
—

 
1,592,067

RPL/NPL MBS
 
—

 
887,087

 
26,162

 
—

 
—

 
913,249

CRT securities
 
—

 
399,064

 
6,104

 
—

 
—

 
405,168

MSR related assets
 
—

 
342,704

 
93,058

 
—

 
—

 
435,762

Residential whole loans
 
—

 
267,129

 
376,936

 
703,881

 
—

 
1,347,946

Total (1)
 
$
—

 
$
6,011,969

 
$
562,439

 
$
703,881

 
$
—

 
$
7,278,289

 
 
 
 
 
 
 
 
 
 
 
 
 
Weighted Average Interest Rate
 
—
%
 
2.85
%
 
3.73
%
 
3.80
%
 
—
%
 
3.01
%
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross amount of recognized liabilities for repurchase agreements in Note 8
 
$
7,278,289

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



(1)
Excludes $19,000 of unamortized debt issuance costs at September 30, 2018.
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 September 30, 2018:
 
 
 
September 30, 2018
 
 
Counterparty
Rating (1)
 
Amount 
at Risk (2)
 
Weighted 
Average Months 
to Maturity for
Repurchase Agreements
 
Percent of
Stockholders’ Equity
Counterparty
 
 
 
 
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Barclay's Bank
 
BBB/Aa3/A
 
$
346,185

 
4
 
9.8
%
Goldman Sachs (3)
 
BBB+/A3/A
 
305,862

 
1
 
8.6

Wells Fargo (4)
 
A+/Aa2/AA-
 
252,651

 
5
 
7.1

RBC (5)
 
AA-/Aa2/AA
 
243,731

 
1
 
6.9


(1)
As rated at September 30, 2018 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 $171.3 million at risk with Goldman Sachs Bank USA and $134.6 million at risk with Goldman Sachs Lending Partners.
(4)
Includes $241.0 million at risk with Wells Fargo Bank, NA and $11.7 million at risk with Wells Fargo Securities LLC.
(5)
Includes $237.6 million at risk with RBC Barbados and $6.1 million at risk with RBC New York. Counterparty ratings are not published for RBC Barbados and RBS Capital Market LLC.