Maryland (State or other jurisdiction of incorporation or organization) | 13-3974868 (I.R.S. Employer Identification No.) | |
350 Park Avenue, 20th Floor, New York, New York (Address of principal executive offices) | 10022 (Zip Code) |
Title of Each Class | Name of Each Exchange on Which Registered | |
Common Stock, par value $0.01 per share | New York Stock Exchange | |
7.50% Series B Cumulative Redeemable Preferred Stock, par value $0.01 per share | New York Stock Exchange | |
8.00% Senior Notes due 2042 | New York Stock Exchange |
Large accelerated filer x | Accelerated filer o | |
Non-accelerated filer o | Smaller reporting company o | |
Emerging growth company o |
• | Residential mortgage securities including Non-Agency MBS, Agency MBS and CRT securities; |
• | Residential whole loans, including purchased performing loans, purchased credit impaired and non-performing loans; and |
• | MSR-related assets, which include term notes backed directly or indirectly by MSRs and loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. |
• | Adverse developments involving major financial institutions or involving one of our lenders could result in a rapid reduction in our ability to borrow and materially adversely affect our business, profitability and liquidity. As of December 31, 2018, we had amounts outstanding under repurchase agreements with 26 separate lenders. A material adverse development involving one or more major financial institutions or the financial markets in general could result in our lenders reducing our access to funds available under our repurchase agreements or terminating such repurchase agreements altogether. Because all of our repurchase agreements are uncommitted and renewable at the discretion of our lenders, our lenders could determine to reduce or terminate our access to future borrowings at virtually any time, which could materially adversely affect our business and profitability. Furthermore, if a number of our lenders became unwilling or unable to continue to provide us with financing, we could be forced to sell assets, including MBS in an unrealized loss position, in order to maintain liquidity. Forced sales, particularly under adverse market conditions may result in lower sales prices than ordinary market sales made in the normal course of business. If our residential mortgage investments were liquidated at prices below our amortized cost (i.e., the cost basis) of such assets, we would incur losses, which could adversely affect our earnings. In addition, uncertainty in the global finance market and weak economic conditions in Europe, including the uncertainty surrounding the United Kingdom’s decision to exit from the European Union (commonly referred to as “Brexit”), could cause the conditions described above to have a more pronounced affect on our European counterparties. |
• | Our profitability may be materially adversely affected by a reduction in our leverage. As long as we earn a positive spread between interest and other income we earn on our leveraged assets and our borrowing costs, we believe that we can generally increase our profitability by using greater amounts of leverage. There can be no assurance, however, that repurchase financing will remain an efficient source of long-term financing for our assets. The amount of leverage that we use may be limited because our lenders might not make funding available to us at acceptable rates or they may require that we provide additional collateral to secure our borrowings. If our financing strategy is not viable, we will have to find alternative forms of financing for our assets which may not be available to us on acceptable terms or at acceptable rates. In addition, in response to certain interest rate and investment environments or to changes in market liquidity, we could adopt a strategy of reducing our leverage by selling assets or not reinvesting principal payments as assets amortize and/or prepay, thereby decreasing the outstanding amount of our related borrowings. Such an action could reduce interest income, interest expense and net income, the extent of which would be dependent on the level of reduction in assets and liabilities as well as the sale prices for which the assets were sold. |
• | If we are unable to renew our borrowings at acceptable interest rates, it may force us to sell assets under adverse market conditions, which may materially adversely affect our liquidity and profitability. Since we rely primarily on borrowings under short-term repurchase agreements to finance our generally longer-term residential mortgage investments, our ability to achieve our investment objectives depends on our ability to borrow funds in sufficient amounts and on acceptable terms, and on our ability to renew or replace maturing borrowings on a continuous basis. Our repurchase agreement credit lines are renewable at the discretion of our lenders and, as such, do not contain guaranteed roll-over terms. Our ability to enter into repurchase transactions in the future will depend on the market value of our residential mortgage investments pledged to secure the specific borrowings, the availability of acceptable financing and market liquidity and other conditions existing in the lending market at that time. If we are not able to renew or replace maturing borrowings, we could be forced to sell assets, including assets in an unrealized loss position, in order to maintain liquidity. Forced sales, particularly under adverse market conditions, could result in lower sales prices than ordinary market sales made in the normal course of business. If our residential mortgage investments were liquidated at prices below our amortized cost (i.e., the cost basis) of such assets, we would incur losses, which could materially adversely affect our earnings. |
• | A decline in the market value of our assets may result in margin calls that may force us to sell assets under adverse market conditions, which may materially adversely affect our liquidity and profitability. In general, the market value |
• | If a counterparty to our repurchase transactions defaults on its obligation to resell the underlying security back to us at the end of the transaction term or if we default on our obligations under the repurchase agreement, we could incur losses. When we engage in repurchase transactions, we generally transfer securities to lenders (i.e., repurchase agreement counterparties) and receive cash from such lenders. Because the cash we receive from the lender when we initially transfer the securities to the lender is less than the value of those securities (this difference is referred to as the “haircut”), if the lender defaults on its obligation to transfer the same securities back to us, we would incur a loss on the transaction equal to the amount of the haircut (assuming there was no change in the value of the securities). See Item 7, “Management’s Discussion and Analysis of Financial Condition and Results of Operations” of this Annual Report on Form 10-K, for further discussion regarding risks related to exposure to financial institution counterparties in light of recent market conditions. Our exposure to defaults by counterparties may be more pronounced during periods of significant volatility in the market conditions for mortgages and mortgage-related assets as well as the broader financial markets. At December 31, 2018, we had greater than 5% stockholders’ equity at risk to the following repurchase agreement counterparties: Goldman Sachs (approximately 9.4%), RBC (approximately 7.4%), Wells Fargo (approximately 5.5%) and Barclay's Bank (approximately 5.1%). |
• | Our use of repurchase agreements to borrow money may give our lenders greater rights in the event of bankruptcy. Borrowings made under repurchase agreements may qualify for special treatment under the U.S. Bankruptcy Code. If a lender under one of our repurchase agreements defaults on its obligations, it may be difficult for us to recover our assets pledged as collateral to such lender. In the event of the insolvency or bankruptcy of a lender during the term of a repurchase agreement, the lender may be permitted, under applicable insolvency laws, to repudiate the contract, and our claim against the lender for damages may be treated simply as an unsecured creditor. In addition, if the lender is a broker or dealer subject to the Securities Investor Protection Act of 1970, or an insured depository institution subject to the Federal Deposit Insurance Act, our ability to exercise our rights to recover our securities under a repurchase agreement or to be compensated for any damages resulting from the lender’s insolvency may be further limited by those statutes. These claims would be subject to significant delay and, if and when received, may be substantially less than the damages we actually incur. In addition, in the event of our insolvency or bankruptcy, certain repurchase agreements may qualify for special treatment under the Bankruptcy Code, the effect of which, among other things, would be to allow the creditor under the agreement to avoid the automatic stay provisions of the Bankruptcy Code and take possession of, and liquidate, our collateral under our repurchase agreements without delay. Our risks associated with the insolvency or bankruptcy of a lender maybe more pronounced during periods of significant volatility in the market conditions for mortgages and mortgage-related assets as well as the broader financial markets. |
• | Changes in interest rates, cyclical or otherwise, may materially adversely affect our profitability. Interest rates are highly sensitive to many factors, including fiscal and monetary policies and domestic and international economic and political conditions, as well as other factors beyond our control. In general, we finance the acquisition of our investments through borrowings in the form of repurchase transactions, which exposes us to interest rate risk on the financed assets. The cost of our borrowings is based on prevailing market interest rates. Because the terms of our repurchase transactions typically range from one to six months at inception, the interest rates on our borrowings generally adjust more frequently (as new repurchase transactions are entered into upon the maturity of existing repurchase transactions) than the interest rates on our investments. During a period of rising interest rates, our borrowing costs generally will increase at a faster pace than our interest earnings on the leveraged portion of our investment portfolio, which could result in a decline in our net interest spread and net interest margin. The severity of any such decline would depend on our asset/liability composition, including the impact of hedging transactions, at the time as well as the magnitude and period over which interest rates increase. Further, an increase in short-term interest rates could also have a negative impact on the market value of our residential mortgage investments. If any of these events happen, we could experience a decrease in net income or incur a net loss during these periods, which may negatively impact our distributions to stockholders. |
• | Interest rate caps on certain of our loans and the loans collateralizing our MBS may materially adversely affect our profitability if short-term interest rates increase. The coupons earned on adjustable rate and hybrid loans as well as ARM-MBS adjust over time as interest rates change (typically after an initial fixed-rate period for Hybrids). The financial markets primarily determine the interest rates that we pay on the repurchase transactions used to finance the acquisition of our assets; however, the level of adjustment to the interest rates earned on our ARM-MBS and certain of our loans is typically limited by contract (or in certain cases by state or federal law). The interim and lifetime interest rate caps on certain of our loans and the loans collateralizing our MBS limit the amount by which the interest rates on such assets can adjust. Interim interest rate caps limit the amount interest rates on a particular ARM can adjust during the next adjustment period. Lifetime interest rate caps limit the amount interest rates can adjust upward from inception through maturity of a particular ARM. Our repurchase transactions are not subject to similar restrictions. Accordingly, in a sustained period of rising interest rates or a period in which interest rates rise rapidly, we could experience a decrease in net income or a net loss because the interest rates paid by us on our borrowings (excluding the impact of hedging transactions) could increase without limitation (as new repurchase transactions are entered into upon the maturity of existing repurchase transactions) while increases in the interest rates earned on certain of our loans and the loans collateralizing our MBS could be limited due to interim or lifetime interest rate caps. |
• | Adjustments of interest rates on our borrowings may not be matched to interest rate indexes on our MBS. In general, the interest rates on our repurchase transactions are based on LIBOR, while the interest rates on our ARM-MBS may be indexed to LIBOR or CMT rate. Accordingly, any increase in LIBOR relative to one-year CMT rates will generally result in an increase in our borrowing costs that is not matched by a corresponding increase in the interest earned on our ARM-MBS tied to these other index rates. Any such interest rate index mismatch could adversely affect our profitability, which may negatively impact our distributions to stockholders. |
• | A flat or inverted yield curve may adversely affect prepayment rates and supply. Our net interest income varies primarily as a result of changes in interest rates as well as changes in interest rates across the yield curve. When the differential between short-term and long-term benchmark interest rates narrows, the yield curve is said to be “flattening.” In addition, a flatter yield curve generally leads to fixed-rate mortgage rates that are closer to the interest rates available on ARMs, potentially decreasing the supply of ARM-MBS. At times, short-term interest rates may increase and exceed long-term interest rates, causing an inverted yield curve. When the yield curve is inverted, fixed-rate mortgage rates may approach or be lower than mortgage rates on ARMs, further increasing related prepayments and further negatively impacting ARM-MBS supply. Increases in prepayments on our MBS portfolio cause our premium amortization to accelerate, lowering the yield on such assets. In addition, a flatter yield curve would generally reduce the net spread we could earn on new investments. If this happens, we could experience a decrease in net income or incur a net loss during these periods, which may negatively impact our distributions to stockholders. |
• | interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates; |
• | available interest rate hedges may not correspond directly with the interest rate risk for which protection is sought; |
• | the duration of the hedge may not match the duration of the related hedged instrument; |
• | the credit quality of the party owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; and |
• | the party owing money in the hedging transaction may default on its obligation to pay. |
• | “business combination” provisions that, subject to limitations, prohibit certain business combinations between us and an “interested stockholder” (defined generally as any person who beneficially owns 10% or more of the voting power of our outstanding voting stock or an affiliate or associate of ours who, at any time within the two-year period immediately prior to the date in question, was the beneficial owner of 10% or more of the voting power of our then outstanding stock) or an affiliate of an interested stockholder for five years after the most recent date on which the stockholder becomes an interested stockholder, and thereafter impose two supermajority stockholder voting requirements to approve these combinations (unless our common stockholders receive a minimum price, as defined under Maryland law, for their shares in the form of cash or other consideration in the same form as previously paid by the interested stockholder for its shares); and |
• | “control share” provisions that provide that holders of “control shares” of our company (defined as voting shares of stock which, when aggregated with all other shares controlled by the acquiring stockholder, entitle the stockholder to exercise one of three increasing ranges of voting power in electing directors) acquired in a “control share acquisition” (defined as the direct or indirect acquisition of ownership or control of “control shares”) have no voting rights except to the extent approved by our stockholders by the affirmative vote of at least two-thirds of all the votes entitled to be cast on the matter, excluding all interested shares. |
Year | Declaration Date | Record Date | Payment Date | Dividend per Share | |||||||
2018 | December 12, 2018 | December 28, 2018 | January 31, 2019 | $ | 0.20 | (1) | |||||
September 13, 2018 | October 1, 2018 | October 31, 2018 | 0.20 | ||||||||
June 7, 2018 | June 29, 2018 | July 31, 2018 | 0.20 | ||||||||
March 7, 2018 | March 29, 2018 | April 30, 2018 | 0.20 | ||||||||
2017 | December 13, 2017 | December 28, 2017 | January 31, 2018 | $ | 0.20 | ||||||
September 14, 2017 | September 28, 2017 | October 31, 2017 | 0.20 | ||||||||
June 12, 2017 | June 29, 2017 | July 28, 2017 | 0.20 | ||||||||
March 8, 2017 | March 29, 2017 | April 28, 2017 | 0.20 |
(1) | At December 31, 2018, we had accrued dividends and dividend equivalents payable of $90.2 million related to the common stock dividend declared on December 12, 2018. |
Month | Total Number of Shares Purchased | Weighted Average Price Paid Per Share (1) | Total Number of Shares Repurchased as Part of Publicly Announced Repurchase Program or Employee Plan | Maximum Number of Shares that May Yet be Purchased Under the Repurchase Program or Employee Plan | |||||||||
October 1-31, 2018: | |||||||||||||
Repurchase Program (2) | — | $ | — | — | 6,616,355 | ||||||||
Employee Transactions (3) | — | — | N/A | N/A | |||||||||
November 1-30, 2018: | |||||||||||||
Repurchase Program (2) | — | — | — | 6,616,355 | |||||||||
Employee Transactions (3) | — | — | N/A | N/A | |||||||||
December 1-31, 2018: | |||||||||||||
Repurchase Program (2) | — | — | — | 6,616,355 | |||||||||
Employee Transactions (3) | 213,483 | $ | 6.72 | N/A | N/A | ||||||||
Total Repurchase Program (2) | — | $ | — | — | 6,616,355 | ||||||||
Total Employee Transactions (3) | 213,483 | $ | 6.72 | N/A | N/A |
(1) | Includes brokerage commissions. |
(2) | As of December 31, 2018, we had repurchased an aggregate of 3,383,645 shares under the Repurchase Program. |
(3) | Our Equity Plan provides that the value of the shares delivered or withheld be based on the price of our common stock on the date the relevant transaction occurs. |
Award (1) | Number of securities to be issued upon exercise of outstanding options, warrants and rights | Weighted-average exercise price of outstanding options, warrants and rights | Number of securities remaining available for future issuance under equity compensation plans (excluding securities reflected in the first column of this table) | ||||||
RSUs | 2,357,696 | ||||||||
Total | 2,357,696 | (2) | 5,238,509 | (3) |
At or/For the Year Ended December 31, | ||||||||||||||||||||
(Dollars in Thousands, Except per Share Amounts) | 2018 | 2017 | 2016 | 2015 | 2014 | |||||||||||||||
Operating Data: | ||||||||||||||||||||
Interest income | $ | 455,675 | $ | 433,448 | $ | 457,450 | $ | 492,143 | $ | 463,817 | ||||||||||
Interest expense | (232,186 | ) | (197,141 | ) | (193,355 | ) | (176,948 | ) | (159,808 | ) | ||||||||||
Net gain on residential whole loans measured at fair value through earnings | 137,619 | 90,045 | 62,605 | 19,575 | 116 | |||||||||||||||
Net realized gain on sales of residential mortgage securities (1) | 61,307 | 39,577 | 35,837 | 34,900 | 37,497 | |||||||||||||||
Unrealized net gains and net interest income from Linked Transactions | — | — | — | — | 17,092 | |||||||||||||||
Other (loss)/income, net (2) | (40,951 | ) | 28,365 | 10,115 | (4,015 | ) | 80 | |||||||||||||
Operating and other expense | (79,663 | ) | (71,901 | ) | (59,984 | ) | (52,429 | ) | (45,290 | ) | ||||||||||
Net income | $ | 301,801 | $ | 322,393 | $ | 312,668 | $ | 313,226 | $ | 313,504 | ||||||||||
Preferred stock dividends | 15,000 | 15,000 | 15,000 | 15,000 | 15,000 | |||||||||||||||
Net income available to common stock and participating securities | $ | 286,801 | $ | 307,393 | $ | 297,668 | $ | 298,226 | $ | 298,504 | ||||||||||
Earnings per share — basic and diluted | $ | 0.68 | $ | 0.79 | $ | 0.80 | $ | 0.80 | $ | 0.81 | ||||||||||
Dividends declared per share of common stock | $ | 0.80 | $ | 0.80 | $ | 0.80 | $ | 0.80 | $ | 0.80 | ||||||||||
Dividends declared per share of preferred stock | $ | 1.875 | $ | 1.875 | $ | 1.875 | $ | 1.875 | $ | 1.875 | ||||||||||
Balance Sheet Data: | ||||||||||||||||||||
MBS, CRT securities and MSR-related assets | $ | 7,121,140 | $ | 7,515,130 | $ | 10,054,963 | $ | 11,356,643 | $ | 10,762,622 | ||||||||||
Residential whole loans, at carrying value | 3,016,715 | 908,516 | 590,540 | 271,845 | 207,923 | |||||||||||||||
Residential whole loans, at fair value | 1,665,978 | 1,325,115 | 814,682 | 623,276 | 143,472 | |||||||||||||||
Cash and cash equivalents | 51,965 | 449,757 | 260,112 | 165,007 | 182,437 | |||||||||||||||
Linked Transactions | — | — | — | — | 398,336 | |||||||||||||||
Total assets | 12,420,327 | 10,954,734 | 12,484,022 | 13,162,551 | 12,354,242 | |||||||||||||||
Repurchase agreements and other advances | 7,879,087 | 6,614,701 | 8,687,268 | 9,387,622 | 8,267,388 | |||||||||||||||
Securitized debt (3) | 684,420 | 363,944 | — | 21,868 | 110,072 | |||||||||||||||
Swaps (in a liability position) (4) | — | — | 46,954 | 70,526 | 62,198 | |||||||||||||||
Total liabilities | 9,004,226 | 7,693,098 | 9,450,120 | 10,195,290 | 9,150,970 | |||||||||||||||
Preferred stock, liquidation preference | 200,000 | 200,000 | 200,000 | 200,000 | 200,000 | |||||||||||||||
Total stockholders’ equity | 3,416,101 | 3,261,636 | 3,033,902 | 2,967,261 | 3,203,272 | |||||||||||||||
Other Data: | ||||||||||||||||||||
Average total assets | $ | 11,186,845 | $ | 11,619,174 | $ | 12,836,580 | $ | 13,669,055 | $ | 12,542,584 | ||||||||||
Average total stockholders’ equity | $ | 3,346,980 | $ | 3,203,814 | $ | 2,965,570 | $ | 3,129,461 | $ | 3,230,932 | ||||||||||
Return on average total assets (5) | 2.56 | % | 2.65 | % | 2.32 | % | 2.18 | % | 2.38 | % | ||||||||||
Return on average total stockholders’ equity (6) | 9.02 | % | 10.06 | % | 10.54 | % | 10.01 | % | 9.70 | % | ||||||||||
Total average stockholders’ equity to total average assets (7) | 29.92 | % | 27.57 | % | 23.10 | % | 22.89 | % | 25.76 | % | ||||||||||
Dividend payout ratio (8) | 1.18 | 1.01 | 1.00 | 1.00 | 0.99 | |||||||||||||||
Book value per share of common stock (9) | $ | 7.15 | $ | 7.70 | $ | 7.62 | $ | 7.47 | $ | 8.12 |
(1) | 2018: We sold Agency MBS for $122.0 million, realizing losses of $6.8 million, sold CRT securities for $299.9 million, realizing gains of $31.4 million, sold Non-Agency MBS for $117.1 million, realizing gains of $36.7 million. 2017: We sold Non-Agency MBS for $104.0 million, realizing gains of $39.9 million and sold U.S. Treasury securities for $139.1 million, realizing losses of approximately $309,000. 2016: We sold Non-Agency MBS for $85.6 million, realizing gains of $35.8 million. 2015: We sold Non-Agency MBS for $70.7 million, realizing gains of $34.9 million. 2014: We sold Non-Agency MBS for $123.9 million, realizing gains of $37.5 million. |
(2) | Includes OTTI recognized through earnings related to Non-Agency MBS. |
(3) | 2018 and 2017: Reflects securitized debt from our loan securitization transactions. 2015 and 2014: Reflects securitized debt from our MBS resecuritization transactions. |
(4) | Beginning in January 2017, variation margin payments on our cleared Swaps are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as fair value of the Swap. |
(5) | Reflects net income available to common stock and participating securities divided by average total assets. |
(6) | Reflects net income divided by average total stockholders’ equity. |
December 31, 2018 | |||||||||||||||
Underlying Mortgages | Agency MBS Fair Value (1) | Legacy Non-Agency MBS Fair Value (2) | Total MBS (1)(2) | Percent of Total | |||||||||||
(In Thousands) | |||||||||||||||
Hybrids in contractual fixed-rate period | $ | 308,165 | $ | — | $ | 308,165 | 6.6 | % | |||||||
Hybrids in adjustable period | 840,498 | 1,204,585 | 2,045,083 | 44.2 | |||||||||||
15-year fixed rate | 781,625 | 1,521 | 783,146 | 16.9 | |||||||||||
Greater than 15-year fixed rate | 736,498 | 706,283 | 1,442,781 | 31.1 | |||||||||||
Floaters | 30,390 | 25,838 | 56,228 | 1.2 | |||||||||||
Total | $ | 2,697,176 | $ | 1,938,227 | $ | 4,635,403 | 100.0 | % |
(In Millions) | December 31, 2017 | Runoff (1) | Acquisitions | Other (2) | December 31, 2018 | Change | ||||||||||||||||||
Residential whole loans and REO | $ | 2,386 | $ | (691 | ) | $ | 3,135 | $ | 102 | $ | 4,932 | $ | 2,546 | |||||||||||
RPL/NPL MBS | 923 | (586 | ) | 1,049 | (9 | ) | 1,377 | 454 | ||||||||||||||||
MSR-related assets | 492 | (515 | ) | 635 | — | 612 | 120 | |||||||||||||||||
CRT securities | 664 | (13 | ) | 156 | (314 | ) | 493 | (171 | ) | |||||||||||||||
Legacy Non-Agency MBS | 2,611 | (529 | ) | 7 | (148 | ) | 1,941 | (670 | ) | |||||||||||||||
Agency MBS | 2,825 | (712 | ) | 758 | (173 | ) | 2,698 | (127 | ) | |||||||||||||||
Totals | $ | 9,901 | $ | (3,046 | ) | $ | 5,740 | $ | (542 | ) | $ | 12,053 | $ | 2,152 |
(1) | Primarily includes principal repayments, cash collections on purchased credit impaired loans and sales of REO. |
(2) | Primarily includes sales, changes in fair value, net premium amortization/discount accretion and adjustments to record lower of cost or estimated fair value adjustments on REO. During the year ended December 31, 2018 we sold CRT securities for $299.9 million, realizing gains of $31.4 million, sold certain Non-Agency MBS for $117.1 million, realizing gains of $36.7 million and sold certain Agency MBS for $122.0 million, realizing losses of $6.8 million. |
Agency MBS | Legacy Non-Agency MBS | RPL/NPL MBS (1) | Credit Risk Transfer Securities | Residential Whole Loans, at Carrying Value (2) | Residential Whole Loans, at Fair Value | MSR-Related Assets | Other, net (3) | Total | ||||||||||||||||||||||||||||
(Dollars in Millions) | ||||||||||||||||||||||||||||||||||||
Fair Value/Carrying Value | $ | 2,698 | $ | 1,941 | $ | 1,377 | $ | 493 | $ | 3,017 | $ | 1,666 | $ | 612 | $ | 484 | $ | 12,288 | ||||||||||||||||||
Less Payable for Unsettled Purchases | — | — | — | — | (16 | ) | (195 | ) | — | — | (211 | ) | ||||||||||||||||||||||||
Less Repurchase Agreements | (2,384 | ) | (1,448 | ) | (1,085 | ) | (392 | ) | (1,475 | ) | (546 | ) | (474 | ) | (76 | ) | (7,880 | ) | ||||||||||||||||||
Less Securitized Debt | — | — | — | — | (163 | ) | (521 | ) | — | — | (684 | ) | ||||||||||||||||||||||||
Less Senior Notes | — | — | — | — | — | — | — | (97 | ) | (97 | ) | |||||||||||||||||||||||||
Net Equity Allocated | $ | 314 | $ | 493 | $ | 292 | $ | 101 | $ | 1,363 | $ | 404 | $ | 138 | $ | 311 | $ | 3,416 | ||||||||||||||||||
Debt/Net Equity Ratio (4) | 7.6 | x | 2.9 | x | 3.7 | x | 3.9 | x | 1.2 | x | 3.1 | x | 3.4 | x | 2.6 | x |
(1) | RPL/NPL MBS are backed primarily by securitized re-performing and non-performing loans. The securities are generally structured such that the coupon increases from 300 - 400 basis points at 36 - 48 months from issuance or sooner. Included with the balance of Non-Agency MBS reported on our consolidated balance sheets. |
(2) | Includes $798.0 million of purchased credit impaired loans, $1.4 billion of Non-QM loans, $494.6 million of Rehabilitation loans, $145.3 million of Single-family rental loans and $224.1 million of Seasoned performing loans. At December 31, 2018, the total fair value of these loans is estimated to be approximately $3.1 billion. |
(3) | Includes cash and cash equivalents and restricted cash, other assets and other liabilities. |
(4) | Represents the sum of borrowings under repurchase agreements, securitized debt and payable for unsettled purchases as a multiple of net equity allocated. The numerator of our Total Debt/Net Equity Ratio also includes Senior Notes. |
(Dollars in Thousands) | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Loan Age (Months) (2) | Weighted Average Coupon (2) | 3 Month Average CPR | ||||||||||||||||
15-Year Fixed Rate: | |||||||||||||||||||||||
Low Loan Balance (3) | $ | 647,482 | 104.4 | % | 100.0 | % | $ | 647,406 | 80 | 3.01 | % | 8.2 | % | ||||||||||
Generic | 132,713 | 104.4 | 101.1 | 134,220 | 88 | 3.50 | 10.1 | ||||||||||||||||
Total 15-Year Fixed Rate | $ | 780,195 | 104.4 | % | 100.2 | % | $ | 781,625 | 81 | 3.09 | % | 8.5 | % | ||||||||||
30-Year Fixed Rate: | |||||||||||||||||||||||
Generic | $ | 711,158 | 104.0 | % | 103.6 | % | $ | 736,498 | 6 | 4.50 | % | 4.7 | % | ||||||||||
Total 30-Year Fixed Rate | $ | 711,158 | 104.0 | % | 103.6 | % | $ | 736,498 | 6 | 4.50 | % | 4.7 | % | ||||||||||
Hybrid | $ | 1,080,569 | 103.5 | % | 103.5 | % | $ | 1,118,638 | 108 | 3.90 | % | 20.0 | % | ||||||||||
CMO/Other | $ | 58,708 | 102.6 | % | 102.9 | % | $ | 60,415 | 206 | 4.05 | % | 18.7 | % | ||||||||||
Total Portfolio | $ | 2,630,630 | 103.9 | % | 102.5 | % | $ | 2,697,176 | 74 | 3.82 | % | 12.5 | % |
(Dollars in Thousands) | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Loan Age (Months) (2) | Weighted Average Coupon (2) | 3 Month Average CPR | ||||||||||||||||
15-Year Fixed Rate: | |||||||||||||||||||||||
Low Loan Balance (3) | $ | 948,225 | 104.3 | % | 101.7 | % | $ | 964,373 | 67 | 2.95 | % | 10.3 | % | ||||||||||
Generic | 172,862 | 104.4 | 103.1 | 178,210 | 76 | 3.51 | 9.3 | ||||||||||||||||
Total 15-Year Fixed Rate | $ | 1,121,087 | 104.3 | % | 101.9 | % | $ | 1,142,583 | 68 | 3.04 | % | 10.2 | % | ||||||||||
Hybrid | $ | 1,540,431 | 103.5 | % | 103.9 | % | $ | 1,601,107 | 96 | 3.27 | % | 17.1 | % | ||||||||||
CMO/Other | $ | 76,944 | 102.5 | % | 102.8 | % | $ | 79,100 | 198 | 3.22 | % | 9.9 | % | ||||||||||
Total Portfolio | $ | 2,738,462 | 103.8 | % | 103.1 | % | $ | 2,822,790 | 88 | 3.17 | % | 14.1 | % |
Coupon | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Loan Age (Months) (2) | Weighted Average Loan Rate | Low Loan Balance and/or HARP (3) | 3 Month Average CPR | |||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||
15-Year Fixed Rate: | |||||||||||||||||||||||||
2.5% | $ | 359,252 | 104.1 | % | 98.6 | % | $ | 354,252 | 73 | 3.03 | % | 100 | % | 6.4 | % | ||||||||||
3.0% | 185,912 | 105.9 | 100.3 | 186,548 | 77 | 3.49 | 100 | 8.4 | |||||||||||||||||
3.5% | 3,798 | 103.5 | 101.4 | 3,853 | 98 | 4.18 | 100 | 12.8 | |||||||||||||||||
4.0% | 199,352 | 103.5 | 102.4 | 204,055 | 97 | 4.40 | 81 | 11.9 | |||||||||||||||||
4.5% | 31,881 | 105.3 | 103.3 | 32,917 | 101 | 4.88 | 34 | 12.7 | |||||||||||||||||
Total 15-Year Fixed Rate | $ | 780,195 | 104.4 | % | 100.2 | % | $ | 781,625 | 81 | 3.57 | % | 92 | % | 8.5 | % | ||||||||||
30-Year Fixed Rate: | |||||||||||||||||||||||||
4.5% | $ | 711,158 | 104.0 | % | 103.6 | % | $ | 736,498 | 6 | 5.17 | % | — | % | 4.7 | % | ||||||||||
Total 30-Year Fixed Rate | $ | 711,158 | 104.0 | % | 103.6 | % | $ | 736,498 | 6 | 5.17 | % | — | % | 4.7 | % | ||||||||||
Total Fixed Rate Portfolio | $ | 1,491,353 | 104.2 | % | 101.8 | % | $ | 1,518,123 | 45 | 4.33 | % | 48 | % | 6.8 | % |
Coupon | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Loan Age (Months) (2) | Weighted Average Loan Rate | Low Loan Balance and/or HARP (3) | 3 Month Average CPR | |||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||
15-Year Fixed Rate: | |||||||||||||||||||||||||
2.5% | $ | 579,003 | 104.0 | % | 100.5 | % | $ | 581,866 | 60 | 3.04 | % | 100 | % | 9.3 | % | ||||||||||
3.0% | 231,325 | 105.9 | 102.2 | 236,316 | 66 | 3.49 | 100 | 9.5 | |||||||||||||||||
3.5% | 5,402 | 103.5 | 103.4 | 5,587 | 86 | 4.18 | 100 | 23.0 | |||||||||||||||||
4.0% | 263,447 | 103.5 | 104.3 | 274,783 | 85 | 4.40 | 80 | 12.4 | |||||||||||||||||
4.5% | 41,910 | 105.2 | 105.1 | 44,031 | 89 | 4.88 | 34 | 10.2 | |||||||||||||||||
Total 15-Year Fixed Rate | $ | 1,121,087 | 104.3 | % | 101.9 | % | $ | 1,142,583 | 68 | 3.52 | % | 93 | % | 10.2 | % |
(Dollars in Thousands) | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Coupon (2) | Weighted Average Loan Age (Months) (2) | Weighted Average Months to Reset (3) | Interest Only (4) | 3 Month Average CPR | ||||||||||||||||||
Hybrid | |||||||||||||||||||||||||||
Agency 3/1 | $ | 66,369 | 102.6 | % | 104.7 | % | $ | 69,478 | 4.42 | % | 151 | 6 | — | % | 14.7 | % | |||||||||||
Agency 5/1 | 462,833 | 103.3 | 104.2 | 482,466 | 4.30 | 118 | 5 | 15 | 20.6 | ||||||||||||||||||
Agency 7/1 | 389,734 | 103.7 | 103.5 | 403,471 | 3.62 | 96 | 6 | 20 | 23.7 | ||||||||||||||||||
Agency 10/1 | 161,633 | 104.3 | 101.0 | 163,223 | 3.20 | 86 | 36 | 59 | 11.2 | ||||||||||||||||||
Total Hybrids | $ | 1,080,569 | 103.5 | % | 103.5 | % | $ | 1,118,638 | 3.90 | % | 108 | 10 | 22 | % | 20.0 | % |
(Dollars in Thousands) | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Coupon (2) | Weighted Average Loan Age (Months) (2) | Weighted Average Months to Reset (3) | Interest Only (4) | 3 Month Average CPR | ||||||||||||||||||
Hybrid | |||||||||||||||||||||||||||
Agency 3/1 | $ | 92,790 | 102.5 | % | 104.9 | % | $ | 97,314 | 3.44 | % | 138 | 6 | 8 | % | 16.8 | % | |||||||||||
Agency 5/1 | 661,581 | 103.3 | 104.5 | 691,660 | 3.45 | 107 | 5 | 23 | 17.5 | ||||||||||||||||||
Agency 7/1 | 589,843 | 103.6 | 103.6 | 611,207 | 3.06 | 84 | 11 | 28 | 18.4 | ||||||||||||||||||
Agency 10/1 | 196,217 | 104.2 | 102.4 | 200,926 | 3.16 | 75 | 46 | 57 | 12.0 | ||||||||||||||||||
Total Hybrids | $ | 1,540,431 | 103.5 | % | 103.9 | % | $ | 1,601,107 | 3.27 | % | 96 | 13 | 28 | % | 17.1 | % |
December 31, | |||||||||
(In Thousands) | 2018 | 2017 | |||||||
Non-Agency MBS | |||||||||
Face/Par | $ | 3,538,804 | $ | 3,718,743 | |||||
Fair Value | 3,318,299 | 3,533,966 | |||||||
Amortized Cost | 2,867,703 | 2,910,241 | |||||||
Purchase Discount Designated as Credit Reserve and OTTI | (516,116 | ) | (1) | (593,227 | ) | (2) | |||
Purchase Discount Designated as Accretable | (155,025 | ) | (215,325 | ) | |||||
Purchase Premiums | 40 | 50 |
For the Year Ended December 31, | ||||||||||||||||
2018 | 2017 | |||||||||||||||
(In Thousands) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | ||||||||||||
Balance at beginning of period | $ | (593,227 | ) | $ | (215,325 | ) | $ | (694,241 | ) | $ | (278,191 | ) | ||||
Impact of RMBS Issuer settlement (2)(3) | — | (14,822 | ) | — | — | |||||||||||
Accretion of discount | — | 70,750 | — | 77,513 | ||||||||||||
Realized credit losses | 42,246 | — | 49,291 | — | ||||||||||||
Purchases | (2,512 | ) | 1,685 | (29,810 | ) | 18,386 | ||||||||||
Sales | 12,987 | 28,336 | 31,730 | 17,802 | ||||||||||||
Net impairment losses recognized in earnings | (1,259 | ) | — | (1,032 | ) | — | ||||||||||
Transfers/release of credit reserve | 25,649 | (25,649 | ) | 50,835 | (50,835 | ) | ||||||||||
Balance at end of period | $ | (516,116 | ) | $ | (155,025 | ) | $ | (593,227 | ) | $ | (215,325 | ) |
(1) | Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. |
(2) | Includes the impact of approximately $2.7 million of cash proceeds (a one-time payment) received by the Company during the year ended December 31, 2018 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by Lehman Brothers Holdings Inc. |
(3) | Includes the impact of approximately $12.1 million of cash proceeds (a one-time payment) received by the Company during the year ended December 31, 2018 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by JP Morgan Chase & Co. and affiliated entities. |
For the Year Ended December 31, | |||||||||||||||||
2018 | 2017 | 2016 | |||||||||||||||
Legacy Non-Agency MBS | RPL/NPL MBS | Legacy Non-Agency MBS | RPL/NPL MBS | Legacy Non-Agency MBS | RPL/NPL MBS | ||||||||||||
Non-Agency MBS | |||||||||||||||||
Coupon Yield (1) | 6.23 | % | 4.55 | % | 5.61 | % | 4.05 | % | 5.24 | % | 3.80 | % | |||||
Effective Yield Adjustment (2) | 3.92 | 0.14 | 3.34 | 0.09 | 2.66 | 0.08 | |||||||||||
Net Yield | 10.15 | % | 4.69 | % | 8.95 | % | 4.14 | % | 7.90 | % | 3.88 | % |
(1) | Reflects coupon interest income divided by the average amortized cost. The discounted purchase price on Legacy Non-Agency MBS causes the coupon yield to be higher than the pass-through coupon interest rate. |
(2) | The effective yield adjustment is the difference between the net yield, calculated utilizing management’s estimates of timing and amount of future cash flows for Legacy Non-Agency MBS and RPL/NPL MBS, less the current coupon yield. |
Within One Year | One to Five Years | Five to Ten Years | Over Ten Years | Total MBS | |||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | Amortized Cost | Weighted Average Yield | Amortized Cost | Weighted Average Yield | Amortized Cost | Weighted Average Yield | Amortized Cost | Weighted Average Yield | Total Amortized Cost | Total Fair Value | Weighted Average Yield | ||||||||||||||||||||||||||||
Agency MBS: | |||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | — | — | % | $ | 34 | 1.64 | % | $ | 504,636 | 2.17 | % | $ | 1,277,576 | 2.87 | % | $ | 1,782,246 | $ | 1,762,032 | 2.67 | % | |||||||||||||||||
Freddie Mac | — | — | — | — | 313,832 | 1.87 | 633,756 | 4.01 | 947,588 | 931,318 | 3.34 | ||||||||||||||||||||||||||||
Ginnie Mae | — | — | — | — | 85 | 3.25 | 4,731 | 3.12 | 4,816 | 4,863 | 3.13 | ||||||||||||||||||||||||||||
Total Agency MBS | $ | — | — | % | $ | 34 | 1.64 | % | $ | 818,553 | 2.06 | % | $ | 1,916,063 | 3.24 | % | $ | 2,734,650 | $ | 2,698,213 | 2.90 | % | |||||||||||||||||
Non-Agency MBS | $ | 41,822 | 11.85 | % | $ | 289,727 | 4.13 | % | $ | 2,391 | 4.13 | % | $ | 2,533,763 | 8.30 | % | $ | 2,867,703 | $ | 3,318,299 | 7.93 | % | |||||||||||||||||
Total MBS | $ | 41,822 | 11.85 | % | $ | 289,761 | 4.13 | % | $ | 820,944 | 2.06 | % | $ | 4,449,826 | 6.12 | % | $ | 5,602,353 | $ | 6,016,512 | 5.47 | % |
(In Thousands) | Purchased Performing Loans (1) | Purchased Credit Impaired Loans | Residential Whole Loans, at Fair Value (1) | |||||||||
Amount due: | ||||||||||||
Within one year | $ | 400,507 | $ | 367 | $ | 7,580 | ||||||
After one year: | ||||||||||||
Over one to five years | 95,894 | 4,858 | 9,045 | |||||||||
Over five years | 1,705,913 | 792,762 | 1,454,638 | |||||||||
Total due after one year | $ | 1,801,807 | $ | 797,620 | $ | 1,463,683 | ||||||
Total residential whole loans | $ | 2,202,314 | $ | 797,987 | $ | 1,471,263 |
(1) | Excludes approximately $16.4 million of purchased performing loans held at carrying value and $194.7 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of December 31, 2018. |
(In Thousands) | Purchased Performing Loans (1)(2) | Residential Whole Loans at Fair Value (1)(2) | ||||||
Interest rates: | ||||||||
Fixed | $ | 432,765 | $ | 876,948 | ||||
Adjustable | 1,369,042 | 586,735 | ||||||
Total | $ | 1,801,807 | $ | 1,463,683 |
(2) | Excludes approximately $16.4 million of purchased performing loans held at carrying value and $194.7 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of December 31, 2018. |
Country | Number of Counterparties | Repurchase Agreement Financing | Exposure (1) | Exposure as a Percentage of MFA Total Assets | ||||||||
(Dollars in Thousands) | ||||||||||||
European Countries: (2) | ||||||||||||
United Kingdom | 2 | $ | 1,103,626 | 202,924 | 1.63 | % | ||||||
Switzerland (3) | 2 | 896,404 | 162,784 | 1.31 | ||||||||
France | 2 | 416,164 | 108,980 | 0.88 | ||||||||
Holland | 1 | 82,016 | 8,446 | 0.07 | ||||||||
Total European | 7 | 2,498,210 | 483,134 | 3.89 | % | |||||||
Other Countries: | ||||||||||||
United States | 13 | $ | 3,692,203 | 770,085 | 6.20 | % | ||||||
Canada (4) | 2 | 1,011,959 | 266,872 | 2.15 | ||||||||
Japan (5) | 3 | 266,360 | 26,582 | 0.21 | ||||||||
South Korea | 1 | 306,404 | 26,641 | 0.21 | ||||||||
China (5) | 1 | 103,978 | 11,190 | 0.09 | ||||||||
Total Other | 20 | 5,380,904 | 1,101,370 | 8.86 | % | |||||||
Total | 27 | $ | 7,879,114 | 1,584,504 | 12.75 | % |
(1) | Represents for each counterparty the amount of cash and/or securities pledged as collateral less the aggregate of repurchase agreement financing and net interest receivable/payable on all such instruments. |
(2) | Includes European-based counterparties as well as U.S.-domiciled subsidiaries of the European parent entity. |
(3) | Includes London branch of one counterparty and Cayman Islands branch of the other counterparty. |
(4) | Includes Canada-based counterparties as well as U.S.-domiciled subsidiaries of Canadian parent entities. In the case of one counterparty, also includes exposure of $261.0 million to Barbados-based affiliate of the Canadian parent entity. |
(5) | Exposure is to U.S.-domiciled subsidiary of the Japanese or Chinese parent entity, as the case may be. |
For the Year Ended December 31, | |||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | |||||||||||||||||||||||||||||||
Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | |||||||||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||
Interest-earning assets: | |||||||||||||||||||||||||||||||||
Agency MBS (1) | $ | 2,710,049 | $ | 62,303 | 2.30 | % | $ | 3,272,766 | $ | 65,355 | 2.00 | % | $ | 4,258,744 | $ | 83,069 | 1.95 | % | |||||||||||||||
Legacy Non-Agency MBS (1) | 1,763,424 | 179,023 | 10.15 | 2,276,247 | 203,650 | 8.95 | 2,941,507 | 232,500 | 7.90 | ||||||||||||||||||||||||
RPL/NPL MBS (1) | 1,017,549 | 47,773 | 4.69 | 1,629,573 | 67,462 | 4.14 | 2,586,495 | 100,321 | 3.88 | ||||||||||||||||||||||||
Total MBS | 5,491,022 | 289,099 | 5.26 | 7,178,586 | 336,467 | 4.69 | 9,786,746 | 415,890 | 4.25 | ||||||||||||||||||||||||
CRT securities (1) | 543,671 | 33,376 | 6.14 | 543,360 | 31,715 | 5.84 | 271,566 | 14,770 | 5.44 | ||||||||||||||||||||||||
Residential whole loans, at carrying value (2) | 1,738,870 | 100,921 | 5.80 | 610,420 | 36,187 | 5.93 | 389,910 | 23,916 | 6.13 | ||||||||||||||||||||||||
MSR-related assets (1) | 479,041 | 28,420 | 5.93 | 392,948 | 24,830 | 6.32 | 36,013 | 2,100 | 5.83 | ||||||||||||||||||||||||
Cash and cash equivalents (3) | 208,447 | 2,936 | 1.41 | 546,579 | 4,249 | 0.78 | 291,064 | 774 | 0.27 | ||||||||||||||||||||||||
Other interest-earning assets | 16,886 | 923 | 5.47 | — | — | — | — | — | — | ||||||||||||||||||||||||
Total interest-earning assets | 8,477,937 | 455,675 | 5.37 | 9,271,893 | 433,448 | 4.67 | 10,775,299 | 457,450 | 4.25 | ||||||||||||||||||||||||
Total non-interest-earning assets | 2,708,908 | 2,347,281 | 2,061,281 | ||||||||||||||||||||||||||||||
Total assets | $ | 11,186,845 | $ | 11,619,174 | $ | 12,836,580 | |||||||||||||||||||||||||||
Liabilities and stockholders’ equity: | |||||||||||||||||||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||||||||||||||||||
Total repurchase agreements (4) | $ | 6,746,570 | $ | 205,338 | 3.04 | $ | 7,441,607 | $ | 186,347 | 2.50 | $ | 8,972,475 | $ | 184,986 | 2.06 | ||||||||||||||||||
Securitized debt (5) | 540,003 | 18,805 | 3.48 | 96,311 | 2,755 | 2.86 | 6,700 | 333 | 4.97 | ||||||||||||||||||||||||
Senior Notes | 96,792 | 8,043 | 8.31 | 96,751 | 8,039 | 8.31 | 96,714 | 8,036 | 8.31 | ||||||||||||||||||||||||
Total interest-bearing liabilities | 7,383,365 | 232,186 | 3.14 | 7,634,669 | 197,141 | 2.58 | 9,075,889 | 193,355 | 2.13 | ||||||||||||||||||||||||
Total non-interest-bearing liabilities | 456,500 | 780,691 | 795,121 | ||||||||||||||||||||||||||||||
Total liabilities | 7,839,865 | 8,415,360 | 9,871,010 | ||||||||||||||||||||||||||||||
Stockholders’ equity | 3,346,980 | 3,203,814 | 2,965,570 | ||||||||||||||||||||||||||||||
Total liabilities and stockholders’ equity | $ | 11,186,845 | $ | 11,619,174 | $ | 12,836,580 | |||||||||||||||||||||||||||
Net interest income/net interest rate spread (6) | $ | 223,489 | 2.23 | % | $ | 236,307 | 2.09 | % | $ | 264,095 | 2.12 | % | |||||||||||||||||||||
Net interest-earning assets/net interest margin (7) | $ | 1,094,572 | 2.64 | % | $ | 1,637,224 | 2.55 | % | $ | 1,699,410 | 2.45 | % |
(1) | Yields presented throughout this Annual Report on Form 10-K are calculated using average amortized cost data for securities which excludes unrealized gains and losses and includes principal payments receivable on securities. For GAAP reporting purposes, purchases and sales are reported on the trade date. Average amortized cost data used to determine yields is calculated based on the settlement date of the associated purchase or sale as interest income is not earned on purchased assets and continues to be earned on sold assets until settlement date. Includes Non-Agency MBS transferred to consolidated VIEs. |
(2) | Excludes residential whole loans held at fair value that are reported as a component of total non-interest-earning assets. |
(3) | Includes average interest-earning cash, cash equivalents and restricted cash. |
(4) | Average cost of repurchase agreements includes the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration. |
(5) | Securitized debt for 2018 and 2017 reflects securitized debt from our loan securitization transactions. Securitized debt for 2016 reflects securitized debt from our MBS resecuritization transactions. |
(6) | Net interest rate spread reflects the difference between the yield on average interest-earning assets and average cost of funds. |
(7) | Net interest margin reflects net interest income divided by average interest-earning assets. |
Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||
Compared to | Compared to | |||||||||||||||||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||||||||||||||||||
Increase/(Decrease) due to | Total Net Change in Interest Income/Expense | Increase/(Decrease) due to | Total Net Change in Interest Income/Expense | |||||||||||||||||||||
(In Thousands) | Volume | Rate | Volume | Rate | ||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||||
Agency MBS | $ | (12,158 | ) | $ | 9,106 | $ | (3,052 | ) | $ | (19,762 | ) | $ | 2,048 | $ | (17,714 | ) | ||||||||
Legacy Non-Agency MBS | (49,722 | ) | 25,095 | (24,627 | ) | (57,019 | ) | 28,169 | (28,850 | ) | ||||||||||||||
RPL/NPL MBS | (27,787 | ) | 8,098 | (19,689 | ) | (39,233 | ) | 6,374 | (32,859 | ) | ||||||||||||||
CRT securities | 18 | 1,643 | 1,661 | 15,790 | 1,155 | 16,945 | ||||||||||||||||||
Residential whole loans, at carrying value (1) | 65,509 | (775 | ) | 64,734 | 13,097 | (826 | ) | 12,271 | ||||||||||||||||
MSR-related assets | 5,180 | (1,590 | ) | 3,590 | 22,539 | 191 | 22,730 | |||||||||||||||||
Cash and cash equivalents | (3,552 | ) | 2,239 | (1,313 | ) | 1,088 | 2,387 | 3,475 | ||||||||||||||||
Other interest earning assets | 923 | — | 923 | — | — | — | ||||||||||||||||||
Total net change in income from interest-earning assets | $ | (21,589 | ) | $ | 43,816 | $ | 22,227 | $ | (63,500 | ) | $ | 39,498 | $ | (24,002 | ) | |||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||||
Agency repurchase agreements | $ | (9,706 | ) | $ | 12,897 | $ | 3,191 | $ | (13,779 | ) | $ | 11,470 | $ | (2,309 | ) | |||||||||
Legacy Non-Agency repurchase agreements | (9,718 | ) | 1,523 | (8,195 | ) | (13,682 | ) | 6,456 | (7,226 | ) | ||||||||||||||
RPL/NPL MBS repurchase agreements | (14,473 | ) | 6,958 | (7,515 | ) | (18,944 | ) | 7,260 | (11,684 | ) | ||||||||||||||
CRT securities repurchase agreements | 1,152 | 2,359 | 3,511 | 4,507 | 891 | 5,398 | ||||||||||||||||||
MSR-related assets repurchased agreements | 3,239 | 400 | 3,639 | 7,332 | 85 | 7,417 | ||||||||||||||||||
Residential whole loan at carrying value repurchase agreements | 13,806 | 1,904 | 15,710 | 3,919 | 1,133 | 5,052 | ||||||||||||||||||
Residential whole loan at fair value repurchase agreements | 4,722 | 3,375 | 8,097 | 3,337 | 1,376 | 4,713 | ||||||||||||||||||
Other repurchase agreements | 553 | — | 553 | — | — | — | ||||||||||||||||||
Securitized debt | 15,327 | 723 | 16,050 | 2,621 | (199 | ) | 2,422 | |||||||||||||||||
Senior Notes | 4 | — | 4 | 3 | — | 3 | ||||||||||||||||||
Total net change in expense from interest-bearing liabilities | $ | 4,906 | $ | 30,139 | $ | 35,045 | $ | (24,686 | ) | $ | 28,472 | $ | 3,786 | |||||||||||
Net change in net interest income | $ | (26,495 | ) | $ | 13,677 | $ | (12,818 | ) | $ | (38,814 | ) | $ | 11,026 | $ | (27,788 | ) |
(1) | Excludes residential whole loans held at fair value which are reported as a component of non-interest-earning assets. |
Total Interest-Earning Assets and Interest- Bearing Liabilities | ||||||
Quarter Ended | Net Interest Spread (1) | Net Interest Margin (2) | ||||
December 31, 2018 | 2.17 | % | 2.60 | % | ||
September 30, 2018 | 2.41 | 2.82 | ||||
June 30, 2018 | 2.30 | 2.66 | ||||
March 31, 2018 | 2.25 | 2.64 | ||||
December 31, 2017 | 2.08 | 2.54 | ||||
September 30, 2017 | 2.02 | 2.54 | ||||
June 30, 2017 | 2.10 | 2.58 | ||||
March 31, 2017 | 2.27 | 2.63 |
(1) | Reflects the difference between the yield on average interest-earning assets and average cost of funds. |
(2) | Reflects annualized net interest income divided by average interest-earning assets. |
Agency MBS | Legacy Non-Agency MBS | RPL/NPL MBS | Total MBS | |||||||||||||||||||||||||||||||||
Quarter Ended | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | ||||||||||||||||||||||||
December 31, 2018 | 2.72 | % | 2.36 | % | 0.36 | % | 10.65 | % | 3.30 | % | 7.35 | % | 4.82 | % | 3.27 | % | 1.55 | % | 5.36 | % | 2.82 | % | 2.54 | % | ||||||||||||
September 30, 2018 | 2.21 | 2.22 | (0.01 | ) | 10.76 | 3.29 | 7.47 | 5.01 | 3.10 | 1.91 | 5.49 | 2.73 | 2.76 | |||||||||||||||||||||||
June 30, 2018 | 2.03 | 2.04 | (0.01 | ) | 9.89 | 3.30 | 6.59 | 4.52 | 3.19 | 1.33 | 5.16 | 2.64 | 2.52 | |||||||||||||||||||||||
March 31, 2018 | 2.21 | 1.91 | 0.30 | 9.44 | 3.29 | 6.15 | 4.36 | 2.94 | 1.42 | 5.06 | 2.53 | 2.53 | ||||||||||||||||||||||||
December 31, 2017 | 2.08 | 1.79 | 0.29 | 9.12 | 3.29 | 5.83 | 4.27 | 2.72 | 1.55 | 4.85 | 2.44 | 2.41 | ||||||||||||||||||||||||
September 30, 2017 | 1.97 | 1.75 | 0.22 | 8.93 | 3.26 | 5.67 | 4.43 | 2.69 | 1.74 | 4.74 | 2.41 | 2.33 | ||||||||||||||||||||||||
June 30, 2017 | 1.96 | 1.57 | 0.39 | 8.85 | 3.28 | 5.57 | 4.18 | 2.46 | 1.72 | 4.68 | 2.29 | 2.39 | ||||||||||||||||||||||||
March 31, 2017 | 1.98 | 1.49 | 0.49 | 8.90 | 3.05 | 5.85 | 3.87 | 2.27 | 1.60 | 4.58 | 2.15 | 2.43 |
(1) | Reflects annualized interest income on MBS divided by average amortized cost of MBS. |
(2) | Reflects annualized interest expense divided by average balance of repurchase agreements and other advances, including the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration, and securitized debt. Agency cost of funding includes (5), 6, 9, 26, 43, 44, 49 and 60 basis points and Legacy Non-Agency cost of funding includes (4), 5, 8, 30, 45, 45, 58 and 58 basis points associated with Swaps to hedge interest rate sensitivity on these assets for the quarters ended December 31, 2018, September 30, 2018, June 30, 2018, March 31, 2018, December 31, 2017, September 30, 2017, June 30, 2017 and March 31, 2017, respectively. |
(3) | Reflects the difference between the net yield on average MBS and average cost of funds on MBS. |
Agency MBS | Legacy Non-Agency MBS | RPL/NPL MBS | |||||||||||||||||||||||||
Quarter Ended | Coupon Yield (1) | Net Yield (2) | 3 Month Average CPR (3) | Coupon Yield (1) | Net Yield (2) | 3 Month Average CPR (3) | Coupon Yield (1) | Net Yield (2) | 3 Month Average Bond CPR (4) | ||||||||||||||||||
December 31, 2018 | 3.58 | % | 2.72 | % | 12.5 | % | 6.64 | % | 10.65 | % | 14.7 | % | 4.75 | % | 4.82 | % | 12.9 | % | |||||||||
September 30, 2018 | 3.32 | 2.21 | 16.8 | 6.32 | 10.76 | 16.8 | 4.56 | 5.01 | 19.6 | ||||||||||||||||||
June 30, 2018 | 3.09 | 2.03 | 16.2 | 6.09 | 9.89 | 15.8 | 4.49 | 4.52 | 20.4 | ||||||||||||||||||
March 31, 2018 | 3.02 | 2.21 | 12.7 | 5.91 | 9.44 | 14.9 | 4.35 | 4.36 | 14.0 | ||||||||||||||||||
December 31, 2017 | 3.00 | 2.08 | 14.1 | 5.82 | 9.12 | 16.3 | 4.24 | 4.27 | 20.1 | ||||||||||||||||||
September 30, 2017 | 2.98 | 1.97 | 16.2 | 5.63 | 8.93 | 18.7 | 4.24 | 4.43 | 26.2 | ||||||||||||||||||
June 30, 2017 | 2.94 | 1.96 | 16.3 | 5.52 | 8.85 | 18.2 | 4.03 | 4.18 | 36.2 | ||||||||||||||||||
March 31, 2017 | 2.90 | 1.98 | 15.1 | 5.50 | 8.90 | 16.8 | 3.84 | 3.87 | 27.1 |
For the Year Ended December 31, | ||||||||
(In Thousands) | 2018 | 2017 | ||||||
Net gains on residential whole loans measured at fair value through earnings | $ | 137,619 | $ | 90,045 | ||||
Net realized gains on residential mortgage securities sold | 61,307 | 39,577 | ||||||
Net unrealized (loss)/gain on residential mortgage securities measured at fair value through earnings | (36,815 | ) | 27,709 | |||||
Liquidation gains on purchased credit impaired loans and other loan related income | 13,432 | 7,863 | ||||||
Net loss on Swaps not designated as hedges for accounting purposes | (9,610 | ) | — | |||||
Net loss on REO properties | (8,021 | ) | (6,542 | ) | ||||
OTTI and other | 63 | (665 | ) | |||||
Total Other Income, net | $ | 157,975 | $ | 157,987 |
At or for the Quarter Ended | Return on Average Total Assets (1) | Return on Average Total Stockholders’ Equity (2) | Total Average Stockholders’ Equity to Total Average Assets (3) | Dividend Payout Ratio (4) | Leverage Multiple (5) | Book Value per Share of Common Stock (6) | |||||||||||
December 31, 2018 | 1.87 | % | 6.96 | % | 28.65 | % | 1.54 | 2.6 | $ | 7.15 | |||||||
September 30, 2018 | 2.94 | 10.21 | 30.15 | 1.05 | 2.3 | 7.46 | |||||||||||
June 30, 2018 | 2.58 | 8.74 | 31.19 | 1.18 | 2.3 | 7.54 | |||||||||||
March 31, 2018 | 2.93 | 10.27 | 29.91 | 1.00 | 2.2 | 7.62 | |||||||||||
December 31, 2017 | 3.47 | 12.29 | 29.33 | 0.83 | 2.3 | 7.70 | |||||||||||
September 30, 2017 | 2.10 | 7.78 | 28.60 | 1.33 | 2.4 | 7.70 | |||||||||||
June 30, 2017 | 2.63 | 10.01 | 27.59 | 1.00 | 2.5 | 7.76 | |||||||||||
March 31, 2017 | 2.42 | 10.19 | 24.95 | 1.00 | 2.9 | 7.66 |
(1) | Reflects annualized net income available to common stock and participating securities divided by average total assets. |
(2) | Reflects annualized net income divided by average total stockholders’ equity. |
(3) | Reflects total average stockholders’ equity divided by total average assets. |
(4) | Reflects dividends declared per share of common stock divided by earnings per share. |
(5) | Represents the sum of borrowings under repurchase agreements, securitized debt, payable for unsettled purchases, obligations to return securities obtained as collateral and Senior Notes divided by stockholders’ equity. |
(6) | Reflects total stockholders’ equity less the preferred stock liquidation preference divided by total shares of common stock outstanding. |
Total Interest-Earning Assets and Interest- Bearing Liabilities | ||||||
Quarter Ended | Net Interest Spread (1) | Net Interest Margin (2) | ||||
December 31, 2017 | 2.08 | % | 2.54 | % | ||
September 30, 2017 | 2.02 | 2.54 | ||||
June 30, 2017 | 2.10 | 2.58 | ||||
March 31, 2017 | 2.27 | 2.63 | ||||
December 31, 2016 | 2.12 | 2.46 | ||||
September 30, 2016 | 2.13 | 2.46 | ||||
June 30, 2016 | 2.14 | 2.46 | ||||
March 31, 2016 | 2.18 | 2.51 |
(1) | Reflected the difference between the yield on average interest-earning assets and average cost of funds. |
(2) | Reflected annualized net interest income divided by average interest-earning assets. |
Agency MBS | Legacy Non-Agency MBS | RPL/NPL MBS | Total MBS | |||||||||||||||||||||||||||||||||
Quarter Ended | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | ||||||||||||||||||||||||
December 31, 2017 | 2.08 | % | 1.79 | % | 0.29 | % | 9.12 | % | 3.29 | % | 5.83 | % | 4.27 | % | 2.72 | % | 1.55 | % | 4.85 | % | 2.44 | % | 2.41 | % | ||||||||||||
September 30, 2017 | 1.97 | 1.75 | 0.22 | 8.93 | 3.26 | 5.67 | 4.43 | 2.69 | 1.74 | 4.74 | 2.41 | 2.33 | ||||||||||||||||||||||||
June 30, 2017 | 1.96 | 1.57 | 0.39 | 8.85 | 3.28 | 5.57 | 4.18 | 2.46 | 1.72 | 4.68 | 2.29 | 2.39 | ||||||||||||||||||||||||
March 31, 2017 | 1.98 | 1.49 | 0.49 | 8.90 | 3.05 | 5.85 | 3.87 | 2.27 | 1.60 | 4.58 | 2.15 | 2.43 | ||||||||||||||||||||||||
December 31, 2016 | 1.92 | 1.41 | 0.51 | 8.24 | 3.01 | 5.23 | 3.85 | 2.14 | 1.71 | 4.35 | 2.07 | 2.28 | ||||||||||||||||||||||||
September 30, 2016 | 1.83 | 1.28 | 0.55 | 8.09 | 2.98 | 5.11 | 3.86 | 2.05 | 1.81 | 4.24 | 1.96 | 2.28 | ||||||||||||||||||||||||
June 30, 2016 | 1.96 | 1.26 | 0.70 | 7.72 | 2.88 | 4.84 | 3.83 | 2.01 | 1.82 | 4.19 | 1.91 | 2.28 | ||||||||||||||||||||||||
March 31, 2016 | 2.07 | 1.27 | 0.80 | 7.61 | 2.86 | 4.75 | 3.97 | 2.07 | 1.90 | 4.23 | 1.91 | 2.32 |
(1) | Reflected annualized interest income on MBS divided by average amortized cost of MBS. |
(2) | Reflected annualized interest expense divided by average balance of repurchase agreements and other advances, including the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration and securitized debt. Agency cost of funding includes 43, 44, 49, 60, 65, 62, 63 and 65 basis points and Legacy Non-Agency cost of funding includes 45, 45, 58, 58, 69, 74, 69 and 65 basis points associated with Swaps to hedge interest rate sensitivity on these assets for the quarters ended December 31, 2017, September 30, 2017, June 30, 2017, March 31, 2017, December 31, 2016, September 30, 2016, June 30, 2016 and March 31, 2016, respectively. |
(3) | Reflected the difference between the net yield on average MBS and average cost of funds on MBS. |
Agency MBS | Legacy Non-Agency MBS | RPL/NPL MBS | |||||||||||||||||||||||||
Quarter Ended | Coupon Yield (1) | Net Yield (2) | 3 Month Average CPR (3) | Coupon Yield (1) | Net Yield (2) | 3 Month Average CPR (3) | Coupon Yield (1) | Net Yield (2) | 3 Month Average Bond CPR (4) | ||||||||||||||||||
December 31, 2017 | 3.00 | % | 2.08 | % | 14.1 | % | 5.82 | % | 9.12 | % | 16.3 | % | 4.24 | % | 4.27 | % | 20.1 | % | |||||||||
September 30, 2017 | 2.98 | 1.97 | 16.2 | 5.63 | 8.93 | 18.7 | 4.24 | 4.43 | 26.2 | ||||||||||||||||||
June 30, 2017 | 2.94 | 1.96 | 16.3 | 5.52 | 8.85 | 18.2 | 4.03 | 4.18 | 36.2 | ||||||||||||||||||
March 31, 2017 | 2.90 | 1.98 | 15.1 | 5.50 | 8.90 | 16.8 | 3.84 | 3.87 | 27.1 | ||||||||||||||||||
December 31, 2016 | 2.86 | 1.92 | 15.9 | 5.40 | 8.24 | 17.3 | 3.82 | 3.85 | 25.8 | ||||||||||||||||||
September 30, 2016 | 2.83 | 1.83 | 16.7 | 5.28 | 8.09 | 15.9 | 3.83 | 3.86 | 32.2 | ||||||||||||||||||
June 30, 2016 | 2.80 | 1.96 | 13.9 | 5.19 | 7.72 | 16.1 | 3.81 | 3.83 | 25.4 | ||||||||||||||||||
March 31, 2016 | 2.78 | 2.07 | 11.7 | 5.09 | 7.61 | 13.3 | 3.73 | 3.97 | 23.0 |
For the Year Ended December 31, | ||||||||
(In Thousands) | 2017 | 2016 | ||||||
Net gains on residential whole loans measured at fair value through earnings | $ | 90,045 | $ | 62,605 | ||||
Net realized gains on residential mortgage securities sold | 39,577 | 35,837 | ||||||
Net unrealized gain on residential mortgage securities measured at fair value through earnings | 27,709 | 12,962 | ||||||
Liquidation gains on purchased credit impaired loans and other loan related income | 7,863 | 473 | ||||||
Net loss on REO properties | (6,542 | ) | (4,298 | ) | ||||
OTTI and other | (665 | ) | 978 | |||||
Total Other Income, net | $ | 157,987 | $ | 108,557 |
At or for the Quarter Ended | Return on Average Total Assets (1) | Return on Average Total Stockholders’ Equity (2) | Total Average Stockholders’ Equity to Total Average Assets (3) | Dividend Payout Ratio (4) | Leverage Multiple (5) | Book Value per Share of Common Stock (6) | |||||||||||
December 31, 2017 | 3.47 | % | 12.29 | % | 29.33 | % | 0.83 | 2.3 | $ | 7.70 | |||||||
September 30, 2017 | 2.10 | 7.78 | 28.60 | 1.33 | 2.4 | 7.70 | |||||||||||
June 30, 2017 | 2.63 | 10.01 | 27.59 | 1.00 | 2.5 | 7.76 | |||||||||||
March 31, 2017 | 2.42 | 10.19 | 24.95 | 1.00 | 2.9 | 7.66 | |||||||||||
December 31, 2016 | 2.18 | 9.52 | 24.19 | 1.11 | 3.1 | 7.62 | |||||||||||
September 30, 2016 | 2.47 | 11.05 | 23.46 | 0.95 | 3.1 | 7.64 | |||||||||||
June 30, 2016 | 2.33 | 10.83 | 22.58 | 1.00 | 3.3 | 7.41 | |||||||||||
March 31, 2016 | 2.29 | 10.82 | 22.19 | 1.00 | 3.4 | 7.17 |
(1) | Reflected annualized net income available to common stock and participating securities divided by average total assets. |
(2) | Reflected annualized net income divided by average total stockholders’ equity. |
(3) | Reflected total average stockholders’ equity divided by total average assets. |
(4) | Reflected dividends declared per share of common stock divided by earnings per share. |
(5) | Represented the sum of borrowings under repurchase agreements, FHLB advances, securitized debt, payable for unsettled purchases, and obligations to return securities obtained as collateral and Senior Notes divided by stockholders’ equity. |
(6) | Reflected total stockholders’ equity less the preferred stock liquidation preference divided by total shares of common stock outstanding. |
At December 31, 2018 | Weighted Average Haircut | Low | High | ||||||
Repurchase agreement borrowings secured by: | |||||||||
Agency MBS | 4.60 | % | 3.00 | % | 5.00 | % | |||
Legacy Non-Agency MBS | 21.38 | 15.00 | 35.00 | ||||||
RPL/NPL MBS | 21.31 | 15.00 | 30.00 | ||||||
CRT securities | 20.01 | 17.00 | 25.00 | ||||||
Residential whole loans | 16.55 | 8.00 | 33.00 | ||||||
MSR-related assets | 21.88 | 20.00 | 30.00 | ||||||
Other | 21.15 | 20.00 | 35.00 | ||||||
At December 31, 2017 | Weighted Average Haircut | Low | High | ||||||
Repurchase agreement borrowings secured by: | |||||||||
Agency MBS | 4.65 | % | 3.00 | % | 8.00 | % | |||
Legacy Non-Agency MBS | 21.87 | 15.00 | 35.00 | ||||||
RPL/NPL MBS | 22.05 | 20.00 | 27.50 | ||||||
U.S. Treasury securities | 1.47 | 1.00 | 2.00 | ||||||
CRT securities | 22.16 | 15.00 | 25.00 | ||||||
Residential whole loans | 26.10 | 20.00 | 35.00 | ||||||
MSR-related assets | 33.19 | 30.00 | 50.00 |
Repurchase Agreements and Other Advances | Securitized Debt (1) | |||||||||||||||||||||||
Quarter Ended (2) | Quarterly Average Balance | End of Period Balance | Maximum Balance at Any Month-End | Quarterly Average Balance | End of Period Balance | Maximum Balance at Any Month-End | ||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||
December 31, 2018 | $ | 7,672,309 | $ | 7,879,087 | $ | 7,879,087 | $ | 699,207 | $ | 684,420 | $ | 702,377 | ||||||||||||
September 30, 2018 | 6,594,050 | 7,278,270 | 7,278,270 | 665,572 | 714,203 | 744,521 | ||||||||||||||||||
June 30, 2018 | 6,189,916 | 5,892,228 | 6,319,178 | 432,283 | 518,655 | 523,490 | ||||||||||||||||||
March 31, 2018 | 6,519,390 | 6,558,860 | 6,558,860 | 357,819 | 351,278 | 361,002 | ||||||||||||||||||
December 31, 2017 | 6,661,020 | 6,614,701 | 6,760,360 | 212,445 | 363,944 | 363,944 | ||||||||||||||||||
September 30, 2017 | 7,022,913 | 6,871,443 | 7,023,702 | 139,276 | 137,327 | 141,088 | ||||||||||||||||||
June 30, 2017 | 7,612,393 | 7,040,844 | 7,763,860 | 30,414 | 143,698 | 143,698 | ||||||||||||||||||
March 31, 2017 | 8,494,853 | 8,137,102 | 8,564,493 | — | — | — | ||||||||||||||||||
December 31, 2016 | 8,684,803 | 8,687,268 | 8,815,846 | — | — | — | ||||||||||||||||||
September 30, 2016 | 8,868,173 | 8,697,756 | 8,917,550 | — | — | — | ||||||||||||||||||
June 30, 2016 | 9,102,457 | 9,038,087 | 9,114,859 | 8,520 | — | 8,568 | ||||||||||||||||||
March 31, 2016 | 9,238,772 | 9,143,645 | 9,205,547 | 18,425 | 11,821 | 18,247 |
(1) | Securitized debt amounts presented for 2018 and 2017 reflect our loan securitization transactions for those respective periods. Securitized debt amounts presented for 2016 reflect our MBS resecuritization transactions. |
(2) | The information presented in the table above excludes Senior Notes issued in April 2012. The outstanding balance of Senior Notes has been unchanged at $100.0 million since issuance. |
Collateral Pledged to Meet Margin Calls | Cash and Securities Received For Reverse Margin Calls | Net Assets Received/(Pledged) For Margin Activity | ||||||||||||||||||
For the Quarter Ended (1) | Fair Value of Securities Pledged | Cash Pledged | Aggregate Assets Pledged For Margin Calls | |||||||||||||||||
(In Thousands) | ||||||||||||||||||||
December 31, 2018 | $ | 14,452 | $ | — | $ | 14,452 | $ | 23,760 | $ | 9,308 | ||||||||||
September 30, 2018 | 61,492 | 3,005 | 64,497 | 8,294 | (56,203 | ) | ||||||||||||||
June 30, 2018 | 44,278 | — | 44,278 | 20,001 | (24,277 | ) | ||||||||||||||
March 31, 2018 | 40,831 | — | 40,831 | 18,835 | (21,996 | ) |
(1) | Excludes variation margin payments on the Company’s cleared Swaps which are treated as a legal settlement of the exposure under the Swap contract. |
Due During the Year Ending December 31, | ||||||||||||||||||||||||||||
(In Thousands) | 2019 | 2020 | 2021 | 2022 | 2023 | Thereafter | Total | |||||||||||||||||||||
Repurchase agreements | $ | 7,974,792 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 7,974,792 | ||||||||||||||
Interest expense on repurchase agreements (1) | 43,535 | — | — | — | — | — | 43,535 | |||||||||||||||||||||
Securitized debt (2) | 374,674 | 101,321 | 173,361 | 16,911 | 14,258 | 7,762 | 688,287 | |||||||||||||||||||||
Interest expense on securitized debt (1) | 18,891 | 9,207 | 3,487 | 1,042 | 531 | 99 | 33,257 | |||||||||||||||||||||
Senior Notes (3) | — | — | — | — | — | 100,000 | 100,000 | |||||||||||||||||||||
Interest expense on Senior Notes (1) | 8,000 | 8,000 | 8,000 | 8,000 | 8,000 | 148,000 | 188,000 | |||||||||||||||||||||
Payable for unsettled purchases | 211,129 | — | — | — | — | — | 211,129 | |||||||||||||||||||||
Long-term lease obligations (4) | 2,553 | 2,553 | 1,292 | — | — | — | 6,398 | |||||||||||||||||||||
Total | $ | 8,633,574 | $ | 121,081 | $ | 186,140 | $ | 25,953 | $ | 22,789 | $ | 255,861 | $ | 9,245,398 |
Agency MBS | Legacy Non-Agency MBS (1) | Total (1) | ||||||||||||||||||||||||||||
Fair Value (2) | Average Months to Reset (3) | 3 Month Average CPR (4) | Fair Value | Average Months to Reset (3) | 3 Month Average CPR (4) | Fair Value (2) | Average Months to Reset (3) | 3 Month Average CPR (4) | ||||||||||||||||||||||
Time to Reset | ||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||
< 2 years (5) | $ | 1,041,557 | 5 | 21.2 | % | $ | 1,230,423 | 5 | 15.5 | % | $ | 2,271,980 | 5 | 17.9 | % | |||||||||||||||
2-5 years | 127,815 | 40 | 11.1 | — | — | — | 127,815 | 40 | 11.1 | |||||||||||||||||||||
> 5 years | 9,681 | 78 | 0.1 | — | — | — | 9,681 | 78 | 0.1 | |||||||||||||||||||||
ARM-MBS Total | $ | 1,179,053 | 10 | 19.9 | % | $ | 1,230,423 | 5 | 15.5 | % | $ | 2,409,476 | 7 | 17.5 | % | |||||||||||||||
15-year fixed (6) | $ | 781,625 | 8.5 | % | $ | 1,521 | 24.0 | % | $ | 783,146 | 8.5 | % | ||||||||||||||||||
30-year fixed (6) | 736,498 | 4.7 | 659,248 | 13.1 | 1,395,746 | 9.1 | ||||||||||||||||||||||||
40-year fixed (6) | — | — | 47,035 | 15.6 | 47,035 | 15.6 | ||||||||||||||||||||||||
Fixed-Rate Total | $ | 1,518,123 | 6.8 | % | $ | 707,804 | 13.3 | % | $ | 2,225,927 | 9.0 | % | ||||||||||||||||||
MBS Total | $ | 2,697,176 | 12.5 | % | $ | 1,938,227 | 14.7 | % | $ | 4,635,403 | 13.5 | % |
(1) | Excludes $1.4 billion of RPL/NPL MBS. Refer to table below for further information. |
(2) | Does not include principal payments receivable of $1.0 million. |
(3) | Months to reset is the number of months remaining before the coupon interest rate resets. At reset, the MBS coupon will adjust based upon the underlying benchmark interest rate index, margin and periodic and/or lifetime caps. The months to reset do not reflect scheduled amortization or prepayments. |
(4) | 3 month average CPR weighted by positions as of the beginning of each month in the quarter. |
(5) | Includes floating-rate MBS that may be collateralized by fixed-rate mortgages. |
(6) | Information presented based on data available at time of loan origination. |
Fair Value | Net Coupon | Months to Step-Up (1) | 3 Month Average Bond CPR (2) | ||||||||||
(Dollars in Thousands) | |||||||||||||
Re-Performing loans | $ | 94,644 | 4.34 | % | 28 | 1.0 | % | ||||||
Non-Performing loans | 1,282,606 | 4.86 | 26 | 13.9 | |||||||||
Total RPL/NPL MBS | $ | 1,377,250 | 4.83 | % | 26 | 12.9 | % |
(1) | Months to step-up is the weighted average number of months remaining before the coupon interest rate increases pursuant to the first coupon reset. We anticipate that the securities will be redeemed prior to the step-up date. |
(2) | All principal payments are considered to be prepayments for CPR purposes. |
Change in Interest Rates | Estimated Value of Assets (1) | Estimated Value of Swaps | Estimated Value of Financial Instruments | Change in Estimated Value | Percentage Change in Net Interest Income | Percentage Change in Portfolio Value | ||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||
+100 Basis Point Increase | $ | 12,001,744 | $ | 77,527 | $ | 12,079,271 | $ | (145,118 | ) | (4.04 | )% | (1.19 | )% | |||||||||
+ 50 Basis Point Increase | $ | 12,123,276 | $ | 35,721 | $ | 12,158,997 | $ | (65,392 | ) | (1.51 | )% | (0.53 | )% | |||||||||
Actual at December 31, 2018 | $ | 12,230,474 | $ | (6,085 | ) | $ | 12,224,389 | $ | — | — | — | |||||||||||
- 50 Basis Point Decrease | $ | 12,323,338 | $ | (47,891 | ) | $ | 12,275,447 | $ | 51,058 | 1.15 | % | 0.42 | % | |||||||||
-100 Basis Point Decrease | $ | 12,401,867 | $ | (89,697 | ) | $ | 12,312,170 | $ | 87,781 | 0.34 | % | 0.72 | % |
Change in Interest Rates | Estimated Value of Assets (1) | Estimated Value of Swaps | Estimated Value of Financial Instruments | Change in Estimated Value | Percentage Change in Net Interest Income | Percentage Change in Portfolio Value | ||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||
+100 Basis Point Increase | $ | 10,293,874 | $ | 40,938 | $ | 10,334,812 | $ | (99,528 | ) | (2.83 | )% | (0.95 | )% | |||||||||
+ 50 Basis Point Increase | $ | 10,370,948 | $ | 14,757 | $ | 10,385,705 | $ | (48,635 | ) | (1.53 | )% | (0.47 | )% | |||||||||
Actual at | $ | 10,445,764 | $ | (11,424 | ) | $ | 10,434,340 | $ | — | — | — | |||||||||||
- 50 Basis Point Decrease | $ | 10,518,322 | $ | (37,606 | ) | $ | 10,480,716 | $ | 46,376 | (1.33 | )% | 0.44 | % | |||||||||
-100 Basis Point Decrease | $ | 10,588,622 | $ | (63,787 | ) | $ | 10,524,835 | $ | 90,495 | (1.61 | )% | 0.87 | % |
(1) | Such assets include MBS and CRT securities, residential whole loans and REO, MSR-related assets, cash and cash equivalents and restricted cash. |
(Dollars in Thousands) | Securities with Average Loan FICO of 715 or Higher (1) | Securities with Average Loan FICO Below 715 (1) | Total | |||||||||
Number of securities | 210 | 143 | 353 | |||||||||
MBS current face (3) | $ | 1,291,036 | $ | 859,610 | $ | 2,150,646 | ||||||
Total purchase discounts, net (3) | $ | (366,955 | ) | $ | (303,495 | ) | $ | (670,450 | ) | |||
Purchase discount designated as Credit Reserve and OTTI (3)(4) | $ | (238,576 | ) | $ | (277,540 | ) | $ | (516,116 | ) | |||
Purchase discount designated as Credit Reserve and OTTI as percentage of current face | 18.5 | % | 32.3 | % | 24.0 | % | ||||||
MBS amortized cost (3) | $ | 924,081 | $ | 556,115 | $ | 1,480,196 | ||||||
MBS fair value (3) | $ | 1,182,417 | $ | 755,810 | $ | 1,938,227 | ||||||
Weighted average fair value to current face | 91.6 | % | 87.9 | % | 90.1 | % | ||||||
Weighted average coupon (5) | 4.42 | % | 5.14 | % | 4.71 | % | ||||||
Weighted average loan age (months) (5)(6) | 149 | 155 | 151 | |||||||||
Weighted average current loan size (5)(6) | $ | 428 | $ | 255 | $ | 359 | ||||||
Percentage amortizing (7) | 100 | % | 99 | % | 100 | % | ||||||
Weighted average FICO score at origination (5)(8) | 728 | 702 | 717 | |||||||||
Owner-occupied loans | 90.1 | % | 86.5 | % | 88.6 | % | ||||||
Rate-term refinancings | 24.5 | % | 16.5 | % | 21.3 | % | ||||||
Cash-out refinancings | 34.0 | % | 43.9 | % | 37.9 | % | ||||||
3 Month CPR (6) | 17.0 | % | 12.3 | % | 15.1 | % | ||||||
3 Month CRR (6)(9) | 13.9 | % | 9.4 | % | 12.1 | % | ||||||
3 Month CDR (6)(9) | 3.5 | % | 3.3 | % | 3.4 | % | ||||||
3 Month loss severity | 58.8 | % | 70.6 | % | 63.3 | % | ||||||
60+ days delinquent (8) | 10.3 | % | 12.3 | % | 11.1 | % | ||||||
Percentage of always current borrowers (Lifetime) (10) | 28.0 | % | 23.3 | % | 26.2 | % | ||||||
Percentage of always current borrowers (12M) (11) | 76.0 | % | 71.8 | % | 74.4 | % |
(1) | FICO score is used by major credit bureaus to indicate a borrower’s creditworthiness at time of loan origination. |
(2) | Information presented based on the initial year of securitization of the underlying collateral. Certain of our Non-Agency MBS have been resecuritized. The historical information presented in the table is based on the initial securitization date and data available at the time of original securitization (and not the date of resecuritization). No information has been updated with respect to any MBS that have been resecuritized. |
(3) | Excludes Non-Agency MBS issued since 2012 in which the underlying collateral consists of RPL/NPL MBS. These Non-Agency MBS have a current face of $1.4 billion amortized cost of $1.4 billion, fair value of $1.4 billion and purchase discounts of approximately $651,000 at December 31, 2018. |
(4) | Purchase discounts designated as Credit Reserve and OTTI are not expected to be accreted into interest income. |
(5) | Weighted average is based on MBS current face at December 31, 2018. |
(6) | Information provided is based on loans for individual groups owned by us. |
(7) | Percentage of face amount for which the original mortgage note contractually calls for principal amortization in the current period. |
(8) | Information provided is based on loans for all groups that provide credit enhancement for MBS with credit enhancement. |
(9) | CRR represents voluntary prepayments and CDR represents involuntary prepayments. |
(10) | Percentage of face amount of loans for which the borrower has not been delinquent since origination. |
(11) | Percentage of face amount of loans for which the borrower has not been delinquent in the last twelve months. |
Property Location | Percent of Unpaid Principal Balance | |
California | 42.5 | % |
Florida | 7.9 | % |
New York | 7.5 | % |
New Jersey | 4.0 | % |
Maryland | 4.0 | % |
Purchased Performing Loans (1) | Purchased Credit Impaired Loans | |||||||||||||||||||
Loans with an LTV: | Loans with an LTV: | |||||||||||||||||||
(Dollars in Thousands) | 80% or Below | Above 80% | 80% or Below | Above 80% | Total | |||||||||||||||
Carrying value | $ | 2,111,069 | $ | 91,245 | $ | 420,131 | $ | 377,856 | $ | 3,000,301 | ||||||||||
Unpaid principal balance (UPB) | $ | 2,082,855 | $ | 93,037 | $ | 485,266 | $ | 516,995 | $ | 3,178,153 | ||||||||||
Weighted average coupon (2) | 6.2 | % | 6.4 | % | 4.4 | % | 4.3 | % | 5.7 | % | ||||||||||
Weighted average term to maturity (months) | 259 | 317 | 276 | 327 | 275 | |||||||||||||||
Weighted average LTV (3) | 62.6 | % | 93.1 | % | 58.8 | % | 111.3 | % | 70.7 | % | ||||||||||
Loans 90+ days delinquent | $ | 9,759 | $ | — | $ | 32,717 | $ | 50,275 | $ | 92,751 |
(1) | Excludes approximately $16.4 million of purchased performing loans held at carrying value for which the closing of the purchase transaction had not occurred as of December 31, 2018. |
(2) | Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. |
(3) | LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $79.0 million, an after repaired valuation was not obtained and the loan was underwritten based on an“as is” valuation. The LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 67%. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. |
Property Location | Percent of Interest-Bearing Unpaid Principal Balance (1) | |
California | 32.8 | % |
Florida | 10.6 | % |
New York | 9.6 | % |
New Jersey | 6.0 | % |
Maryland | 3.4 | % |
(1) | Excludes approximately $211.1 million of residential whole loans for which the closing of the purchase transaction had not occurred as of December 31, 2018. |
Page | |
Financial Statements: | |
(In Thousands, Except Per Share Amounts) | December 31, 2018 | December 31, 2017 | ||||||
Assets: | ||||||||
Residential mortgage securities: | ||||||||
Agency MBS, at fair value ($2,575,331 and $2,727,510 pledged as collateral, respectively) | $ | 2,698,213 | $ | 2,824,681 | ||||
Non-Agency MBS, at fair value ($3,248,900 and $2,379,523 pledged as collateral, respectively) | 3,318,299 | 3,533,966 | ||||||
Credit Risk Transfer (“CRT”) securities, at fair value ($480,315 and $595,900 pledged as collateral, respectively) | 492,821 | 664,403 | ||||||
Residential whole loans, at carrying value ($1,645,372 and $448,689 pledged as collateral, respectively) (1) | 3,016,715 | 908,516 | ||||||
Residential whole loans, at fair value ($738,638 and $996,226 pledged as collateral, respectively) (1) | 1,665,978 | 1,325,115 | ||||||
Mortgage servicing rights (“MSR”) related assets ($611,807 and $482,158 pledged as collateral, respectively) | 611,807 | 492,080 | ||||||
Cash and cash equivalents | 51,965 | 449,757 | ||||||
Restricted cash | 36,744 | 13,986 | ||||||
Other assets | 527,785 | 742,230 | ||||||
Total Assets | $ | 12,420,327 | $ | 10,954,734 | ||||
Liabilities: | ||||||||
Repurchase agreements | $ | 7,879,087 | $ | 6,614,701 | ||||
Other liabilities | 1,125,139 | 1,078,397 | ||||||
Total Liabilities | $ | 9,004,226 | $ | 7,693,098 | ||||
Commitments and contingencies (See Note 10) | ||||||||
Stockholders’ Equity: | ||||||||
Preferred stock, $.01 par value; 7.50% Series B cumulative redeemable; 8,050 shares authorized; 8,000 shares issued and outstanding ($200,000 aggregate liquidation preference) | $ | 80 | $ | 80 | ||||
Common stock, $.01 par value; 886,950 shares authorized; 449,787 and 397,831 shares issued and outstanding, respectively | 4,498 | 3,978 | ||||||
Additional paid-in capital, in excess of par | 3,623,275 | 3,227,304 | ||||||
Accumulated deficit | (632,040 | ) | (578,950 | ) | ||||
Accumulated other comprehensive income | 420,288 | 609,224 | ||||||
Total Stockholders’ Equity | $ | 3,416,101 | $ | 3,261,636 | ||||
Total Liabilities and Stockholders’ Equity | $ | 12,420,327 | $ | 10,954,734 |
(1) | Includes approximately $209.4 million and $183.2 million of Residential whole loans, at carrying value and $694.7 million and $289.3 million of Residential whole loans, at fair value transferred to consolidated VIEs at December 31, 2018 and 2017, respectively. Such assets can be used only to settle the obligations of each respective VIE. |
For the Year Ended December 31, | ||||||||||||
(In Thousands, Except Per Share Amounts) | 2018 | 2017 | 2016 | |||||||||
Interest Income: | ||||||||||||
Agency MBS | $ | 62,303 | $ | 65,355 | $ | 83,069 | ||||||
Non-Agency MBS | 226,796 | 271,112 | 332,821 | |||||||||
CRT securities | 33,376 | 31,715 | 14,770 | |||||||||
Residential whole loans held at carrying value | 100,921 | 36,187 | 23,916 | |||||||||
MSR-related assets | 28,420 | 24,830 | 2,100 | |||||||||
Cash and cash equivalent investments | 2,936 | 4,249 | 774 | |||||||||
Other interest-earning assets | 923 | — | — | |||||||||
Interest Income | $ | 455,675 | $ | 433,448 | $ | 457,450 | ||||||
Interest Expense: | ||||||||||||
Repurchase agreements | $ | 205,338 | $ | 186,347 | $ | 184,986 | ||||||
Other interest expense | 26,848 | 10,794 | 8,369 | |||||||||
Interest Expense | $ | 232,186 | $ | 197,141 | $ | 193,355 | ||||||
Net Interest Income | $ | 223,489 | $ | 236,307 | $ | 264,095 | ||||||
Other Income, net: | ||||||||||||
Net gain on residential whole loans measured at fair value through earnings | $ | 137,619 | $ | 90,045 | $ | 62,605 | ||||||
Net realized gain on sales of residential mortgage securities | 61,307 | 39,577 | 35,837 | |||||||||
Net unrealized (loss)/gain on residential mortgage securities measured at fair value through earnings | (36,815 | ) | 27,709 | 12,962 | ||||||||
Net loss on Swaps not designated as hedges for accounting purposes | (9,610 | ) | — | — | ||||||||
Other, net | 5,474 | 656 | (2,847 | ) | ||||||||
Other Income, net | $ | 157,975 | $ | 157,987 | $ | 108,557 | ||||||
Operating and Other Expense: | ||||||||||||
Compensation and benefits | $ | 28,423 | $ | 31,673 | $ | 29,281 | ||||||
Other general and administrative expense | 17,653 | 17,960 | 16,331 | |||||||||
Loan servicing and other related operating expenses | 33,587 | 22,268 | 14,372 | |||||||||
Operating and Other Expense | $ | 79,663 | $ | 71,901 | $ | 59,984 | ||||||
Net Income | $ | 301,801 | $ | 322,393 | $ | 312,668 | ||||||
Less Preferred Stock Dividends | 15,000 | 15,000 | 15,000 | |||||||||
Net Income Available to Common Stock and Participating Securities | $ | 286,801 | $ | 307,393 | $ | 297,668 | ||||||
Earnings per Common Share - Basic and Diluted | $ | 0.68 | $ | 0.79 | $ | 0.80 |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
Net income | $ | 301,801 | $ | 322,393 | $ | 312,668 | ||||||
Other Comprehensive Income/(Loss): | ||||||||||||
Unrealized loss on Agency MBS, net | (17,891 | ) | (39,158 | ) | (9,322 | ) | ||||||
Unrealized (loss)/gain on Non-Agency MBS, CRT securities and MSR term notes, net | (132,751 | ) | 79,142 | 81,882 | ||||||||
Reclassification adjustment for MBS sales included in net income | (51,580 | ) | (38,707 | ) | (36,922 | ) | ||||||
Reclassification adjustment for other-than-temporary impairments included in net income | (1,259 | ) | (1,032 | ) | (485 | ) | ||||||
Derivative hedging instrument fair value changes, net | 14,545 | 35,297 | 22,678 | |||||||||
Other Comprehensive Income/(Loss) | (188,936 | ) | 35,542 | 57,831 | ||||||||
Comprehensive income before preferred stock dividends | $ | 112,865 | $ | 357,935 | $ | 370,499 | ||||||
Dividends declared on preferred stock | (15,000 | ) | (15,000 | ) | (15,000 | ) | ||||||
Comprehensive Income Available to Common Stock and Participating Securities | $ | 97,865 | $ | 342,935 | $ | 355,499 |
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY | ||||||||||||||||||||||||||||||
For the Year Ended December 31, 2018 | ||||||||||||||||||||||||||||||
(In Thousands, Except Per Share Amounts) | Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share | Common Stock | Additional Paid-in Capital | Accumulated Deficit | Accumulated Other Comprehensive Income | Total | ||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||
Balance at December 31, 2017 | 8,000 | $ | 80 | 397,831 | $ | 3,978 | $ | 3,227,304 | $ | (578,950 | ) | $ | 609,224 | $ | 3,261,636 | |||||||||||||||
Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | — | — | — | — | — | 295 | — | 295 | ||||||||||||||||||||||
Net income | — | — | — | — | — | 301,801 | — | 301,801 | ||||||||||||||||||||||
Issuance of common stock, net of expenses | — | — | 52,420 | 520 | 391,625 | — | — | 392,145 | ||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | (464 | ) | — | (3,392 | ) | — | — | (3,392 | ) | |||||||||||||||||||
Equity based compensation expense | — | — | — | — | 7,999 | — | — | 7,999 | ||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | (261 | ) | — | — | (261 | ) | ||||||||||||||||||||
Dividends declared on common stock | — | — | — | — | — | (339,244 | ) | — | (339,244 | ) | ||||||||||||||||||||
Dividends declared on preferred stock | — | — | — | — | — | (15,000 | ) | — | (15,000 | ) | ||||||||||||||||||||
Dividends attributable to dividend equivalents | — | — | — | — | — | (942 | ) | — | (942 | ) | ||||||||||||||||||||
Change in unrealized gains on MBS, net | — | — | — | — | — | — | (203,481 | ) | (203,481 | ) | ||||||||||||||||||||
Derivative hedging instrument fair value changes, net | — | — | — | — | — | — | 14,545 | 14,545 | ||||||||||||||||||||||
Balance at December 31, 2018 | 8,000 | $ | 80 | 449,787 | $ | 4,498 | $ | 3,623,275 | $ | (632,040 | ) | $ | 420,288 | $ | 3,416,101 |
For the Year Ended December 31, 2017 | ||||||||||||||||||||||||||||||
(In Thousands, Except Per Share Amounts) | Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share | Common Stock | Additional Paid-in Capital | Accumulated Deficit | Accumulated Other Comprehensive Income | Total | ||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||
Balance at December 31, 2016 | 8,000 | $ | 80 | 371,854 | $ | 3,719 | $ | 3,029,062 | $ | (572,641 | ) | $ | 573,682 | $ | 3,033,902 | |||||||||||||||
Net income | — | — | — | — | — | 322,393 | — | 322,393 | ||||||||||||||||||||||
Issuance of common stock, net of expenses | — | — | 26,722 | 259 | 196,549 | — | — | 196,808 | ||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | (745 | ) | — | (5,995 | ) | — | — | (5,995 | ) | |||||||||||||||||||
Equity based compensation expense | — | — | — | — | 7,872 | — | — | 7,872 | ||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | (184 | ) | — | — | (184 | ) | ||||||||||||||||||||
Dividends declared on common stock | — | — | — | — | — | (312,810 | ) | — | (312,810 | ) | ||||||||||||||||||||
Dividends declared on preferred stock | — | — | — | — | — | (15,000 | ) | — | (15,000 | ) | ||||||||||||||||||||
Dividends attributable to dividend equivalents | — | — | — | — | — | (892 | ) | — | (892 | ) | ||||||||||||||||||||
Change in unrealized gains on MBS, net | — | — | — | — | — | — | 245 | 245 | ||||||||||||||||||||||
Derivative hedging instruments fair value changes, net | — | — | — | — | — | — | 35,297 | 35,297 | ||||||||||||||||||||||
Balance at December 31, 2017 | 8,000 | $ | 80 | 397,831 | $ | 3,978 | $ | 3,227,304 | $ | (578,950 | ) | $ | 609,224 | $ | 3,261,636 |
For the Year Ended December 31, 2016 | ||||||||||||||||||||||||||||||
(In Thousands, Except Per Share Amounts) | Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share | Common Stock | Additional Paid-in Capital | Accumulated Deficit | Accumulated Other Comprehensive Income | Total | ||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||
Balance at December 31, 2015 | 8,000 | $ | 80 | 370,584 | $ | 3,706 | $ | 3,019,956 | $ | (572,332 | ) | $ | 515,851 | $ | 2,967,261 | |||||||||||||||
Net income | — | — | — | — | — | 312,668 | — | 312,668 | ||||||||||||||||||||||
Issuance of common stock, net of expenses | — | — | 1,758 | 13 | 4,647 | — | — | 4,660 | ||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | (488 | ) | — | (3,551 | ) | — | — | (3,551 | ) | |||||||||||||||||||
Equity based compensation expense | — | — | — | — | 8,695 | — | — | 8,695 | ||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | (685 | ) | — | — | (685 | ) | ||||||||||||||||||||
Dividends declared on common stock | — | — | — | — | — | (297,046 | ) | — | (297,046 | ) | ||||||||||||||||||||
Dividends declared on preferred stock | — | — | — | — | — | (15,000 | ) | — | (15,000 | ) | ||||||||||||||||||||
Dividends attributable to dividend equivalents | — | — | — | — | — | (931 | ) | — | (931 | ) | ||||||||||||||||||||
Change in unrealized losses on MBS, net | — | — | — | — | — | — | 35,153 | 35,153 | ||||||||||||||||||||||
Derivative hedging instruments fair value changes, net | — | — | — | — | — | — | 22,678 | 22,678 | ||||||||||||||||||||||
Balance at December 31, 2016 | 8,000 | $ | 80 | 371,854 | $ | 3,719 | $ | 3,029,062 | $ | (572,641 | ) | $ | 573,682 | $ | 3,033,902 |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
Cash Flows From Operating Activities: | ||||||||||||
Net income | $ | 301,801 | $ | 322,393 | $ | 312,668 | ||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||
Gain on sales of residential mortgage securities and U.S. Treasury securities | (61,307 | ) | (39,577 | ) | (35,837 | ) | ||||||
Gain on sales of real estate owned | (7,715 | ) | (4,475 | ) | (3,229 | ) | ||||||
Gain on liquidation of residential whole loans | (22,409 | ) | (11,868 | ) | — | |||||||
Other-than-temporary impairment charges | 1,259 | 1,032 | 485 | |||||||||
Accretion of purchase discounts on residential mortgage securities, residential whole loans and MSR-related assets | (82,904 | ) | (86,318 | ) | (84,615 | ) | ||||||
Amortization of purchase premiums on residential mortgage securities and residential whole loans | 29,270 | 30,330 | 36,725 | |||||||||
Depreciation and amortization on real estate, fixed assets and other assets | 1,825 | 1,519 | 964 | |||||||||
Equity-based compensation expense | 8,007 | 8,033 | 9,162 | |||||||||
Unrealized gain on residential whole loans at fair value | (36,725 | ) | (33,617 | ) | (31,254 | ) | ||||||
Unrealized losses/(gains) on residential mortgage securities and swaps | 43,234 | (27,091 | ) | (7,640 | ) | |||||||
(Increase)/decrease in other assets | (26,487 | ) | 21,964 | (11,095 | ) | |||||||
Increase/(decrease) in other liabilities | 32 | (5,813 | ) | (6,943 | ) | |||||||
Net cash provided by operating activities | $ | 147,881 | $ | 176,512 | $ | 179,391 | ||||||
Cash Flows From Investing Activities: | ||||||||||||
Principal payments on residential mortgage securities and MSR-related assets | $ | 2,327,817 | $ | 3,996,489 | $ | 3,339,597 | ||||||
Proceeds from sales of residential mortgage securities and U.S. Treasury securities | 538,668 | 243,081 | 85,594 | |||||||||
Purchases of residential mortgage securities, MSR-related assets and U.S. Treasury securities | (2,604,234 | ) | (1,583,130 | ) | (1,997,838 | ) | ||||||
Purchases of residential whole loans, loan related investments and capitalized advances | (3,058,839 | ) | (1,065,981 | ) | (677,003 | ) | ||||||
Principal payments on residential whole loans | 531,909 | 160,469 | 103,997 | |||||||||
Proceeds from sales of real estate owned | 121,304 | 75,671 | 34,200 | |||||||||
Purchases of real estate owned and capital improvements | (13,367 | ) | (19,801 | ) | (2,825 | ) | ||||||
Redemption of Federal Home Loan Bank stock | — | 10,422 | 51,400 | |||||||||
Purchases of Federal Home Loan Bank stock | — | — | (1,805 | ) | ||||||||
Additions to leasehold improvements, furniture and fixtures | (1,133 | ) | (872 | ) | (708 | ) | ||||||
Net cash (used in)/provided by investing activities | $ | (2,157,875 | ) | $ | 1,816,348 | $ | 934,609 | |||||
Cash Flows From Financing Activities: | ||||||||||||
Principal payments on repurchase agreements and other advances | (67,063,283 | ) | (72,563,218 | ) | (82,408,484 | ) | ||||||
Proceeds from borrowings under repurchase agreements | 68,327,462 | 70,490,091 | 81,706,806 | |||||||||
Proceeds from issuance of securitized debt | 419,970 | 382,847 | — | |||||||||
Principal payments on securitized debt | (97,969 | ) | (16,562 | ) | (22,057 | ) | ||||||
Payments made for securitization related costs | (2,497 | ) | (2,646 | ) | — | |||||||
Payments made for settlements on interest rate swap agreements (“Swaps”) | (61,502 | ) | (11,424 | ) | — | |||||||
Proceeds from settlements on Swaps | 65,393 | — | — | |||||||||
Proceeds from issuances of common stock | 392,474 | 197,223 | 4,660 | |||||||||
Payments made for costs related to common stock issuances | (329 | ) | (415 | ) | — | |||||||
Dividends paid on preferred stock | (15,000 | ) | (15,000 | ) | (15,000 | ) | ||||||
Dividends paid on common stock and dividend equivalents | (329,759 | ) | (308,588 | ) | (297,895 | ) | ||||||
Net cash provided by/(used in) financing activities | $ | 1,634,960 | $ | (1,847,692 | ) | $ | (1,031,970 | ) | ||||
Net (decrease)/increase in cash, cash equivalents and restricted cash | $ | (375,034 | ) | $ | 145,168 | $ | 82,030 | |||||
Cash, cash equivalents and restricted cash at beginning of period | $ | 463,743 | $ | 318,575 | $ | 236,545 | ||||||
Cash, cash equivalents and restricted cash at end of period | $ | 88,709 | $ | 463,743 | $ | 318,575 | ||||||
Supplemental Disclosure of Cash Flow Information | ||||||||||||
Interest Paid | $ | 232,657 | $ | 198,159 | $ | 194,626 | ||||||
Non-cash Investing and Financing Activities: | ||||||||||||
Net (decrease)/increase in securities obtained as collateral/obligation to return securities obtained as collateral | $ | (505,850 | ) | $ | 134,100 | $ | 5,385 | |||||
Transfer from residential whole loans to real estate owned | $ | 215,038 | $ | 136,734 | $ | 91,896 | ||||||
Dividends and dividend equivalents declared and unpaid | $ | 90,198 | $ | 79,771 | $ | 74,657 | ||||||
Payable for unsettled residential whole loans purchases | $ | 211,129 | $ | — | $ | — |
(In Thousands) | Principal/ Current Face | Purchase Premiums | Accretable Purchase Discounts | Discount Designated as Credit Reserve and OTTI (1) | Amortized Cost (2) | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||||||||||||
Agency MBS: (3) | ||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 1,716,340 | $ | 65,930 | $ | (24 | ) | $ | — | $ | 1,782,246 | $ | 1,762,032 | $ | 12,107 | $ | (32,321 | ) | $ | (20,214 | ) | |||||||||||||||
Freddie Mac | 909,561 | 36,991 | — | — | 947,588 | 931,318 | 907 | (17,177 | ) | (16,270 | ) | |||||||||||||||||||||||||
Ginnie Mae | 4,729 | 87 | — | — | 4,816 | 4,863 | 47 | — | 47 | |||||||||||||||||||||||||||
Total Agency MBS | 2,630,630 | 103,008 | (24 | ) | — | 2,734,650 | 2,698,213 | 13,061 | (49,498 | ) | (36,437 | ) | ||||||||||||||||||||||||
Non-Agency MBS: | ||||||||||||||||||||||||||||||||||||
Expected to Recover Par (4)(5) | 1,536,485 | 40 | (21,725 | ) | — | 1,514,800 | 1,527,700 | 20,520 | (7,620 | ) | 12,900 | |||||||||||||||||||||||||
Expected to Recover Less than Par (4) | 2,002,319 | — | (133,300 | ) | (516,116 | ) | 1,352,903 | 1,790,599 | 438,465 | (769 | ) | 437,696 | ||||||||||||||||||||||||
Total Non-Agency MBS (6) | 3,538,804 | 40 | (155,025 | ) | (516,116 | ) | 2,867,703 | 3,318,299 | 458,985 | (8,389 | ) | 450,596 | ||||||||||||||||||||||||
Total MBS | 6,169,434 | 103,048 | (155,049 | ) | (516,116 | ) | 5,602,353 | 6,016,512 | 472,046 | (57,887 | ) | 414,159 | ||||||||||||||||||||||||
CRT securities (7) | 476,744 | 9,321 | 107 | — | 486,172 | 492,821 | 12,545 | (5,896 | ) | 6,649 | ||||||||||||||||||||||||||
Total MBS and CRT securities | $ | 6,646,178 | $ | 112,369 | $ | (154,942 | ) | $ | (516,116 | ) | $ | 6,088,525 | $ | 6,509,333 | $ | 484,591 | $ | (63,783 | ) | $ | 420,808 |
(In Thousands) | Principal/ Current Face | Purchase Premiums | Accretable Purchase Discounts | Discount Designated as Credit Reserve and OTTI (1) | Amortized Cost (2) | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||||||||||||
Agency MBS: (3) | ||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 2,170,974 | $ | 82,271 | $ | (40 | ) | $ | — | $ | 2,253,205 | $ | 2,246,600 | $ | 21,736 | $ | (28,341 | ) | $ | (6,605 | ) | |||||||||||||||
Freddie Mac | 561,346 | 21,683 | — | — | 584,920 | 571,748 | 1,624 | (14,796 | ) | (13,172 | ) | |||||||||||||||||||||||||
Ginnie Mae | 6,142 | 112 | — | — | 6,254 | 6,333 | 79 | — | 79 | |||||||||||||||||||||||||||
Total Agency MBS | 2,738,462 | 104,066 | (40 | ) | — | 2,844,379 | 2,824,681 | 23,439 | (43,137 | ) | (19,698 | ) | ||||||||||||||||||||||||
Non-Agency MBS: | ||||||||||||||||||||||||||||||||||||
Expected to Recover Par (4)(5) | 1,128,808 | 50 | (22,737 | ) | — | 1,106,121 | 1,132,205 | 26,518 | (434 | ) | 26,084 | |||||||||||||||||||||||||
Expected to Recover Less than Par (4) | 2,589,935 | — | (192,588 | ) | (593,227 | ) | 1,804,120 | 2,401,761 | 597,660 | (19 | ) | 597,641 | ||||||||||||||||||||||||
Total Non-Agency MBS (6) | 3,718,743 | 50 | (215,325 | ) | (593,227 | ) | 2,910,241 | 3,533,966 | 624,178 | (453 | ) | 623,725 | ||||||||||||||||||||||||
Total MBS | 6,457,205 | 104,116 | (215,365 | ) | (593,227 | ) | 5,754,620 | 6,358,647 | 647,617 | (43,590 | ) | 604,027 | ||||||||||||||||||||||||
CRT securities (7) | 602,799 | 8,887 | (3,550 | ) | — | 608,136 | 664,403 | 56,290 | (23 | ) | 56,267 | |||||||||||||||||||||||||
Total MBS and CRT securities | $ | 7,060,004 | $ | 113,003 | $ | (218,915 | ) | $ | (593,227 | ) | $ | 6,362,756 | $ | 7,023,050 | $ | 703,907 | $ | (43,613 | ) | $ | 660,294 |
(1) | Discount designated as Credit Reserve and amounts related to OTTI are generally not expected to be accreted into interest income. Amounts disclosed at December 31, 2018 reflect Credit Reserve of $503.3 million and OTTI of $12.8 million. Amounts disclosed at December 31, 2017 reflect Credit Reserve of $579.0 million and OTTI of $14.2 million. |
(2) | Includes principal payments receivable of $1.0 million and $1.9 million at December 31, 2018 and 2017, respectively, which are not included in the Principal/Current Face. |
(3) | Amounts disclosed at December 31, 2018 include Agency MBS with a fair value of $736.5 million for which the fair value option has been elected. Such securities had no unrealized gains and gross unrealized losses of approximately $3.3 million at December 31, 2018. The Company did not have any Agency MBS for which the fair value option had been elected at December 31, 2017. |
(4) | Based on management’s current estimates of future principal cash flows expected to be received. |
(5) | Includes RPL/NPL MBS, which at December 31, 2018 had a $1.4 billion Principal/Current face, $1.4 billion amortized cost and $1.4 billion fair value. At December 31, 2017, RPL/NPL MBS had a $922.0 million Principal/Current face, $920.1 million amortized cost and $923.1 million fair value. |
(6) | At December 31, 2018 and 2017, the Company expected to recover approximately 85% and 84%, respectively, of the then-current face amount of Non-Agency MBS. |
(7) | Amounts disclosed at December 31, 2018 includes CRT securities with a fair value of $477.4 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $12.5 million and gross unrealized losses of approximately $5.6 million at December 31, 2018. Amounts disclosed at December 31, 2017 includes CRT securities with a fair value of $528.9 million for which the fair value option had been elected. Such securities had gross unrealized gains of approximately $40.5 million and gross unrealized losses of approximately $23,000 at December 31, 2017. |
Unrealized Loss Position For: | ||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or more | Total | ||||||||||||||||||||||||||||
(Dollars in Thousands) | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | ||||||||||||||||||||||
Agency MBS: (1) | ||||||||||||||||||||||||||||||
Fannie Mae | $ | 282,850 | $ | 1,215 | 67 | $ | 919,504 | $ | 31,106 | 293 | $ | 1,202,354 | $ | 32,321 | ||||||||||||||||
Freddie Mac | 608,458 | 3,331 | 15 | 287,637 | 13,846 | 123 | 896,095 | 17,177 | ||||||||||||||||||||||
Total Agency MBS | 891,308 | 4,546 | 82 | 1,207,141 | 44,952 | 416 | 2,098,449 | 49,498 | ||||||||||||||||||||||
Non-Agency MBS: | ||||||||||||||||||||||||||||||
Expected to Recover Par (2) | 1,193,422 | 6,187 | 31 | 91,469 | 1,433 | 9 | 1,284,891 | 7,620 | ||||||||||||||||||||||
Expected to Recover Less than Par (2) | 54,223 | 660 | 11 | 2,028 | 109 | 1 | 56,251 | 769 | ||||||||||||||||||||||
Total Non-Agency MBS | 1,247,645 | 6,847 | 42 | 93,497 | 1,542 | 10 | 1,341,142 | 8,389 | ||||||||||||||||||||||
Total MBS | 2,138,953 | 11,393 | 124 | 1,300,638 | 46,494 | 426 | 3,439,591 | 57,887 | ||||||||||||||||||||||
CRT securities (3) | 167,195 | 5,896 | 41 | — | — | — | 167,195 | 5,896 | ||||||||||||||||||||||
Total MBS and CRT securities | $ | 2,306,148 | $ | 17,289 | 165 | $ | 1,300,638 | $ | 46,494 | 426 | $ | 3,606,786 | $ | 63,783 |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
Total OTTI losses | $ | (1,259 | ) | $ | (63 | ) | $ | (1,255 | ) | |||
OTTI recognized in/(reclassified from) OCI | — | (969 | ) | 770 | ||||||||
OTTI recognized in earnings | $ | (1,259 | ) | $ | (1,032 | ) | $ | (485 | ) |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
Credit loss component of OTTI at beginning of period | $ | 38,337 | $ | 37,305 | $ | 36,820 | ||||||
Additions for credit related OTTI not previously recognized | 1,259 | 63 | 314 | |||||||||
Subsequent additional credit related OTTI recorded | — | 969 | 171 | |||||||||
Credit loss component of OTTI at end of period | $ | 39,596 | $ | 38,337 | $ | 37,305 |
For the Year Ended December 31, | ||||||||||||||||
2018 | 2017 | |||||||||||||||
(In Thousands) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | ||||||||||||
Balance at beginning of period | $ | (593,227 | ) | $ | (215,325 | ) | $ | (694,241 | ) | $ | (278,191 | ) | ||||
Impact of RMBS Issuer settlement (2)(3) | — | (14,822 | ) | — | — | |||||||||||
Accretion of discount | — | 70,750 | — | 77,513 | ||||||||||||
Realized credit losses | 42,246 | — | 49,291 | — | ||||||||||||
Purchases | (2,512 | ) | 1,685 | (29,810 | ) | 18,386 | ||||||||||
Sales | 12,987 | 28,336 | 31,730 | 17,802 | ||||||||||||
Net impairment losses recognized in earnings | (1,259 | ) | — | (1,032 | ) | — | ||||||||||
Transfers/release of credit reserve | 25,649 | (25,649 | ) | 50,835 | (50,835 | ) | ||||||||||
Balance at end of period | $ | (516,116 | ) | $ | (155,025 | ) | $ | (593,227 | ) | $ | (215,325 | ) |
(1) | Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. |
(2) | Includes the impact of approximately $2.7 million of cash proceeds (a one-time payment) received by the Company during the year ended December 31, 2018 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by Lehman Brothers Holdings Inc. |
(3) | Includes the impact of approximately $12.1 million of cash proceeds (a one-time payment) received by the Company during the year ended December 31, 2018 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by JP Morgan Chase & Co. and affiliated entities. |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
AOCI from AFS securities: | ||||||||||||
Unrealized gain on AFS securities at beginning of period | $ | 620,648 | $ | 620,403 | $ | 585,250 | ||||||
Unrealized loss on Agency MBS, net | (17,891 | ) | (39,158 | ) | (9,322 | ) | ||||||
Unrealized (loss)/gain on Non-Agency MBS, net | (131,939 | ) | 78,337 | 81,882 | ||||||||
Unrealized (loss)/gain on MSR term notes, net | (812 | ) | 805 | — | ||||||||
Reclassification adjustment for MBS sales included in net income | (51,580 | ) | (38,707 | ) | (36,922 | ) | ||||||
Reclassification adjustment for OTTI included in net income | (1,259 | ) | (1,032 | ) | (485 | ) | ||||||
Change in AOCI from AFS securities | (203,481 | ) | 245 | 35,153 | ||||||||
Balance at end of period | $ | 417,167 | $ | 620,648 | $ | 620,403 |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
Agency MBS | ||||||||||||
Coupon interest | $ | 88,233 | $ | 96,678 | $ | 119,966 | ||||||
Effective yield adjustment (1) | (25,930 | ) | (31,323 | ) | (36,897 | ) | ||||||
Interest income | $ | 62,303 | $ | 65,355 | $ | 83,069 | ||||||
Legacy Non-Agency MBS | ||||||||||||
Coupon interest | $ | 109,714 | $ | 127,645 | $ | 154,057 | ||||||
Effective yield adjustment (2)(3) | 69,309 | 76,005 | 78,443 | |||||||||
Interest income | $ | 179,023 | $ | 203,650 | $ | 232,500 | ||||||
RPL/NPL MBS | ||||||||||||
Coupon interest | $ | 46,339 | $ | 65,957 | $ | 98,213 | ||||||
Effective yield adjustment (1)(4) | 1,434 | 1,505 | 2,108 | |||||||||
Interest income | $ | 47,773 | $ | 67,462 | $ | 100,321 | ||||||
CRT securities | ||||||||||||
Coupon interest | $ | 30,628 | $ | 27,706 | $ | 13,023 | ||||||
Effective yield adjustment (2) | 2,748 | 4,009 | 1,747 | |||||||||
Interest income | $ | 33,376 | $ | 31,715 | $ | 14,770 | ||||||
MSR-related assets | ||||||||||||
Coupon interest | $ | 27,176 | $ | 24,534 | $ | 2,090 | ||||||
Effective yield adjustment (1) | 1,244 | 296 | 10 | |||||||||
Interest income | $ | 28,420 | $ | 24,830 | $ | 2,100 |
(1) | Includes amortization of premium paid net of accretion of purchase discount. For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity. |
(2) | The effective yield adjustment is the difference between the net income calculated using the net yield, which is based on management’s estimates of the amount and timing of future cash flows, less the current coupon yield. |
(3) | Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously been purchased at a discount of $2.7 million, $1.7 million and $7,000 during the years ended December 31, 2018, 2017 and 2016, respectively. |
(4) | Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously been purchased at a discount of $1.4 million, $1.2 million and $1.6 million during the years ended December 31, 2018, 2017 and 2016, respectively. |
(Dollars In Thousands) | December 31, 2018 | December 31, 2017 | ||||||
Purchased performing loans: | ||||||||
Non-QM loans | $ | 1,354,774 | $ | 55,612 | ||||
Rehabilitation loans | 494,576 | 56,706 | ||||||
Single-family rental loans | 145,327 | 5,319 | ||||||
Seasoned performing loans | 224,051 | — | ||||||
Total purchased performing loans | 2,218,728 | 117,637 | ||||||
Purchased credit impaired loans | 797,987 | 790,879 | ||||||
Total Residential whole loans, at carrying value | $ | 3,016,715 | 908,516 | |||||
Number of loans | 11,149 | 4,792 |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
Purchased performing loans: | ||||||||||||
Non-QM loans | $ | 31,036 | $ | 84 | $ | — | ||||||
Rehabilitation loans | 15,975 | 431 | — | |||||||||
Single-family rental loans | 3,315 | 15 | — | |||||||||
Seasoned performing loans | 5,818 | — | — | |||||||||
Total purchased performing loans | 56,144 | 530 | — | |||||||||
Purchased credit impaired loans | 44,777 | 35,657 | 23,916 | |||||||||
Residential whole loans, at carrying value | $ | 100,921 | $ | 36,187 | $ | 23,916 |
Carrying Value | Unpaid Principal Balance (“UPB”) | Weighted Average Coupon (1) | Weighted Average Term to Maturity (Months) | Weighted Average LTV Ratio (2) | Aging by UPB | |||||||||||||||||||||||||||
Past Due Days | ||||||||||||||||||||||||||||||||
(Dollars In Thousands) | Current | 30-59 | 60-89 | 90+ | ||||||||||||||||||||||||||||
Purchased performing loans: (3) | ||||||||||||||||||||||||||||||||
Non-QM loans | $ | 1,338,360 | $ | 1,293,805 | 6.19 | % | 361 | 66 | % | $ | 1,271,410 | $ | 14,535 | $ | 4,802 | $ | 3,058 | |||||||||||||||
Rehabilitation loans | 494,576 | 494,576 | 7.39 | 9 | 65 | 465,033 | 18,353 | 6,451 | 4,739 | |||||||||||||||||||||||
Single-family rental loans | 145,327 | 144,972 | 5.92 | 355 | 70 | 143,226 | 1,225 | — | 521 | |||||||||||||||||||||||
Seasoned performing loans | 224,051 | 242,539 | 4.25 | 191 | 47 | 233,105 | 6,439 | 1,618 | 1,377 | |||||||||||||||||||||||
Purchased credit impaired loans | 797,987 | 1,002,261 | 4.38 | 302 | 86 | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
Residential whole loans, at carrying value, total or weighted average | $ | 3,000,301 | $ | 3,178,153 | 5.68 | % | 275 |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
Balance at the beginning of period | $ | 330 | $ | 990 | $ | 1,165 | ||||||
Provisions/(reversal of provisions) for loan losses | 638 | (660 | ) | (175 | ) | |||||||
Balance at the end of period | $ | 968 | $ | 330 | $ | 990 |
For the Year Ended December 31, | ||||||||
(In Thousands) | 2018 | 2017 | ||||||
Contractually required principal and interest | $ | 154,911 | $ | 534,112 | ||||
Contractual cash flows not expected to be collected (non-accretable yield) | (15,378 | ) | (129,547 | ) | ||||
Expected cash flows to be collected | 139,533 | 404,565 | ||||||
Interest component of expected cash flows (accretable yield) | (41,947 | ) | (137,378 | ) | ||||
Fair value at the date of acquisition | $ | 97,586 | $ | 267,187 |
For the Year Ended December 31, | ||||||||
(In Thousands) | 2018 | 2017 | ||||||
Balance at beginning of period | $ | 421,872 | $ | 334,379 | ||||
Additions | 41,947 | 137,378 | ||||||
Accretion | (44,777 | ) | (35,657 | ) | ||||
Liquidations and other | (35,156 | ) | (16,356 | ) | ||||
Reclassifications from non-accretable difference, net | 31,443 | 2,128 | ||||||
Balance at end of period | $ | 415,329 | $ | 421,872 |
(Dollars in Thousands) | December 31, 2018 (1) | December 31, 2017 | ||||||
Less than 60 Days Past Due: | ||||||||
Outstanding principal balance | $ | 610,290 | $ | 488,600 | ||||
Aggregate fair value | $ | 561,770 | $ | 446,616 | ||||
Weighted Average LTV Ratio (2) | 76.18 | % | 74.98 | % | ||||
Number of loans | 2,898 | 2,323 | ||||||
60 Days to 89 Days Past Due: | ||||||||
Outstanding principal balance | $ | 63,938 | $ | 45,955 | ||||
Aggregate fair value | $ | 54,947 | $ | 37,927 | ||||
Weighted Average LTV Ratio (2) | 82.86 | % | 89.25 | % | ||||
Number of loans | 285 | 207 | ||||||
90 Days or More Past Due: | ||||||||
Outstanding principal balance | $ | 970,758 | $ | 1,027,818 | ||||
Aggregate fair value | $ | 854,545 | $ | 840,572 | ||||
Weighted Average LTV Ratio (2) | 90.24 | % | 94.50 | % | ||||
Number of loans | 3,531 | 3,984 | ||||||
Total Residential whole loans, at fair value | $ | 1,471,262 | $ | 1,325,115 |
(1) | Excluded from the table above are approximately $194.7 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of December 31, 2018. |
(2) | LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
Coupon payments and other income received (1) | $ | 70,515 | $ | 41,399 | $ | 23,017 | ||||||
Net unrealized gains | 36,725 | 33,617 | 31,254 | |||||||||
Net gain on payoff/liquidation of loans | 11,087 | 4,958 | 5,413 | |||||||||
Net gain on transfers to REO | 19,292 | 10,071 | 2,921 | |||||||||
Total | $ | 137,619 | $ | 90,045 | $ | 62,605 |
(In Thousands) | December 31, 2018 | December 31, 2017 | ||||||
Securities obtained and pledged as collateral, at fair value | $ | — | $ | 504,062 | ||||
REO | 249,413 | 152,356 | ||||||
MBS and loan related receivables | 127,154 | 54,640 | ||||||
Other interest earning assets | 92,022 | — | ||||||
Goodwill | 7,189 | 7,189 | ||||||
Other | 52,007 | 23,983 | ||||||
Total Other Assets | $ | 527,785 | $ | 742,230 |
For the Year Ended December 31, | ||||||||
(Dollars In Thousands) | 2018 | 2017 | ||||||
Balance at beginning of period | $ | 152,356 | $ | 80,503 | ||||
Adjustments to record at lower of cost or fair value | (15,929 | ) | (11,018 | ) | ||||
Transfer from residential whole loans (1) | 215,038 | 136,734 | ||||||
Purchases and capital improvements | 13,367 | 19,801 | ||||||
Disposals | (115,419 | ) | (73,664 | ) | ||||
Balance at end of period | $ | 249,413 | $ | 152,356 | ||||
Number of properties | 1,093 | 709 |
December 31, | ||||||||||||||||||||
2018 | 2017 | |||||||||||||||||||
Derivative Instrument (1) | Designation | Balance Sheet Location | Notional Amount | Fair Value | Notional Amount | Fair Value | ||||||||||||||
(In Thousands) | ||||||||||||||||||||
Swaps | Hedging | Other assets | $ | 1,900,000 | $ | — | $ | 750,000 | $ | — | ||||||||||
Swaps | Hedging | Other liabilities | $ | 722,000 | $ | — | $ | 1,800,000 | $ | — | ||||||||||
Swaps | Non-Hedging | Other liabilities | $ | 595,000 | $ | — | $ | — | $ | — |
December 31, | ||||||||
(In Thousands) | 2018 | 2017 | ||||||
Agency MBS, at fair value | $ | 2,735 | $ | 21,756 | ||||
Restricted cash | 30,068 | 7,084 | ||||||
Total assets pledged against Swaps | $ | 32,803 | $ | 28,840 |
December 31, 2018 | December 31, 2017 | |||||||||||||||||||
Maturity (1) | 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) | ||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||
Within 30 days | $ | — | — | % | — | % | $ | — | — | % | — | % | ||||||||
Over 30 days to 3 months | 100,000 | 1.71 | 2.50 | — | — | — | ||||||||||||||
Over 3 months to 6 months | 100,000 | 1.71 | 2.50 | 50,000 | 1.45 | 1.56 | ||||||||||||||
Over 6 months to 12 months | — | — | — | 500,000 | 1.50 | 1.46 | ||||||||||||||
Over 12 months to 24 months | 1,630,000 | 2.27 | 2.50 | 200,000 | 1.71 | 1.54 | ||||||||||||||
Over 24 months to 36 months | 822,000 | 2.57 | 2.64 | 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 | 395,000 | 2.88 | 2.63 | — | — | — | ||||||||||||||
Over 60 months to 72 months | — | — | — | 100,000 | 2.75 | 1.50 | ||||||||||||||
Over 72 months to 84 months | — | — | — | — | — | — | ||||||||||||||
Over 84 months | 170,000 | 3.00 | 2.66 | — | — | — | ||||||||||||||
Total Swaps | $ | 3,217,000 | 2.42 | % | 2.56 | % | $ | 2,550,000 | 2.04 | % | 1.50 | % |
For the Year Ended December 31, | ||||||||||||
(Dollars in Thousands) | 2018 | 2017 | 2016 | |||||||||
Interest expense attributable to Swaps | $ | 3,780 | $ | 24,524 | $ | 40,898 | ||||||
Weighted average Swap rate paid | 2.12 | % | 1.98 | % | 1.82 | % | ||||||
Weighted average Swap rate received | 1.96 | % | 1.07 | % | 0.48 | % |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
AOCI from derivative hedging instruments: | ||||||||||||
Balance at beginning of period | $ | (11,424 | ) | $ | (46,721 | ) | $ | (69,399 | ) | |||
Net gain on Swaps | 14,545 | 35,297 | 22,678 | |||||||||
Balance at end of period | $ | 3,121 | $ | (11,424 | ) | $ | (46,721 | ) |
(Dollars in Thousands) | December 31, 2018 | December 31, 2017 | ||||||
Repurchase agreement borrowings secured by Agency MBS | $ | 2,384,357 | $ | 2,501,340 | ||||
Fair value of Agency MBS pledged as collateral under repurchase agreements | $ | 2,572,597 | $ | 2,705,754 | ||||
Weighted average haircut on Agency MBS (1) | 4.60 | % | 4.65 | % | ||||
Repurchase agreement borrowings secured by Legacy Non-Agency MBS | $ | 1,447,585 | $ | 1,256,033 | ||||
Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements | $ | 1,817,650 | $ | 1,652,983 | ||||
Weighted average haircut on Legacy Non-Agency MBS (1) | 21.38 | % | 21.87 | % | ||||
Repurchase agreement borrowings secured by RPL/NPL MBS | $ | 1,084,532 | $ | 567,140 | ||||
Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements | $ | 1,377,250 | $ | 726,540 | ||||
Weighted average haircut on RPL/NPL MBS (1) | 21.31 | % | 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 | $ | 391,586 | $ | 459,058 | ||||
Fair value of CRT securities pledged as collateral under repurchase agreements | $ | 480,315 | $ | 595,900 | ||||
Weighted average haircut on CRT securities (1) | 20.01 | % | 22.16 | % | ||||
Repurchase agreements secured by residential whole loans (2) | $ | 2,020,508 | $ | 1,043,747 | ||||
Fair value of residential whole loans pledged as collateral under repurchase agreements (3)(4) | $ | 2,441,931 | $ | 1,474,704 | ||||
Weighted average haircut on residential whole loans (1) | 16.55 | % | 26.10 | % | ||||
Repurchase agreements secured by MSR-related assets | $ | 474,127 | $ | 317,255 | ||||
Fair value of MSR-related assets pledged as collateral under repurchase agreements | $ | 611,807 | $ | 482,158 | ||||
Weighted average haircut on MSR-related assets (1) | 21.88 | % | 33.19 | % | ||||
Repurchase agreements secured by other interest-earning assets | $ | 76,419 | $ | — | ||||
Fair value of other interest-earning assets pledged as collateral under repurchase agreements | $ | 81,494 | $ | — | ||||
Weighted average haircut on other interest-earning assets (1) | 21.15 | % | — | % |
December 31, 2018 | December 31, 2017 | |||||||||||||
Time Until Interest Rate Reset | Balance | Weighted Average Interest Rate | Balance | Weighted Average Interest Rate | ||||||||||
(Dollars in Thousands) | ||||||||||||||
Within 30 days | $ | 6,747,166 | 3.35 | % | $ | 6,161,008 | 2.39 | % | ||||||
Over 30 days to 3 months | 368,857 | 3.10 | 453,899 | 2.76 | ||||||||||
Over 3 months to 12 months | 763,091 | 4.18 | — | — | ||||||||||
Total repurchase agreements | $ | 7,879,114 | 3.42 | % | $ | 6,614,907 | 2.42 | % | ||||||
Less debt issuance costs | 27 | 206 | ||||||||||||
Total repurchase agreements less debt issuance costs | $ | 7,879,087 | $ | 6,614,701 |
December 31, 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 | $ | — | $ | 2,152,612 | $ | 231,745 | $ | — | $ | — | $ | 2,384,357 | ||||||||||||
Legacy Non-Agency MBS | — | 1,402,625 | 44,960 | — | — | 1,447,585 | ||||||||||||||||||
RPL/NPL MBS | — | 1,081,192 | 3,340 | — | — | 1,084,532 | ||||||||||||||||||
CRT securities | — | 385,597 | 5,989 | — | — | 391,586 | ||||||||||||||||||
Residential whole loans | — | 911,445 | 198,665 | 910,398 | — | 2,020,508 | ||||||||||||||||||
MSR-related assets | — | 342,227 | 131,900 | — | — | 474,127 | ||||||||||||||||||
Other | — | 5,850 | — | 70,569 | — | 76,419 | ||||||||||||||||||
Total (1) | $ | — | $ | 6,281,548 | $ | 616,599 | $ | 980,967 | $ | — | $ | 7,879,114 | ||||||||||||
Weighted Average Interest Rate | — | % | 3.31 | % | 3.41 | % | 4.18 | % | — | % | 3.42 | % |
(1) | Excludes $27,000 of unamortized debt issuance costs at December 31, 2018. |
December 31, 2018 | ||||||||||
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 | $ | 319,685 | 1 | 9.4 | % | ||||
RBC (4) | AA-/Aa2/AA | 251,802 | 1 | 7.4 | ||||||
Wells Fargo (5) | A+/Aa2/AA- | 188,901 | 2 | 5.5 | ||||||
Barclay's Bank | BBB/Aa3/A | 174,998 | 4 | 5.1 |
(1) | As rated at December 31, 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 $190.4 million at risk with Goldman Sachs Bank USA and $129.3 million at risk with Goldman Sachs Lending Partners. |
(4) | Includes $248.4 million at risk with RBC Barbados and $3.4 million at risk with RBC New York. Counterparty ratings are not published for RBC Barbados and RBS Capital Market LLC. |
(5) | Includes $187.6 million at risk with Wells Fargo Bank, NA and $1.3 million at risk with Wells Fargo Securities LLC. |
(In Thousands) | December 31, 2018 | December 31, 2017 | ||||||
Securitized debt (1) | $ | 684,420 | $ | 363,944 | ||||
Obligation to return securities held as collateral, at fair value | — | 504,062 | ||||||
Senior Notes | 96,816 | 96,773 | ||||||
Dividends and dividend equivalents payable | 90,198 | 79,771 | ||||||
Accrued interest payable | 16,280 | 12,263 | ||||||
Payable for unsettled residential whole loans purchases | 211,129 | — | ||||||
Accrued expenses and other | 26,296 | 21,584 | ||||||
Total Other Liabilities | $ | 1,125,139 | $ | 1,078,397 |
(1) | Securitized debt represents third-party liabilities of consolidated VIEs and excludes liabilities of the VIEs acquired by the Company that are eliminated in consolidation. The third-party beneficial interest holders in the VIEs have no recourse to the general credit of the Company. (See Notes 10 and 15 for further discussion.) |
Year Ended December 31, | Minimum Rental Payments (1) | |||
(In Thousands) | ||||
2019 | $ | 2,553 | ||
2020 | 2,553 | |||
2021 | 1,292 | |||
2022 | — | |||
2023 | — | |||
Thereafter | — | |||
Total | $ | 6,398 |
Year | Declaration Date | Record Date | Payment Date | Dividend Per Share | ||||
2018 | November 26, 2018 | December 7, 2018 | December 28, 2018 | $0.46875 | ||||
August 20, 2018 | September 7, 2018 | September 28, 2018 | 0.46875 | |||||
May 17, 2018 | June 4, 2018 | June 29, 2018 | 0.46875 | |||||
February 20, 2018 | March 2, 2018 | March 30, 2018 | 0.46875 | |||||
2017 | November 17, 2017 | December 1, 2017 | December 29, 2017 | $0.46875 | ||||
August 10, 2017 | September 1, 2017 | September 29, 2017 | 0.46875 | |||||
May 16, 2017 | June 2, 2017 | June 30, 2017 | 0.46875 | |||||
February 17, 2017 | March 6, 2017 | March 31, 2017 | 0.46875 | |||||
2016 | November 22, 2016 | December 6, 2016 | December 30, 2016 | $0.46875 | ||||
August 12, 2016 | September 2, 2016 | September 30, 2016 | 0.46875 | |||||
May 18, 2016 | June 3, 2016 | June 30, 2016 | 0.46875 | |||||
February 12, 2016 | February 29, 2016 | March 31, 2016 | 0.46875 |
Year | Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||
2018 | December 12, 2018 | December 28, 2018 | January 31, 2019 | $0.20 | (1) | ||||
September 13, 2018 | October 1, 2018 | October 31, 2018 | 0.20 | ||||||
June 7, 2018 | June 29, 2018 | July 31, 2018 | 0.20 | ||||||
March 7, 2018 | March 29, 2018 | April 30, 2018 | 0.20 | ||||||
2017 | December 13, 2017 | December 28, 2017 | January 31, 2018 | $0.20 | |||||
September 14, 2017 | September 28, 2017 | October 31, 2017 | 0.20 | ||||||
June 12, 2017 | June 29, 2017 | July 28, 2017 | 0.20 | ||||||
March 8, 2017 | March 29, 2017 | April 28, 2017 | 0.20 | ||||||
2016 | December 14, 2016 | December 28, 2016 | January 31, 2017 | $0.20 | |||||
September 15, 2016 | September 28, 2016 | October 31, 2016 | 0.20 | ||||||
June 14, 2016 | June 28, 2016 | July 29, 2016 | 0.20 | ||||||
March 11, 2016 | March 28, 2016 | April 29, 2016 | 0.20 |
Share Issue Date | Shares Issued | Gross Proceeds Per Share | Gross Proceeds | ||||||||||
(In Thousands, Except Per Share Amounts) | |||||||||||||
August 7, 2018 | 50,875 | (1 | ) | $ | 7.78 | $ | 395,807 | (1) | |||||
May 10, 2017 | 23,000 | $ | 7.85 | $ | 180,550 | (2) |
For the Year Ended December 31, | ||||||||||||||||||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||||||||||||||||||
(In Thousands) | Net Unrealized Gain/(Loss) on AFS Securities | Net Gain/(Loss) on Swaps | Total AOCI | Net Unrealized Gain/(Loss) on AFS Securities | Net Gain/(Loss) on Swaps | Total AOCI | Net Unrealized Gain/(Loss) on AFS Securities | Net Gain/(Loss) on Swaps | Total AOCI | |||||||||||||||||||||||||||
Balance at beginning of period | $ | 620,648 | $ | (11,424 | ) | $ | 609,224 | $ | 620,403 | $ | (46,721 | ) | $ | 573,682 | $ | 585,250 | $ | (69,399 | ) | $ | 515,851 | |||||||||||||||
OCI before reclassifications | (150,642 | ) | 14,545 | (136,097 | ) | 39,984 | 35,297 | 75,281 | 72,560 | 22,678 | 95,238 | |||||||||||||||||||||||||
Amounts reclassified from AOCI (1) | (52,839 | ) | — | (52,839 | ) | (39,739 | ) | — | (39,739 | ) | (37,407 | ) | — | (37,407 | ) | |||||||||||||||||||||
Net OCI during period (2) | (203,481 | ) | 14,545 | (188,936 | ) | 245 | 35,297 | 35,542 | 35,153 | 22,678 | 57,831 | |||||||||||||||||||||||||
Balance at end of period | $ | 417,167 | $ | 3,121 | $ | 420,288 | $ | 620,648 | $ | (11,424 | ) | $ | 609,224 | $ | 620,403 | $ | (46,721 | ) | $ | 573,682 |
For the Year Ended December 31, | ||||||||||||||
2018 | 2017 | 2016 | ||||||||||||
Details about AOCI Components | Amounts Reclassified from AOCI | Affected Line Item in the Statement Where Net Income is Presented | ||||||||||||
(In Thousands) | ||||||||||||||
AFS Securities: | ||||||||||||||
Realized gain on sale of securities | $ | (51,580 | ) | $ | (38,707 | ) | $ | (36,922 | ) | Net realized gain on sales of residential mortgage securities | ||||
OTTI recognized in earnings | (1,259 | ) | (1,032 | ) | (485 | ) | Other, net | |||||||
Total AFS Securities | $ | (52,839 | ) | $ | (39,739 | ) | $ | (37,407 | ) | |||||
Total reclassifications for period | $ | (52,839 | ) | $ | (39,739 | ) | $ | (37,407 | ) |
For the Year Ended December 31, | ||||||||||||
(In Thousands, Except Per Share Amounts) | 2018 | 2017 | 2016 | |||||||||
Numerator: | ||||||||||||
Net income | $ | 301,801 | $ | 322,393 | $ | 312,668 | ||||||
Dividends declared on preferred stock | (15,000 | ) | (15,000 | ) | (15,000 | ) | ||||||
Dividends, dividend equivalents and undistributed earnings allocated to participating securities | (1,864 | ) | (1,708 | ) | (1,628 | ) | ||||||
Net income to common stockholders - basic and diluted | $ | 284,937 | $ | 305,685 | $ | 296,040 | ||||||
Denominator: | ||||||||||||
Weighted average common shares for basic and diluted earnings per share (1) | 418,934 | 388,357 | 371,122 | |||||||||
Basic and diluted earnings per share | $ | 0.68 | $ | 0.79 | $ | 0.80 |
For the Year Ended December 31, 2018 | ||||||||||||||||||||
RSUs With Service Condition | Weighted Average Grant Date Fair Value | RSUs With Market and Service Conditions | Weighted Average Grant Date Fair Value | Total RSUs | Total Weighted Average Grant Date Fair Value | |||||||||||||||
Outstanding at beginning of year: | 1,025,028 | $ | 7.67 | 1,021,250 | $ | 5.80 | 2,046,278 | $ | 6.73 | |||||||||||
Granted (1) | 428,802 | 7.65 | 415,000 | 6.91 | 843,802 | 7.29 | ||||||||||||||
Settled | (237,384 | ) | 8.17 | (275,000 | ) | 5.73 | (512,384 | ) | 6.86 | |||||||||||
Cancelled/forfeited | (10,000 | ) | 7.23 | (10,000 | ) | 5.64 | (20,000 | ) | 6.44 | |||||||||||
Outstanding at end of year | 1,206,446 | $ | 7.57 | 1,151,250 | $ | 6.21 | 2,357,696 | $ | 6.90 | |||||||||||
RSUs vested but not settled at end of year | 708,946 | $ | 7.47 | 290,000 | $ | 4.81 | 998,946 | $ | 6.70 | |||||||||||
RSUs unvested at end of year | 497,500 | $ | 7.71 | 861,250 | $ | 6.69 | 1,358,750 | $ | 7.06 |
For the Year Ended December 31, 2017 | ||||||||||||||||||||
RSUs With Service Condition | Weighted Average Grant Date Fair Value | RSUs With Market and Service Conditions | Weighted Average Grant Date Fair Value | Total RSUs | Total Weighted Average Grant Date Fair Value | |||||||||||||||
Outstanding at beginning of year: | 1,194,299 | $ | 7.38 | 863,800 | $ | 5.45 | 2,058,099 | $ | 6.57 | |||||||||||
Granted (2) | 447,695 | 7.96 | 451,250 | 6.48 | 898,945 | 7.22 | ||||||||||||||
Settled | (616,966 | ) | 7.32 | (293,800 | ) | 5.83 | (910,766 | ) | 6.84 | |||||||||||
Cancelled/forfeited | — | — | — | — | — | — | ||||||||||||||
Outstanding at end of year | 1,025,028 | $ | 7.67 | 1,021,250 | $ | 5.80 | 2,046,278 | $ | 6.73 | |||||||||||
RSUs vested but not settled at end of year | 586,419 | $ | 7.98 | 275,000 | $ | 5.73 | 861,419 | $ | 7.26 | |||||||||||
RSUs unvested at end of year | 438,609 | $ | 7.25 | 746,250 | $ | 5.82 | 1,184,859 | $ | 6.35 |
For the Year Ended December 31, 2016 | ||||||||||||||||||||
RSUs With Service Condition | Weighted Average Grant Date Fair Value | RSUs With Market and Service Conditions | Weighted Average Grant Date Fair Value | Total RSUs | Total Weighted Average Grant Date Fair Value | |||||||||||||||
Outstanding at beginning of year: | 1,138,930 | $ | 7.71 | 736,800 | $ | 5.66 | 1,875,730 | $ | 6.90 | |||||||||||
Granted (3) | 420,695 | 6.81 | 307,500 | 4.81 | 728,195 | 5.96 | ||||||||||||||
Settled | (360,326 | ) | 7.75 | (175,500 | ) | 5.21 | (535,826 | ) | 6.92 | |||||||||||
Cancelled/forfeited | (5,000 | ) | 7.32 | (5,000 | ) | 5.27 | (10,000 | ) | 6.29 | |||||||||||
Outstanding at end of year | 1,194,299 | $ | 7.38 | 863,800 | $ | 5.45 | 2,058,099 | $ | 6.57 | |||||||||||
RSUs vested but not settled at end of year | 617,518 | $ | 7.45 | 293,800 | $ | 5.83 | 911,318 | $ | 6.93 | |||||||||||
RSUs unvested at end of year | 576,781 | $ | 7.30 | 570,000 | $ | 5.25 | 1,146,781 | $ | 6.28 |
For the Year Ended December 31, | ||||||||||||||||||||
2018 | 2017 | 2016 | ||||||||||||||||||
Shares of Restricted Stock | Weighted Average Grant Date Fair Value (1) | Shares of Restricted Stock | Weighted Average Grant Date Fair Value (1) | Shares of Restricted Stock | Weighted Average Grant Date Fair Value (1) | |||||||||||||||
Outstanding at beginning of year: | — | $ | — | 28,968 | $ | 7.12 | 110,920 | $ | 7.41 | |||||||||||
Granted | 450,193 | 6.74 | 214,859 | 8.06 | 487,216 | 7.66 | ||||||||||||||
Vested (2) | (450,193 | ) | 6.74 | (243,827 | ) | 7.95 | (567,851 | ) | 7.64 | |||||||||||
Cancelled/forfeited | — | — | — | — | (1,317 | ) | 7.12 | |||||||||||||
Outstanding at end of year | — | $ | — | — | $ | — | 28,968 | $ | 7.12 |
For the Year Ended December 31, 2016 | |||
Number of Dividend Equivalent Rights | |||
Outstanding at beginning of year: | 8,215 | ||
Granted | — | ||
Cancelled, forfeited or expired | (8,215 | ) | |
Outstanding at end of year | — |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
RSUs (1) | $ | 4,974 | $ | 6,098 | $ | 4,792 | ||||||
Restricted shares of common stock | 3,033 | 1,935 | 4,326 | |||||||||
Dividend equivalent rights | — | — | 44 | |||||||||
Total | $ | 8,007 | $ | 8,033 | $ | 9,162 |
For the Year Ended December 31, | ||||||||||||
(In Thousands) | 2018 | 2017 | 2016 | |||||||||
Non-employee directors | $ | (165 | ) | $ | 171 | $ | 231 | |||||
Total | $ | (165 | ) | $ | 171 | $ | 231 |
December 31, 2018 | December 31, 2017 | |||||||||||||||
(In Thousands) | Undistributed Income Deferred (1) | Liability Under Deferred Plans | Undistributed Income Deferred (1) | Liability Under Deferred Plans | ||||||||||||
Non-employee directors | $ | 2,263 | $ | 2,417 | $ | 1,688 | $ | 2,056 | ||||||||
Total | $ | 2,263 | $ | 2,417 | $ | 1,688 | $ | 2,056 |
(In Thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Agency MBS | $ | — | $ | 2,698,213 | $ | — | $ | 2,698,213 | ||||||||
Non-Agency MBS | — | 3,318,299 | — | 3,318,299 | ||||||||||||
CRT securities | — | 492,821 | — | 492,821 | ||||||||||||
Residential whole loans, at fair value | — | — | 1,665,978 | 1,665,978 | ||||||||||||
Term notes backed by MSR-related collateral | — | — | 538,499 | 538,499 | ||||||||||||
Securities obtained and pledged as collateral | — | — | — | — | ||||||||||||
Total assets carried at fair value | $ | — | $ | 6,509,333 | $ | 2,204,477 | $ | 8,713,810 | ||||||||
Liabilities: | ||||||||||||||||
Obligation to return securities obtained as collateral | — | — | — | — | ||||||||||||
Total liabilities carried at fair value | $ | — | $ | — | $ | — | $ | — |
(In Thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Agency MBS | $ | — | $ | 2,824,681 | $ | — | $ | 2,824,681 | ||||||||
Non-Agency MBS, including MBS transferred to consolidated VIEs | — | 3,533,966 | — | 3,533,966 | ||||||||||||
CRT securities | — | 664,403 | — | 664,403 | ||||||||||||
Residential whole loans, at fair value | — | — | 1,325,115 | 1,325,115 | ||||||||||||
Term notes backed by MSR-related collateral | — | — | 381,804 | 381,804 | ||||||||||||
Securities obtained and pledged as collateral | 504,062 | — | — | 504,062 | ||||||||||||
Total assets carried at fair value | $ | 504,062 | $ | 7,023,050 | $ | 1,706,919 | $ | 9,234,031 | ||||||||
Liabilities: | ||||||||||||||||
Obligation to return securities obtained as collateral | 504,062 | — | — | 504,062 | ||||||||||||
Total liabilities carried at fair value | $ | 504,062 | $ | — | $ | — | $ | 504,062 |
Residential Whole Loans, at Fair Value | ||||||||
For the Year Ended December 31, | ||||||||
(In Thousands) | 2018 (1) | 2017 | ||||||
Balance at beginning of period | $ | 1,325,115 | $ | 814,682 | ||||
Purchases and capitalized advances | 500,004 | 683,735 | ||||||
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings | 36,725 | 33,617 | ||||||
Collection of principal, net of liquidation gains/losses | (199,203 | ) | (87,072 | ) | ||||
Repurchases | (1,807 | ) | (2,716 | ) | ||||
Transfer to REO | (189,571 | ) | (117,131 | ) | ||||
Balance at end of period | $ | 1,471,263 | $ | 1,325,115 |
(1) | Excluded from the table above are approximately $194.7 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of December 31, 2018. |
Term Notes Backed by MSR-Related Collateral | ||||||||
Year Ended December 31, | ||||||||
(In Thousands) | 2018 | 2017 (1) | ||||||
Balance at beginning of period | $ | 381,804 | $ | — | ||||
Purchases | 548,404 | 381,000 | ||||||
Collection of principal | (390,898 | ) | (140,980 | ) | ||||
Changes in unrealized gain/losses | (811 | ) | 804 | |||||
Transfers from Level 2 to Level 3 (1) | — | 140,980 | ||||||
Balance at end of period | $ | 538,499 | 381,804 |
December 31, 2018 | ||||||||||||||
(Dollars in Thousands) | Fair Value (1) | Valuation Technique | Unobservable Input | Weighted Average (2) | Range | |||||||||
Residential whole loans, at fair value | $ | 700,250 | Discounted cash flow | Discount rate | 5.2 | % | 4.5-8.0% | |||||||
Prepayment rate | 4.8 | % | 0.9-15.9% | |||||||||||
Default rate | 4.1 | % | 0.0-24.1% | |||||||||||
Loss severity | 12.9 | % | 0.0-100.0% | |||||||||||
$ | 683,252 | Liquidation model | Discount rate | 8.0 | % | 6.1-50.0% | ||||||||
Annual change in home prices | 3.5 | % | (0.5)-12.2% | |||||||||||
Liquidation timeline (in years) | 1.8 | 0.1-4.5 | ||||||||||||
Current value of underlying properties (3) | $ | 802 | $2-$7,950 | |||||||||||
Total | $ | 1,383,502 |
December 31, 2017 | ||||||||||||||
(Dollars in Thousands) | Fair Value (1) | Valuation Technique | Unobservable Input | Weighted Average (2) | Range | |||||||||
Residential whole loans, at fair value | $ | 358,871 | Discounted cash flow | Discount rate | 5.5 | % | 4.5-13.0% | |||||||
Prepayment rate | 4.1 | % | 1.15-15.1% | |||||||||||
Default rate | 2.9 | % | 0.0-6.5% | |||||||||||
Loss severity | 13.8 | % | 0.0-100.0% | |||||||||||
$ | 592,940 | Liquidation model | Discount rate | 8.0 | % | 6.1-50.0% | ||||||||
Annual change in home prices | 2.5 | % | (8.0)-8.8% | |||||||||||
Liquidation timeline (in years) | 1.6 | 0.1-4.5 | ||||||||||||
Current value of underlying properties (3) | $ | 772 | $0-$9,900 | |||||||||||
Total | $ | 951,811 |
(1) | Excludes approximately $282.5 million and $373.3 million of loans for which management considers the purchase price continues to reflect the fair value of such loans at December 31, 2018 and 2017, respectively. |
(2) | Amounts are weighted based on the fair value of the underlying loan. |
(3) | The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $400,000 and $336,000 as of December 31, 2018 and 2017, respectively. |
December 31, 2018 | December 31, 2017 | |||||||||||||||
(In Thousands) | Carrying Value | Estimated Fair Value | Carrying Value | Estimated Fair Value | ||||||||||||
Financial Assets: | ||||||||||||||||
Agency MBS | $ | 2,698,213 | $ | 2,698,213 | $ | 2,824,681 | $ | 2,824,681 | ||||||||
Non-Agency MBS | 3,318,299 | 3,318,299 | 3,533,966 | 3,533,966 | ||||||||||||
CRT securities | 492,821 | 492,821 | 664,403 | 664,403 | ||||||||||||
Residential whole loans, at carrying value | 3,016,715 | 3,104,401 | 908,516 | 988,688 | ||||||||||||
Residential whole loans, at fair value | 1,665,978 | 1,665,978 | 1,325,115 | 1,325,115 | ||||||||||||
MSR-related assets | 611,807 | 611,807 | 492,080 | 493,026 | ||||||||||||
Securities obtained and pledged as collateral | — | — | 504,062 | 504,062 | ||||||||||||
Cash and cash equivalents | 51,965 | 51,965 | 449,757 | 449,757 | ||||||||||||
Restricted cash | 36,744 | 36,744 | 13,986 | 13,986 | ||||||||||||
Financial Liabilities (1): | ||||||||||||||||
Repurchase agreements | 7,879,087 | 7,896,672 | 6,614,701 | 6,623,255 | ||||||||||||
Securitized debt | 684,420 | 680,209 | 363,944 | 366,109 | ||||||||||||
Obligation to return securities obtained as collateral | — | — | 504,062 | 504,062 | ||||||||||||
Senior Notes | 96,816 | 99,951 | 96,773 | 103,729 |
(Dollars in Thousands) | December 2018 | December 2017 | |||||||
Aggregate unpaid principal balance of residential whole loans sold | $ | 1,290,029 | $ | 620,924 | |||||
Face amount of Senior Bonds issued by the VIE and purchased by third-party investors | $ | 802,817 | $ | 382,847 | |||||
Outstanding amount of Senior Bonds | $ | 684,420 | (1) | $ | 363,944 | (1) | |||
Weighted average fixed rate for Senior Bonds issued | 3.66 | % | (2) | 3.14 | % | (2) | |||
Weighted average contractual maturity of Senior Bonds | 31 years | (2) | 32 years | (2) | |||||
Face amount of Senior Support Certificates received by the Company (3) | $ | 275,174 | $ | 127,001 | |||||
Cash received | $ | 802,815 | $ | 382,845 |
(1) | Net of $3.8 million and $2.3 million of deferred financing costs at December 31, 2018 and 2017, respectively. |
(2) | At December 31, 2018 and 2017, $582.8 million and $233.7 million, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by 300 basis points at 36 months from issuance if the bond is not redeemed before such date. |
(3) | Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions. |
• | whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and |
• | whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. |
2018 Quarter Ended | ||||||||||||||||
(In Thousands, Except per Share Amounts) | March 31 | June 30 | September 30 | December 31 | ||||||||||||
Interest income | $ | 103,752 | $ | 101,747 | $ | 117,432 | $ | 132,744 | ||||||||
Interest expense | (50,554 | ) | (51,810 | ) | (58,878 | ) | (70,944 | ) | ||||||||
Net interest income | 53,198 | 49,937 | 58,554 | 61,800 | ||||||||||||
Net gain on residential whole loans measured at fair value through earnings | 38,498 | 32,443 | 34,942 | 31,736 | ||||||||||||
Net realized gain on sales of residential mortgage securities | 8,817 | 7,429 | 16,415 | 28,646 | ||||||||||||
Other income | 345 | 1,134 | (2,998 | ) | (39,432 | ) | ||||||||||
Operating and other expense | (17,463 | ) | (20,548 | ) | (19,781 | ) | (21,871 | ) | ||||||||
Net income | 83,395 | 70,395 | 87,132 | 60,879 | ||||||||||||
Preferred stock dividends | (3,750 | ) | (3,750 | ) | (3,750 | ) | (3,750 | ) | ||||||||
Net income available to common stock and participating securities | $ | 79,645 | $ | 66,645 | $ | 83,382 | $ | 57,129 | ||||||||
Earnings per Common Share - Basic and Diluted | $ | 0.20 | $ | 0.17 | $ | 0.19 | $ | 0.13 |
2017 Quarter Ended | ||||||||||||||||
(In Thousands, Except per Share Amounts) | March 31 | June 30 | September 30 | December 31 | ||||||||||||
Interest income | $ | 117,257 | $ | 110,157 | $ | 105,133 | $ | 100,901 | ||||||||
Interest expense | (50,349 | ) | (49,022 | ) | (49,275 | ) | (48,495 | ) | ||||||||
Net interest income | 66,908 | 61,135 | 55,858 | 52,406 | ||||||||||||
Net gain on residential whole loans measured at fair value through earnings | 13,773 | 16,208 | 18,679 | 41,385 | ||||||||||||
Net realized gain on sales of residential mortgage securities | 9,708 | 5,889 | 14,933 | 9,047 | ||||||||||||
Other income | 4,098 | 14,229 | (4,515 | ) | 14,553 | |||||||||||
Operating and other expense | (16,427 | ) | (17,526 | ) | (21,150 | ) | (16,798 | ) | ||||||||
Net income | 78,060 | 79,935 | 63,805 | 100,593 | ||||||||||||
Preferred stock dividends | (3,750 | ) | (3,750 | ) | (3,750 | ) | (3,750 | ) | ||||||||
Net income available to common stock and participating securities | $ | 74,310 | $ | 76,185 | $ | 60,055 | $ | 96,843 | ||||||||
Earnings per Common Share - Basic and Diluted | $ | 0.20 | $ | 0.20 | $ | 0.15 | $ | 0.24 |
Asset Type | Number | Interest Rate | Maturity Date Range | Balance Sheet Reported Amount | Principal Amount of Loans Subject to Delinquent Principal or Interest | |||||||||||
(Dollars in Thousands) | ||||||||||||||||
Residential Whole Loans, at Carrying Value (1) | ||||||||||||||||
Original loan balance $0 - $149,999 | 3,360 | 0.00% - 13.08% | 9/1/2016-8/25/2058 | $ | 272,407 | $ | 16,726 | |||||||||
Original loan balance $150,000 - $299,999 | 3,781 | 0.00% - 11.00% | 8/1/2018-11/1/2064 | 679,899 | 42,262 | |||||||||||
Original loan balance $300,000 - $449,999 | 2,205 | 1.30% - 11.13% | 10/1/2018-5/1/2062 | 704,255 | 39,720 | |||||||||||
Original loan balance greater than $449,999 | 1,766 | 1.30% - 9.50% | 6/19/2018-1/1/2059 | 1,343,740 | 23,946 | |||||||||||
11,112 | $ | 3,000,301 | $ | 122,654 | ||||||||||||
Residential Whole Loans, at Fair Value (1) | ||||||||||||||||
Original loan balance $0 - $149,999 | 2,172 | 0.00% - 14.99% | 6/1/2009-11/25/2058 | $ | 165,419 | $ | 92,672 | |||||||||
Original loan balance $150,000 - $299,999 | 2,280 | 1.00% - 12.38% | 7/1/2009-10/1/2058 | 392,509 | 243,609 | |||||||||||
Original loan balance $300,000 - $449,999 | 1,515 | 0.00% - 10.80% | 1/1/2015-11/1/2058 | 461,389 | 304,731 | |||||||||||
Original loan balance greater than $449,999 | 747 | 1.63% - 10.20% | 9/1/2013-7/1/2058 | 451,945 | 329,746 | |||||||||||
6,714 | $ | 1,471,262 | $ | 970,758 | ||||||||||||
17,826 | $ | 4,471,563 | (2 | ) | $ | 1,093,412 |
(1) | Excluded from the table above are approximately $16.4 million of purchased performing loans held at carrying value and $194.7 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of December 31, 2018. |
(2) | The federal income tax basis is approximately $4.3 billion. |
For the Year Ended December 31, 2018 | ||||||||
(In Thousands) | Residential Whole Loans, at Carrying Value | Residential Whole Loans, at Fair Value | ||||||
Beginning Balance | $ | 908,516 | $ | 1,325,115 | ||||
Additions during period: | ||||||||
Purchases and capitalized advances | 2,467,398 | 741,113 | ||||||
Discount accretion | 4,741 | N/A | ||||||
Deductions during period: | ||||||||
Cash collections for principal and liquidations | (355,413 | ) | (199,203 | ) | ||||
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings | N/A | 36,725 | ||||||
Provision for loan loss | (638 | ) | N/A | |||||
Repurchases | (1,597 | ) | (1,807 | ) | ||||
Transfer to REO | (6,292 | ) | (189,571 | ) | ||||
Ending Balance | $ | 3,016,715 | $ | 1,712,372 |
• | should not in all instances be treated as categorical statements of fact, but rather as a way of allocating the risk to one of the parties if those statements proved to be inaccurate; |
• | have been qualified by disclosures that were made to the other party in connection with the negotiation of the applicable agreement, which disclosures are not necessarily reflected in the agreement; |
• | may apply standards of materiality in a way that is different from what may be viewed as material to you or other investors; and |
• | were made only as of the date of the applicable agreement or such other date or dates as may be specified in the agreement and are subject to more recent developments. |
MFA Financial, Inc. | |||
Date: February 21, 2019 | By | /s/ | Stephen D. Yarad |
Stephen D. Yarad | |||
Chief Financial Officer |
Date: February 21, 2019 | By | /s/ | Craig L. Knutson |
Craig L. Knutson | |||
President, Chief Executive Officer and Director | |||
(Principal Executive Officer) | |||
Date: February 21, 2019 | By | /s/ | Stephen D. Yarad |
Stephen D. Yarad | |||
Chief Financial Officer | |||
(Principal Financial Officer) | |||
Date: February 21, 2019 | By | /s/ | Kathleen A. Hanrahan |
Kathleen A. Hanrahan | |||
Senior Vice President and | |||
Chief Accounting Officer | |||
(Principal Accounting Officer) | |||
Date: February 21, 2019 | By | /s/ | George H. Krauss |
George H. Krauss | |||
Chairman and Director | |||
Date: February 21, 2019 | By | /s/ | Stephen R. Blank |
Stephen R. Blank | |||
Director | |||
Date: February 21, 2019 | By | /s/ | James A. Brodsky |
James A. Brodsky | |||
Director | |||
Date: February 21, 2019 | By | /s/ | Richard J. Byrne |
Richard J. Byrne | |||
Director | |||
Date: February 21, 2019 | By | /s/ | Laurie Goodman |
Laurie Goodman | |||
Director | |||
Date: February 21, 2019 | By | /s/ | Alan L. Gosule |
Alan L. Gosule | |||
Director | |||
Date: February 21, 2019 | By | /s/ | Robin Josephs |
Robin Josephs | |||
Director | |||
Subsidiaries of the Registrant | Jurisdiction | |
Diplomat Properties Holding Corp. | Delaware | |
MFA Securities Holdings LLC | Delaware | |
MFA Securitization Holdings LLC | Delaware | |
MFResidential Assets I, LLC | Delaware | |
MFResidential Assets Holding Corp. | Delaware | |
MFRA Trust 2014-1 | Delaware | |
MFRA Trust 2014-2 | Delaware | |
MFRA Trust 2015-1 | Delaware | |
MFRA Trust 2015-2 | Delaware | |
MFRA Trust 2016-1 | Delaware | |
MFA Kittiwake Investments Ltd. | Cayman Islands |
Date: February 21, 2019 | |
By: | /s/ Craig L. Knutson |
Name: Craig L. Knutson | |
Title: President and Chief Executive Officer |
Date: February 21, 2019 | |
By: | /s/ Stephen D. Yarad |
Name: Stephen D. Yarad | |
Title: Chief Financial Officer |
By: | /s/ Craig L. Knutson | Date: February 21, 2019 | |
Name: Craig L. Knutson | |||
Title: President and Chief Executive Officer |
By: | /s/ Stephen D. Yarad | Date: February 21, 2019 | |
Name: Stephen D. Yarad | |||
Title: Chief Financial Officer |
Document and Entity Information - USD ($) $ in Billions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Feb. 14, 2019 |
Jun. 29, 2018 |
|
Document and Entity Information | |||
Entity Registrant Name | MFA FINANCIAL, INC. | ||
Entity Central Index Key | 0001055160 | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2018 | ||
Amendment Flag | false | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Public Float | $ 3.0 | ||
Entity Common Stock, Shares Outstanding (in shares) | 450,476,867 | ||
Document Fiscal Year Focus | 2018 | ||
Document Fiscal Period Focus | FY | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Entity Shell Company | false |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Preferred stock, dividend rate | 7.50% | 7.50% | |
Common Stock | |||
Adjustments related to tax withholding for share-based compensation | $ 3.4 | $ 6.0 | $ 3.6 |
Shares paid for tax withholding for share based compensation (in shares) | 464,429 | 744,588 | 487,559 |
Preferred Stock | Series B Preferred Stock | |||
Preferred stock, dividend rate | 7.50% | 7.50% | 7.50% |
Preferred stock, liquidation preference (in dollars per share) | $ 25.00 | $ 25 | $ 25.00 |
CONSOLIDATED STATEMENTS OF CASH FLOWS $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018
USD ($)
|
Dec. 31, 2017
USD ($)
|
Dec. 31, 2016
USD ($)
|
|
Cash Flows From Operating Activities: | |||
Net income | $ 301,801 | $ 322,393 | $ 312,668 |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Gain on sales of residential mortgage securities and U.S. Treasury securities | (61,307) | (39,577) | (35,837) |
Gain on sales of real estate owned | (7,715) | (4,475) | (3,229) |
Gain on liquidation of residential whole loans | (22,409) | (11,868) | 0 |
Other-than-temporary impairment charges | 1,259 | 1,032 | 485 |
Accretion of purchase discounts on residential mortgage securities, residential whole loans and MSR-related assets | (82,904) | (86,318) | (84,615) |
Amortization of purchase premiums on residential mortgage securities and residential whole loans | 29,270 | 30,330 | 36,725 |
Depreciation and amortization on real estate, fixed assets and other assets | 1,825 | 1,519 | 964 |
Equity-based compensation expense | 8,007 | 8,033 | 9,162 |
Unrealized gain on residential whole loans at fair value | (36,725) | (33,617) | (31,254) |
Unrealized losses/(gains) on residential mortgage securities and swaps | 43,234 | (27,091) | (7,640) |
(Increase)/decrease in other assets | (26,487) | 21,964 | (11,095) |
Increase/(decrease) in other liabilities | 32 | (5,813) | (6,943) |
Net cash provided by operating activities | 147,881 | 176,512 | 179,391 |
Cash Flows From Investing Activities: | |||
Principal payments on residential mortgage securities and MSR-related assets | 2,327,817 | 3,996,489 | 3,339,597 |
Proceeds from sales of residential mortgage securities and U.S. Treasury securities | 538,668 | 243,081 | 85,594 |
Purchases of residential mortgage securities, MSR-related assets and U.S. Treasury securities | (2,604,234) | (1,583,130) | (1,997,838) |
Purchases of residential whole loans, loan related investments and capitalized advances | (3,058,839) | (1,065,981) | (677,003) |
Principal payments on residential whole loans | 531,909 | 160,469 | 103,997 |
Proceeds from sales of real estate owned | 121,304 | 75,671 | 34,200 |
Purchases of real estate owned and capital improvements | (13,367) | (19,801) | (2,825) |
Redemption of Federal Home Loan Bank stock | 0 | 10,422 | 51,400 |
Purchases of Federal Home Loan Bank stock | 0 | 0 | (1,805) |
Additions to leasehold improvements, furniture and fixtures | (1,133) | (872) | (708) |
Net cash (used in)/provided by investing activities | (2,157,875) | 1,816,348 | 934,609 |
Cash Flows From Financing Activities: | |||
Principal payments on repurchase agreements and other advances | (67,063,283) | (72,563,218) | (82,408,484) |
Proceeds from borrowings under repurchase agreements | 68,327,462 | 70,490,091 | 81,706,806 |
Proceeds from issuance of securitized debt | 419,970 | 382,847 | 0 |
Principal payments on securitized debt | (97,969) | (16,562) | (22,057) |
Payments made for securitization related costs | (2,497) | (2,646) | 0 |
Payments made for settlements on interest rate swap agreements (“Swaps”) | (61,502) | (11,424) | 0 |
Proceeds from settlements on Swaps | 65,393 | 0 | 0 |
Proceeds from issuances of common stock | 392,474 | 197,223 | 4,660 |
Payments made for costs related to common stock issuances | 329 | 415 | 0 |
Payments made for costs related to common stock issuances | (15,000) | (15,000) | (15,000) |
Dividends paid on preferred stock | (329,759) | (308,588) | (297,895) |
Net cash provided by/(used in) financing activities | 1,634,960 | (1,847,692) | (1,031,970) |
Net (decrease)/increase in cash, cash equivalents and restricted cash | (375,034) | 145,168 | 82,030 |
Cash, cash equivalents and restricted cash at beginning of period | 463,743 | 318,575 | 236,545 |
Cash, cash equivalents and restricted cash at end of period | 88,709 | 463,743 | 318,575 |
Supplemental Disclosure of Cash Flow Information | |||
Interest Paid | 232,657 | 198,159 | 194,626 |
Non-cash Investing and Financing Activities: | |||
Net (decrease)/increase in securities obtained as collateral/obligation to return securities obtained as collateral | (505,850) | 134,100 | 5,385 |
Transfer from residential whole loans to real estate owned | 215,038 | 136,734 | 91,896 |
Dividends and dividend equivalents declared and unpaid | 90,198 | 79,771 | 74,657 |
Payable for unsettled residential whole loans purchases | $ 211,129 | $ 0 | $ 0 |
Organization |
12 Months Ended |
---|---|
Dec. 31, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization MFA Financial, Inc. (the “Company”) was incorporated in Maryland on July 24, 1997 and began operations on April 10, 1998. The Company has elected to be treated as a real estate investment trust (“REIT”) for U.S. federal income tax purposes. In order to maintain its qualification as a REIT, the Company must comply with a number of requirements under federal tax law, including that it must distribute at least 90% of its annual REIT taxable income to its stockholders. The Company has elected to treat certain of its subsidiaries as a taxable REIT subsidiary (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business. (See Notes 2(o) |
Summary of Significant Accounting Policies |
12 Months Ended |
---|---|
Dec. 31, 2018 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies (a) Basis of Presentation and Consolidation The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas, including other-than-temporary impairment (“OTTI”) on mortgage-backed securities (“MBS”) (See Note 3), valuation of MBS, CRT securities and MSR- related assets (See Notes 3 and 14), income recognition and valuation of residential whole loans (See Notes 4 and 14), valuation of derivative instruments (See Notes 5(c) and 14) and income recognition on certain Non-Agency MBS (defined below) purchased at a discount. (See Note 3) In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest. (See Note 2(o)) Actual results could differ from those estimates. The Company has one reportable segment as it manages its business and analyzes and reports its results of operations on the basis of one operating segment; investing, on a leveraged basis, in residential mortgage assets. The consolidated financial statements of the Company include the accounts of all subsidiaries; all intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans as well as MBS resecuritization transactions completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation. (b) Residential Mortgage Securities The Company has investments in residential MBS that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”) (collectively, “Agency MBS”), and residential MBS that are not guaranteed by any agency of the U.S. Government or any federally chartered corporation (“Non-Agency MBS”). In addition, the Company has investments in CRT securities that are issued or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by Fannie Mae and Freddie Mac and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. Designation MBS that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as “available-for-sale” (“AFS”). Such MBS are carried at their fair value with unrealized gains and losses excluded from earnings (except when an OTTI is recognized, as discussed below) and reported in Accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. The Company has elected the fair value option for certain of its Agency MBS that it does not intend to hold to maturity. These securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. The Company has elected the fair value option for certain of its CRT securities as it considers this method of accounting to more appropriately reflect the risk sharing structure of these securities. Such securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. Revenue Recognition, Premium Amortization and Discount Accretion Interest income on securities is accrued based on the outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Interest income on the Non-Agency MBS that were purchased at a discount to par value and/or are considered to be of less than high credit quality is recognized based on the security’s effective interest rate which is the security’s internal rate of return (“IRR”). The IRR is determined using management’s estimate of the projected cash flows for each security, which are based on the Company’s observation of current information and events and include assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the IRR/ interest income recognized on these securities or in the recognition of OTTIs. (See Note 3) Based on the projected cash flows from the Company’s Non-Agency MBS purchased at a discount to par value, a portion of the purchase discount may be designated as non-accretable purchase discount (“Credit Reserve”), which effectively mitigates the Company’s risk of loss on the mortgages collateralizing such MBS and is not expected to be accreted into interest income. The amount designated as Credit Reserve may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a Credit Reserve is more favorable than forecasted, a portion of the amount designated as Credit Reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a Credit Reserve is less favorable than forecasted, the amount designated as Credit Reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. Determination of Fair Value for Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. (See Note 14) Impairments/OTTI When the fair value of an AFS security is less than its amortized cost at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities on at least a quarterly basis and designates such impairments as either “temporary” or “other-than-temporary.” If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize an OTTI through charges to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the balance sheet date. If the Company does not expect to sell an other-than-temporarily impaired security, only the portion of the impairment related to credit losses is recognized through charges to earnings with the remainder recognized through AOCI on the consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Following the recognition of an OTTI through earnings, a new cost basis is established for the security, which may not be adjusted for subsequent recoveries in fair value through earnings. However, OTTIs recognized through charges to earnings may, upon recovery, be accreted back to the amortized cost basis of the security on a prospective basis through interest income. The determination as to whether an OTTI exists and, if so, the amount of credit impairment recognized in earnings is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of OTTIs constitute material estimates that are susceptible to significant change. (See Note 3) Non-Agency MBS that are assessed to be of less than high credit quality and on which impairments are recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. The Company’s estimate of cash flows for its Non-Agency MBS is based on its review of the underlying mortgage loans securing the MBS. The Company considers information available about the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, year of origination, loan-to-value ratios (“LTVs”), geographic concentrations and dialogue with market participants. As a result, significant judgment is used in the Company’s analysis to determine the expected cash flows for its Non-Agency MBS. In determining the OTTI related to credit losses for securities that were purchased at significant discounts to par and/or are considered to be of less than high credit quality, the Company compares the present value of the remaining cash flows expected to be collected at the purchase date (or last date previously revised) against the present value of the cash flows expected to be collected at the current financial reporting date. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. Impairment assessment for Non-Agency MBS that were purchased at prices close to par and/or are otherwise considered to be of high credit quality involves comparing the present value of the remaining cash flows expected to be collected against the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the instrument’s IRR. Balance Sheet Presentation The Company’s residential mortgage securities pledged as collateral against repurchase agreements and Swaps are included on the consolidated balance sheets with the fair value of the securities pledged disclosed parenthetically. Purchases and sales of securities are recorded on the trade date. (c) Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed and adjustable rate residential mortgage loans acquired through consolidated trusts in secondary market transactions. The accounting model utilized by the Company is determined at the time each loan package is initially acquired and is generally based on the delinquency status of the majority of the underlying borrowers in the package at acquisition. The accounting model described below for purchased credit impaired loans that are held at carrying value is typically utilized by the Company for purchased credit impaired loans where the underlying borrower has a delinquency status of less than 60 days at the acquisition date. The Company also acquires purchased performing loans that are typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required loan loss reserves (as discussed below) differ from those used for purchased credit impaired loans held at carrying value. The accounting model described below for residential whole loans held at fair value is typically utilized by the Company for loans where the underlying borrower has a delinquency status of 60 days or more at the acquisition date. The accounting model initially applied is not subsequently changed. The Company’s residential whole loans pledged as collateral against repurchase agreements are included in the consolidated balance sheets with amounts pledged disclosed parenthetically. Purchases and sales of residential whole loans are recorded on the trade date, with amounts recorded reflecting management’s current estimate of assets that will be acquired or disposed at the closing of the transaction. This estimate is subject to revision at the closing of the transaction, pending the outcome of due diligence performed prior to closing. Recorded amounts of residential whole loans for which the closing of the purchase transaction is yet to occur are not eligible to be pledged as collateral against any repurchase agreement financing until the closing of the purchase transaction. (See Notes 4, 6, 7, 14 and 15) Residential Whole Loans at Carrying Value Purchased Performing Loans Acquisitions of purchased performing loans to date have been primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) short-term business purpose loans collateralized by residential properties made to non-occupant borrowers who intend to rehabilitate and sell the property for a profit (“Rehabilitation loans” or “Fix and Flip loans”), (iii) loans to finance (or refinance) non-owner occupied one-to four-family residential properties that are rented to one or more tenants (“Single-family rental loans”), and (iv) previously originated loans secured by residential real estate that is generally owner occupied (“Seasoned performing loans”). Purchased performing loans are initially recorded at their purchase price. Interest income on purchased performing loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate, net of related servicing costs. Interest income on such loans purchased at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related serving costs. An allowance for loan losses is recorded when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms of the loan agreement. Any required loan loss allowance would typically be measured based on the fair value of the collateral securing the loan and would reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining any allowance for loan loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. Income recognition is suspended for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. Purchased Credit Impaired Loans The Company has elected to account for these loans as credit impaired as they were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with LTVs of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit impaired are initially recorded at the purchase price with no allowance for loan losses. Subsequent to acquisition, the recorded amount for these loans reflects the original investment amount, plus accretion of interest income, less principal and interest cash flows received. These loans are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded amount reduced by any allowance for loan losses established subsequent to acquisition. Under the application of the accounting model for purchased credit impaired loans, the Company may aggregate into pools loans acquired in the same fiscal quarter that are assessed as having similar risk characteristics. For each pool established, or on an individual loan basis for loans not aggregated into pools, the Company estimates at acquisition and periodically on at least a quarterly basis, the principal and interest cash flows expected to be collected. The difference between the cash flows expected to be collected and the carrying amount of the loans is referred to as the “accretable yield.” This amount is accreted as interest income over the life of the loans using an effective interest rate (level yield) methodology. Interest income recorded each period reflects the amount of accretable yield recognized and not the coupon interest payments received on the underlying loans. The difference between contractually required principal and interest payments and the cash flows expected to be collected is referred to as the “non-accretable difference,” and includes estimates of both the effect of prepayments and expected credit losses over the life of the underlying loans. A decrease in expected cash flows in subsequent periods may indicate impairment at the pool and/or individual loan level, thus requiring the establishment of an allowance for loan losses by a charge to the provision for loan losses. The allowance for loan losses generally represents the present value of cash flows expected at acquisition, adjusted for any increases due to changes in estimated cash flows, that are subsequently no longer expected to be received at the relevant measurement date. Under the accounting model applied to purchased credit impaired loans, a significant increase in expected cash flows in subsequent periods first reduces any previously recognized allowance for loan losses and then will result in a recalculation in the amount of accretable yield. The adjustment of accretable yield due to a significant increase in expected cash flows is accounted for prospectively as a change in estimate and results in reclassification from nonaccretable difference to accretable yield. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. For the majority of these loans, there is significant uncertainty associated with estimating the timing of and amount of cash flows that will be collected. Further, the cash flows ultimately collected may be dependent on the value of the property securing the loan. Consequently, the Company considers that accounting for these loans at fair value should result in a better reflection over time of the economic returns for the majority of these loans. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from a third-party who specializes in providing valuations of residential mortgage loans and trading activity observed in the market place. Subsequent changes in fair value are reported in current period earnings and presented in Net gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash received representing coupon payments on residential whole loans held at fair value is not included in Interest Income, but rather is included in Net gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash outflows associated with loan related advances made by the Company on behalf of the borrower are included in the basis of the loan and are reflected in unrealized gains or losses reported each period. (d) MSR-Related Assets The Company has investments in financial instruments whose cash flows are considered to be largely dependent on underlying MSRs that either directly or indirectly act as collateral for the investment. These financial instruments, which are referred to as MSR-related assets are discussed in more detail below. The Company’s MSR-related assets pledged as collateral against repurchase agreements are included in the consolidated balance sheets with the amounts pledged disclosed parenthetically. Purchases and sales of MSR-related assets are recorded on the trade date. (See Notes 3, 6, 7 and 14) Term Notes Backed by MSR-Related Collateral The Company has invested in term notes that are issued by special purpose vehicles (“SPV”) that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considers payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes is also mitigated by structural credit support in the form of over-collateralization. Credit support is also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the underlying MSRs be insufficient. The Company’s term notes backed by MSR-related collateral are treated as AFS securities and reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in AOCI. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes considers a number of factors, including a comparable bond analysis performed by a third-party pricing service which involves determining a pricing spread at issuance of the term note. The pricing spread is used at each subsequent valuation date to determine an implied yield to maturity of the term note, which is then used to derive an indicative market value for the security. This indicative market value is further reviewed by the Company and may be adjusted to ensure it reflects a realistic exit price at the valuation date given the structural features of these securities. Other factors taken into consideration include indicative values provided by repurchase agreement counterparties, estimated changes in fair value of the related underlying MSR collateral and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are generally secured by certain MSRs, as well as certain other unencumbered assets owned by the borrower. Corporate loans are recorded on the Company’s consolidated balance sheets at the drawn amount, on which interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. Commitment fees received on the undrawn amount are deferred and recognized as interest income over the remaining loan term at the time of draw. At the end of the commitment period, any remaining deferred commitment fees are recorded as Other Income on the Company’s consolidated statements of operations. The Company evaluates the recoverability of its corporate loans on a quarterly basis considering various factors, including the current status of the loan, changes in the fair value of the MSRs that secure the loan and the recent financial performance of the borrower. (e) Cash and Cash Equivalents Cash and cash equivalents include cash on deposit with financial institutions and investments in money market funds, all of which have original maturities of three months or less. Cash and cash equivalents may also include cash pledged as collateral to the Company by its repurchase agreement counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). The Company did not hold any cash pledged by its counterparties at December 31, 2018 and 2017. At December 31, 2018 and 2017, the Company had cash and cash equivalents of $52.0 million and $449.8 million, respectively. The Company’s investments in overnight money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency, were $30.0 million and $354.0 million at December 31, 2018 and 2017, respectively. In addition, deposits in FDIC insured accounts generally exceed insured limits. (See Notes 7 and 14) (f) Restricted Cash Restricted cash represents the Company’s cash held by its counterparties in connection with certain of the Company’s Swaps and/or repurchase agreements that is not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to repurchase agreement and/or Swap counterparties, or may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the Swap and/or repurchase agreement. The Company had aggregate restricted cash held as collateral or otherwise in connection with its repurchase agreements and/or Swaps of $36.7 million and $14.0 million at December 31, 2018 and 2017, respectively. (See Notes 5(c), 6, 7 and 14) (g) Goodwill At December 31, 2018 and 2017, the Company had goodwill of $7.2 million, which represents the unamortized portion of the excess of the fair value of its common stock issued over the fair value of net assets acquired in connection with its formation in 1998. Goodwill ,which is no longer subject to amortization, is tested for impairment at least annually, or more frequently under certain circumstances, at the entity level. Through December 31, 2018, the Company had not recognized any impairment against its goodwill. Goodwill is included in Other assets on the Company’s consolidated balance sheets. (h) Real Estate Owned (“REO”) REO represents real estate acquired by the Company, including through foreclosure, deed in lieu of foreclosure, or purchased in connection with the acquisition of residential whole loans. REO acquired through foreclosure or deed in lieu of foreclosure is initially recorded at fair value less estimated selling costs. REO acquired in connection with the acquisition of residential whole loans is initially recorded at its purchase price. Subsequent to acquisition, REO is reported, at each reporting date, at the lower of the current carrying amount or fair value less estimated selling costs and for presentation purposes is included in Other assets on the Company’s consolidated balance sheets. Changes in fair value that result in an adjustment to the reported amount of an REO property that has a fair value at or below its carrying amount are reported in Other Income, net on the Company’s consolidated statements of operations. (See Note 5(b)) (i) Depreciation Leasehold Improvements and Other Depreciable Assets Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from five to eight years at the time of purchase. (j) Loan Securitization and Other Debt Issuance Costs Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. Other debt issuance and related costs include costs incurred by the Company in connection with issuing 8% Senior Notes due 2042 (“Senior Notes”) and certain other repurchase agreement financings. These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges, are included on the Company’s consolidated balance sheets as a direct deduction from the corresponding debt liability. These deferred charges are amortized as an adjustment to interest expense using the effective interest method. For Senior Notes and other repurchase agreement financings, such costs are amortized over the shorter of the period to the expected or stated legal maturity of the debt instruments. The Company periodically reviews the recoverability of these deferred costs and in the event an impairment charge is required, such amount will be included in Operating and Other Expense on the Company’s consolidated statements of operations. (k) Repurchase Agreements The Company finances the holdings of a significant portion of its residential mortgage assets with repurchase agreements. Under repurchase agreements, the Company sells securities to a lender and agrees to repurchase the same securities in the future for a price that is higher than the original sale price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although legally structured as sale and repurchase transactions, the Company accounts for repurchase agreements as secured borrowings. Under its repurchase agreements, the Company pledges its securities as collateral to secure the borrowing, in an amount which is equal to a specified percentage of the fair value of the pledged collateral, while the Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase financing, unless the repurchase financing is renewed with the same counterparty, the Company is required to repay the loan including any accrued interest and concurrently receives back its pledged collateral from the lender. With the consent of the lender, the Company may renew a repurchase financing at the then prevailing financing terms. Margin calls, whereby a lender requires that the Company pledge additional assets or cash as collateral to secure borrowings under its repurchase financing with such lender, are routinely experienced by the Company when the value of the assets pledged as collateral declines as a result of principal amortization and prepayments or due to changes in market interest rates, spreads or other market conditions. The Company also may make margin calls on counterparties when collateral values increase. The Company’s repurchase financings typically have terms ranging from one month to six months at inception, but may also have longer or shorter terms. Should a counterparty decide not to renew a repurchase financing at maturity, the Company must either refinance elsewhere or be in a position to satisfy the obligation. If, during the term of a repurchase financing, a lender should default on its obligation, the Company might experience difficulty recovering its pledged assets which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged by the Company to such lender, including accrued interest receivable on such collateral. (See Notes 6, 7 and 14) In addition to the repurchase agreement financing arrangements discussed above, as part of its financing strategy for Non-Agency MBS, the Company in prior periods entered into contemporaneous repurchase and reverse repurchase agreements with a single counterparty. Under a typical reverse repurchase agreement, the Company buys securities from a borrower for cash and agrees to sell the same securities in the future for a price that is higher than the original purchase price. The difference between the purchase price the Company originally paid and the sale price represents interest received from the borrower. In contrast, the contemporaneous repurchase and reverse repurchase transactions effectively resulted in the Company pledging Non-Agency MBS as collateral to the counterparty in connection with the repurchase agreement financing and obtaining U.S. Treasury securities as collateral from the same counterparty in connection with the reverse repurchase agreement. No net cash was exchanged between the Company and counterparty at the inception of the transactions. Securities obtained and pledged as collateral are recorded in Other assets on the Company’s consolidated balance sheets. Interest income is recorded on the reverse repurchase agreement and interest expense is recorded on the repurchase agreement on an accrual basis. The Company’s liability to the counterparty in prior periods in connection with this financing arrangement is recorded in Other liabilities on the Company’s consolidated balance sheets and disclosed as “Obligation to return securities obtained as collateral, at fair value.” (See Note 5(a)) (l) Equity-Based Compensation Compensation expense for equity-based awards that are subject to vesting conditions, is recognized ratably over the vesting period of such awards, based upon the fair value of such awards at the grant date. For certain awards granted prior to January 1, 2017, compensation expense recognized included the impact of estimated forfeitures, with any changes in estimated forfeiture rates accounted for as a change in estimate. Upon adoption of new accounting guidance that was effective for the Company on January 1, 2017, the Company made a policy election to account for forfeitures as they occur. Beginning in 2014, the Company has made annual grants of restricted stock units (“RSUs”) certain of which cliff vest after a three-year period, subject only to continued employment, and others of which cliff vest after a three-year period, subject to both continued employment and the achievement of certain performance criteria based on a formula tied to the Company’s achievement of average total shareholder return during that three-year period, as well as the total shareholder return (“TSR”) of the Company relative to the TSR of a group of peer companies (over the three-year period) selected by the Compensation Committee of the Company’s Board of Directors (the “Compensation Committee”) at the date of grant. The features in these awards related to the attainment of total shareholder return over a specified period constitute a “market condition” which impacts the amount of compensation expense recognized for these awards. Specifically, the uncertainty regarding the achievement of the market condition was reflected in the grant date fair valuation of the RSUs, which is recognized as compensation expense over the relevant vesting period. The amount of compensation expense recognized is not dependent on whether the market condition was or will be achieved. The Company makes dividend equivalent payments in connection with certain of its equity-based awards. A dividend equivalent is a right to receive a distribution equal to the dividend distributions that would be paid on a share of the Company’s common stock. Dividend equivalents may be granted as a separate instrument or may be a right associated with the grant of another award (e.g., an RSU) under the Company’s Equity Compensation Plan (the “Equity Plan”), and they are paid in cash or other consideration at such times and in accordance with such rules, terms and conditions, as the Compensation Committee may determine in its discretion. Payments pursuant to dividend equivalents are generally charged to Stockholders’ Equity to the extent that the attached equity awards are expected to vest. Compensation expense is recognized for payments made for dividend equivalents to the extent that the attached equity awards (i) do not or are not expected to vest and (ii) grantees are not required to return payments of dividends or dividend equivalents to the Company. (See Notes 2(m) and 13) (m) Earnings per Common Share (“EPS”) Basic EPS is computed using the two-class method, which includes the weighted-average number of shares of common stock outstanding during the period and an estimate of other securities that participate in dividends, such as the Company’s unvested restricted stock and RSUs that have non-forfeitable rights to dividends and dividend equivalents attached to/associated with RSUs and vested stock options to arrive at total common equivalent shares. In applying the two-class method, earnings are allocated to both shares of common stock and estimated securities that participate in dividends based on their respective weighted-average shares outstanding for the period. For the diluted EPS calculation, common equivalent shares are further adjusted for the effect of dilutive unexercised stock options and RSUs outstanding that are unvested and have dividends that are subject to forfeiture using the treasury stock method. Under the treasury stock method, common equivalent shares are calculated assuming that all dilutive common stock equivalents are exercised and the proceeds, along with future compensation expenses associated with such instruments, are used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period. (See Note 12) (n) Comprehensive Income/(Loss) The Company’s comprehensive income/(loss) available to common stock and participating securities includes net income, the change in net unrealized gains/(losses) on its AFS securities and derivative hedging instruments (to the extent that such changes are not recorded in earnings), adjusted by realized net gains/(losses) reclassified out of AOCI for sold AFS securities, and is reduced by dividends declared on the Company’s preferred stock and issuance costs of redeemed preferred stock. (o) U.S. Federal Income Taxes The Company has elected to be taxed as a REIT under the provisions of the Internal Revenue Code of 1986, as amended, (the “Code”) and the corresponding provisions of state law. The Company expects to operate in a manner that will enable it to satisfy the various requirements to maintain its status as a REIT for federal income tax purposes. In order to maintain its status as a REIT, the Company must, among other things, distribute at least 90% of its REIT taxable income (excluding net long-term capital gains) to stockholders in the timeframe permitted by the Code. As long as the Company maintains its status as a REIT, the Company will not be subject to regular federal income tax to the extent that it distributes 100% of its REIT taxable income (including net long-term capital gains) to its stockholders within the permitted timeframe. Should this not occur, the Company would be subject to federal taxes at prevailing corporate tax rates on the difference between its REIT taxable income and the amounts deemed to be distributed for that tax year. As the Company’s objective is to distribute 100% of its REIT taxable income to its stockholders within the permitted timeframe, no provision for current or deferred income taxes has been made in the accompanying consolidated financial statements. Should the Company incur a liability for corporate income tax, such amounts would be recorded as REIT income tax expense on the Company’s consolidated statements of operations. Furthermore, if the Company fails to distribute during each calendar year, or by the end of January following the calendar year in the case of distributions with declaration and record dates falling in the last three months of the calendar year, at least the sum of (i) 85% of its REIT ordinary income for such year, (ii) 95% of its REIT capital gain income for such year, and (iii) any undistributed taxable income from prior periods, the Company would be subject to a 4% nondeductible excise tax on the excess of the required distribution over the amounts actually distributed. To the extent that the Company incurs interest, penalties or related excise taxes in connection with its tax obligations, including as a result of its assessment of uncertain tax positions, such amounts will be included in Operating and Other Expense on the Company’s consolidated statements of operations. In addition, the Company has elected to treat certain of its subsidiaries as a TRS. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. Generally, a domestic TRS is subject to U.S. federal, state and local corporate income taxes. Since a portion of the Company’s business is conducted through one or more TRS, its net taxable income earned by TRS, if any, is subject to corporate income taxation. To maintain the Company’s REIT election, no more than 20% of the value of a REIT’s assets at the end of each calendar quarter may consist of stock or securities in TRS. For purposes of the determination of U. S. federal and state income taxes, the Company’s subsidiaries that elected to be treated as a TRS record current or deferred income taxes based on differences (both permanent and timing) between the determination of their taxable income and net income under GAAP. No net deferred tax benefit was recorded by the Company in 2018 or 2017, related to the net taxable losses in the TRS, since a valuation allowance for the full amount of the associated deferred tax asset of approximately $22.3 million was recognized as its recovery is not considered more likely than not. The related net operating loss carryforwards generated prior to 2018 will begin to expire in 2034; those generated in 2018 do not expire. Based on its analysis of any potential uncertain tax positions, the Company concluded that it does not have any material uncertain tax positions that meet the relevant recognition or measurement criteria as of December 31, 2018, 2017 or 2016. The Company filed its 2017 tax return prior to October 15, 2018. The Company’s tax returns for tax years 2015 through 2017 are open to examination. (p) Derivative Financial Instruments The Company may use a variety of derivative instruments to economically hedge a portion of its exposure to market risks, including interest rate risk and prepayment risk. The objective of the Company’s risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, the Company attempts to mitigate the risk of the cost of its variable rate liabilities increasing during a period of rising interest rates. The Company’s derivative instruments are currently comprised of Swaps, the majority which are designated as cash flow hedges against the interest rate risk associated with its borrowings. Swaps The Company documents its risk-management policies, including objectives and strategies, as they relate to its hedging activities and the relationship between the hedging instrument and the hedged liability for all Swaps designated as hedging transactions. The Company assesses, both at the inception of a hedge and on a quarterly basis thereafter, whether or not the hedge is “highly effective.” Swaps are carried on the Company’s consolidated balance sheets at fair value, in Other assets, if their fair value is positive, or in Other liabilities, if their fair value is negative. Beginning in January 2017, variation margin payments on the Company’s Swaps that have been novated to a clearing house are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as the fair value of the Swap. All of the Company’s Swaps have been novated to a central clearing house. Changes in the fair value of the Company’s Swaps designated in hedging transactions are recorded in OCI provided that the hedge remains effective. Changes in fair value for any ineffective amount of a Swap are recognized in earnings. The Company has not recognized any change in the value of its existing Swaps designated as hedges through earnings as a result of hedge ineffectiveness. Periodic payments accrued in connection with Swaps designated as hedges are included in interest expense, and are treated as an operating cash flow. The Company discontinues hedge accounting on a prospective basis and recognizes changes in fair value through earnings when: (i) it is determined that the derivative is no longer effective in offsetting cash flows of a hedged item (including forecasted transactions); (ii) it is no longer probable that the forecasted transaction will occur; or (iii) it is determined that designating the derivative as a hedge is no longer appropriate. (See Notes 5(c), 7 and 14) Changes in the fair value of the Company’s Swaps not designated in hedging transactions are recorded in Other income, net on the Company’s consolidated statements of operations. (q) Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities The Company’s presentation of fair value for its financial assets and liabilities is determined within a framework that stipulates that the fair value of a financial asset or liability is an exchange price in an orderly transaction between market participants to sell the asset or transfer the liability in the market in which the reporting entity would transact for the asset or liability, that is, the principal or most advantageous market for the asset or liability. The transaction to sell the asset or transfer the liability is a hypothetical transaction at the measurement date, considered from the perspective of a market participant that holds the asset or owes the liability. This definition of fair value focuses on exit price and prioritizes the use of market-based inputs over entity-specific inputs when determining fair value. In addition, the framework for measuring fair value establishes a three-level hierarchy for fair value measurements based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. In addition to the financial instruments that it is required to report at fair value, the Company has elected the fair value option for certain of its residential whole loans, Agency MBS and CRT securities at the time of acquisition. Subsequent changes in the fair value of these financial instruments are reported in Other income, net, in the Company’s consolidated statements of operations. A decision to elect the fair value option for an eligible financial instrument, which may be made on an instrument by instrument basis, is irrevocable. (See Notes 2(b), 2(c), 3, 4 and 14) (r) Variable Interest Entities An entity is referred to as a VIE if it meets at least one of the following criteria: (i) the entity has equity that is insufficient to permit the entity to finance its activities without the additional subordinated financial support of other parties; or (ii) as a group, the holders of the equity investment at risk lack (a) the power to direct the activities of an entity that most significantly impact the entity’s economic performance; (b) the obligation to absorb the expected losses; or (c) the right to receive the expected residual returns; or (iii) the holders of the equity investment at risk have disproportional voting rights and the entity’s activities are conducted on behalf of the investor that has disproportionately few voting rights. The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. The Company has entered into several financing transactions which resulted in the Company forming entities to facilitate these transactions. In determining the accounting treatment to be applied to these transactions, the Company concluded that the entities used to facilitate these transactions are VIEs and that they should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfers of the underlying assets would qualify as sale or should be accounted for as secured financings under GAAP. (See Note 15) The Company also includes on its consolidated balance sheets certain financial assets and liabilities that are acquired/issued by trusts and /or other special purpose entities that have been evaluated as being required to be consolidated by the Company under the applicable accounting guidance. (s) Offering Costs Related to Issuance and Redemption of Preferred Stock Offering costs related to the issuance of preferred stock are recorded as a reduction in Additional paid-in capital, a component of Stockholders’ Equity, at the time such preferred stock is issued. On redemption of preferred stock, any excess of the fair value of the consideration transferred to the holders of the preferred stock over the carrying amount of the preferred stock in the Company’s consolidated balance sheets is included in the determination of Net Income Available to Common Stock and Participating Securities in the calculation of EPS. (t) New Accounting Standards and Interpretations Accounting Standards Adopted in 2018 Compensation - Stock Compensation - Scope of Modification Accounting In May 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-09, Scope of Modification Accounting (“ASU 2017-09”). The amendments in ASU 2017-09 provide guidance about which changes to the terms or conditions of a share-based payment award require an entity to apply modification accounting. Pursuant to this ASU, an entity should account for the effects of a modification unless all of the following are met: (1) the fair value (or calculated value or intrinsic value, if such an alternative measurement method is used) of the modified award is the same as the fair value (or calculated value or intrinsic value, if such an alternative measurement method is used) of the original award immediately before the original award is modified; (2) the vesting conditions of the modified award are the same as the vesting conditions of the original award immediately before the original award is modified; and (3) the classification of the modified award as an equity instrument or a liability instrument is the same as the classification of the original award immediately before the original award date is modified. The Company adopted ASU 2017-09 on January 1, 2018 and its adoption did not have an impact on its financial position or financial statement disclosures. Statement of Cash Flows - Restricted Cash In November 2016, the FASB issued ASU 2016-18, Restricted Cash (“ASU 2016-18”). ASU 2016-18 clarifies how entities should present restricted cash and restricted cash equivalents in the statement of cash flows with the objective of reducing the existing diversity in practice. The amendments in ASU 2016-18 require restricted cash and restricted cash equivalents to be included with cash and cash equivalents when reconciling the beginning-of-period and end-of period total amounts shown on the statement of cash flows. The Company adopted ASU 2016-18 on January 1, 2018 and its adoption did not have a significant impact on its financial position or financial statement disclosures. Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments In August 2016, the FASB issued ASU 2016-15, Classification of Certain Cash Receipts and Cash Payments (“ASU 2016-15”). The amendments in ASU 2016-15 provide guidance for eight specific cash flow classification issues, certain cash receipts and cash payments on the statement of cash flows with the objective of reducing the existing diversity in practice. The Company adopted ASU 2016-15 on January 1, 2018 and its adoption did not have a significant impact on its financial position or financial statement disclosures. Financial Instruments - Overall - Recognition and Measurement of Financial Assets and Financial Liabilities In January 2016, the FASB issued ASU 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities (“ASU 2016-01”). The amendments in this ASU affect all entities that hold financial assets or owe financial liabilities, and address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. The classification and measurement guidance of investments in debt securities and loans are not affected by the amendments in this ASU. ASU 2016-01 was effective for the Company for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017. The Company’s adoption of this ASU on January 1, 2018 did not have a significant impact on the Company’s financial position or financial statement disclosures as the classification and measurement of its investments in debt securities and loans were not affected by the amendments in this ASU. Revenue from Contracts with Customers In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (“ASU 2014-09”). The ASU requires an entity to recognize revenue in an amount that reflects the consideration to which it expects to be entitled for the transfer of promised goods or services to customers. ASU 2014-09 replaced most existing revenue recognition guidance in GAAP when it became effective. The Company adopted this ASU on January 1, 2018 and its adoption did not have a material impact on the Company’s financial position or financial statement disclosures as the majority of the Company’s revenues are generated by financial instruments that are explicitly scoped out of this ASU. On adoption of the new standard on January 1, 2018, the Company recorded a transition adjustment, under the modified retrospective approach, of approximately $295,000 to the opening balance of retained earnings in order to reflect the recognition of a gain on sale of REO that was previously deferred under the prior accounting guidance. |
Residential Mortgage Securities and MSR Related Assets |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Securities and MSR-Related Assets | Residential Mortgage Securities and MSR-Related Assets The following tables present certain information about the Company’s residential mortgage securities at December 31, 2018 and 2017: December 31, 2018
December 31, 2017
Agency and Non-Agency MBS The Company’s MBS are comprised of Agency MBS and Non-Agency MBS which include MBS issued prior to 2008 (“Legacy Non-Agency MBS”). These MBS are secured by: (i) hybrid mortgages (“Hybrids”), which have interest rates that are fixed for a specified period of time and, thereafter, generally adjust annually to an increment over a specified interest rate index; (ii) adjustable-rate mortgages (“ARMs”), which have interest rates that reset annually or more frequently (collectively, “ARM-MBS”); and (iii) 15 and 30 year fixed-rate mortgages for Agency MBS and, for Non-Agency MBS, 30-year and longer-term fixed-rate mortgages. In addition, the Company’s MBS are also comprised of MBS backed by securitized re-performing/non-performing loans (“RPL/NPL MBS”), where the cash flows of the bond may not reflect the contractual cash flows of the underlying collateral. The Company’s RPL/NPL MBS are generally structured with a contractual coupon step-up feature where the coupon increases from 300 - 400 basis points at 36 - 48 months from issuance or sooner. The Company pledges a significant portion of its MBS as collateral against its borrowings under repurchase agreements and Swaps. (See Note 7) Agency MBS: Agency MBS are guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae. The payment of principal and/or interest on Ginnie Mae MBS is explicitly backed by the full faith and credit of the U.S. Government. Since the third quarter of 2008, Fannie Mae and Freddie Mac have been under the conservatorship of the Federal Housing Finance Agency, which significantly strengthened the backing for these government-sponsored entities. Non-Agency MBS: The Company’s Non-Agency MBS are primarily secured by pools of residential mortgages, which are not guaranteed by an agency of the U.S. Government or any federally chartered corporation. Credit risk associated with Non-Agency MBS is regularly assessed as new information regarding the underlying collateral becomes available and based on updated estimates of cash flows generated by the underlying collateral. CRT Securities CRT securities are debt obligations issued or sponsored by Fannie Mae and Freddie Mac. The payments of principal and interest on the CRT securities are paid by Fannie Mae or Freddie Mac, as the case may be, on a monthly basis and are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. The Company assesses the credit risk associated with CRT securities by assessing the current and expected future performance of the associated loan pool. The Company pledges a portion of its CRT securities as collateral against its borrowings under repurchase agreements. (See Note 7) Sales of Residential Mortgage Securities During 2018, the Company sold certain Agency MBS for $122.0 million, realizing losses of $6.8 million. The Company also sold certain CRT securities during 2018 for $299.9 million, realizing gains of $31.4 million. In addition, during 2018, the Company sold certain Non-Agency MBS for $117.1 million, realizing gains of $36.7 million. During 2017, the Company sold certain Non-Agency MBS for $104.0 million, realizing gains of $39.9 million. During 2016, the Company sold certain Non-Agency MBS for $85.6 million realizing gains of $35.8 million. The Company has no continuing involvement with any of the sold MBS. Unrealized Losses on Residential Mortgage Securities The following table presents information about the Company’s residential mortgage securities that were in an unrealized loss position at December 31, 2018:
(1) Amounts disclosed at December 31, 2018 include Agency MBS with a fair value of $736.5 million on which the fair value option has been elected. Such securities had unrealized losses of $3.3 million at December 31, 2018. (2) Based on management’s current estimates of future principal cash flows expected to be received. (3) Amounts disclosed at December 31, 2018 includes CRT securities with a fair value of $151.8 million for which the fair value option has been elected. Such securities had unrealized losses of $5.6 million at December 31, 2018. At December 31, 2018, the Company did not intend to sell any of its investments that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. Gross unrealized losses on the Company’s Agency MBS were $49.5 million at December 31, 2018. Agency MBS are issued by Government Sponsored Entities (“GSEs”) and enjoy either the implicit or explicit backing of the full faith and credit of the U.S. Government. While the Company’s Agency MBS are not rated by any rating agency, they are currently perceived by market participants to be of high credit quality, with risk of default limited to the unlikely event that the U.S. Government would not continue to support the GSEs. Given the credit quality inherent in Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In assessing whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at its maturity, the Company considers for each impaired security, the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at December 31, 2018 any unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency MBS were $8.4 million at December 31, 2018. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of OTTI and does not believe that these unrealized losses are credit related, but are rather a reflection of current market yields and/or marketplace bid-ask spreads. The Company has reviewed its Non-Agency MBS that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in expected cash flows for such securities, which considers recent bond performance and, where possible, expected future performance of the underlying collateral. The Company recognized credit-related OTTI losses through earnings related to its Non-Agency MBS of $1.3 million, $1.0 million, and $485,000 during the years ended December 31, 2018, 2017, and 2016, respectively. Non-Agency MBS on which OTTI is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. The Company’s estimate of cash flows for these Non-Agency MBS is based on its review of the underlying mortgage loans securing these MBS. The Company considers information available about the structure of the securitization, including structural credit enhancement, if any, and the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, year of origination, LTVs, geographic concentrations, and dialogue with market participants. Changes in the Company’s evaluation of each of these factors impacts the cash flows expected to be collected at the OTTI assessment date. For Non-Agency MBS purchased at a discount to par that were assessed for and had no OTTI recorded this period, such cash flow estimates indicated that the amount of expected losses decreased compared to the previous OTTI assessment date. These positive cash flow changes are primarily driven by recent improvements in LTVs due to loan amortization and home price appreciation, which, in turn, positively impacts the Company’s estimates of default rates and loss severities for the underlying collateral. In addition, voluntary prepayments (i.e., loans that prepay in full with no loss) have generally trended higher relative to the Company’s assumptions for these MBS which also positively impacts the Company’s estimate of expected loss. Overall, the combination of higher voluntary prepayments and lower LTVs supports the Company’s assessment that such MBS are not other-than-temporarily impaired. The following table presents the composition of OTTI charges recorded by the Company for the years ended December 31, 2018, 2017 and 2016:
The following table presents a roll-forward of the credit loss component of OTTI on the Company’s Non-Agency MBS for which a non-credit component of OTTI was previously recognized in OCI. Changes in the credit loss component of OTTI are presented based upon whether the current period is the first time OTTI was recorded on a security or a subsequent OTTI charge was recorded.
Purchase Discounts on Non-Agency MBS The following table presents the changes in the components of the Company’s purchase discount on its Non-Agency MBS between purchase discount designated as Credit Reserve and OTTI and accretable purchase discount for the years ended December 31, 2018 and 2017:
MSR-Related Assets (a) Term Notes Backed by MSR-Related Collateral At December 31, 2018 and 2017, the Company had $538.5 million and $381.8 million, respectively of term notes issued by SPVs that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes is considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes. At December 31, 2018, these term notes had an amortized cost of $538.5 million, gross unrealized losses of approximately $7,000, a weighted average yield of 5.32% and a weighted average term to maturity of 4.7 years. At December 31, 2017, these term notes had an amortized cost of $381.0 million, gross unrealized gains of $804,000, a weighted average yield of 5.80% and a weighted average term to maturity of 3.4 years. (b) Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are secured by MSRs, as well as certain other unencumbered assets owned by the borrower. During the year ended December 31, 2018, the Company participated in a loan where the Company committed to lend $100.0 million of which approximately $73.3 million was drawn at December 31, 2018. At December 31, 2018, the coupon paid by the borrower on the drawn amount is 5.88%, the remaining term associated with the loan is 1.7 years and the remaining commitment period on any undrawn amount is 1.7 years. During the remaining commitment period, the Company receives a commitment fee between 0.25% and 1.0% based on the undrawn amount of the loan. In December 2016, the Company entered into a loan agreement under the terms of which it had committed to lend $130.0 million, of which approximately $111.2 million was drawn at December 31, 2017. This loan was paid in full during 2018, at which time any remaining commitment was extinguished. For the year ended December 31, 2018, the Company recognized interest income on its corporate loans of $5.0 million including discount accretion and commitment fee income of $1.3 million. In addition, the Company recorded $136,000 of Other Income consisting of deferred commitment fees recognized upon repayment of a corporate loan during the year ended December 31, 2018. For the year ended December 31, 2017, the Company recognized interest income on its corporate loans of approximately $7.9 million including discount accretion and commitment fee income of approximately $296,000. Impact of AFS Securities on AOCI The following table presents the impact of the Company’s AFS securities on its AOCI for the years ended December 31, 2018, 2017, and 2016:
Interest Income on Residential Mortgage Securities and MSR-Related Assets The following table presents components of interest income on the Company’s residential mortgage securities and MSR-related assets for the years ended December 31, 2018, 2017 and 2016:
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Residential Whole Loans |
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential Whole Loans | Residential Whole Loans Included on the Company’s consolidated balance sheets as of December 31, 2018 and 2017 are approximately $4.7 billion and $2.2 billion, respectively, of residential whole loans arising from the Company’s interests in certain trusts established to acquire the loans and certain entities established in connection with its loan securitization transactions. The Company has assessed that these entities are required to be consolidated for financial reporting purposes. Residential Whole Loans, at Carrying Value The following table presents the components of the Company’s Residential whole loans, at carrying value at December 31, 2018 and 2017:
The following table presents components of interest income on the Company’s Residential whole loans, at carrying value for the years ended December 31, 2018, 2017 and 2016:
The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at December 31, 2018: December 31, 2018
(1) Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. (2) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $79.0 million, an after repaired valuation was not obtained and the loan was underwritten based on an“as is” valuation. The LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 67%. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. (3) Excluded from the table above are approximately $16.4 million of purchased performing loans held at carrying value for which the closing of the purchase transaction had not occurred as of December 31, 2018. Purchased Performing Loans As of December 31, 2018, there were 28 loans held at carrying value, that have been placed on non-accrual status as they are more than 90 days delinquent and had not yet become current with respect to the contractually required payments under the loan. Such loans have an unpaid balance of approximately $9.7 million. These non-accrual loans represent approximately 0.2% of the total outstanding principal balance of all of the Company’s Purchased Performing Loans. Management has assessed the recoverability of these loans and based on estimates of the value of the underlying collateral, no allowance for loan loss reserves has been recorded as of December 31, 2018. In connection with purchased Rehabilitation loans, the Company has unfunded commitments of $49.8 million. Purchased Credit Impaired Loans As of December 31, 2018 and 2017, the Company had established an allowance for loan losses of approximately $968,000 and $330,000, respectively, on its purchased credit impaired loans held at carrying value. For the year ended December 31, 2018, a provision for loan losses of approximately $638,000 was recorded, and for the years ended December 31, 2017 and 2016, a net reversal of provisions for loan losses of approximately $660,000 and $175,000 was recorded, which is included in Operating and Other expense on the Company’s consolidated statements of operations. The following table presents the activity in the Company’s allowance for loan losses on its purchased credit impaired loans held at carrying value for the years ended December 31, 2018, 2017 and 2016:
The following table presents information regarding the estimates of the contractually required payments, the cash flows expected to be collected, and the estimated fair value of the purchased credit impaired loans held at carrying value acquired by the Company for the years ended December 31, 2018 and 2017:
The following table presents accretable yield activity for the Company’s purchased credit impaired loans held at carrying value for the years ended December 31, 2018 and 2017:
Accretable yield for purchased credit impaired residential whole loans is the excess of loan cash flows expected to be collected over the purchase price. The cash flows expected to be collected represent the Company’s estimate of the amount and timing of undiscounted principal and interest cash flows. Additions include accretable yield estimates for purchases made during the period and reclassification to accretable yield from non-accretable yield. Accretable yield is reduced by accretion during the period. The reclassifications between accretable and non-accretable yield and the accretion of interest income are based on changes in estimates regarding loan performance and the value of the underlying real estate securing the loans. In future periods, as the Company updates estimates of cash flows expected to be collected from the loans and the underlying collateral, the accretable yield may change. Therefore, the amount of accretable income recorded during the year ended December 31, 2018 is not necessarily indicative of future results. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at time of acquisition. Subsequent changes in fair value are reported in current period earnings and presented in Net gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. The following table presents information regarding the Company’s residential whole loans held at fair value at December 31, 2018 and 2017:
The following table presents the components of Net gain on residential whole loans measured at fair value through earnings for the years ended December 31, 2018, 2017 and 2016:
(1) Primarily includes recovery of delinquent interest upon the liquidation of non-performing loans, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans. |
Other Assets |
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Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Assets | Other Assets The following table presents the components of the Company’s Other assets at December 31, 2018 and 2017:
(a) Securities Obtained and Pledged as Collateral/Obligation to Return Securities Obtained as Collateral In connection with its financing strategy for Non-Agency MBS, in prior periods the Company obtained securities as collateral under collateralized financing arrangements. Securities obtained as collateral in connection with these transactions are recorded at fair value, with a liability, representing the obligation to return the collateral obtained, recorded in Other liabilities. While beneficial ownership of securities obtained remains with the counterparty, the Company had the right to transfer the collateral obtained or to pledge it as part of a subsequent collateralized financing transaction. During the year ended December 31, 2018, these financing arrangements were unwound and the related securities obtained as collateral were returned to the counterparty. Real Estate Owned During the years ended December 31, 2018 and 2017, the Company reclassified 1,078 and 698 mortgage loans, respectively to REO at an aggregate estimated fair value less estimated selling costs of $215.0 million and $136.7 million, respectively, at the time of transfer. Such transfers occur when the Company takes possession of the property by foreclosing on the borrower or completes a “deed-in-lieu of foreclosure” transaction. From time to time, the Company also acquires REO in connection with transactions to acquire residential whole loans. At December 31, 2018, $242.0 million of residential real estate property was held by the Company that was acquired either through a completed foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement. In addition, formal foreclosure proceedings were in process with respect to $49.0 million of residential whole loans held at carrying value and $720.1 million of residential whole loans held at fair value at December 31, 2018. During the year ended December 31, 2018, the Company sold 705 REO properties for consideration of $123.2 million, realizing net gains of approximately $7.7 million. During the year ended December 31, 2017, the Company sold 517 REO properties for consideration of $78.4 million, realizing net gains of approximately $4.5 million. During the year ended December 31, 2016, the Company sold 256 REO properties for consideration of $37.9 million, realizing net gains of approximately $3.2 million. These amounts are included in Other Income, net on the Company’s consolidated statements of operations. In addition, following an updated assessment of liquidation amounts expected to be realized that was performed on all REO held at the end of each quarter during the years ended December 31, 2018 and 2017, an aggregate downward adjustment of approximately $15.9 million and $11.0 million was recorded to reflect certain REO properties at the lower of cost or estimated fair value as of December 31, 2018 and 2017, respectively. The following table presents the activity in the Company’s REO for the years ended December 31, 2018 and 2017:
(1) Includes net gain recorded on transfer of approximately $19.6 million and $10.2 million, respectively, for the years ended December 31, 2018 and 2017. (c) Derivative Instruments The Company’s derivative instruments are currently comprised of Swaps, the majority of which are designated as cash flow hedges against the interest rate risk associated with its borrowings. In addition, in connection with managing risks associated with purchases of longer duration Agency MBS, the Company has also entered into Swaps that are not designated as hedges for accounting purposes. The following table presents the fair value of the Company’s derivative instruments and their balance sheet location at December 31, 2018 and 2017:
(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. Swaps The following table presents the assets pledged as collateral against the Company’s Swap contracts at December 31, 2018 and 2017:
Swaps designated as hedges, or a portion thereof, could become ineffective in the future if the associated repurchase agreements that such derivatives hedge fail to exist or fail to have terms that match those of the derivatives that hedge such borrowings. At December 31, 2018, all of the Company’s derivatives that were designated in a hedging relationship were deemed effective for hedging purposes. The Company’s Swaps designated as hedging transactions have the effect of modifying the repricing characteristics of the Company’s repurchase agreements and cash flows for such liabilities. To date, no cost has been incurred at the inception of a Swap (except for certain transaction fees related to entering into Swaps cleared though a central clearing house), pursuant to which the Company agrees to pay a fixed rate of interest and receive a variable interest rate, generally based on one-month or three-month London Interbank Offered Rate (“LIBOR”), on the notional amount of the Swap. The Company did not recognize any change in the value of its existing Swaps designated as hedges through earnings as a result of hedge ineffectiveness during any of the three years ended December 31, 2018. At December 31, 2018, the Company had Swaps with an aggregate notional amount of $3.2 billion and extended 32 months on average with a maximum term of approximately 120 months. The following table presents information about the Company’s Swaps at December 31, 2018 and 2017:
(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. 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 years ended December 31, 2018, 2017 and 2016:
During the year ended December 31, 2018, the Company recorded net losses on Swaps not designated in hedging relationships of $9.6 million. This amount is included in Other income, net on the Company’s consolidated statements of operations. All of the Company’s Swaps were designated in hedging relationships during the years ended December 31, 2017 and 2016. Impact of Derivative Hedging Instruments on AOCI The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the years ended December 31, 2018, 2017 and 2016:
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Repurchase Agreements and Other Advances |
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Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements and Other Advances | Repurchase Agreements The Company’s repurchase agreements are accounted for as secured borrowings and bear interest that is generally LIBOR-based. (See Notes 2(k) and 7) At December 31, 2018, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 31 days and an effective repricing period of 8 months, including the impact of related Swaps. At December 31, 2017, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 16 days and an effective repricing period of 11 months, including the impact of related Swaps. The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at December 31, 2018 and 2017:
(1) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. (2) Excludes $27,000 and $206,000 of unamortized debt issuance costs at December 31, 2018 and 2017, respectively. (3) At December 31, 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. (4) At December 31, 2018 and 2017, includes residential whole loans held at carrying value with an aggregate fair value of $1.7 billion and $478.5 million and aggregate amortized cost of $1.6 billion and $448.7 million, respectively and residential whole loans held at fair value with an aggregate fair value and amortized cost of $738.6 million and $996.2 million, respectively. In addition, the Company had cash pledged as collateral in connection with it’s repurchase agreements of $6.7 million and $6.9 million at December 31, 2018 and 2017, respectively. 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, 2018 and 2017:
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, 2018 and does not reflect the impact of derivative contracts that hedge such repurchase agreements:
Undrawn Financing Commitment In connection with the financing of MSR-related assets, the Company has obtained a financing commitment of up to $75.0 million, of which $55.0 million was utilized and was outstanding as of December 31, 2018. The Company pays a commitment fee ranging from 0.125% to 0.5% of the undrawn amount, depending on the amount of financing utilized. The Company had repurchase agreement borrowings with 26 and 31 counterparties at December 31, 2018 and 2017, respectively. 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, 2018:
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Collateral Positions |
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Dec. 31, 2018 | |
Transfers and Servicing [Abstract] | |
Collateral Positions | Collateral Positions The Company pledges securities or cash as collateral to its counterparties pursuant to its borrowings under repurchase agreements and for initial margin payments on centrally cleared Swaps. In addition, the Company receives securities or cash as collateral pursuant to financing provided under reverse repurchase agreements. The Company exchanges collateral with its counterparties based on changes in the fair value, notional amount and term of the associated repurchase agreements and Swap contracts, as applicable. In connection with these margining practices, either the Company or its counterparty may be required to pledge cash or securities as collateral. When the Company’s pledged collateral exceeds the required margin, the Company may initiate a reverse margin call, at which time the counterparty may either return the excess collateral, or provide collateral to the Company in the form of cash or equivalent securities. The Company’s assets pledged as collateral are described in Notes 2(f) - Restricted Cash, 5(c) - Derivative Instruments and 6 - Repurchase Agreements. The total fair value of assets pledged as collateral with respect to the Company’s borrowings under repurchase agreements and derivative hedging instruments was $9.4 billion and $8.1 billion at December 31, 2018 and 2017, respectively. An aggregate of $33.1 million and $19.6 million of accrued interest on those assets had also been pledged as of December 31, 2018 and 2017, respectively. In addition, at December 31, 2017, $688.1 million of Legacy Non-Agency MBS were pledged as collateral and $504.1 million of U.S. Treasury securities were held as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty. |
Offsetting Assets and Liabilities |
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Dec. 31, 2018 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities Certain of the Company’s repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of setoff in the event of default or in the event of a bankruptcy of either party to the transaction. In the Company’s consolidated balance sheets, all balances associated with repurchase agreements are presented on a gross basis. The fair value of financial instruments pledged against the Company’s repurchase agreements was $9.4 billion and $8.1 billion at December 31, 2018 and 2017, respectively. Beginning in January 2017, variation margin payments on the Company’s cleared Swaps are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as fair value of the Swap. The fair value of financial instruments pledged against the Company’s Swaps was $2.7 million and $21.8 million at December 31, 2018 and 2017, respectively. In addition, cash that has been pledged as collateral against repurchase agreements and Swaps is reported as Restricted cash on the Company’s consolidated balance sheets. (See Notes 2(f), 5(c) and 6) |
Other Liabilities |
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Other Liabilities [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Liabilities | Other Liabilities The following table presents the components of the Company’s Other liabilities at December 31, 2018 and 2017:
Senior Notes On April 11, 2012, the Company issued $100.0 million in aggregate principal amount of its Senior Notes in an underwritten public offering. The total net proceeds to the Company from the offering of the Senior Notes were approximately $96.6 million, after deducting offering expenses and the underwriting discount. The Senior Notes bear interest at a fixed rate of 8.00% per year, paid quarterly in arrears on January 15, April 15, July 15 and October 15 of each year and will mature on April 15, 2042. The Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 8.31%. The Company may redeem the Senior Notes, in whole or in part, at any time, at a redemption price equal to 100% of the principal amount redeemed plus accrued and unpaid interest to, but not excluding, the redemption date. The Senior Notes are the Company’s senior unsecured obligations and are subordinate to all of the Company’s secured indebtedness, which includes the Company’s repurchase agreements and other financing arrangements, to the extent of the value of the collateral securing such indebtedness. |
Commitments and Contingencies |
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Dec. 31, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies | Commitments and Contingencies (a) Lease Commitments The Company currently pays monthly rent pursuant to two office leases. In November 2018, the Company amended the lease for its corporate headquarters in New York, New York, under the same terms and conditions, to extend the expiration date for the lease by up to one year, through June 30, 2021. For the year ended December 31, 2018, the Company recorded an expense of approximately $2.7 million in connection with lease rental for its current corporate headquarters. In addition, as part of this lease agreement, the Company has provided the landlord a $785,000 irrevocable standby letter of credit fully collateralized by cash. The letter of credit may be drawn upon by the landlord in the event that the Company defaults under certain terms of the lease. In addition, the Company has a lease through December 31, 2021 for its off-site back-up facility located in Rockville Centre, New York, which provides for, among other things, lease payments totaling $32,000, annually. In addition, in November 2018, the Company executed a lease agreement on new office space in New York, New York. The Company plans to relocate its corporate headquarters to this new office space upon the substantial completion of the building. The changes and growth the Company has experienced over the past several years has resulted in an increase in its space requirements in the ten year period since its previous office lease was entered into. Accordingly, the new lease is for approximately 50% more space than the Company’s current corporate headquarters. The lease term specified in the agreement is fifteen years with an option to renew for an additional five years. The Company’s current estimate of annual lease rental expense under the new lease, excluding escalation charges which at this point are unknown, is approximately $4.6 million. The Company currently expects to relocate to the space in the fourth fiscal quarter of 2020, but this timing as well as when it is required to begin making payments and recognize rental and other expenses under new lease, is dependent on when the building is actually available for use. The Company recognized lease expense of $2.7 million, $2.7 million and $2.5 million for the years ended December 31, 2018, 2017 and 2016, respectively, which is included in Other general and administrative expense within the consolidated statements of operations. At December 31, 2018, the contractual minimum rental payments (exclusive of possible rent escalation charges and normal recurring charges for maintenance, insurance and taxes) were as follows:
(1) Table excludes amounts related to the lease agreement for new office space discussed above as the Company is not contractually obligated to make rental payments until fourteen months after a temporary certificate of occupancy is delivered to the landlord, which is currently expected to occur on or before October 2020. (b) Representations and Warranties in Connection with Loan Securitization Transactions In connection with the loan securitization transactions entered into by the Company the Company has the obligation under certain circumstances to repurchase assets previously transferred to securitization vehicles upon breach of certain representations and warranties. As of December 31, 2018, the Company had no reserve established for repurchases of loans and was not aware of any material unsettled repurchase claims that would require the establishment of such a reserve. (See Note 15) (c) Corporate Loan The Company has participated in a loan to provide financing to an entity that originates loans and owns MSRs, as well as certain other unencumbered assets owned by the borrower. Under the terms of the participation agreement, the Company has committed to lend $100.0 million of which approximately $73.3 million was drawn at December 31, 2018. (See Note 3) (d) Rehabilitation Loan Commitments At December 31, 2018, the Company had unfunded commitments of $49.8 million in connection with its purchased Rehabilitation loans. (See Note 4) (e) Residential Whole Loan Purchase Commitments At December 31, 2018, the Company has agreed, subject to the completion of due diligence and customary closing conditions, to purchase residential whole loans with an aggregate estimated purchase price of $211.1 million, of which $194.7 million is presented in residential whole loans held at fair value and $16.4 million in other loans held at carrying value with a corresponding liability recorded in Other liabilities and included in Payable for unsettled residential whole loan purchases. |
Stockholders' Equity |
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Stockholders' Equity Note [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Stockholders' Equity | Stockholders’ Equity (a) Preferred Stock On April 15, 2013, the Company completed the issuance of 8.0 million shares of its 7.50% Series B Cumulative Redeemable Preferred Stock (“Series B Preferred Stock”) with a par value of $0.01 per share, and a liquidation preference of $25.00 per share plus accrued and unpaid dividends, in an underwritten public offering. The Company’s Series B Preferred Stock is entitled to receive a dividend at a rate of 7.50% per year on the $25.00 liquidation preference before the Company’s common stock is paid any dividends and is senior to the Company’s common stock with respect to distributions upon liquidation, dissolution or winding up. Dividends on the Series B Preferred Stock are payable quarterly in arrears on or about March 31, June 30, September 30 and December 31 of each year. The Series B Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not authorized or declared) exclusively at the Company’s option. The Series B Preferred Stock generally does not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series B Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors (the “Board”), until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of the Series B Preferred Stock cannot be made without the affirmative vote of holders of at least 66 2/3% of the outstanding shares of Series B Preferred Stock. The following table presents cash dividends declared by the Company on its Series B Preferred Stock from January 1, 2016 through December 31, 2018:
(b) Dividends on Common Stock The following table presents cash dividends declared by the Company on its common stock from January 1, 2016 through December 31, 2018:
(1) At December 31, 2018, the Company had accrued dividends and dividend equivalents payable of $90.2 million related to the common stock dividend declared on December 12, 2018. In general, the Company’s common stock dividends have been characterized as ordinary income to its stockholders for income tax purposes. However, a portion of the Company’s common stock dividends may, from time to time, be characterized as capital gains or return of capital. For the years ended December 31, 2018, 2017 and 2016, the portions of the Company’s common stock dividends that were deemed to be capital gains were $0.1290, $0.0831 and $0.0361 per share of common stock, respectively. (c) Public Offering of Common Stock The table below presents information with respect to shares of the Company’s common stock issued through public offerings during the years ended December 31, 2018 and 2017.
(1) Includes approximately 875,000 shares issued on September 5, 2018 pursuant to the exercise of the underwriters’ option to purchase additional shares. The Company incurred approximately $6.4 million of underwriting discounts and related expenses in connection with this equity offering. (2) The Company incurred approximately $2.3 million of underwriting discounts and related expenses in connection with this equity offering. (d) Discount Waiver, Direct Stock Purchase and Dividend Reinvestment Plan (“DRSPP”) On September 16, 2016, the Company filed a shelf registration statement on Form S-3 with the SEC under the Securities Act of 1933, as amended (the “1933 Act”), for the purpose of registering additional common stock for sale through its DRSPP. Pursuant to Rule 462(e) of the 1933 Act, this shelf registration statement became effective automatically upon filing with the SEC and, when combined with the unused portion of the Company’s previous DRSPP shelf registration statements, registered an aggregate of 15 million shares of common stock. The Company’s DRSPP is designed to provide existing stockholders and new investors with a convenient and economical way to purchase shares of common stock through the automatic reinvestment of dividends and/or optional cash investments. At December 31, 2018, approximately 11.8 million shares of common stock remained available for issuance pursuant to the DRSPP shelf registration statement. During the years ended December 31, 2018, 2017 and 2016, the Company issued 379,903, 2,293,192 and 653,793 shares of common stock through the DRSPP, raising net proceeds of approximately $2.8 million, $18.5 million and $1.2 million, respectively. From the inception of the DRSPP in September 2003 through December 31, 2018, the Company issued 34,055,880 shares pursuant to the DRSPP, raising net proceeds of $284.2 million. (e) Stock Repurchase Program As previously disclosed, in August 2005, the Company’s Board authorized a stock repurchase program (the “Repurchase Program”) to repurchase up to 4.0 million shares of its outstanding common stock. The Board reaffirmed such authorization in May 2010. In December 2013, the Board increased the number of shares authorized under the Repurchase Program to an aggregate of 10.0 million. Such authorization does not have an expiration date and, at present, there is no intention to modify or otherwise rescind such authorization. Subject to applicable securities laws, repurchases of common stock under the Repurchase Program are made at times and in amounts as the Company deems appropriate, (including, in our discretion, through the use of one or more plans adopted under Rule 10b5-1 promulgated under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) using available cash resources. Shares of common stock repurchased by the Company under the Repurchase Program are cancelled and, until reissued by the Company, are deemed to be authorized but unissued shares of the Company’s common stock. The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice. The Company did not repurchase any shares of its common stock during the three years ended December 31, 2018. At December 31, 2018, 6,616,355 shares remained authorized for repurchase under the Repurchase Program. (f) Accumulated Other Comprehensive Income/(Loss) The following table presents changes in the balances of each component of the Company’s AOCI for the years ended December 31, 2018, 2017 and 2016:
(1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the years ended December 31, 2018, 2017, and 2016:
On securities for which OTTI had been recognized in prior periods, the Company had $224,000 unrealized losses recorded in AOCI at December 31, 2018 and did not have any unrealized losses recorded in AOCI at December 31, 2017. |
EPS Calculation |
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EPS Calculation | EPS Calculation The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the years ended December 31, 2018, 2017 and 2016:
(1) At December 31, 2018, the Company had approximately 2.1 million equity instruments outstanding that were not included in the calculation of diluted EPS for the year ended December 31, 2018, as their inclusion would have been anti-dilutive. These equity instruments reflect RSUs (based on current estimate of expected share settlement amount) with a weighted average grant date fair value of $6.78. These equity instruments may have a dilutive impact on future EPS. |
Equity Compensation, Employment Agreements and Other Benefit Plans |
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Equity Compensation, Employment Agreements and Other Benefit Plans | Equity Compensation, Employment Agreements and Other Benefit Plans (a) Equity Compensation Plan In accordance with the terms of the Company’s Equity Compensation Plan (the “Equity Plan”), which was adopted by the Company’s stockholders on May 21, 2015 (and which amended and restated the Company’s 2010 Equity Compensation Plan), directors, officers and employees of the Company and any of its subsidiaries and other persons expected to provide significant services for the Company and any of its subsidiaries are eligible to receive grants of stock options (“Options”), restricted stock, RSUs, dividend equivalent rights and other stock-based awards under the Equity Plan. Subject to certain exceptions, stock-based awards relating to a maximum of 12.0 million shares of common stock may be granted under the Equity Plan; forfeitures and/or awards that expire unexercised do not count towards this limit. At December 31, 2018, approximately 5.2 million shares of common stock remained available for grant in connection with stock-based awards under the Equity Plan. A participant may generally not receive stock-based awards in excess of 1.5 million shares of common stock in any one year and no award may be granted to any person who, assuming exercise of all Options and 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. Unless previously terminated by the Board, awards may be granted under the Equity Plan until May 20, 2025. Restricted Stock Units Under the terms of the Equity Plan, RSUs are instruments that provide the holder with the right to receive, subject to the satisfaction of conditions set by the Compensation Committee of the Board (the “Compensation Committee”) at the time of grant, a payment of a specified value, which may be a share of the Company’s common stock, the fair market value of a share of the Company’s common stock, or such fair market value to the extent in excess of an established base value, on the applicable settlement date. Although the Equity Plan permits the Company to issue RSUs that can settle in cash, all of the Company’s outstanding RSUs as of December 31, 2018 are designated to be settled in shares of the Company’s common stock. All RSUs outstanding at December 31, 2018 may be entitled to receive dividend equivalent payments depending on the terms and conditions of the award either in cash at the time dividends are paid by the Company, or for certain performance-based RSU awards, as a grant of stock at the time such awards are settled. At December 31, 2018 and 2017, the Company had unrecognized compensation expense of $5.2 million and $4.1 million, respectively, related to RSUs. The unrecognized compensation expense at December 31, 2018 is expected to be recognized over a weighted average period of 1.7 years. The following table presents information with respect to the Company’s RSUs during the years ended December 31, 2018, 2017 and 2016:
(1) The weighted average grant date fair value of these awards require the Company to estimate certain valuation inputs. In determining the fair value for 692,500 of these awards granted in 2018, the Company applied: (i) a weighted average volatility estimate of approximately 17%, which was determined considering historic volatility in the price of the Company’s and its peer group companies’ common stock over the three-year period prior to the grant date and the implied volatility of certain exchange-traded options on the Company’s and peer group companies’ common stock at the grant date; and (ii) a weighted average risk-free rate of 2.36% based on the continuously compounded constant maturity treasury rate corresponding to a maturity commensurate with the expected vesting term of the awards. The weighted average grant date fair value for the remaining 151,302 awards with a service condition only was estimated based on the closing price of the Company’s common stock at the grant date of $7.70. There are no post vesting conditions on these awards. (2) The weighted average grant date fair value of these awards require the Company to estimate certain valuation inputs. In determining the fair value for 758,750 of these awards granted in 2017, the Company applied: (i) a weighted average volatility estimate of approximately 15%, which was determined considering historic volatility in the price of Company’s and its peer group companies’ common stock over the three-year period prior to the grant date and the implied volatility of certain exchange-traded options on the Company’s and peer group companies’ common stock at the grant date; and (ii) a weighted average risk-free rate of 1.46% based on the continuously compounded constant maturity treasury rate corresponding to a maturity commensurate with the expected vesting term of the awards. The weighted average grant date fair value for the remaining 140,195 awards with a service condition only was estimated based on the closing price of the Company’s common stock at the grant date of $8.31. There are no post vesting conditions on these awards. (3) The weighted average grant date fair value of these awards require the Company to estimate certain valuation inputs. In determining the fair value for 615,000 of these awards granted in 2016, the Company applied: (i) a weighted average volatility estimate of approximately 17%, which was determined considering historic volatility in the price of Company’s common stock over the three-year period prior to the grant date and the implied volatility of certain exchange-traded options on the Company’s common stock at the grant date; (ii) a weighted average risk-free rate of 1.20% based on the continuously compounded constant maturity treasury rate corresponding to a maturity commensurate with the expected vesting term of the awards; and (iii) an estimated annual dividend yield of 11%. The weighted average grant date fair value for the remaining 113,195 awards with a service condition only was estimated based on the closing price of the Company’s common stock at the grant date of $7.20. There are no post vesting conditions on these awards. Restricted Stock At December 31, 2018 and 2017, the Company did not have any unvested shares of restricted common stock outstanding. The total fair value of restricted shares vested during the years ended December 31, 2018, 2017 and 2016 was approximately $3.0 million, $2.0 million and $4.3 million, respectively. The following table presents information with respect to the Company’s restricted stock for the years ended December 31, 2018, 2017 and 2016:
(1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. (2) All restrictions associated with restricted stock are removed on vesting. Dividend Equivalents A dividend equivalent is a right to receive a distribution equal to the dividend distributions that would be paid on a share of the Company’s common stock. Dividend equivalents may be granted as a separate instrument or may be a right associated with the grant of another award (e.g., an RSU) under the Equity Plan, and they are paid in cash or other consideration at such times and in accordance with such rules, as the Compensation Committee of the Board shall determine in its discretion. Payments made on the Company’s outstanding dividend equivalent rights that have been granted as a separate instrument are charged to Stockholders’ Equity when common stock dividends are declared to the extent that such equivalents are expected to vest. The Company did not make any payments in respect of such instruments during the years ended December 31, 2018 and 2017 and made payments of approximately $5,000 during the year ended December 31, 2016. The following table presents information about the Company’s dividend equivalents rights awarded as separate instruments at and for the year ended December 31, 2016. No such awards were granted during 2018 and 2017:
The weighted average grant date fair value of the dividend equivalent rights in the above table is $2.77. The determination of the weighted average grant date fair value of these awards required the Company to estimate certain valuation inputs. In determining the fair value for these awards granted in 2011, the Company applied: (i) a weighted average volatility estimate of approximately 31%, which was determined considering historic volatility in the price of Company’s common stock over the six-year period prior to the grant date and the implied volatility of certain exchange-traded options on the Company’s common stock at the grant date; (ii) a weighted average risk-free rate of 2.23% based on the continuously compounded constant maturity treasury rate corresponding to a maturity commensurate with the expected vesting term of the awards; and (iii) an estimated annual dividend yield of 13%. Expense Recognized for Equity-Based Compensation Instruments The following table presents the Company’s expenses related to its equity-based compensation instruments for the years ended December 31, 2018, 2017 and 2016:
(1) Equity-based compensation for the year ended December 31, 2017 includes a one-time expense of approximately $900,000 for the accelerated vesting of certain time-based equity awards arising from the death of the Company’s former Chief Executive Officer. (b) Employment Agreements At December 31, 2018, the Company had employment agreements with four of its officers, with varying terms that provide for, among other things, base salary, bonus and change-in-control payments upon the occurrence of certain triggering events. (c) Deferred Compensation Plans The Company administers deferred compensation plans for its senior officers and non-employee directors (collectively, the “Deferred Plans”), pursuant to which participants may elect to defer up to 100% of certain cash compensation. The Deferred Plans are designed to align participants’ interests with those of the Company’s stockholders. Amounts deferred under the Deferred Plans are considered to be converted into “stock units” of the Company. Stock units do not represent stock of the Company, but rather are a liability of the Company that changes in value as would equivalent shares of the Company’s common stock. Deferred compensation liabilities are settled in cash at the termination of the deferral period, based on the value of the stock units at that time. The Deferred Plans are non-qualified plans under the Employee Retirement Income Security Act of 1974 and, as such, are not funded. Prior to the time that the deferred accounts are settled, participants are unsecured creditors of the Company. The Company’s liability for stock units in the Deferred Plans is based on the market price of the Company’s common stock at the measurement date. The following table presents the Company’s expenses related to its Deferred Plans for the years ended December 31, 2018, 2017 and 2016:
The Company distributed cash of $123,700 to the participants of the Deferred Plans during the year ended December 31, 2018. The Company did not distribute cash to the participants of the Deferred Plans during the year ended December 31, 2017. The Company distributed cash of $122,000 to the participants of the Deferred Plans during the year ended December 31, 2016. The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through December 31, 2018 and 2017 that had not been distributed and the Company’s associated liability for such deferrals at December 31, 2018 and 2017:
(1) Represents the cumulative amounts that were deferred by participants through December 31, 2018 and 2017, which had not been distributed through such respective date. (d) Savings Plan The Company sponsors a tax-qualified employee savings plan (the “Savings Plan”) in accordance with Section 401(k) of the Code. Subject to certain restrictions, all of the Company’s employees are eligible to make tax deferred contributions to the Savings Plan subject to limitations under applicable law. Participant’s accounts are self-directed and the Company bears the costs of administering the Savings Plan. The Company matches 100% of the first 3% of eligible compensation deferred by employees and 50% of the next 2%, subject to a maximum as provided by the Code. The Company has elected to operate the Savings Plan under the applicable safe harbor provisions of the Code, whereby among other things, the Company must make contributions for all participating employees and all matches contributed by the Company immediately vest 100%. For the years ended December 31, 2018, 2017 and 2016, the Company recognized expenses for matching contributions of $371,000, $363,000 and $359,000, respectively. |
Fair Value of Financial Instruments |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | Fair Value of Financial Instruments GAAP requires the categorization of fair value measurements into three broad levels that form a hierarchy. A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: Level 1 — Inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. Level 2 — Inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 — Inputs to the valuation methodology are unobservable and significant to the fair value measurement. The following describes the valuation methodologies used for the Company’s financial instruments measured at fair value on a recurring basis, as well as the general classification of such instruments pursuant to the valuation hierarchy. Securities Obtained and Pledged as Collateral/Obligation to Return Securities Obtained as Collateral The fair value of U.S. Treasury securities obtained as collateral and the associated obligation to return securities obtained as collateral are based upon prices obtained from a third-party pricing service, which are indicative of market activity. Securities obtained as collateral are classified as Level 1 in the fair value hierarchy. Residential Mortgage Securities The Company determines the fair value of its Agency MBS, based upon prices obtained from third-party pricing services, which are indicative of market activity and repurchase agreement counterparties. For Agency MBS, the valuation methodology of the Company’s third-party pricing services incorporate commonly used market pricing methods, trading activity observed in the marketplace and other data inputs. The methodology also considers the underlying characteristics of each security, which are also observable inputs, including: collateral vintage, coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. Management analyzes pricing data received from third-party pricing services and compares it to other indications of fair value including data received from repurchase agreement counterparties and its own observations of trading activity observed in the marketplace. In determining the fair value of the Company’s Non-Agency MBS and CRT securities, management considers a number of observable market data points, including prices obtained from pricing services and brokers as well as dialogue with market participants. In valuing Non-Agency MBS, the Company understands that pricing services use observable inputs that include, in addition to trading activity observed in the marketplace, loan delinquency data, credit enhancement levels and vintage, which are taken into account to assign pricing factors such as spread and prepayment assumptions. For tranches of Legacy Non-Agency MBS that are cross-collateralized, performance of all collateral groups involved in the tranche are considered. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. The Company’s Legacy Non-Agency MBS, RPL/NPL MBS and CRT securities are valued using various market data points as described above, which management considers directly or indirectly observable parameters. Accordingly, these securities are classified as Level 2 in the fair value hierarchy. Residential Whole Loans, at Fair Value The Company determines the fair value of its residential whole loans held at fair value after considering valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans. The valuation approach applied generally depends on whether the loan is considered performing or non-performing at the date the valuation is performed. For performing loans, estimates of fair value are derived using a discounted cash flow approach, where estimates of cash flows are determined from the scheduled payments, adjusted using forecasted prepayment, default and loss given default rates. For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, expected costs and home price appreciation. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Indications of loan value such as actual trades, bids, offers and generic market color may be used in determining the appropriate discount yield. The Company’s residential whole loans held at fair value are classified as Level 3 in the fair value hierarchy. Term Notes Backed by MSR-Related Collateral The Company’s valuation process for term notes backed by MSR-related collateral considers a number of factors, including obtaining market quotes from a third-party pricing service. This indicative market value is further reviewed by the Company and may be adjusted to ensure it reflects a realistic exit price at the valuation date given the structural features of these securities. Other factors taken into consideration include indicative values provided by repurchase agreement counterparties, estimated changes in fair value of the related underlying MSR collateral and, as applicable, the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. As this process includes significant unobservable inputs, due to the relative illiquidity of the market, these securities are classified as Level 3 in the fair value hierarchy. Swaps All of the Company’s Swaps are cleared by a central clearing house. Valuations provided by the clearing house are used for purposes of determining the fair value of the Company’s Swaps. Such valuations obtained are tested with internally developed models that apply readily observable market parameters. As the Company’s Swaps are subject to the clearing house’s margin requirements, no credit valuation adjustment was considered necessary in determining the fair value of such instruments. Beginning in January 2017, variation margin payments on the Company’s cleared Swaps are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as the fair value of the Swap. Swaps are classified as Level 2 in the fair value hierarchy. Changes to the valuation methodologies used with respect to the Company’s financial instruments are reviewed by management to ensure any such changes result in appropriate exit price valuations. The Company will refine its valuation methodologies as markets and products develop and pricing methodologies evolve. The methods described above may produce fair value estimates that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with those used by market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. The Company reviews the classification of its financial instruments within the fair value hierarchy on a quarterly basis, and management may conclude that its financial instruments should be reclassified to a different level in the future. The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of December 31, 2018 and 2017, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at December 31, 2018
Fair Value at December 31, 2017
Changes in Level 3 Assets Measured at Fair Value on a Recurring Basis The following table presents additional information for the years ended December 31, 2018 and 2017 about the Company’s Residential whole loans, at fair value, which are classified as Level 3 and measured at fair value on a recurring basis:
The following table presents additional information for the years ended December 31, 2018 and 2017 about the Company’s investments in term notes backed by MSR-related collateral held at fair value, which are classified as Level 3 and measured at fair value on a recurring basis:
(1) Investments in term notes backed by MSR-related collateral were transferred from Level 2 to Level 3 during the year ended December 31, 2017 as there had been very limited secondary market trading in these securities since issuance. 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 did not transfer any assets or liabilities from one level to another during the year ended December 31, 2018. Fair Value Methodology for Level 3 Financial Instruments Residential Whole Loans, at Fair Value The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s residential whole loans held at fair value for which it has utilized Level 3 inputs to determine fair value as of December 31, 2018 and 2017:
The following table presents the carrying values and estimated fair values of the Company’s financial instruments at December 31, 2018 and 2017:
(1) Carrying value of securitized debt, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. In addition to the methodologies used to determine the fair value of the Company’s financial assets and liabilities reported at fair value on a recurring basis discussed on pages 133-137, the following methods and assumptions were used by the Company in arriving at the fair value of the Company’s other financial instruments presented in the above table that are not reported at fair value on a recurring basis: Residential Whole Loans at Carrying Value: The Company generally determines the fair value of its residential whole loans held at carrying value using the same approach applied for residential whole loans held at fair value. Given the short duration of the Company’s Rehabilitation loans, these investments are determined to have a carrying value which approximates fair value. The Company’s residential whole loans held at carrying value are classified as Level 3 in the fair value hierarchy. Cash and Cash Equivalents and Restricted Cash: Cash and cash equivalents and restricted cash are comprised of cash held in overnight money market investments and demand deposit accounts. At December 31, 2018 and 2017, the Company’s money market funds were invested in securities issued by the U.S. Government or its agencies, instrumentalities, and sponsored entities, and repurchase agreements involving the securities described above. Given the overnight term and assessed credit risk, the Company’s investments in money market funds are determined to have a fair value equal to their carrying value and are classified as Level 1 in the fair value hierarchy. Corporate Loans: The Company determines the fair value of its Corporate loans, included in MSR-related assets along with the term notes, after considering recent past and expected future loan performance, recent financial performance of the borrower and estimates of the current value of the underlying collateral, which includes certain MSRs and other assets of the borrower that are pledged to secure the borrowing. The Company’s investment in Corporate loans are classified as Level 3 in the fair value hierarchy. Repurchase Agreements: The fair value of repurchase agreements reflects the present value of the contractual cash flows discounted at market interest rates at the valuation date for repurchase agreements with a term equivalent to the remaining term to interest rate repricing, which may be at maturity. Such interest rates are estimated based on LIBOR rates observed in the market. The Company’s repurchase agreements are classified as Level 2 in the fair value hierarchy. Securitized Debt: In determining the fair value of securitized debt, management considers a number of observable market data points, including prices obtained from pricing services and brokers as well as dialogue with market participants. Accordingly, the Company’s securitized debt is classified as Level 2 in the fair value hierarchy. Senior Notes: The fair value of the Senior Notes is determined using the end of day market price quoted on the NYSE at the reporting date. The Company’s Senior Notes are classified as Level 1 in the fair value hierarchy. The Company holds REO at the lower of the current carrying amount or fair value less estimated selling costs. At December 31, 2018 and 2017, the Company’s REO had an aggregate carrying value of $249.4 million and $152.4 million, and an aggregate estimated fair value of $273.4 million and $175.8 million, respectively. The Company classifies fair value measurements of REO as Level 3 in the fair value hierarchy. |
Use of Special Purpose Entities and Variable Interest Entities |
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Use of Special Purpose Entities and Variable Interest Entities | Use of Special Purpose Entities and Variable Interest Entities A Special Purpose Entity (“SPE”) is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying financial assets on improved terms. Securitization involves transferring assets to a SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business, through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and, depending on the overall structure of the transaction, may benefit from various forms of credit enhancement such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company has entered into several financing transactions that resulted in the Company consolidating as VIEs the SPEs that were created to facilitate these transactions. See Note 2(r) for a discussion of the accounting policies applied to the consolidation of VIEs and transfers of financial assets in connection with financing transactions. The Company has engaged in loan securitizations and, in prior years, MBS resecuritization transactions primarily for the purpose of obtaining improved overall financing terms as well as non-recourse financing on a portion of its residential whole loan and Non-Agency MBS portfolios. Notwithstanding the Company’s participation in these transactions, the risks facing the Company are largely unchanged as the Company remains economically exposed to the first loss position on the underlying assets transferred to the VIEs. Loan Securitization Transactions During the year ended December 31, 2018, the Company completed two loan securitization transactions. As part of these transactions, the Company sold residential whole loans with an aggregate unpaid principal balance of $666.8 million to two entities which it consolidates as VIEs. In connection with these transactions, third-party investors purchased $420.0 million face amount of senior bonds (“Senior Bonds”) with a weighted average coupon rate of 4.04%. As a result of these transactions, the Company acquired $148.1 million face amount of non-rated certificates issued by the securitization vehicles, and received $420.0 million in cash, excluding expenses, accrued interest, and underwriting fees. The following table summarizes the key details of the Company’s loan securitization transactions as of December 31, 2018 and 2017:
As of December 31, 2018 and 2017, as a result of the transactions described above, securitized loans with a carrying value of approximately $209.4 million and $183.2 million are included in “Residential whole loans, at carrying value,” securitized loans with a fair value of approximately $694.7 million and $289.3 million are included in “Residential whole loans, at fair value,” and REO with a carrying value of approximately $79.0 million and $5.5 million are included in “Other assets” on the Company’s consolidated balance sheets. As of December 31, 2018 and 2017, the aggregate carrying value of Senior Bonds issued by consolidated VIEs was $684.4 million and $363.9 million , respectively. These Senior Bonds are disclosed as “Securitized debt” and are included in Other liabilities on the Company’s consolidated balance sheets. The holders of the securitized debt have no recourse to the general credit of the Company, but the Company does have the obligation, under certain circumstances to repurchase assets from the VIE upon the breach of certain representations and warranties with respect to the residential whole loans sold to the VIE. In the absence of such a breach, the Company has no obligation to provide any other explicit or implicit support to any VIE. The Company concluded that the entities created to facilitate the loan securitization transactions are VIEs. The Company then completed an analysis of whether each VIE created to facilitate the securitization transactions should be consolidated by the Company, based on consideration of its involvement in each VIE, including the design and purpose of the SPE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of each VIE. In determining whether the Company would be considered the primary beneficiary, the following factors were assessed:
Based on its evaluation of the factors discussed above, including its involvement in the purpose and design of the entity, the Company determined that it was required to consolidate each VIE created to facilitate the loan securitization transactions. Residential Whole Loans and REO (including Residential Whole Loans and REO transferred to consolidated VIEs) Included on the Company’s consolidated balance sheets as of December 31, 2018 and 2017 are a total of $4.7 billion and $2.2 billion of residential whole loans, of which approximately $3.0 billion and $908.5 million are reported at carrying value and $1.7 billion and $1.3 billion are reported at fair value, respectively. In addition, at December 31, 2018 and 2017, the Company had REO with an aggregate carrying value of $249.4 million and $152.4 million, and an aggregate estimated fair value $273.4 million and $175.8 million, respectively. These assets are directly owned by certain trusts established by the Company to acquire the loans and entities established in connection with the Company’s loan securitization transactions. The Company has assessed that these entities are required to be consolidated. (See Notes 4 and 5(b)) |
Summary of Quarterly Results of Operations (Unaudited) |
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Quarterly Financial Information Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Quarterly Results of Operations (Unaudited) | Summary of Quarterly Results of Operations (Unaudited)
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Schedule IV - Mortgage Loans on Real Estate |
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SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule IV - Mortgage Loans on Real Estate | Mortgage Loans on Real Estate December 31, 2018
Reconciliation of Balance Sheet Reported Amounts of Mortgage Loans on Real Estate The following table summarizes the changes in the carrying amounts of residential whole loans during the year ended December 31, 2018:
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Summary of Significant Accounting Policies (Policies) |
12 Months Ended |
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Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas, including other-than-temporary impairment (“OTTI”) on mortgage-backed securities (“MBS”) (See Note 3), valuation of MBS, CRT securities and MSR- related assets (See Notes 3 and 14), income recognition and valuation of residential whole loans (See Notes 4 and 14), valuation of derivative instruments (See Notes 5(c) and 14) and income recognition on certain Non-Agency MBS (defined below) purchased at a discount. (See Note 3) In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest. (See Note 2(o)) Actual results could differ from those estimates. The Company has one reportable segment as it manages its business and analyzes and reports its results of operations on the basis of one operating segment; investing, on a leveraged basis, in residential mortgage assets. The consolidated financial statements of the Company include the accounts of all subsidiaries; all intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans as well as MBS resecuritization transactions completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation. |
Residential Mortgage Securities | Residential Mortgage Securities The Company has investments in residential MBS that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”) (collectively, “Agency MBS”), and residential MBS that are not guaranteed by any agency of the U.S. Government or any federally chartered corporation (“Non-Agency MBS”). In addition, the Company has investments in CRT securities that are issued or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by Fannie Mae and Freddie Mac and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. Designation MBS that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as “available-for-sale” (“AFS”). Such MBS are carried at their fair value with unrealized gains and losses excluded from earnings (except when an OTTI is recognized, as discussed below) and reported in Accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. The Company has elected the fair value option for certain of its Agency MBS that it does not intend to hold to maturity. These securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. The Company has elected the fair value option for certain of its CRT securities as it considers this method of accounting to more appropriately reflect the risk sharing structure of these securities. Such securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. Revenue Recognition, Premium Amortization and Discount Accretion Interest income on securities is accrued based on the outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Interest income on the Non-Agency MBS that were purchased at a discount to par value and/or are considered to be of less than high credit quality is recognized based on the security’s effective interest rate which is the security’s internal rate of return (“IRR”). The IRR is determined using management’s estimate of the projected cash flows for each security, which are based on the Company’s observation of current information and events and include assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the IRR/ interest income recognized on these securities or in the recognition of OTTIs. (See Note 3) Based on the projected cash flows from the Company’s Non-Agency MBS purchased at a discount to par value, a portion of the purchase discount may be designated as non-accretable purchase discount (“Credit Reserve”), which effectively mitigates the Company’s risk of loss on the mortgages collateralizing such MBS and is not expected to be accreted into interest income. The amount designated as Credit Reserve may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a Credit Reserve is more favorable than forecasted, a portion of the amount designated as Credit Reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a Credit Reserve is less favorable than forecasted, the amount designated as Credit Reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. Determination of Fair Value for Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. (See Note 14) Impairments/OTTI When the fair value of an AFS security is less than its amortized cost at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities on at least a quarterly basis and designates such impairments as either “temporary” or “other-than-temporary.” If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize an OTTI through charges to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the balance sheet date. If the Company does not expect to sell an other-than-temporarily impaired security, only the portion of the impairment related to credit losses is recognized through charges to earnings with the remainder recognized through AOCI on the consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Following the recognition of an OTTI through earnings, a new cost basis is established for the security, which may not be adjusted for subsequent recoveries in fair value through earnings. However, OTTIs recognized through charges to earnings may, upon recovery, be accreted back to the amortized cost basis of the security on a prospective basis through interest income. The determination as to whether an OTTI exists and, if so, the amount of credit impairment recognized in earnings is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of OTTIs constitute material estimates that are susceptible to significant change. (See Note 3) Non-Agency MBS that are assessed to be of less than high credit quality and on which impairments are recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. The Company’s estimate of cash flows for its Non-Agency MBS is based on its review of the underlying mortgage loans securing the MBS. The Company considers information available about the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, year of origination, loan-to-value ratios (“LTVs”), geographic concentrations and dialogue with market participants. As a result, significant judgment is used in the Company’s analysis to determine the expected cash flows for its Non-Agency MBS. In determining the OTTI related to credit losses for securities that were purchased at significant discounts to par and/or are considered to be of less than high credit quality, the Company compares the present value of the remaining cash flows expected to be collected at the purchase date (or last date previously revised) against the present value of the cash flows expected to be collected at the current financial reporting date. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. Impairment assessment for Non-Agency MBS that were purchased at prices close to par and/or are otherwise considered to be of high credit quality involves comparing the present value of the remaining cash flows expected to be collected against the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the instrument’s IRR. Balance Sheet Presentation The Company’s residential mortgage securities pledged as collateral against repurchase agreements and Swaps are included on the consolidated balance sheets with the fair value of the securities pledged disclosed parenthetically. Purchases and sales of securities are recorded on the trade date. |
Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) | Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed and adjustable rate residential mortgage loans acquired through consolidated trusts in secondary market transactions. The accounting model utilized by the Company is determined at the time each loan package is initially acquired and is generally based on the delinquency status of the majority of the underlying borrowers in the package at acquisition. The accounting model described below for purchased credit impaired loans that are held at carrying value is typically utilized by the Company for purchased credit impaired loans where the underlying borrower has a delinquency status of less than 60 days at the acquisition date. The Company also acquires purchased performing loans that are typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required loan loss reserves (as discussed below) differ from those used for purchased credit impaired loans held at carrying value. The accounting model described below for residential whole loans held at fair value is typically utilized by the Company for loans where the underlying borrower has a delinquency status of 60 days or more at the acquisition date. The accounting model initially applied is not subsequently changed. The Company’s residential whole loans pledged as collateral against repurchase agreements are included in the consolidated balance sheets with amounts pledged disclosed parenthetically. Purchases and sales of residential whole loans are recorded on the trade date, with amounts recorded reflecting management’s current estimate of assets that will be acquired or disposed at the closing of the transaction. This estimate is subject to revision at the closing of the transaction, pending the outcome of due diligence performed prior to closing. Recorded amounts of residential whole loans for which the closing of the purchase transaction is yet to occur are not eligible to be pledged as collateral against any repurchase agreement financing until the closing of the purchase transaction. (See Notes 4, 6, 7, 14 and 15) Residential Whole Loans at Carrying Value Purchased Performing Loans Acquisitions of purchased performing loans to date have been primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) short-term business purpose loans collateralized by residential properties made to non-occupant borrowers who intend to rehabilitate and sell the property for a profit (“Rehabilitation loans” or “Fix and Flip loans”), (iii) loans to finance (or refinance) non-owner occupied one-to four-family residential properties that are rented to one or more tenants (“Single-family rental loans”), and (iv) previously originated loans secured by residential real estate that is generally owner occupied (“Seasoned performing loans”). Purchased performing loans are initially recorded at their purchase price. Interest income on purchased performing loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate, net of related servicing costs. Interest income on such loans purchased at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related serving costs. An allowance for loan losses is recorded when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms of the loan agreement. Any required loan loss allowance would typically be measured based on the fair value of the collateral securing the loan and would reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining any allowance for loan loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. Income recognition is suspended for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. Purchased Credit Impaired Loans The Company has elected to account for these loans as credit impaired as they were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with LTVs of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit impaired are initially recorded at the purchase price with no allowance for loan losses. Subsequent to acquisition, the recorded amount for these loans reflects the original investment amount, plus accretion of interest income, less principal and interest cash flows received. These loans are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded amount reduced by any allowance for loan losses established subsequent to acquisition. Under the application of the accounting model for purchased credit impaired loans, the Company may aggregate into pools loans acquired in the same fiscal quarter that are assessed as having similar risk characteristics. For each pool established, or on an individual loan basis for loans not aggregated into pools, the Company estimates at acquisition and periodically on at least a quarterly basis, the principal and interest cash flows expected to be collected. The difference between the cash flows expected to be collected and the carrying amount of the loans is referred to as the “accretable yield.” This amount is accreted as interest income over the life of the loans using an effective interest rate (level yield) methodology. Interest income recorded each period reflects the amount of accretable yield recognized and not the coupon interest payments received on the underlying loans. The difference between contractually required principal and interest payments and the cash flows expected to be collected is referred to as the “non-accretable difference,” and includes estimates of both the effect of prepayments and expected credit losses over the life of the underlying loans. A decrease in expected cash flows in subsequent periods may indicate impairment at the pool and/or individual loan level, thus requiring the establishment of an allowance for loan losses by a charge to the provision for loan losses. The allowance for loan losses generally represents the present value of cash flows expected at acquisition, adjusted for any increases due to changes in estimated cash flows, that are subsequently no longer expected to be received at the relevant measurement date. Under the accounting model applied to purchased credit impaired loans, a significant increase in expected cash flows in subsequent periods first reduces any previously recognized allowance for loan losses and then will result in a recalculation in the amount of accretable yield. The adjustment of accretable yield due to a significant increase in expected cash flows is accounted for prospectively as a change in estimate and results in reclassification from nonaccretable difference to accretable yield. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. For the majority of these loans, there is significant uncertainty associated with estimating the timing of and amount of cash flows that will be collected. Further, the cash flows ultimately collected may be dependent on the value of the property securing the loan. Consequently, the Company considers that accounting for these loans at fair value should result in a better reflection over time of the economic returns for the majority of these loans. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from a third-party who specializes in providing valuations of residential mortgage loans and trading activity observed in the market place. Subsequent changes in fair value are reported in current period earnings and presented in Net gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash received representing coupon payments on residential whole loans held at fair value is not included in Interest Income, but rather is included in Net gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash outflows associated with loan related advances made by the Company on behalf of the borrower are included in the basis of the loan and are reflected in unrealized gains or losses reported each period. |
MSR Related Assets | MSR-Related Assets The Company has investments in financial instruments whose cash flows are considered to be largely dependent on underlying MSRs that either directly or indirectly act as collateral for the investment. These financial instruments, which are referred to as MSR-related assets are discussed in more detail below. The Company’s MSR-related assets pledged as collateral against repurchase agreements are included in the consolidated balance sheets with the amounts pledged disclosed parenthetically. Purchases and sales of MSR-related assets are recorded on the trade date. (See Notes 3, 6, 7 and 14) Term Notes Backed by MSR-Related Collateral The Company has invested in term notes that are issued by special purpose vehicles (“SPV”) that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considers payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes is also mitigated by structural credit support in the form of over-collateralization. Credit support is also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the underlying MSRs be insufficient. The Company’s term notes backed by MSR-related collateral are treated as AFS securities and reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in AOCI. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes considers a number of factors, including a comparable bond analysis performed by a third-party pricing service which involves determining a pricing spread at issuance of the term note. The pricing spread is used at each subsequent valuation date to determine an implied yield to maturity of the term note, which is then used to derive an indicative market value for the security. This indicative market value is further reviewed by the Company and may be adjusted to ensure it reflects a realistic exit price at the valuation date given the structural features of these securities. Other factors taken into consideration include indicative values provided by repurchase agreement counterparties, estimated changes in fair value of the related underlying MSR collateral and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are generally secured by certain MSRs, as well as certain other unencumbered assets owned by the borrower. Corporate loans are recorded on the Company’s consolidated balance sheets at the drawn amount, on which interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. Commitment fees received on the undrawn amount are deferred and recognized as interest income over the remaining loan term at the time of draw. At the end of the commitment period, any remaining deferred commitment fees are recorded as Other Income on the Company’s consolidated statements of operations. The Company evaluates the recoverability of its corporate loans on a quarterly basis considering various factors, including the current status of the loan, changes in the fair value of the MSRs that secure the loan and the recent financial performance of the borrower. |
Cash and Cash Equivalents | Cash and Cash Equivalents Cash and cash equivalents include cash on deposit with financial institutions and investments in money market funds, all of which have original maturities of three months or less. Cash and cash equivalents may also include cash pledged as collateral to the Company by its repurchase agreement counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). The Company did not hold any cash pledged by its counterparties at December 31, 2018 and 2017. |
Restricted Cash | Restricted Cash Restricted cash represents the Company’s cash held by its counterparties in connection with certain of the Company’s Swaps and/or repurchase agreements that is not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to repurchase agreement and/or Swap counterparties, or may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the Swap and/or repurchase agreement. |
Goodwill | Goodwill At December 31, 2018 and 2017, the Company had goodwill of $7.2 million, which represents the unamortized portion of the excess of the fair value of its common stock issued over the fair value of net assets acquired in connection with its formation in 1998. Goodwill ,which is no longer subject to amortization, is tested for impairment at least annually, or more frequently under certain circumstances, at the entity level. Through December 31, 2018, the Company had not recognized any impairment against its goodwill. Goodwill is included in Other assets on the Company’s consolidated balance sheets. |
Real Estate Owned (REO) | Real Estate Owned (“REO”) REO represents real estate acquired by the Company, including through foreclosure, deed in lieu of foreclosure, or purchased in connection with the acquisition of residential whole loans. REO acquired through foreclosure or deed in lieu of foreclosure is initially recorded at fair value less estimated selling costs. REO acquired in connection with the acquisition of residential whole loans is initially recorded at its purchase price. Subsequent to acquisition, REO is reported, at each reporting date, at the lower of the current carrying amount or fair value less estimated selling costs and for presentation purposes is included in Other assets on the Company’s consolidated balance sheets. Changes in fair value that result in an adjustment to the reported amount of an REO property that has a fair value at or below its carrying amount are reported in Other Income, net on the Company’s consolidated statements of operations. |
Depreciation | Depreciation Leasehold Improvements and Other Depreciable Assets Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from five to eight years at the time of purchase. |
Resecuritization and Senior Notes Related Costs | Loan Securitization and Other Debt Issuance Costs Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. Other debt issuance and related costs include costs incurred by the Company in connection with issuing 8% Senior Notes due 2042 (“Senior Notes”) and certain other repurchase agreement financings. These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges, are included on the Company’s consolidated balance sheets as a direct deduction from the corresponding debt liability. These deferred charges are amortized as an adjustment to interest expense using the effective interest method. For Senior Notes and other repurchase agreement financings, such costs are amortized over the shorter of the period to the expected or stated legal maturity of the debt instruments. The Company periodically reviews the recoverability of these deferred costs and in the event an impairment charge is required, such amount will be included in Operating and Other Expense on the Company’s consolidated statements of operations. |
Repurchase Agreements and Other Advances | Repurchase Agreements The Company finances the holdings of a significant portion of its residential mortgage assets with repurchase agreements. Under repurchase agreements, the Company sells securities to a lender and agrees to repurchase the same securities in the future for a price that is higher than the original sale price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although legally structured as sale and repurchase transactions, the Company accounts for repurchase agreements as secured borrowings. Under its repurchase agreements, the Company pledges its securities as collateral to secure the borrowing, in an amount which is equal to a specified percentage of the fair value of the pledged collateral, while the Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase financing, unless the repurchase financing is renewed with the same counterparty, the Company is required to repay the loan including any accrued interest and concurrently receives back its pledged collateral from the lender. With the consent of the lender, the Company may renew a repurchase financing at the then prevailing financing terms. Margin calls, whereby a lender requires that the Company pledge additional assets or cash as collateral to secure borrowings under its repurchase financing with such lender, are routinely experienced by the Company when the value of the assets pledged as collateral declines as a result of principal amortization and prepayments or due to changes in market interest rates, spreads or other market conditions. The Company also may make margin calls on counterparties when collateral values increase. The Company’s repurchase financings typically have terms ranging from one month to six months at inception, but may also have longer or shorter terms. Should a counterparty decide not to renew a repurchase financing at maturity, the Company must either refinance elsewhere or be in a position to satisfy the obligation. If, during the term of a repurchase financing, a lender should default on its obligation, the Company might experience difficulty recovering its pledged assets which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged by the Company to such lender, including accrued interest receivable on such collateral. (See Notes 6, 7 and 14) In addition to the repurchase agreement financing arrangements discussed above, as part of its financing strategy for Non-Agency MBS, the Company in prior periods entered into contemporaneous repurchase and reverse repurchase agreements with a single counterparty. Under a typical reverse repurchase agreement, the Company buys securities from a borrower for cash and agrees to sell the same securities in the future for a price that is higher than the original purchase price. The difference between the purchase price the Company originally paid and the sale price represents interest received from the borrower. In contrast, the contemporaneous repurchase and reverse repurchase transactions effectively resulted in the Company pledging Non-Agency MBS as collateral to the counterparty in connection with the repurchase agreement financing and obtaining U.S. Treasury securities as collateral from the same counterparty in connection with the reverse repurchase agreement. No net cash was exchanged between the Company and counterparty at the inception of the transactions. Securities obtained and pledged as collateral are recorded in Other assets on the Company’s consolidated balance sheets. Interest income is recorded on the reverse repurchase agreement and interest expense is recorded on the repurchase agreement on an accrual basis. The Company’s liability to the counterparty in prior periods in connection with this financing arrangement is recorded in Other liabilities on the Company’s consolidated balance sheets and disclosed as “Obligation to return securities obtained as collateral, at fair value.” |
Equity-Based Compensation | Equity-Based Compensation Compensation expense for equity-based awards that are subject to vesting conditions, is recognized ratably over the vesting period of such awards, based upon the fair value of such awards at the grant date. For certain awards granted prior to January 1, 2017, compensation expense recognized included the impact of estimated forfeitures, with any changes in estimated forfeiture rates accounted for as a change in estimate. Upon adoption of new accounting guidance that was effective for the Company on January 1, 2017, the Company made a policy election to account for forfeitures as they occur. Beginning in 2014, the Company has made annual grants of restricted stock units (“RSUs”) certain of which cliff vest after a three-year period, subject only to continued employment, and others of which cliff vest after a three-year period, subject to both continued employment and the achievement of certain performance criteria based on a formula tied to the Company’s achievement of average total shareholder return during that three-year period, as well as the total shareholder return (“TSR”) of the Company relative to the TSR of a group of peer companies (over the three-year period) selected by the Compensation Committee of the Company’s Board of Directors (the “Compensation Committee”) at the date of grant. The features in these awards related to the attainment of total shareholder return over a specified period constitute a “market condition” which impacts the amount of compensation expense recognized for these awards. Specifically, the uncertainty regarding the achievement of the market condition was reflected in the grant date fair valuation of the RSUs, which is recognized as compensation expense over the relevant vesting period. The amount of compensation expense recognized is not dependent on whether the market condition was or will be achieved. The Company makes dividend equivalent payments in connection with certain of its equity-based awards. A dividend equivalent is a right to receive a distribution equal to the dividend distributions that would be paid on a share of the Company’s common stock. Dividend equivalents may be granted as a separate instrument or may be a right associated with the grant of another award (e.g., an RSU) under the Company’s Equity Compensation Plan (the “Equity Plan”), and they are paid in cash or other consideration at such times and in accordance with such rules, terms and conditions, as the Compensation Committee may determine in its discretion. Payments pursuant to dividend equivalents are generally charged to Stockholders’ Equity to the extent that the attached equity awards are expected to vest. Compensation expense is recognized for payments made for dividend equivalents to the extent that the attached equity awards (i) do not or are not expected to vest and (ii) grantees are not required to return payments of dividends or dividend equivalents to the Company. |
Earnings per Common Share ("EPS") | Earnings per Common Share (“EPS”) Basic EPS is computed using the two-class method, which includes the weighted-average number of shares of common stock outstanding during the period and an estimate of other securities that participate in dividends, such as the Company’s unvested restricted stock and RSUs that have non-forfeitable rights to dividends and dividend equivalents attached to/associated with RSUs and vested stock options to arrive at total common equivalent shares. In applying the two-class method, earnings are allocated to both shares of common stock and estimated securities that participate in dividends based on their respective weighted-average shares outstanding for the period. For the diluted EPS calculation, common equivalent shares are further adjusted for the effect of dilutive unexercised stock options and RSUs outstanding that are unvested and have dividends that are subject to forfeiture using the treasury stock method. Under the treasury stock method, common equivalent shares are calculated assuming that all dilutive common stock equivalents are exercised and the proceeds, along with future compensation expenses associated with such instruments, are used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period. |
Comprehensive Income/(Loss) | Comprehensive Income/(Loss) The Company’s comprehensive income/(loss) available to common stock and participating securities includes net income, the change in net unrealized gains/(losses) on its AFS securities and derivative hedging instruments (to the extent that such changes are not recorded in earnings), adjusted by realized net gains/(losses) reclassified out of AOCI for sold AFS securities, and is reduced by dividends declared on the Company’s preferred stock and issuance costs of redeemed preferred stock. |
U.S. Federal Income Taxes | U.S. Federal Income Taxes The Company has elected to be taxed as a REIT under the provisions of the Internal Revenue Code of 1986, as amended, (the “Code”) and the corresponding provisions of state law. The Company expects to operate in a manner that will enable it to satisfy the various requirements to maintain its status as a REIT for federal income tax purposes. In order to maintain its status as a REIT, the Company must, among other things, distribute at least 90% of its REIT taxable income (excluding net long-term capital gains) to stockholders in the timeframe permitted by the Code. As long as the Company maintains its status as a REIT, the Company will not be subject to regular federal income tax to the extent that it distributes 100% of its REIT taxable income (including net long-term capital gains) to its stockholders within the permitted timeframe. Should this not occur, the Company would be subject to federal taxes at prevailing corporate tax rates on the difference between its REIT taxable income and the amounts deemed to be distributed for that tax year. As the Company’s objective is to distribute 100% of its REIT taxable income to its stockholders within the permitted timeframe, no provision for current or deferred income taxes has been made in the accompanying consolidated financial statements. Should the Company incur a liability for corporate income tax, such amounts would be recorded as REIT income tax expense on the Company’s consolidated statements of operations. Furthermore, if the Company fails to distribute during each calendar year, or by the end of January following the calendar year in the case of distributions with declaration and record dates falling in the last three months of the calendar year, at least the sum of (i) 85% of its REIT ordinary income for such year, (ii) 95% of its REIT capital gain income for such year, and (iii) any undistributed taxable income from prior periods, the Company would be subject to a 4% nondeductible excise tax on the excess of the required distribution over the amounts actually distributed. To the extent that the Company incurs interest, penalties or related excise taxes in connection with its tax obligations, including as a result of its assessment of uncertain tax positions, such amounts will be included in Operating and Other Expense on the Company’s consolidated statements of operations. In addition, the Company has elected to treat certain of its subsidiaries as a TRS. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. Generally, a domestic TRS is subject to U.S. federal, state and local corporate income taxes. Since a portion of the Company’s business is conducted through one or more TRS, its net taxable income earned by TRS, if any, is subject to corporate income taxation. To maintain the Company’s REIT election, no more than 20% of the value of a REIT’s assets at the end of each calendar quarter may consist of stock or securities in TRS. For purposes of the determination of U. S. federal and state income taxes, the Company’s subsidiaries that elected to be treated as a TRS record current or deferred income taxes based on differences (both permanent and timing) between the determination of their taxable income and net income under GAAP. No net deferred tax benefit was recorded by the Company in 2018 or 2017, related to the net taxable losses in the TRS, since a valuation allowance for the full amount of the associated deferred tax asset of approximately $22.3 million was recognized as its recovery is not considered more likely than not. The related net operating loss carryforwards generated prior to 2018 will begin to expire in 2034; those generated in 2018 do not expire. Based on its analysis of any potential uncertain tax positions, the Company concluded that it does not have any material uncertain tax positions that meet the relevant recognition or measurement criteria as of December 31, 2018, 2017 or 2016. The Company filed its 2017 tax return prior to October 15, 2018. The Company’s tax returns for tax years 2015 through 2017 are open to examination. |
Derivative Financial Instruments | Derivative Financial Instruments The Company may use a variety of derivative instruments to economically hedge a portion of its exposure to market risks, including interest rate risk and prepayment risk. The objective of the Company’s risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, the Company attempts to mitigate the risk of the cost of its variable rate liabilities increasing during a period of rising interest rates. The Company’s derivative instruments are currently comprised of Swaps, the majority which are designated as cash flow hedges against the interest rate risk associated with its borrowings. Swaps The Company documents its risk-management policies, including objectives and strategies, as they relate to its hedging activities and the relationship between the hedging instrument and the hedged liability for all Swaps designated as hedging transactions. The Company assesses, both at the inception of a hedge and on a quarterly basis thereafter, whether or not the hedge is “highly effective.” Swaps are carried on the Company’s consolidated balance sheets at fair value, in Other assets, if their fair value is positive, or in Other liabilities, if their fair value is negative. Beginning in January 2017, variation margin payments on the Company’s Swaps that have been novated to a clearing house are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as the fair value of the Swap. All of the Company’s Swaps have been novated to a central clearing house. Changes in the fair value of the Company’s Swaps designated in hedging transactions are recorded in OCI provided that the hedge remains effective. Changes in fair value for any ineffective amount of a Swap are recognized in earnings. The Company has not recognized any change in the value of its existing Swaps designated as hedges through earnings as a result of hedge ineffectiveness. Periodic payments accrued in connection with Swaps designated as hedges are included in interest expense, and are treated as an operating cash flow. The Company discontinues hedge accounting on a prospective basis and recognizes changes in fair value through earnings when: (i) it is determined that the derivative is no longer effective in offsetting cash flows of a hedged item (including forecasted transactions); (ii) it is no longer probable that the forecasted transaction will occur; or (iii) it is determined that designating the derivative as a hedge is no longer appropriate. (See Notes 5(c), 7 and 14) Changes in the fair value of the Company’s Swaps not designated in hedging transactions are recorded in Other income, net on the Company’s consolidated statements of operations. |
Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities | Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities The Company’s presentation of fair value for its financial assets and liabilities is determined within a framework that stipulates that the fair value of a financial asset or liability is an exchange price in an orderly transaction between market participants to sell the asset or transfer the liability in the market in which the reporting entity would transact for the asset or liability, that is, the principal or most advantageous market for the asset or liability. The transaction to sell the asset or transfer the liability is a hypothetical transaction at the measurement date, considered from the perspective of a market participant that holds the asset or owes the liability. This definition of fair value focuses on exit price and prioritizes the use of market-based inputs over entity-specific inputs when determining fair value. In addition, the framework for measuring fair value establishes a three-level hierarchy for fair value measurements based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. In addition to the financial instruments that it is required to report at fair value, the Company has elected the fair value option for certain of its residential whole loans, Agency MBS and CRT securities at the time of acquisition. Subsequent changes in the fair value of these financial instruments are reported in Other income, net, in the Company’s consolidated statements of operations. A decision to elect the fair value option for an eligible financial instrument, which may be made on an instrument by instrument basis, is irrevocable. |
Variable Interest Entities | Variable Interest Entities An entity is referred to as a VIE if it meets at least one of the following criteria: (i) the entity has equity that is insufficient to permit the entity to finance its activities without the additional subordinated financial support of other parties; or (ii) as a group, the holders of the equity investment at risk lack (a) the power to direct the activities of an entity that most significantly impact the entity’s economic performance; (b) the obligation to absorb the expected losses; or (c) the right to receive the expected residual returns; or (iii) the holders of the equity investment at risk have disproportional voting rights and the entity’s activities are conducted on behalf of the investor that has disproportionately few voting rights. The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. The Company has entered into several financing transactions which resulted in the Company forming entities to facilitate these transactions. In determining the accounting treatment to be applied to these transactions, the Company concluded that the entities used to facilitate these transactions are VIEs and that they should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfers of the underlying assets would qualify as sale or should be accounted for as secured financings under GAAP. (See Note 15) The Company also includes on its consolidated balance sheets certain financial assets and liabilities that are acquired/issued by trusts and /or other special purpose entities that have been evaluated as being required to be consolidated by the Company under the applicable accounting guidance. |
Offering Costs Related to Issuance and Redemption of Preferred Stock | Offering Costs Related to Issuance and Redemption of Preferred Stock Offering costs related to the issuance of preferred stock are recorded as a reduction in Additional paid-in capital, a component of Stockholders’ Equity, at the time such preferred stock is issued. On redemption of preferred stock, any excess of the fair value of the consideration transferred to the holders of the preferred stock over the carrying amount of the preferred stock in the Company’s consolidated balance sheets is included in the determination of Net Income Available to Common Stock and Participating Securities in the calculation of EPS. |
New Accounting Standards and Interpretations | New Accounting Standards and Interpretations Accounting Standards Adopted in 2018 Compensation - Stock Compensation - Scope of Modification Accounting In May 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-09, Scope of Modification Accounting (“ASU 2017-09”). The amendments in ASU 2017-09 provide guidance about which changes to the terms or conditions of a share-based payment award require an entity to apply modification accounting. Pursuant to this ASU, an entity should account for the effects of a modification unless all of the following are met: (1) the fair value (or calculated value or intrinsic value, if such an alternative measurement method is used) of the modified award is the same as the fair value (or calculated value or intrinsic value, if such an alternative measurement method is used) of the original award immediately before the original award is modified; (2) the vesting conditions of the modified award are the same as the vesting conditions of the original award immediately before the original award is modified; and (3) the classification of the modified award as an equity instrument or a liability instrument is the same as the classification of the original award immediately before the original award date is modified. The Company adopted ASU 2017-09 on January 1, 2018 and its adoption did not have an impact on its financial position or financial statement disclosures. Statement of Cash Flows - Restricted Cash In November 2016, the FASB issued ASU 2016-18, Restricted Cash (“ASU 2016-18”). ASU 2016-18 clarifies how entities should present restricted cash and restricted cash equivalents in the statement of cash flows with the objective of reducing the existing diversity in practice. The amendments in ASU 2016-18 require restricted cash and restricted cash equivalents to be included with cash and cash equivalents when reconciling the beginning-of-period and end-of period total amounts shown on the statement of cash flows. The Company adopted ASU 2016-18 on January 1, 2018 and its adoption did not have a significant impact on its financial position or financial statement disclosures. Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments In August 2016, the FASB issued ASU 2016-15, Classification of Certain Cash Receipts and Cash Payments (“ASU 2016-15”). The amendments in ASU 2016-15 provide guidance for eight specific cash flow classification issues, certain cash receipts and cash payments on the statement of cash flows with the objective of reducing the existing diversity in practice. The Company adopted ASU 2016-15 on January 1, 2018 and its adoption did not have a significant impact on its financial position or financial statement disclosures. Financial Instruments - Overall - Recognition and Measurement of Financial Assets and Financial Liabilities In January 2016, the FASB issued ASU 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities (“ASU 2016-01”). The amendments in this ASU affect all entities that hold financial assets or owe financial liabilities, and address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. The classification and measurement guidance of investments in debt securities and loans are not affected by the amendments in this ASU. ASU 2016-01 was effective for the Company for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017. The Company’s adoption of this ASU on January 1, 2018 did not have a significant impact on the Company’s financial position or financial statement disclosures as the classification and measurement of its investments in debt securities and loans were not affected by the amendments in this ASU. Revenue from Contracts with Customers In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (“ASU 2014-09”). The ASU requires an entity to recognize revenue in an amount that reflects the consideration to which it expects to be entitled for the transfer of promised goods or services to customers. ASU 2014-09 replaced most existing revenue recognition guidance in GAAP when it became effective. The Company adopted this ASU on January 1, 2018 and its adoption did not have a material impact on the Company’s financial position or financial statement disclosures as the majority of the Company’s revenues are generated by financial instruments that are explicitly scoped out of this ASU. On adoption of the new standard on January 1, 2018, the Company recorded a transition adjustment, under the modified retrospective approach, of approximately $295,000 to the opening balance of retained earnings in order to reflect the recognition of a gain on sale of REO that was previously deferred under the prior accounting guidance. |
Residential Morgage Securities and MSR Related Assets (Tables) |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of information about MBS and CRT Securities | The following tables present certain information about the Company’s residential mortgage securities at December 31, 2018 and 2017: December 31, 2018
December 31, 2017
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Schedule of information about MBS and CRT Securities that were in an unrealized loss position | The following table presents information about the Company’s residential mortgage securities that were in an unrealized loss position at December 31, 2018:
(1) Amounts disclosed at December 31, 2018 include Agency MBS with a fair value of $736.5 million on which the fair value option has been elected. Such securities had unrealized losses of $3.3 million at December 31, 2018. (2) Based on management’s current estimates of future principal cash flows expected to be received. (3) Amounts disclosed at December 31, 2018 includes CRT securities with a fair value of $151.8 million for which the fair value option has been elected. |
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Schedule of composition of OTTI charges recorded | The following table presents the composition of OTTI charges recorded by the Company for the years ended December 31, 2018, 2017 and 2016:
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Schedule of changes in credit loss component of OTTI | The following table presents a roll-forward of the credit loss component of OTTI on the Company’s Non-Agency MBS for which a non-credit component of OTTI was previously recognized in OCI. Changes in the credit loss component of OTTI are presented based upon whether the current period is the first time OTTI was recorded on a security or a subsequent OTTI charge was recorded.
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Schedule of changes in the components of the purchase discount on Non-Agency MBS | The following table presents the changes in the components of the Company’s purchase discount on its Non-Agency MBS between purchase discount designated as Credit Reserve and OTTI and accretable purchase discount for the years ended December 31, 2018 and 2017:
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Schedule of impact of AFS on AOCI | The following table presents the impact of the Company’s AFS securities on its AOCI for the years ended December 31, 2018, 2017, and 2016:
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Schedule of interest income on MBS, CRT Securities and MSR Related Assets | The following table presents components of interest income on the Company’s residential mortgage securities and MSR-related assets for the years ended December 31, 2018, 2017 and 2016:
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Residential Whole Loans (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential Whole Loans, at Carrying Value | The following table presents the components of the Company’s Residential whole loans, at carrying value at December 31, 2018 and 2017:
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Schedule of Interest Income Components | The following table presents components of interest income on the Company’s Residential whole loans, at carrying value for the years ended December 31, 2018, 2017 and 2016:
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Financing Receivable Credit Quality Indicators | The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at December 31, 2018: December 31, 2018
(1) Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. (2) LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $79.0 million, an after repaired valuation was not obtained and the loan was underwritten based on an“as is” valuation. The LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 67%. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. (3) Excluded from the table above are approximately $16.4 million of purchased performing loans held at carrying value for which the closing of the purchase transaction had not occurred as of December 31, 2018. |
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Schedule of Activity in Allowance for Loan Losses, Residential Whole Loans | The following table presents the activity in the Company’s allowance for loan losses on its purchased credit impaired loans held at carrying value for the years ended December 31, 2018, 2017 and 2016:
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Certain Loans Acquired in Transfer Not Accounted for as Debt Securities Acquired During Period | The following table presents information regarding the estimates of the contractually required payments, the cash flows expected to be collected, and the estimated fair value of the purchased credit impaired loans held at carrying value acquired by the Company for the years ended December 31, 2018 and 2017:
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Certain Loans Acquired in Transfer Not Accounted for as Debt Securities, Accretable Yield Movement | The following table presents accretable yield activity for the Company’s purchased credit impaired loans held at carrying value for the years ended December 31, 2018 and 2017:
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Residential Whole Loans, Fair Value | The following table presents information regarding the Company’s residential whole loans held at fair value at December 31, 2018 and 2017:
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Residential Whole Loans, Fair Value, Component of Net gain on residential whole loans | The following table presents the components of Net gain on residential whole loans measured at fair value through earnings for the years ended December 31, 2018, 2017 and 2016:
(1) Primarily includes recovery of delinquent interest upon the liquidation of non-performing loans, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans. |
Other Assets (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Other Assets [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of other assets | The following table presents the components of the Company’s Other assets at December 31, 2018 and 2017:
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Schedule of activity for real estate owned | The following table presents the activity in the Company’s REO for the years ended December 31, 2018 and 2017:
(1) Includes net gain recorded on transfer of approximately $19.6 million and $10.2 million, respectively, for the years ended December 31, 2018 and 2017. |
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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 December 31, 2018 and 2017:
(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. |
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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 December 31, 2018 and 2017:
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Schedule of information about swaps | The following table presents information about the Company’s Swaps at December 31, 2018 and 2017:
(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. |
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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 years ended December 31, 2018, 2017 and 2016:
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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 years ended December 31, 2018, 2017 and 2016:
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Repurchase Agreements and Other Advances (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 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 December 31, 2018 and 2017:
(1) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. (2) Excludes $27,000 and $206,000 of unamortized debt issuance costs at December 31, 2018 and 2017, respectively. (3) At December 31, 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. (4) At December 31, 2018 and 2017, includes residential whole loans held at carrying value with an aggregate fair value of $1.7 billion and $478.5 million and aggregate amortized cost of $1.6 billion and $448.7 million, respectively and residential whole loans held at fair value with an aggregate fair value and amortized cost of $738.6 million and $996.2 million, respectively. |
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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, 2018 and 2017:
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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, 2018 and does not reflect the impact of derivative contracts that hedge such repurchase agreements:
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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, 2018:
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Other Liabilities (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Liabilities [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Liabilities | The following table presents the components of the Company’s Other liabilities at December 31, 2018 and 2017:
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Commitments and Contingencies (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Future Minimum Rental Payments for Operating Leases | At December 31, 2018, the contractual minimum rental payments (exclusive of possible rent escalation charges and normal recurring charges for maintenance, insurance and taxes) were as follows:
(1) Table excludes amounts related to the lease agreement for new office space discussed above as the Company is not contractually obligated to make rental payments until fourteen months after a temporary certificate of occupancy is delivered to the landlord, which is currently expected to occur on or before October 2020. |
Stockholders' Equity (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Stockholders' Equity Note [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of cash dividends declared on Series B preferred stock | The following table presents cash dividends declared by the Company on its Series B Preferred Stock from January 1, 2016 through December 31, 2018:
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Schedule of cash dividends declared on common stock | The following table presents cash dividends declared by the Company on its common stock from January 1, 2016 through December 31, 2018:
(1) At December 31, 2018, the Company had accrued dividends and dividend equivalents payable of $90.2 million related to the common stock dividend declared on December 12, 2018. |
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Public Offering of Common Stock | The table below presents information with respect to shares of the Company’s common stock issued through public offerings during the years ended December 31, 2018 and 2017.
(1) Includes approximately 875,000 shares issued on September 5, 2018 pursuant to the exercise of the underwriters’ option to purchase additional shares. The Company incurred approximately $6.4 million of underwriting discounts and related expenses in connection with this equity offering. (2) The Company incurred approximately $2.3 million of underwriting discounts and related expenses in connection with this equity offering. |
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Schedule of changes in balances in each component of the entity's AOCI | The following table presents changes in the balances of each component of the Company’s AOCI for the years ended December 31, 2018, 2017 and 2016:
(1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). |
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Information about the significant amounts reclassified out of the entity's AOCI | The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the years ended December 31, 2018, 2017, and 2016:
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EPS Calculation (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings Per Share [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of reconciliation of the earnings and shares used in calculating basic and diluted EPS | The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the years ended December 31, 2018, 2017 and 2016:
(1) At December 31, 2018, the Company had approximately 2.1 million equity instruments outstanding that were not included in the calculation of diluted EPS for the year ended December 31, 2018, as their inclusion would have been anti-dilutive. These equity instruments reflect RSUs (based on current estimate of expected share settlement amount) with a weighted average grant date fair value of $6.78. These equity instruments may have a dilutive impact on future EPS. |
Equity Compensation, Employment Agreements and Other Benefit Plans (Tables) |
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Compensation Related Costs [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of restricted stock units activity | The following table presents information with respect to the Company’s RSUs during the years ended December 31, 2018, 2017 and 2016:
(1) The weighted average grant date fair value of these awards require the Company to estimate certain valuation inputs. In determining the fair value for 692,500 of these awards granted in 2018, the Company applied: (i) a weighted average volatility estimate of approximately 17%, which was determined considering historic volatility in the price of the Company’s and its peer group companies’ common stock over the three-year period prior to the grant date and the implied volatility of certain exchange-traded options on the Company’s and peer group companies’ common stock at the grant date; and (ii) a weighted average risk-free rate of 2.36% based on the continuously compounded constant maturity treasury rate corresponding to a maturity commensurate with the expected vesting term of the awards. The weighted average grant date fair value for the remaining 151,302 awards with a service condition only was estimated based on the closing price of the Company’s common stock at the grant date of $7.70. There are no post vesting conditions on these awards. (2) The weighted average grant date fair value of these awards require the Company to estimate certain valuation inputs. In determining the fair value for 758,750 of these awards granted in 2017, the Company applied: (i) a weighted average volatility estimate of approximately 15%, which was determined considering historic volatility in the price of Company’s and its peer group companies’ common stock over the three-year period prior to the grant date and the implied volatility of certain exchange-traded options on the Company’s and peer group companies’ common stock at the grant date; and (ii) a weighted average risk-free rate of 1.46% based on the continuously compounded constant maturity treasury rate corresponding to a maturity commensurate with the expected vesting term of the awards. The weighted average grant date fair value for the remaining 140,195 awards with a service condition only was estimated based on the closing price of the Company’s common stock at the grant date of $8.31. There are no post vesting conditions on these awards. (3) The weighted average grant date fair value of these awards require the Company to estimate certain valuation inputs. In determining the fair value for 615,000 of these awards granted in 2016, the Company applied: (i) a weighted average volatility estimate of approximately 17%, which was determined considering historic volatility in the price of Company’s common stock over the three-year period prior to the grant date and the implied volatility of certain exchange-traded options on the Company’s common stock at the grant date; (ii) a weighted average risk-free rate of 1.20% based on the continuously compounded constant maturity treasury rate corresponding to a maturity commensurate with the expected vesting term of the awards; and (iii) an estimated annual dividend yield of 11%. The weighted average grant date fair value for the remaining 113,195 awards with a service condition only was estimated based on the closing price of the Company’s common stock at the grant date of $7.20. There are no post vesting conditions on these awards. |
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Schedule of restricted stock activity | The following table presents information with respect to the Company’s restricted stock for the years ended December 31, 2018, 2017 and 2016:
(1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. (2) All restrictions associated with restricted stock are removed on vesting. |
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Schedule of dividend equivalent rights activity | The following table presents information about the Company’s dividend equivalents rights awarded as separate instruments at and for the year ended December 31, 2016. No such awards were granted during 2018 and 2017:
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Schedule of expenses related to equity-based compensation | The following table presents the Company’s expenses related to its equity-based compensation instruments for the years ended December 31, 2018, 2017 and 2016:
(1) Equity-based compensation for the year ended December 31, 2017 includes a one-time expense of approximately $900,000 for the accelerated vesting of certain time-based equity awards arising from the death of the Company’s former Chief Executive Officer. |
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Schedule of expenses related to deferred compensation plans | The following table presents the Company’s expenses related to its Deferred Plans for the years ended December 31, 2018, 2017 and 2016:
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Schedule of aggregate income deferred by participants and associated liability under deferred compensation plans | The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through December 31, 2018 and 2017 that had not been distributed and the Company’s associated liability for such deferrals at December 31, 2018 and 2017:
(1) Represents the cumulative amounts that were deferred by participants through December 31, 2018 and 2017, which had not been distributed through such respective date. |
Fair Value of Financial Instruments (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of quantitative information about significant unobservable inputs | The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s residential whole loans held at fair value for which it has utilized Level 3 inputs to determine fair value as of December 31, 2018 and 2017:
The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of December 31, 2018 and 2017, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at December 31, 2018
Fair Value at December 31, 2017
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Schedule of significant unobservable inputs used in fair value measurement | The following table presents additional information for the years ended December 31, 2018 and 2017 about the Company’s Residential whole loans, at fair value, which are classified as Level 3 and measured at fair value on a recurring basis:
The following table presents additional information for the years ended December 31, 2018 and 2017 about the Company’s investments in term notes backed by MSR-related collateral held at fair value, which are classified as Level 3 and measured at fair value on a recurring basis:
(1) Investments in term notes backed by MSR-related collateral were transferred from Level 2 to Level 3 during the year ended December 31, 2017 as there had been very limited secondary market trading in these securities since issuance. Transfers between levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. |
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Schedule of carrying value and fair value of financial instruments | The following table presents the carrying values and estimated fair values of the Company’s financial instruments at December 31, 2018 and 2017:
(1) Carrying value of securitized debt, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. |
Use of Special Purpose Entities and Variable Interest Entities (Tables) |
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Dec. 31, 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Use of Special Purpose Entities and Variable Interest Entities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of key details related to securitization transactions | The following table summarizes the key details of the Company’s loan securitization transactions as of December 31, 2018 and 2017:
|
Summary of Quarterly Results of Operations (Unaudited) (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Quarterly Results of Operations (Unaudited) |
|
Summary of Significant Accounting Policies (MSR Related Assets, Residential Whole Loans, Cash and Goodwill) (Details) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2018
USD ($)
segment
|
Dec. 31, 2017
USD ($)
|
|
Accounting Policies [Abstract] | ||
Number of reportable segments | segment | 1 | |
Number of operating segments | segment | 1 | |
Number of days considered to classify loans delinquent (less than) | 60 days | |
LTV percentage (or less) | 80.00% | |
Cash and cash equivalents | $ 51,965 | $ 449,757 |
Overnight money market funds | 30,000 | 354,000 |
Restricted cash | 36,744 | 13,986 |
Goodwill | $ 7,189 | $ 7,189 |
Summary of Significant Accounting Policies (Depreciation) (Details) - Furniture, fixtures, computers and related hardwares |
12 Months Ended |
---|---|
Dec. 31, 2018 | |
Minimum | |
Estimated useful life of long-lived assets | |
Estimated useful life | 5 years |
Maximum | |
Estimated useful life of long-lived assets | |
Estimated useful life | 8 years |
Summary of Significant Accounting Policies (Repurchase Agreements) (Details) |
12 Months Ended |
---|---|
Dec. 31, 2018 | |
Accounting Policies [Abstract] | |
Repurchase financing period, low end of range | 1 month |
Repurchase financing period, high end of range | 6 months |
Summary of Significant Accounting Policies (Equity-Based Compensation, Taxes, Derivatives) (Details) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2018 |
Dec. 31, 2014 |
|
Income Tax Disclosure | ||
Percentage of annual REIT taxable income intended to be distributed to stockholders | 100.00% | |
Income tax expense | $ 0 | |
Deferred tax assets, TRS | $ 22,300,000 | |
Restricted Stock Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting period of restricted share units (RSUs) | 3 years |
Summary of Significant Accounting Policies (New Accounting Standards and Interpretations) (Details) |
Jan. 01, 2018
USD ($)
|
---|---|
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | $ 295,000 |
Retained Earnings | Accounting Standards Update 2014-09 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | $ 295,000 |
Residential Morgage Securities and MSR Related Assets (Narrative) (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Debt Securities, Available-for-sale [Line Items] | |||
Minimum term of fixed rate mortgages underlying MBS, years | 15 years | ||
Mortgage Backed Securities, Period of Fixed Rate Mortgages Maximum | 30 years | ||
Reclassification adjustment for other-than-temporary impairments included in net income | $ 1,259 | $ 1,032 | $ 485 |
Minimum | RPL/NPL MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt instrument, basis spread on variable rate | 3.00% | ||
Debt instrument, coupon step-up period | 36 months | ||
Maximum | RPL/NPL MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt instrument, basis spread on variable rate | 4.00% | ||
Debt instrument, coupon step-up period | 48 months |
Residential Morgage Securities and MSR Related Assets (MBS and CRT Securities) (Details) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
|
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | $ 6,646,178,000 | $ 7,060,004,000 |
Purchase Premiums | 112,369,000 | 113,003,000 |
Accretable Purchase Discounts | (154,942,000) | (218,915,000) |
Discount Designated as Credit Reserve and OTTI | (516,116,000) | (593,227,000) |
Amortized Cost | 6,088,525,000 | 6,362,756,000 |
Fair Value | 6,509,333,000 | 7,023,050,000 |
Gross Unrealized Gains | 484,591,000 | 703,907,000 |
Gross Unrealized Losses | 63,783,000 | 43,613,000 |
Net Unrealized Gain/(Loss) | 420,808,000 | 660,294,000 |
Principal payments receivable | 1,000,000 | 1,900,000 |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 2,630,630,000 | 2,738,462,000 |
Purchase Premiums | 103,008,000 | 104,066,000 |
Accretable Purchase Discounts | (24,000) | (40,000) |
Discount Designated as Credit Reserve and OTTI | 0 | 0 |
Amortized Cost | 2,734,650,000 | 2,844,379,000 |
Fair Value | 2,698,213,000 | 2,824,681,000 |
Gross Unrealized Gains | 13,061,000 | 23,439,000 |
Gross Unrealized Losses | 49,498,000 | 43,137,000 |
Net Unrealized Gain/(Loss) | (36,437,000) | (19,698,000) |
Agency MBS | Fannie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 1,716,340,000 | 2,170,974,000 |
Purchase Premiums | 65,930,000 | 82,271,000 |
Accretable Purchase Discounts | (24,000) | (40,000) |
Discount Designated as Credit Reserve and OTTI | 0 | 0 |
Amortized Cost | 1,782,246,000 | 2,253,205,000 |
Fair Value | 1,762,032,000 | 2,246,600,000 |
Gross Unrealized Gains | 12,107,000 | 21,736,000 |
Gross Unrealized Losses | 32,321,000 | 28,341,000 |
Net Unrealized Gain/(Loss) | (20,214,000) | (6,605,000) |
Agency MBS | Freddie Mac | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 909,561,000 | 561,346,000 |
Purchase Premiums | 36,991,000 | 21,683,000 |
Accretable Purchase Discounts | 0 | 0 |
Discount Designated as Credit Reserve and OTTI | 0 | 0 |
Amortized Cost | 947,588,000 | 584,920,000 |
Fair Value | 931,318,000 | 571,748,000 |
Gross Unrealized Gains | 907,000 | 1,624,000 |
Gross Unrealized Losses | 17,177,000 | 14,796,000 |
Net Unrealized Gain/(Loss) | (16,270,000) | (13,172,000) |
Agency MBS | Ginnie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 4,729,000 | 6,142,000 |
Purchase Premiums | 87,000 | 112,000 |
Accretable Purchase Discounts | 0 | 0 |
Discount Designated as Credit Reserve and OTTI | 0 | 0 |
Amortized Cost | 4,816,000 | 6,254,000 |
Fair Value | 4,863,000 | 6,333,000 |
Gross Unrealized Gains | 47,000 | 79,000 |
Gross Unrealized Losses | 0 | 0 |
Net Unrealized Gain/(Loss) | 47,000 | 79,000 |
Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 3,538,804,000 | 3,718,743,000 |
Purchase Premiums | 40,000 | 50,000 |
Accretable Purchase Discounts | (155,025,000) | (215,325,000) |
Discount Designated as Credit Reserve and OTTI | (516,116,000) | (593,227,000) |
Amortized Cost | 2,867,703,000 | 2,910,241,000 |
Fair Value | 3,318,299,000 | 3,533,966,000 |
Gross Unrealized Gains | 458,985,000 | 624,178,000 |
Gross Unrealized Losses | 8,389,000 | 453,000 |
Net Unrealized Gain/(Loss) | 450,596,000 | 623,725,000 |
Credit reserve | 503,300,000 | 579,000,000 |
OTTI | 12,800,000 | 14,200,000 |
Non-Agency MBS | Expected to Recover Par | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 1,536,485,000 | 1,128,808,000 |
Purchase Premiums | 40,000 | 50,000 |
Accretable Purchase Discounts | (21,725,000) | (22,737,000) |
Discount Designated as Credit Reserve and OTTI | 0 | 0 |
Amortized Cost | 1,514,800,000 | 1,106,121,000 |
Fair Value | 1,527,700,000 | 1,132,205,000 |
Gross Unrealized Gains | 20,520,000 | 26,518,000 |
Gross Unrealized Losses | 7,620,000 | 434,000 |
Net Unrealized Gain/(Loss) | 12,900,000 | 26,084,000 |
Non-Agency MBS | Expected to Recover Less Than Par | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 2,002,319,000 | 2,589,935,000 |
Purchase Premiums | 0 | 0 |
Accretable Purchase Discounts | (133,300,000) | (192,588,000) |
Discount Designated as Credit Reserve and OTTI | (516,116,000) | (593,227,000) |
Amortized Cost | 1,352,903,000 | 1,804,120,000 |
Fair Value | 1,790,599,000 | 2,401,761,000 |
Gross Unrealized Gains | 438,465,000 | 597,660,000 |
Gross Unrealized Losses | 769,000 | 19,000 |
Net Unrealized Gain/(Loss) | $ 437,696,000 | $ 597,641,000 |
Percentage of current face amount of Non-Agency MBS to be recovered | 85.00% | 84.00% |
Total MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | $ 6,169,434,000 | $ 6,457,205,000 |
Purchase Premiums | 103,048,000 | 104,116,000 |
Accretable Purchase Discounts | (155,049,000) | (215,365,000) |
Discount Designated as Credit Reserve and OTTI | (516,116,000) | (593,227,000) |
Amortized Cost | 5,602,353,000 | 5,754,620,000 |
Fair Value | 6,016,512,000 | 6,358,647,000 |
Gross Unrealized Gains | 472,046,000 | 647,617,000 |
Gross Unrealized Losses | 57,887,000 | 43,590,000 |
Net Unrealized Gain/(Loss) | 414,159,000 | 604,027,000 |
CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 476,744,000 | 602,799,000 |
Purchase Premiums | 9,321,000 | 8,887,000 |
Accretable Purchase Discounts | 107,000 | (3,550,000) |
Discount Designated as Credit Reserve and OTTI | 0 | 0 |
Amortized Cost | 486,172,000 | 608,136,000 |
Fair Value | 492,821,000 | 664,403,000 |
Gross Unrealized Gains | 12,545,000 | 56,290,000 |
Gross Unrealized Losses | 5,896,000 | 23,000 |
Net Unrealized Gain/(Loss) | 6,649,000 | 56,267,000 |
Agency MBS, Fair Value Option | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 736,500,000 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized Losses | 3,300,000 | |
Debt securities, fair value option | 736,500,000 | |
RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 1,400,000,000 | 922,000,000 |
Amortized Cost | 1,400,000,000 | 920,100,000 |
Fair Value | 1,400,000,000 | 923,100,000 |
CRT, Fair Value Option | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | 477,400,000 | 528,900,000 |
Gross Unrealized Gains | 12,500,000 | 40,500,000 |
Gross Unrealized Losses | $ 5,600,000 | $ 23,000 |
Residential Morgage Securities and MSR Related Assets (Sales of Residential Mortgage Securities) (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Agency MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Proceeds from sale of MBS categorized as available-for-sale | $ 122.0 | ||
Gains on sales of MBS | 6.8 | ||
CRT securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Proceeds from sale of MBS categorized as available-for-sale | 299.9 | ||
Gains on sales of MBS | 31.4 | ||
Non-Agency MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Proceeds from sale of MBS categorized as available-for-sale | 117.1 | $ 104.0 | $ 85.6 |
Gains on sales of MBS | $ 36.7 | $ 39.9 | $ 35.8 |
Residential Morgage Securities and MSR Related Assets (Unrealized Losses on Residential Mortgage Securities) (Details) $ in Thousands |
Dec. 31, 2018
USD ($)
security
|
Dec. 31, 2017
USD ($)
|
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | $ 2,306,148 | |
Unrealized losses, less than 12 months | $ 17,289 | |
Number of securities, less than 12 months | security | 165 | |
Fair value, 12 months or more | $ 1,300,638 | |
Unrealized losses, 12 months or more | $ 46,494 | |
Number of securities, 12 months or more | security | 426 | |
Fair Value | $ 3,606,786 | |
Unrealized losses | 63,783 | |
MBS and CRT securities | 6,509,333 | $ 7,023,050 |
Unrealized losses | 63,783 | 43,613 |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | 891,308 | |
Unrealized losses, less than 12 months | $ 4,546 | |
Number of securities, less than 12 months | security | 82 | |
Fair value, 12 months or more | $ 1,207,141 | |
Unrealized losses, 12 months or more | $ 44,952 | |
Number of securities, 12 months or more | security | 416 | |
Fair Value | $ 2,098,449 | |
Unrealized losses | 49,498 | |
MBS and CRT securities | 2,698,213 | 2,824,681 |
Unrealized losses | 49,498 | 43,137 |
Agency MBS | Fannie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | 282,850 | |
Unrealized losses, less than 12 months | $ 1,215 | |
Number of securities, less than 12 months | security | 67 | |
Fair value, 12 months or more | $ 919,504 | |
Unrealized losses, 12 months or more | $ 31,106 | |
Number of securities, 12 months or more | security | 293 | |
Fair Value | $ 1,202,354 | |
Unrealized losses | 32,321 | |
MBS and CRT securities | 1,762,032 | 2,246,600 |
Unrealized losses | 32,321 | 28,341 |
Agency MBS | Freddie Mac | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | 608,458 | |
Unrealized losses, less than 12 months | $ 3,331 | |
Number of securities, less than 12 months | security | 15 | |
Fair value, 12 months or more | $ 287,637 | |
Unrealized losses, 12 months or more | $ 13,846 | |
Number of securities, 12 months or more | security | 123 | |
Fair Value | $ 896,095 | |
Unrealized losses | 17,177 | |
MBS and CRT securities | 931,318 | 571,748 |
Unrealized losses | 17,177 | 14,796 |
Agency MBS | Ginnie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
MBS and CRT securities | 4,863 | 6,333 |
Unrealized losses | 0 | 0 |
Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | 1,247,645 | |
Unrealized losses, less than 12 months | $ 6,847 | |
Number of securities, less than 12 months | security | 42 | |
Fair value, 12 months or more | $ 93,497 | |
Unrealized losses, 12 months or more | $ 1,542 | |
Number of securities, 12 months or more | security | 10 | |
Fair Value | $ 1,341,142 | |
Unrealized losses | 8,389 | |
MBS and CRT securities | 3,318,299 | 3,533,966 |
Unrealized losses | 8,389 | 453 |
Non-Agency MBS | Expected to Recover Par | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | 1,193,422 | |
Unrealized losses, less than 12 months | $ 6,187 | |
Number of securities, less than 12 months | security | 31 | |
Fair value, 12 months or more | $ 91,469 | |
Unrealized losses, 12 months or more | $ 1,433 | |
Number of securities, 12 months or more | security | 9 | |
Fair Value | $ 1,284,891 | |
Unrealized losses | 7,620 | |
MBS and CRT securities | 1,527,700 | 1,132,205 |
Unrealized losses | 7,620 | 434 |
Non-Agency MBS | Expected to Recover Less Than Par | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | 54,223 | |
Unrealized losses, less than 12 months | $ 660 | |
Number of securities, less than 12 months | security | 11 | |
Fair value, 12 months or more | $ 2,028 | |
Unrealized losses, 12 months or more | $ 109 | |
Number of securities, 12 months or more | security | 1 | |
Fair Value | $ 56,251 | |
Unrealized losses | 769 | |
MBS and CRT securities | 1,790,599 | 2,401,761 |
Unrealized losses | 769 | 19 |
Total MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | 2,138,953 | |
Unrealized losses, less than 12 months | $ 11,393 | |
Number of securities, less than 12 months | security | 124 | |
Fair value, 12 months or more | $ 1,300,638 | |
Unrealized losses, 12 months or more | $ 46,494 | |
Number of securities, 12 months or more | security | 426 | |
Fair Value | $ 3,439,591 | |
Unrealized losses | 57,887 | |
MBS and CRT securities | 6,016,512 | 6,358,647 |
Unrealized losses | 57,887 | 43,590 |
CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair value, less than 12 months | 167,195 | |
Unrealized losses, less than 12 months | $ 5,896 | |
Number of securities, less than 12 months | security | 41 | |
Fair value, 12 months or more | $ 0 | |
Unrealized losses, 12 months or more | $ 0 | |
Number of securities, 12 months or more | security | 0 | |
Fair Value | $ 167,195 | |
Unrealized losses | 5,896 | |
MBS and CRT securities | 492,821 | 664,403 |
Unrealized losses | 5,896 | $ 23 |
Agency MBS, Fair Value Option | ||
Debt Securities, Available-for-sale [Line Items] | ||
MBS and CRT securities | 736,500 | |
Unrealized losses | 3,300 | |
CRT in Loss Positions Only, Fair Value Option | ||
Debt Securities, Available-for-sale [Line Items] | ||
MBS and CRT securities | 151,800 | |
Unrealized losses | $ 5,600 |
Residential Morgage Securities and MSR Related Assets (Composition of OTTI Charges) (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Investments, Debt and Equity Securities [Abstract] | |||
Total OTTI losses | $ (1,259) | $ (63) | $ (1,255) |
OTTI recognized in/(reclassified from) OCI | 0 | (969) | 770 |
OTTI recognized in earnings | $ (1,259) | $ (1,032) | $ (485) |
Residential Morgage Securities and MSR Related Assets (Credit Loss Component of OTTI) (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||
Credit loss component of OTTI at beginning of period | $ 38,337 | $ 37,305 | $ 36,820 |
Additions for credit related OTTI not previously recognized | 1,259 | 63 | 314 |
Subsequent additional credit related OTTI recorded | 0 | 969 | 171 |
Credit loss component of OTTI at end of period | $ 39,596 | $ 38,337 | $ 37,305 |
Residential Morgage Securities and MSR Related Assets (Purchase Discounts) (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
|
Discount Designated as Credit Reserve and OTTI | Non-Agency MBS | ||
Changes in the components of the purchase discount on Non-Agency MBS | ||
Balance at beginning of period | $ (593,227) | $ (694,241) |
Impact of RMBS Issuer Settlement | 0 | 0 |
Accretion of discount | 0 | 0 |
Other than Temporary Impairment Losses, Investments, Portion in Other Comprehensive Income Loss, Tax, Including Portion Attributable to Noncontrolling Interest, Available-for-sale Securities | 42,246 | 49,291 |
Purchases | (2,512) | (29,810) |
Sales | 12,987 | 31,730 |
Net impairment losses recognized in earnings | (1,259) | (1,032) |
Transfers/release of credit reserve | 25,649 | 50,835 |
Balance at end of period | (516,116) | (593,227) |
Accretable Discount | Non-Agency MBS | ||
Changes in the components of the purchase discount on Non-Agency MBS | ||
Balance at beginning of period | (215,325) | (278,191) |
Impact of RMBS Issuer Settlement | (14,822) | 0 |
Accretion of discount | 70,750 | 77,513 |
Other than Temporary Impairment Losses, Investments, Portion in Other Comprehensive Income Loss, Tax, Including Portion Attributable to Noncontrolling Interest, Available-for-sale Securities | 0 | 0 |
Purchases | 1,685 | 18,386 |
Sales | 28,336 | 17,802 |
Net impairment losses recognized in earnings | 0 | 0 |
Transfers/release of credit reserve | (25,649) | (50,835) |
Balance at end of period | (155,025) | $ (215,325) |
Lehman Brothers | ||
Changes in the components of the purchase discount on Non-Agency MBS | ||
Proceeds from legal settlements | 2,700 | |
Jp Morgan Chase | ||
Changes in the components of the purchase discount on Non-Agency MBS | ||
Proceeds from legal settlements | $ 12,100 |
Residential Morgage Securities and MSR Related Assets (MSR-Related Assets - Narrative) (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Term notes backed by MSR-related collateral | |||
Debt Securities, Available-for-sale [Line Items] | |||
Term notes backed by MSR-related collateral | $ 538,499 | $ 381,804 | |
Amortized costs | 538,500 | 381,000 | |
Gross unrealized gains | $ 7 | $ 804 | |
Weighted average yield | 5.32% | 5.80% | |
Weighted average to maturity | 4 years 8 months 5 days | 3 years 4 months 24 days | |
Corporate Loan | |||
Debt Securities, Available-for-sale [Line Items] | |||
Commitment to lend | $ 100,000 | $ 130,000 | |
Amount drawn | $ 73,300 | $ 111,200 | |
Interest coupon rate | 5.88% | ||
Remaining term | 1 year 8 months 12 days | ||
Commitment period on undrawn amount | 1 year 8 months 12 days | ||
Commitment fee income | $ 136 | ||
Interest income | 5,000 | 7,900 | |
Discount accretion | $ 1,300 | $ 296 | |
Minimum | Corporate Loan | |||
Debt Securities, Available-for-sale [Line Items] | |||
Financing Receivable, Commitment Fee Income Rate | 0.25% | ||
Maximum | Corporate Loan | |||
Debt Securities, Available-for-sale [Line Items] | |||
Financing Receivable, Commitment Fee Income Rate | 1.00% |
Residential Morgage Securities and MSR Related Assets (Impact of AFS Securities on AOCI) (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
AOCI from AFS Securities: | |||
Unrealized gain on AFS securities at beginning of period | $ 620,648 | $ 620,403 | $ 585,250 |
Reclassification adjustment for MBS sales included in net income | (51,580) | (38,707) | (36,922) |
Reclassification adjustment for OTTI included in net income | (1,259) | (1,032) | (485) |
Change in AOCI from AFS securities | (203,481) | 245 | 35,153 |
Balance at end of period | 417,167 | 620,648 | 620,403 |
Agency MBS | |||
AOCI from AFS Securities: | |||
Unrealized (loss)/gain on AFS securities, net | (17,891) | (39,158) | (9,322) |
Non-Agency MBS | |||
AOCI from AFS Securities: | |||
Unrealized (loss)/gain on AFS securities, net | (131,939) | 78,337 | 81,882 |
Unrealized (loss)/gain on MSR term notes, net | |||
AOCI from AFS Securities: | |||
Unrealized (loss)/gain on AFS securities, net | $ (812) | $ 805 | $ 0 |
Residential Morgage Securities and MSR Related Assets (Interest Income) (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Agency MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon interest | $ 88,233 | $ 96,678 | $ 119,966 |
Effective yield adjustment | (25,930) | (31,323) | (36,897) |
Interest income | 62,303 | 65,355 | 83,069 |
Legacy Non-Agency MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon interest | 109,714 | 127,645 | 154,057 |
Effective yield adjustment | 69,309 | 76,005 | 78,443 |
Interest income | 179,023 | 203,650 | 232,500 |
Accretion Income | 2,700 | 1,700 | 7 |
RPL/NPL MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon interest | 46,339 | 65,957 | 98,213 |
Effective yield adjustment | 1,434 | 1,505 | 2,108 |
Interest income | 47,773 | 67,462 | 100,321 |
Accretion Income | 1,400 | 1,200 | 1,600 |
CRT securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon interest | 30,628 | 27,706 | 13,023 |
Effective yield adjustment | 2,748 | 4,009 | 1,747 |
Interest income | 33,376 | 31,715 | 14,770 |
MSR related assets | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon interest | 27,176 | 24,534 | 2,090 |
Effective yield adjustment | 1,244 | 296 | 10 |
Interest income | $ 28,420 | $ 24,830 | $ 2,100 |
Residential Whole Loans (Narrative) (Details) - USD ($) $ in Billions |
Dec. 31, 2018 |
Dec. 31, 2017 |
---|---|---|
Receivables [Abstract] | ||
Total residential whole loans | $ 4.7 | $ 2.2 |
Residential Whole Loans (Residential Whole Loans, at Carrying Value) (Details) $ in Thousands |
Dec. 31, 2018
USD ($)
loan
|
Dec. 31, 2017
USD ($)
loan
|
---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Total Residential whole loans, at carrying value | $ 3,016,715 | $ 908,516 |
Number of loans | loan | 11,149 | 4,792 |
Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | $ 1,354,774 | $ 55,612 |
Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | 494,576 | 56,706 |
Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | 145,327 | 5,319 |
Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | 224,051 | 0 |
Total purchased performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | 2,218,728 | 117,637 |
Purchased credit impaired loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | $ 797,987 | $ 790,879 |
Residential Whole Loans (Components of Interest Income) (Details) - Residential whole loans - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Interest income | $ 100,921 | $ 36,187 | $ 23,916 |
Non-QM loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Interest income | 31,036 | 84 | 0 |
Rehabilitation loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Interest income | 15,975 | 431 | 0 |
Single-family rental loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Interest income | 3,315 | 15 | 0 |
Seasoned performing loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Interest income | 5,818 | 0 | 0 |
Purchased Performing Loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Interest income | 56,144 | 530 | 0 |
Purchased credit impaired loans | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Interest income | $ 44,777 | $ 35,657 | $ 23,916 |
Residential Whole Loans (Residential Whole Loans, at Carrying Value - Additional Information) (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Other loans held at carrying value excluded | $ 211,100 | |
Purchased credit impaired loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | 797,987 | $ 790,879 |
Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | 1,354,774 | 55,612 |
Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | 494,576 | 56,706 |
Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | 145,327 | 5,319 |
Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | 224,051 | $ 0 |
Other residential whole loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Other loans held at carrying value excluded | $ 16,400 | |
90 or more | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Weighted Average LTV Ratio | 90.24% | 94.50% |
Settled Whole Loans [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Residential whole loans, at carrying value, total or weighted average | $ 3,000,301 | |
Unpaid Principal Balance (“UPB”) | $ 3,178,153 | |
Weighted Average Coupon | 5.68% | |
Weighted Average Term to Maturity (Months) | 275 months | |
Settled Whole Loans [Member] | Purchased credit impaired loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | $ 797,987 | |
Unpaid Principal Balance (“UPB”) | $ 1,002,261 | |
Weighted Average Coupon | 4.38% | |
Weighted Average Term to Maturity (Months) | 302 months | |
Weighted Average LTV Ratio | 86.00% | |
Settled Whole Loans [Member] | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | $ 1,338,360 | |
Unpaid Principal Balance (“UPB”) | $ 1,293,805 | |
Weighted Average Coupon | 6.19% | |
Weighted Average Term to Maturity (Months) | 361 months | |
Weighted Average LTV Ratio | 66.00% | |
Settled Whole Loans [Member] | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | $ 494,576 | |
Unpaid Principal Balance (“UPB”) | $ 494,576 | |
Weighted Average Coupon | 7.39% | |
Weighted Average Term to Maturity (Months) | 9 months | |
Weighted Average LTV Ratio | 65.00% | |
Settled Whole Loans [Member] | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | $ 145,327 | |
Unpaid Principal Balance (“UPB”) | $ 144,972 | |
Weighted Average Coupon | 5.92% | |
Weighted Average Term to Maturity (Months) | 355 months | |
Weighted Average LTV Ratio | 70.00% | |
Settled Whole Loans [Member] | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | $ 224,051 | |
Unpaid Principal Balance (“UPB”) | $ 242,539 | |
Weighted Average Coupon | 4.25% | |
Weighted Average Term to Maturity (Months) | 191 months | |
Weighted Average LTV Ratio | 47.00% | |
Settled Whole Loans [Member] | Certain rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | $ 79,000 | |
Weighted Average LTV Ratio | 67.00% | |
Settled Whole Loans [Member] | Current | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | $ 1,271,410 | |
Settled Whole Loans [Member] | Current | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 465,033 | |
Settled Whole Loans [Member] | Current | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 143,226 | |
Settled Whole Loans [Member] | Current | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 233,105 | |
Settled Whole Loans [Member] | 30-59 | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 14,535 | |
Settled Whole Loans [Member] | 30-59 | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 18,353 | |
Settled Whole Loans [Member] | 30-59 | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 1,225 | |
Settled Whole Loans [Member] | 30-59 | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 6,439 | |
Settled Whole Loans [Member] | 60-89 | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 4,802 | |
Settled Whole Loans [Member] | 60-89 | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 6,451 | |
Settled Whole Loans [Member] | 60-89 | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 0 | |
Settled Whole Loans [Member] | 60-89 | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 1,618 | |
Settled Whole Loans [Member] | 90 or more | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 3,058 | |
Settled Whole Loans [Member] | 90 or more | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 4,739 | |
Settled Whole Loans [Member] | 90 or more | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 521 | |
Settled Whole Loans [Member] | 90 or more | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | $ 1,377 |
Residential Whole Loans (Purchased Performing Loans) (Details) |
Dec. 31, 2018
USD ($)
loan
|
---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Number of other loans at carrying value | loan | 28 |
Unpaid balance of other loans | $ 9,700,000 |
Total outstanding principal balance of all of the Company’s Other Loans at Carrying Value | 0.20% |
Allowance for loan loss reserves | $ 0 |
Rehabilitation loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Commitment to lend, unfunded | $ 49,800,000 |
Residential Whole Loans (Purchased Credit Impaired Loans - Narrative) (Details) - USD ($) |
12 Months Ended | |||
---|---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Financing Receivable, Impaired [Line Items] | ||||
Allowance for loan losses | $ 968,000 | $ 330,000 | $ 990,000 | $ 1,165,000 |
Provisions/(reversal of provisions) for loan losses | (660,000) | (175,000) | ||
Purchased credit impaired loans | ||||
Financing Receivable, Impaired [Line Items] | ||||
Allowance for loan losses | 968,000 | 330,000 | $ 990,000 | |
Provisions/(reversal of provisions) for loan losses | $ 638,000 | $ (660,000) |
Residential Whole Loans (Provision for Loan Losses) (Details) - USD ($) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Allowance for Loan and Lease Losses [Roll Forward] | |||
Balance at the beginning of period | $ 330,000 | $ 990,000 | $ 1,165,000 |
Provisions/(reversal of provisions) for loan losses | (660,000) | (175,000) | |
Balance at the end of period | 968,000 | 330,000 | 990,000 |
Purchased credit impaired loans | |||
Allowance for Loan and Lease Losses [Roll Forward] | |||
Balance at the beginning of period | 330,000 | 990,000 | |
Provisions/(reversal of provisions) for loan losses | 638,000 | (660,000) | |
Balance at the end of period | $ 968,000 | $ 330,000 | $ 990,000 |
Residential Whole Loans (Carrying Value) (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
|
Investments, Debt and Equity Securities [Abstract] | ||
Contractually required principal and interest | $ 154,911 | $ 534,112 |
Contractual cash flows not expected to be collected (non-accretable yield) | (15,378) | (129,547) |
Expected cash flows to be collected | 139,533 | 404,565 |
Interest component of expected cash flows (accretable yield) | (41,947) | (137,378) |
Fair value at the date of acquisition | $ 97,586 | $ 267,187 |
Residential Whole Loans (Carrying Value Accretable Yield Rollforward) (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
|
Residential Whole Loans Accretable Yield [Roll Forward] | ||
Balance at beginning of period | $ 421,872 | $ 334,379 |
Additions | 41,947 | 137,378 |
Accretion | (44,777) | (35,657) |
Liquidations and other | (35,156) | (16,356) |
Reclassifications (to)/from non-accretable difference, net | 31,443 | 2,128 |
Balance at end of period | $ 415,329 | $ 421,872 |
Residential Whole Loans (Fair Value) (Details) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2018
USD ($)
loan
|
Dec. 31, 2017
USD ($)
loan
|
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Total Residential whole loans, at fair value | $ 1,471,262 | $ 1,325,115 |
Less than 60 Days Past Due: | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Outstanding principal balance | 610,290 | 488,600 |
Aggregate fair value | $ 561,770 | $ 446,616 |
Weighted Average LTV Ratio | 76.18% | 74.98% |
Number of loans | loan | 2,898 | 2,323 |
60 Days to 89 Days Past Due: | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Outstanding principal balance | $ 63,938 | $ 45,955 |
Aggregate fair value | $ 54,947 | $ 37,927 |
Weighted Average LTV Ratio | 82.86% | 89.25% |
Number of loans | loan | 285 | 207 |
90 Days or More Past Due: | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Outstanding principal balance | $ 970,758 | $ 1,027,818 |
Aggregate fair value | $ 854,545 | $ 840,572 |
Weighted Average LTV Ratio | 90.24% | 94.50% |
Number of loans | loan | 3,531 | 3,984 |
Residential whole loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Excluded amount, unsettled purchases, residential whole loans, at fair value | $ 194,700 |
Residential Whole Loans (Fair Value Components of Net Income) (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2018 |
Sep. 30, 2018 |
Jun. 30, 2018 |
Mar. 31, 2018 |
Dec. 31, 2017 |
Sep. 30, 2017 |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Receivables [Abstract] | |||||||||||
Coupon payments and other income received | $ 70,515 | $ 41,399 | $ 23,017 | ||||||||
Net unrealized gains | 36,725 | 33,617 | 31,254 | ||||||||
Net gain on payoff/liquidation of loans | 11,087 | 4,958 | 5,413 | ||||||||
Net gain on transfers to REO | 19,292 | 10,071 | 2,921 | ||||||||
Total | $ 31,736 | $ 34,942 | $ 32,443 | $ 38,498 | $ 41,385 | $ 18,679 | $ 16,208 | $ 13,773 | $ 137,619 | $ 90,045 | $ 62,605 |
Other Assets (Details) - USD ($) $ in Thousands |
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
---|---|---|---|
Other Assets [Abstract] | |||
Securities obtained and pledged as collateral, at fair value | $ 0 | $ 504,062 | |
REO | 249,413 | 152,356 | $ 80,503 |
MBS and loan related receivables | 127,154 | 54,640 | |
Other interest earning assets | 92,022 | 0 | |
Goodwill | 7,189 | 7,189 | |
Other | 52,007 | 23,983 | |
Total Other Assets | $ 527,785 | $ 742,230 |
Other Assets (Real Estate Owned) (Details) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018
USD ($)
property
|
Dec. 31, 2017
USD ($)
property
|
Dec. 31, 2016
USD ($)
property
|
|
Real Estate Owned Properties [Line Items] | |||
Number of real estate properties reclassified to REO during period | property | 1,078 | 698 | |
Transfer from residential whole loans | $ 215,038 | $ 136,734 | $ 91,896 |
Residential Whole Loans acquired through foreclosure ordered in lieu | $ 242,000 | ||
Number of REO properties sold during period | property | 705 | 517 | 256 |
Proceeds from sale of real estate owned | $ 123,200 | $ 78,400 | $ 37,900 |
Gains/(losses) on sales of real estate owned | 7,715 | 4,475 | $ 3,229 |
Adjustments to record at lower of cost or fair value | 15,929 | 11,018 | |
Estimated fair value | |||
Real Estate Owned Properties [Line Items] | |||
Transfer from residential whole loans | 215,000 | $ 136,700 | |
Mortgage loans in process of foreclosure | 720,100 | ||
Carrying value | |||
Real Estate Owned Properties [Line Items] | |||
Mortgage loans in process of foreclosure | $ 49,000 |
Other Assets (Real Estate Owned - Activity) (Details) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018
USD ($)
property
|
Dec. 31, 2017
USD ($)
property
|
Dec. 31, 2016
USD ($)
|
|
Real Estate Owned [Roll Forward] | |||
Balance at beginning of period | $ 152,356 | $ 80,503 | |
Adjustments to record at lower of cost or fair value | (15,929) | (11,018) | |
Transfer from residential whole loans | 215,038 | 136,734 | $ 91,896 |
Purchases and capital improvements | 13,367 | 19,801 | |
Disposals | (115,419) | (73,664) | |
Balance at end of period | $ 249,413 | $ 152,356 | $ 80,503 |
Number of properties | property | 1,093 | 709 | |
Gain recorded on transfer from residential whole loans to real estate owned | $ 19,600 | $ 10,200 |
Other Assets (Derivative Instruments Balance Sheet Location) (Details) - Swaps - USD ($) $ in Thousands |
Dec. 31, 2018 |
Dec. 31, 2017 |
---|---|---|
Hedging | Other assets | ||
Derivative Instruments | ||
Notional amount of derivative assets | $ 1,900,000 | $ 750,000 |
Derivative assets, fair value | 0 | 0 |
Hedging | Liabilities | ||
Derivative Instruments | ||
Notional amount of derivative liabilities | 722,000 | 1,800,000 |
Derivative liabilities, at fair value | 0 | $ 0 |
Non-Hedging | Liabilities | ||
Derivative Instruments | ||
Notional amount of derivative liabilities | $ 595,000 |
(Swaps) (Details) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2018 |
Sep. 30, 2018 |
Jun. 30, 2018 |
Mar. 31, 2018 |
Dec. 31, 2017 |
Sep. 30, 2017 |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Derivative [Line Items] | |||||||||||
Interest expense attributable to Swaps | $ 70,944 | $ 58,878 | $ 51,810 | $ 50,554 | $ 48,495 | $ 49,275 | $ 49,022 | $ 50,349 | $ 232,186 | $ 197,141 | $ 193,355 |
Interest Rate Contract | |||||||||||
Derivative [Line Items] | |||||||||||
Assets Pledged | 32,803 | 28,840 | 32,803 | 28,840 | |||||||
Interest Rate Contract | Agency MBS, at fair value | |||||||||||
Derivative [Line Items] | |||||||||||
Assets Pledged | 2,735 | 21,756 | 2,735 | 21,756 | |||||||
Interest Rate Contract | Restricted cash | |||||||||||
Derivative [Line Items] | |||||||||||
Assets Pledged | 30,068 | 7,084 | 30,068 | 7,084 | |||||||
Swaps, at fair value | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 3,217,000 | $ 2,550,000 | $ 3,217,000 | $ 2,550,000 | |||||||
Average maturity term of swaps | 32 months | ||||||||||
Weighted average fixed-pay rate | 2.42% | 2.04% | 2.42% | 2.04% | |||||||
Weighted Average Variable Interest Rate | 2.56% | 1.50% | 2.56% | 1.50% | |||||||
Interest expense attributable to Swaps | $ 3,780 | $ 24,524 | $ 40,898 | ||||||||
Weighted average Swap rate paid | 2.12% | 1.98% | 1.82% | ||||||||
Weighted average Swap rate received | 1.96% | 1.07% | 0.48% | ||||||||
Swaps, at fair value | Within 30 days | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 0 | $ 0 | |||||||
Weighted average fixed-pay rate | 0.00% | 0.00% | 0.00% | 0.00% | |||||||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 0.00% | 0.00% | |||||||
Swaps, at fair value | Over 30 days to 3 months | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 100,000 | $ 0 | $ 100,000 | $ 0 | |||||||
Weighted average fixed-pay rate | 1.71% | 0.00% | 1.71% | 0.00% | |||||||
Weighted Average Variable Interest Rate | 2.50% | 0.00% | 2.50% | 0.00% | |||||||
Swaps, at fair value | Over 3 months to 6 months | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 100,000 | $ 50,000 | $ 100,000 | $ 50,000 | |||||||
Weighted average fixed-pay rate | 1.71% | 1.45% | 1.71% | 1.45% | |||||||
Weighted Average Variable Interest Rate | 2.50% | 1.56% | 2.50% | 1.56% | |||||||
Swaps, at fair value | Over 6 months to 12 months | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 0 | $ 500,000 | $ 0 | $ 500,000 | |||||||
Weighted average fixed-pay rate | 0.00% | 1.50% | 0.00% | 1.50% | |||||||
Weighted Average Variable Interest Rate | 0.00% | 1.46% | 0.00% | 1.46% | |||||||
Swaps, at fair value | Over 12 months to 24 months | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 1,630,000 | $ 200,000 | $ 1,630,000 | $ 200,000 | |||||||
Weighted average fixed-pay rate | 2.27% | 1.71% | 2.27% | 1.71% | |||||||
Weighted Average Variable Interest Rate | 2.50% | 1.54% | 2.50% | 1.54% | |||||||
Swaps, at fair value | Over 24 months to 36 months | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 822,000 | $ 1,500,000 | $ 822,000 | $ 1,500,000 | |||||||
Weighted average fixed-pay rate | 2.57% | 2.22% | 2.57% | 2.22% | |||||||
Weighted Average Variable Interest Rate | 2.64% | 1.51% | 2.64% | 1.51% | |||||||
Swaps, at fair value | Over 36 months to 48 months | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 0 | $ 200,000 | $ 0 | $ 200,000 | |||||||
Weighted average fixed-pay rate | 0.00% | 2.20% | 0.00% | 2.20% | |||||||
Weighted Average Variable Interest Rate | 0.00% | 1.53% | 0.00% | 1.53% | |||||||
Swaps, at fair value | Over 48 months to 60 months | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 395,000 | $ 0 | $ 395,000 | $ 0 | |||||||
Weighted average fixed-pay rate | 2.88% | 0.00% | 2.88% | 0.00% | |||||||
Weighted Average Variable Interest Rate | 2.63% | 0.00% | 2.63% | 0.00% | |||||||
Swaps, at fair value | Over 60 months to 72 months | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 0 | $ 100,000 | $ 0 | $ 100,000 | |||||||
Weighted average fixed-pay rate | 0.00% | 2.75% | 0.00% | 2.75% | |||||||
Weighted Average Variable Interest Rate | 0.00% | 1.50% | 0.00% | 1.50% | |||||||
Swaps, at fair value | Over 72 months to 84 months | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 0 | $ 0 | |||||||
Weighted average fixed-pay rate | 0.00% | 0.00% | 0.00% | 0.00% | |||||||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 0.00% | 0.00% | |||||||
Swaps, at fair value | Over 84 months | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 170,000 | $ 0 | $ 170,000 | $ 0 | |||||||
Weighted average fixed-pay rate | 3.00% | 0.00% | 3.00% | 0.00% | |||||||
Weighted Average Variable Interest Rate | 2.66% | 0.00% | 2.66% | 0.00% | |||||||
Swaps, at fair value | Hedging | |||||||||||
Derivative [Line Items] | |||||||||||
Aggregate notional amount of derivatives | $ 3,200,000 | $ 3,200,000 | |||||||||
Swaps, at fair value | Minimum | LIBOR | |||||||||||
Derivative [Line Items] | |||||||||||
Derivative, variable interest rate, term | 1 month | ||||||||||
Swaps, at fair value | Maximum | |||||||||||
Derivative [Line Items] | |||||||||||
Maximum maturity term of swaps | 120 months | ||||||||||
Swaps, at fair value | Maximum | LIBOR | |||||||||||
Derivative [Line Items] | |||||||||||
Derivative, variable interest rate, term | 3 months | ||||||||||
Swaps | Non-Hedging | |||||||||||
Derivative [Line Items] | |||||||||||
Loss on derivative | $ 9,600 |
Other Assets (Impact of Derivative Hedging Instruments on AOCI) (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Other Assets [Abstract] | |||
Balance at beginning of period | $ (11,424) | $ (46,721) | $ (69,399) |
Net gain on Swaps | 14,545 | 35,297 | 22,678 |
Balance at end of period | $ 3,121 | $ (11,424) | $ (46,721) |
Repurchase Agreements and Other Advances (Repurchase Agreements and Associated Assets Pledged as Collateral) (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
|
Repurchase Agreements | ||
Repurchase agreements | $ 7,879,087 | $ 6,614,701 |
Fair value pledged as collateral | 9,400,000 | 8,100,000 |
Aggregate fair value | 33,100 | 19,600 |
Agency MBS | ||
Repurchase Agreements | ||
Repurchase agreements | 2,384,357 | 2,501,340 |
Fair value pledged as collateral | $ 2,572,597 | $ 2,705,754 |
Weighted average haircut rate | 4.60% | 4.65% |
Non-Agency MBS | ||
Repurchase Agreements | ||
Repurchase agreements | $ 1,447,585 | $ 1,256,033 |
Fair value pledged as collateral | $ 1,817,650 | $ 1,652,983 |
Weighted average haircut rate | 21.38% | 21.87% |
RPL/NPL MBS | ||
Repurchase Agreements | ||
Repurchase agreements | $ 1,084,532 | $ 567,140 |
Fair value pledged as collateral | $ 1,377,250 | $ 726,540 |
Weighted average haircut rate | 21.31% | 22.05% |
U.S. Treasury securities | ||
Repurchase Agreements | ||
Repurchase agreements | $ 0 | $ 470,334 |
Fair value pledged as collateral | $ 0 | $ 472,095 |
Weighted average haircut rate | 0.00% | 1.47% |
CRT securities | ||
Repurchase Agreements | ||
Repurchase agreements | $ 391,586 | $ 459,058 |
Fair value pledged as collateral | $ 480,315 | $ 595,900 |
Weighted average haircut rate | 20.01% | 22.16% |
Residential whole loans, at fair value | ||
Repurchase Agreements | ||
Repurchase agreements | $ 2,020,508 | $ 1,043,747 |
Fair value pledged as collateral | $ 2,441,931 | $ 1,474,704 |
Weighted average haircut rate | 16.55% | 26.10% |
Term Notes Backed by MSR-Related Collateral | ||
Repurchase Agreements | ||
Repurchase agreements | $ 474,127 | $ 317,255 |
Fair value pledged as collateral | $ 611,807 | $ 482,158 |
Weighted average haircut rate | 21.88% | 33.19% |
Other Interest Earning Assets | ||
Repurchase Agreements | ||
Repurchase agreements | $ 76,419 | $ 0 |
Fair value pledged as collateral | $ 81,494 | $ 0 |
Weighted average haircut rate | 21.15% | 0.00% |
Repurchase agreements | ||
Repurchase Agreements | ||
Weighted average remaining term-to-interest rate reset of borrowings under repurchase agreements | 31 days | 16 days |
Effective repricing period | 8 months | 11 months |
Repurchase agreements | $ 7,879,114 | $ 6,614,907 |
Unamortized debt issuance expense | 27 | 206 |
Loan Securitization | ||
Repurchase Agreements | ||
Fair value pledged as collateral | 27,000 | |
Residential Loans At Fair Value | Assets Pledged Under Repurchase Agreements | ||
Repurchase Agreements | ||
Fair value | 1,700,000 | 478,500 |
Amortized cost | 1,600,000 | 448,700 |
Aggregate fair value | $ 738,600 | $ 996,200 |
Repurchase Agreements and Other Advances (Narrative) (Details) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
|
Repurchase Agreement Counterparty [Line Items] | ||
Cash collateral pledged | $ 6,700 | $ 6,900 |
Repurchase agreements | 7,879,087 | 6,614,701 |
MSR Asset Financing | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreement, borrowing commitment | 75,000 | |
Term Notes Backed by MSR-Related Collateral | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | 474,127 | $ 317,255 |
Term Notes Backed by MSR-Related Collateral | Corporate Loan | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | $ 55,000 | |
Minimum | MSR Asset Financing | ||
Repurchase Agreement Counterparty [Line Items] | ||
Line of credit facility, commitment fee rate | 0.125% | |
Maximum | MSR Asset Financing | ||
Repurchase Agreement Counterparty [Line Items] | ||
Line of credit facility, commitment fee rate | 0.50% |
Repurchase Agreements and Other Advances (Repricing Information) (Details) - USD ($) $ in Thousands |
Dec. 31, 2018 |
Dec. 31, 2017 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 7,879,087 | $ 6,614,701 |
Repurchase agreements | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 7,879,114 | 6,614,907 |
Less debt issuance costs | 27 | 206 |
Total repurchase agreements less debt issuance costs | $ 7,879,087 | $ 6,614,701 |
Weighted Average Interest Rate | 3.42% | 2.42% |
Within 30 days | Repurchase agreements | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 6,747,166 | $ 6,161,008 |
Weighted Average Interest Rate | 3.35% | 2.39% |
Over 30 days to 3 months | Repurchase agreements | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 368,857 | $ 453,899 |
Weighted Average Interest Rate | 3.10% | 2.76% |
Over 3 months to 12 months | Repurchase agreements | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 763,091 | $ 0 |
Weighted Average Interest Rate | 4.18% | 0.00% |
Repurchase Agreements and Other Advances (Maturity Information) (Details) - USD ($) $ in Thousands |
Dec. 31, 2018 |
Dec. 31, 2017 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 7,879,087 | $ 6,614,701 |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 2,384,357 | 2,501,340 |
Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 1,447,585 | 1,256,033 |
RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 1,084,532 | 567,140 |
CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 391,586 | 459,058 |
Residential whole loans, at fair value | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 2,020,508 | 1,043,747 |
Term Notes Backed by MSR-Related Collateral | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 474,127 | 317,255 |
Other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 76,419 | 0 |
Repurchase agreements | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 7,879,114 | $ 6,614,907 |
Weighted Average Interest Rate | 3.42% | 2.42% |
Unamortized debt issuance expense | $ 27 | $ 206 |
Overnight | Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Overnight | Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Overnight | RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Overnight | CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Overnight | Residential whole loans, at fair value | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Overnight | Term Notes Backed by MSR-Related Collateral | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Overnight | Other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Overnight | Repurchase agreements | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 0 | |
Weighted Average Interest Rate | 0.00% | |
Within 30 Days | Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 2,152,612 | |
Within 30 Days | Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 1,402,625 | |
Within 30 Days | RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 1,081,192 | |
Within 30 Days | CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 385,597 | |
Within 30 Days | Residential whole loans, at fair value | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 911,445 | |
Within 30 Days | Term Notes Backed by MSR-Related Collateral | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 342,227 | |
Within 30 Days | Other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 5,850 | |
Within 30 Days | Repurchase agreements | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 6,281,548 | |
Weighted Average Interest Rate | 3.31% | |
Over 30 Days to 3 Months | Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 231,745 | |
Over 30 Days to 3 Months | Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 44,960 | |
Over 30 Days to 3 Months | RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 3,340 | |
Over 30 Days to 3 Months | CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 5,989 | |
Over 30 Days to 3 Months | Residential whole loans, at fair value | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 198,665 | |
Over 30 Days to 3 Months | Term Notes Backed by MSR-Related Collateral | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 131,900 | |
Over 30 Days to 3 Months | Other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Over 30 Days to 3 Months | Repurchase agreements | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 616,599 | |
Weighted Average Interest Rate | 3.41% | |
Over 3 Months to 12 Months | Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 0 | |
Over 3 Months to 12 Months | Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Over 3 Months to 12 Months | RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Over 3 Months to 12 Months | CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Over 3 Months to 12 Months | Residential whole loans, at fair value | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 910,398 | |
Over 3 Months to 12 Months | Term Notes Backed by MSR-Related Collateral | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Over 3 Months to 12 Months | Other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 70,569 | |
Over 3 Months to 12 Months | Repurchase agreements | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 980,967 | |
Weighted Average Interest Rate | 4.18% | |
Over 12 months | Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 0 | |
Over 12 months | Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Over 12 months | RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Over 12 months | CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Over 12 months | Residential whole loans, at fair value | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Over 12 months | Term Notes Backed by MSR-Related Collateral | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Over 12 months | Other | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | 0 | |
Over 12 months | Repurchase agreements | ||
Debt Securities, Available-for-sale [Line Items] | ||
Repurchase agreements | $ 0 | |
Weighted Average Interest Rate | 0.00% |
Repurchase Agreements and Other Advances (Repurchase Agreements Counterparts) (Details) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2018
USD ($)
counterparty
|
Dec. 31, 2017
counterparty
|
|
Repurchase Agreement Counterparty [Line Items] | ||
Stockholder equity at risk | 5.00% | |
Counterparties | counterparty | 26 | 31 |
Goldman Sachs | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | $ 319,685 | |
Weighted Average Months to Maturity for Repurchase Agreements | 1 month | |
Percent of Stockholders’ Equity | 9.40% | |
RBC | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | $ 251,802 | |
Weighted Average Months to Maturity for Repurchase Agreements | 1 month | |
Percent of Stockholders’ Equity | 7.40% | |
Wells Fargo | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | $ 188,901 | |
Weighted Average Months to Maturity for Repurchase Agreements | 2 months | |
Percent of Stockholders’ Equity | 5.50% | |
Barclay's Bank | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | $ 174,998 | |
Weighted Average Months to Maturity for Repurchase Agreements | 4 months | |
Percent of Stockholders’ Equity | 5.10% | |
Goldman Sachs Lending Partners | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | $ 190,400 | |
Goldman Sachs Bank USA | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | 129,300 | |
RBC Barbados | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | 248,400 | |
RBC Capital Markets LLC | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | 3,400 | |
Wells Fargo Bank | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | 187,600 | |
Wells Fargo Securities LLC | ||
Repurchase Agreement Counterparty [Line Items] | ||
Amount at risk | $ 1,300 |
Collateral Positions (Collateral Pledged and Held) (Details) - USD ($) $ in Millions |
Dec. 31, 2018 |
Dec. 31, 2017 |
---|---|---|
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Fair value pledged as collateral | $ 9,400.0 | $ 8,100.0 |
Accrued interest on pledged assets | $ 33.1 | 19.6 |
Legacy Non-Agency MBS | Repurchase agreements | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Non-Agency MBS pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty | 688.1 | |
U.S. Treasury securities | Reverse Repurchase Agreements | ||
Transfer of Certain Financial Assets Accounted for as Secured Borrowings [Line Items] | ||
Collateral Held | $ 504.1 |
Offsetting Assets and Liabilities (Details) - USD ($) $ in Millions |
Dec. 31, 2018 |
Dec. 31, 2017 |
---|---|---|
Offsetting [Abstract] | ||
Fair value of securities pledged against the repurchase agreements | $ 9,400.0 | $ 8,100.0 |
Fair value of securities pledged against the swaps | $ 2.7 | $ 21.8 |
Other Liabilities (Details) - USD ($) $ in Thousands |
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
---|---|---|---|
Other Liabilities [Abstract] | |||
Securitized debt | $ 684,420 | $ 363,944 | |
Obligation to return securities held as collateral, at fair value | 0 | 504,062 | |
Senior Notes | 96,816 | 96,773 | |
Dividends and dividend equivalents declared and unpaid | 90,198 | 79,771 | $ 74,657 |
Accrued interest payable | 16,280 | 12,263 | |
Payable for unsettled residential whole loans purchases | 211,129 | 0 | |
Accrued expenses and other | 26,296 | 21,584 | |
Total Other Liabilities | $ 1,125,139 | $ 1,078,397 |
Other Liabilities (Senior Notes) (Details) - Senior Notes - USD ($) |
9 Months Ended | 12 Months Ended | |
---|---|---|---|
Apr. 11, 2012 |
Dec. 31, 2017 |
Dec. 31, 2018 |
|
Debt Instrument [Line Items] | |||
Proceeds from issuance of debt | $ 100,000,000.0 | ||
Proceed from senior notes net of offering expenses and underwriting discount | $ 96,600,000 | ||
Stated interest rate | 8.00% | ||
Effective interest rate | 8.31% | ||
Redemption price as percentage of principal amount | 100.00% |
Commitments and Contingencies (Lease Commitments) (Details) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018
USD ($)
lease
|
Dec. 31, 2017
USD ($)
|
Dec. 31, 2016
USD ($)
|
|
Lease Commitments | |||
Number of operating leases | lease | 2 | ||
Rent expense | $ 2,700,000 | $ 2,700,000 | $ 2,500,000 |
Corporate headquarters | |||
Lease Commitments | |||
Aggregate annual lease payments | 2,700,000 | ||
Irrevocable standby letter of credit provided to landlord | 785,000 | ||
Off-site back-up facility | |||
Lease Commitments | |||
Aggregate annual lease payments | $ 32,000 | ||
New Corporate Headquarters Location | |||
Lease Commitments | |||
Additional space | 50.00% | ||
Term of lease | 15 years | ||
Renewal term | 5 years | ||
Future rent payments for new office location | $ 4,600,000 |
Commitments and Contingencies (Minimum Payments) (Details) $ in Thousands |
12 Months Ended |
---|---|
Dec. 31, 2018
USD ($)
| |
Commitments and Contingencies Disclosure [Abstract] | |
2019 | $ 2,553 |
2020 | 2,553 |
2021 | 1,292 |
2022 | 0 |
2023 | 0 |
Thereafter | 0 |
Total | $ 6,398 |
Grace period for payments on new space | 14 months |
Commitments and Contingencies (Representations and Warranties in Connection with Loan Securitization Transactions) (Details) |
Dec. 31, 2018
USD ($)
|
---|---|
Commitments and Contingencies Disclosure [Abstract] | |
Allowance for repurchased loans | $ 0 |
Commitments and Contingencies (Corporate Loans) (Details) - Corporate Loan - USD ($) $ in Millions |
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
---|---|---|---|
Other Commitments [Line Items] | |||
Commitment to lend | $ 100.0 | $ 130.0 | |
Amount drawn | $ 73.3 | $ 111.2 |
Commitments and Contingencies (Rehabilitation Loan Commitments) (Details) $ in Millions |
Dec. 31, 2018
USD ($)
|
---|---|
Commitments and Contingencies Disclosure [Abstract] | |
Unfunded commitment for rehabilitation loans | $ 49.8 |
Commitments and Contingencies (Residential Whole Loan Purchase Commitments) (Details) $ in Millions |
Dec. 31, 2018
USD ($)
|
---|---|
Other Commitments [Line Items] | |
Other loans held at carrying value excluded | $ 211.1 |
Other residential whole loans | |
Other Commitments [Line Items] | |
Other loans held at carrying value excluded | 16.4 |
Residential whole loans | |
Other Commitments [Line Items] | |
Excluded amount, unsettled purchases, residential whole loans, at fair value | $ 194.7 |
Stockholders' Equity (Details) $ / shares in Units, $ in Thousands |
12 Months Ended | 172 Months Ended | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 12, 2018
$ / shares
|
Nov. 26, 2018
$ / shares
|
Sep. 13, 2018
$ / shares
|
Aug. 20, 2018
$ / shares
|
Jun. 07, 2018
$ / shares
|
May 17, 2018
$ / shares
|
Mar. 07, 2018
$ / shares
|
Feb. 20, 2018
$ / shares
|
Dec. 17, 2017
$ / shares
|
Nov. 17, 2017
$ / shares
|
Sep. 14, 2017
$ / shares
|
Aug. 10, 2017
$ / shares
|
Jun. 12, 2017
$ / shares
|
May 16, 2017
$ / shares
|
Mar. 08, 2017
$ / shares
|
Feb. 17, 2017
$ / shares
|
Dec. 14, 2016
$ / shares
|
Nov. 22, 2016
$ / shares
|
Sep. 15, 2016
$ / shares
|
Aug. 12, 2016
$ / shares
|
Jun. 14, 2016
$ / shares
|
May 18, 2016
$ / shares
|
Mar. 11, 2016
$ / shares
|
Feb. 12, 2016
$ / shares
|
Apr. 15, 2013
$ / shares
shares
|
Dec. 31, 2018
USD ($)
quarter
director
$ / shares
shares
|
Dec. 31, 2017
USD ($)
$ / shares
shares
|
Dec. 31, 2016
USD ($)
$ / shares
shares
|
Dec. 31, 2017
USD ($)
$ / shares
shares
|
Dec. 31, 2013
shares
|
Aug. 08, 2013
shares
|
Aug. 31, 2005
shares
|
|
Dividends on Preferred Stock | ||||||||||||||||||||||||||||||||
Preferred stock, shares issued (in shares) | 8,000,000 | 8,000,000 | 8,000,000 | |||||||||||||||||||||||||||||
Preferred stock, dividend rate | 7.50% | 7.50% | 7.50% | |||||||||||||||||||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | |||||||||||||||||||||||||||||
Maximum quarters without dividends to get voting rights, in quarters | quarter | 6 | |||||||||||||||||||||||||||||||
Minimum percentage of preferred shareholders required for approval | 66.67% | |||||||||||||||||||||||||||||||
Dividends on Common Stock | ||||||||||||||||||||||||||||||||
Common stock, cash dividends declared (in dollars per share) | $ / shares | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.20 | ||||||||||||||||||||
Dividends payable | $ | $ 90,198 | $ 79,771 | $ 74,657 | $ 79,771 | ||||||||||||||||||||||||||||
Residential whole loans, at fair value | $ | $ 1,665,978 | $ 1,325,115 | $ 1,325,115 | |||||||||||||||||||||||||||||
Common stock dividends, capital gains | $ / shares | $ 0.1290 | $ 0.0831 | $ 0.0361 | $ 0.0831 | ||||||||||||||||||||||||||||
Common stock, shares authorized (in shares) | 886,950,000 | 886,950,000 | 886,950,000 | |||||||||||||||||||||||||||||
Number of shares authorized to be repurchased under the Repurchase Program (in shares) | 10,000,000.0 | 4,000,000.0 | ||||||||||||||||||||||||||||||
Number of shares repurchased through the Company's publicly announced stock repurchase program (in shares) | 0 | |||||||||||||||||||||||||||||||
Number of remaining shares authorized to be repurchased under the Repurchase Program (in shares) | 6,616,355 | |||||||||||||||||||||||||||||||
DRSPP | ||||||||||||||||||||||||||||||||
Dividends on Common Stock | ||||||||||||||||||||||||||||||||
Common stock, shares authorized (in shares) | 15,000,000 | |||||||||||||||||||||||||||||||
Shares of common stock authorized and available for issuance | 11,800,000.0 | |||||||||||||||||||||||||||||||
Shares issued (in shares) | 379,903 | 2,293,192 | 653,793 | 34,055,880 | ||||||||||||||||||||||||||||
Net proceeds | $ | $ 2,800 | $ 18,500 | $ 1,200 | $ 284,200 | ||||||||||||||||||||||||||||
Series B Preferred Stock | ||||||||||||||||||||||||||||||||
Dividends on Preferred Stock | ||||||||||||||||||||||||||||||||
Preferred stock, cash dividends declared (in dollars per share) | $ / shares | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | ||||||||||||||||||||
Preferred Stock | Series B Preferred Stock | ||||||||||||||||||||||||||||||||
Dividends on Preferred Stock | ||||||||||||||||||||||||||||||||
Preferred stock, shares issued (in shares) | 8,000,000.0 | |||||||||||||||||||||||||||||||
Preferred stock, dividend rate | 7.50% | 7.50% | 7.50% | 7.50% | ||||||||||||||||||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | |||||||||||||||||||||||||||||||
Preferred stock, liquidation preference (in dollars per share) | $ / shares | 25.00 | $ 25.00 | $ 25 | $ 25.00 | $ 25 | |||||||||||||||||||||||||||
Preferred stock, redemption price (in dollars per share) | $ / shares | $ 25.00 | |||||||||||||||||||||||||||||||
Number of additional directors that can be elected by preferred stock holders | director | 2 |
Stockholders' Equity (AOCI) (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
OCI before reclassifications | $ (136,097) | $ 75,281 | $ 95,238 |
Amounts reclassified from AOCI | (52,839) | (39,739) | (37,407) |
Other Comprehensive Income/(Loss) | (188,936) | 35,542 | 57,831 |
Net Unrealized Gain/(Loss) on AFS Securities | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Balance at beginning of period | 620,648 | 620,403 | 585,250 |
OCI before reclassifications | (150,642) | 39,984 | 72,560 |
Amounts reclassified from AOCI | (52,839) | (39,739) | (37,407) |
Other Comprehensive Income/(Loss) | (203,481) | 245 | 35,153 |
Balance at end of period | 417,167 | 620,648 | 620,403 |
Net Gain/(Loss) on Swaps | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Balance at beginning of period | (11,424) | (46,721) | (69,399) |
OCI before reclassifications | 14,545 | 35,297 | 22,678 |
Amounts reclassified from AOCI | 0 | 0 | 0 |
Other Comprehensive Income/(Loss) | 14,545 | 35,297 | 22,678 |
Balance at end of period | 3,121 | (11,424) | (46,721) |
Accumulated Other Comprehensive Income | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Balance at beginning of period | 609,224 | 573,682 | 515,851 |
Balance at end of period | $ 420,288 | $ 609,224 | $ 573,682 |
Stockholders' Equity (Public Offering) (Details) - USD ($) $ / shares in Units, $ in Thousands |
12 Months Ended | ||||
---|---|---|---|---|---|
Aug. 07, 2018 |
May 10, 2017 |
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Subsidiary, Sale of Stock [Line Items] | |||||
Payments made for costs related to common stock issuances | $ 329 | $ 415 | $ 0 | ||
Public Offering | |||||
Subsidiary, Sale of Stock [Line Items] | |||||
Shares Issued | 50,875,000 | 23,000,000 | |||
Gross Proceeds Per Share | $ 7.78 | $ 7.85 | |||
Gross Proceeds | $ 395,807 | $ 180,550 | |||
Shares issued (in shares) | 875,000 | ||||
Payments made for costs related to common stock issuances | $ 6,400 | $ 2,300 |
Stockholders' Equity (AOCI Reclassifications) (Details) - USD ($) |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2018 |
Sep. 30, 2018 |
Jun. 30, 2018 |
Mar. 31, 2018 |
Dec. 31, 2017 |
Sep. 30, 2017 |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||||||||||
Net realized gain on sales of residential mortgage securities | $ 61,307,000 | $ 39,577,000 | $ 35,837,000 | ||||||||
Net Income Available to Common Stock and Participating Securities | $ 57,129,000 | $ 83,382,000 | $ 66,645,000 | $ 79,645,000 | $ 96,843,000 | $ 60,055,000 | $ 76,185,000 | $ 74,310,000 | 286,801,000 | 307,393,000 | 297,668,000 |
Total reclassifications for period | (52,839,000) | (39,739,000) | (37,407,000) | ||||||||
Accumulated Other Comprehensive Income/(Loss) | |||||||||||
Unrealized losses recorded in AOCI on securities for which Other-than-temporary impairments had been recognized in earnings in prior periods | $ 224,000 | $ 0 | 224,000 | 0 | |||||||
Amounts Reclassified from AOCI | Accumulated Net Investment Gain (Loss) Including Portion Attributable to Noncontrolling Interest [Member] | |||||||||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||||||||||
Net realized gain on sales of residential mortgage securities | (51,580,000) | (38,707,000) | (36,922,000) | ||||||||
OTTI recognized in earnings | (1,259,000) | (1,032,000) | (485,000) | ||||||||
Net Income Available to Common Stock and Participating Securities | $ (52,839,000) | $ (39,739,000) | $ (37,407,000) |
EPS Calculation (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2018 |
Sep. 30, 2018 |
Jun. 30, 2018 |
Mar. 31, 2018 |
Dec. 31, 2017 |
Sep. 30, 2017 |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Numerator: | |||||||||||
Net income | $ 60,879 | $ 87,132 | $ 70,395 | $ 83,395 | $ 100,593 | $ 63,805 | $ 79,935 | $ 78,060 | $ 301,801 | $ 322,393 | $ 312,668 |
Dividends declared on preferred stock | (15,000) | (15,000) | (15,000) | ||||||||
Dividends, dividend equivalents and undistributed earnings allocated to participating securities | (1,864) | (1,708) | (1,628) | ||||||||
Net income to common stockholders - basic and diluted | $ 284,937 | $ 305,685 | $ 296,040 | ||||||||
Denominator: | |||||||||||
Weighted average common shares for basic and diluted earnings per share | 418,934 | 388,357 | 371,122 | ||||||||
Earnings per Common Share - Basic and Diluted | $ 0.13 | $ 0.19 | $ 0.17 | $ 0.20 | $ 0.24 | $ 0.15 | $ 0.20 | $ 0.20 | $ 0.68 | $ 0.79 | $ 0.80 |
Anti-dilutive securities excluded from diluted earnings per share calculations (in shares) | 2,100 | ||||||||||
Restricted Stock Units | |||||||||||
Denominator: | |||||||||||
Weighted average grant date fair value (in dollars per share) | $ 6.78 | $ 6.78 |
Equity Compensation, Employment Agreements and Other Benefit Plans (Narrative) (Details) |
12 Months Ended |
---|---|
Dec. 31, 2018
shares
| |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Maximum shares authorized for grant (in shares) | 12,000,000 |
Shares available for grant | 5,200,000 |
Equity Compensation Plan | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Maximum number of common shares that can be granted to participant in any one year (in shares) | 1,500,000 |
Period during which a participant can be awarded the maximum number of shares allowable under the Plan | 1 year |
Maximum percentage of common shares that can be owned or deemed to be owned by a participant (more than) | 9.80% |
Equity Compensation, Employment Agreements and Other Benefit Plans (Restricted Stock Units) (Details) - USD ($) $ / shares in Units, $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
RSUs With Service Condition | |||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||
Outstanding at beginning of year (in shares) | 1,025,028 | 1,194,299 | 1,138,930 |
Outstanding at beginning of year (in dollars per share) | $ 7.67 | $ 7.38 | $ 7.71 |
Granted (in shares) | 428,802 | 447,695 | 420,695 |
Granted (in dollars per share) | $ 7.65 | $ 7.96 | $ 6.81 |
Settled (in shares) | (237,384) | (616,966) | (360,326) |
Settled (in dollars per share) | $ 8.17 | $ 7.32 | $ 7.75 |
Cancelled, forfeited or expired (in shares) | (10,000) | 0 | (5,000) |
Cancelled/forfeited (in dollars per share) | $ 7.23 | $ 0.00 | $ 7.32 |
Outstanding at end of year (in shares) | 1,206,446 | 1,025,028 | 1,194,299 |
Outstanding at end of year (in dollars per share) | $ 7.57 | $ 7.67 | $ 7.38 |
RSUs vested but not settled at end of year (in shares) | 708,946 | 586,419 | 617,518 |
RSUs vested but not settled at end of year (in dollars per share) | $ 7.47 | $ 7.98 | $ 7.45 |
RSUs unvested at end of year | 497,500 | 438,609 | 576,781 |
Weighted average grant date fair value (in dollars per share) | $ 7.71 | $ 7.25 | $ 7.30 |
RSUs With Market and Service Conditions | |||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||
Outstanding at beginning of year (in shares) | 1,021,250 | 863,800 | 736,800 |
Outstanding at beginning of year (in dollars per share) | $ 5.80 | $ 5.45 | $ 5.66 |
Granted (in shares) | 415,000 | 451,250 | 307,500 |
Granted (in dollars per share) | $ 6.91 | $ 6.48 | $ 4.81 |
Settled (in shares) | (275,000) | (293,800) | (175,500) |
Settled (in dollars per share) | $ 5.73 | $ 5.83 | $ 5.21 |
Cancelled, forfeited or expired (in shares) | (10,000) | 0 | (5,000) |
Cancelled/forfeited (in dollars per share) | $ 5.64 | $ 0.00 | $ 5.27 |
Outstanding at end of year (in shares) | 1,151,250 | 1,021,250 | 863,800 |
Outstanding at end of year (in dollars per share) | $ 6.21 | $ 5.80 | $ 5.45 |
RSUs vested but not settled at end of year (in shares) | 290,000 | 275,000 | 293,800 |
RSUs vested but not settled at end of year (in dollars per share) | $ 4.81 | $ 5.73 | $ 5.83 |
RSUs unvested at end of year | 861,250 | 746,250 | 570,000 |
Weighted average grant date fair value (in dollars per share) | $ 6.69 | $ 5.82 | $ 5.25 |
Restricted Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Unrecognized compensation cost | $ 5.2 | $ 4.1 | |
Period for recognizing unrecognized compensation cost | 1 year 8 months 1 day | ||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||
Outstanding at beginning of year (in shares) | 2,046,278 | 2,058,099 | 1,875,730 |
Outstanding at beginning of year (in dollars per share) | $ 6.73 | $ 6.57 | $ 6.90 |
Granted (in shares) | 843,802 | 898,945 | 728,195 |
Granted (in dollars per share) | $ 7.29 | $ 7.22 | $ 5.96 |
Settled (in shares) | (512,384) | (910,766) | (535,826) |
Settled (in dollars per share) | $ 6.86 | $ 6.84 | $ 6.92 |
Cancelled, forfeited or expired (in shares) | (20,000) | 0 | (10,000) |
Cancelled/forfeited (in dollars per share) | $ 6.44 | $ 0.00 | $ 6.29 |
Outstanding at end of year (in shares) | 2,357,696 | 2,046,278 | 2,058,099 |
Outstanding at end of year (in dollars per share) | $ 6.90 | $ 6.73 | $ 6.57 |
RSUs vested but not settled at end of year (in shares) | 998,946 | 861,419 | 911,318 |
RSUs vested but not settled at end of year (in dollars per share) | $ 6.70 | $ 7.26 | $ 6.93 |
RSUs unvested at end of year | 1,358,750 | 1,184,859 | 1,146,781 |
Weighted average grant date fair value (in dollars per share) | $ 7.06 | $ 6.35 | $ 6.28 |
RSUs with Service Condition and both Service and Market Conditions | |||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||
Granted (in shares) | 692,500 | 758,750 | 615,000 |
Weighted average volatility estimated | 17.00% | 15.00% | 17.00% |
Expected term | 3 years | 3 years | 3 years |
Weighted average risk-free rate | 2.36% | 1.46% | 1.20% |
Estimated annual dividend yield | 11.00% | ||
RSUs with Service Condition, weighted average grant date fair value based on share closing price | |||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||
Granted (in shares) | 151,302 | 140,195 | 113,195 |
Share price (dollars per share) | $ 7.70 | $ 8.31 | $ 7.20 |
Equity Compensation, Employment Agreements and Other Benefit Plans (Restricted Stock) (Details) - Restricted Stock - USD ($) $ / shares in Units, $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Total fair value of stock vested | $ 3.0 | $ 2.0 | $ 4.3 |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||
Outstanding at beginning of year (in shares) | 0 | 28,968 | 110,920 |
Outstanding at beginning of year (in dollars per share) | $ 0.00 | $ 7.12 | $ 7.41 |
Granted (in shares) | 450,193 | 214,859 | 487,216 |
Granted (in dollars per share) | $ 6.74 | $ 8.06 | $ 7.66 |
Vested (in shares) | (450,193) | (243,827) | (567,851) |
Vested (in dollars per share) | $ 6.74 | $ 7.95 | $ 7.64 |
Cancelled, forfeited or expired (in shares) | 0 | 0 | (1,317) |
Cancelled/forfeited (in dollars per share) | $ 0.00 | $ 0.00 | $ 7.12 |
Outstanding at end of year (in shares) | 0 | 0 | 28,968 |
Outstanding at end of year (in dollars per share) | $ 0.00 | $ 0.00 | $ 7.12 |
Equity Compensation, Employment Agreements and Other Benefit Plans (Dividend Equivalents) (Details) - DER - USD ($) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Payments attributable to DERs | $ 0 | $ 0 | $ 5,000 |
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||
Outstanding at beginning of year (in shares) | 0 | 8,215 | |
Granted (in shares) | 0 | ||
Cancelled, forfeited or expired (in shares) | (8,215) | ||
Outstanding at end of year (in shares) | 0 | 0 | |
Granted (in dollars per share) | $ 2.77 | ||
Weighted average volatility estimated | 31.00% | ||
Expected term | 6 years | ||
Weighted average risk-free rate | 2.23% | ||
Estimated annual dividend yield | 13.00% |
Equity Compensation, Employment Agreements and Other Benefit Plans (Expense Allocation) (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Expense related to equity-based compensation instruments | $ 8,007 | $ 8,033 | $ 9,162 |
Restricted Stock | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Expense related to equity-based compensation instruments | 3,033 | 1,935 | 4,326 |
Restricted Stock Units | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Expense related to equity-based compensation instruments | 4,974 | 6,098 | 4,792 |
DER | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Expense related to equity-based compensation instruments | 0 | $ 0 | $ 44 |
Chief Executive Officer | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Expense related to equity-based compensation instruments | $ 900 |
Equity Compensation, Employment Agreements and Other Benefit Plans (Employment Agreements) (Details) |
Dec. 31, 2018
officer
|
---|---|
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Number of officers having employment agreements with the company | 4 |
Equity Compensation, Employment Agreements and Other Benefit Plans (Deferred Compensation Plans) (Details) - Deferred Compensation Plans - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Deferred Compensation Arrangement with Individual, Share-based Payments [Line Items] | |||
Deferrable compensation by the employee, maximum | 100.00% | ||
Expenses related to Deferred Plans | $ (165) | $ 171 | $ 231 |
Cash distributed to the participants | 124 | 0 | 122 |
Undistributed Income Deferred | 2,263 | 1,688 | |
Liability Under Deferred Plans | 2,417 | 2,056 | |
Non-employee directors | |||
Deferred Compensation Arrangement with Individual, Share-based Payments [Line Items] | |||
Expenses related to Deferred Plans | (165) | 171 | $ 231 |
Undistributed Income Deferred | 2,263 | 1,688 | |
Liability Under Deferred Plans | $ 2,417 | $ 2,056 |
Equity Compensation, Employment Agreements and Other Benefit Plans (Savings Plan) (Details) - Savings Plan - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Employer contribution percentage on first 3 percent of eligible compensation deferred by employees | 100.00% | ||
Percentage of eligible compensation deferred by employees qualifying for 100 percent matching contribution | 3.00% | ||
Employer contribution percentage on next 2 percent of eligible compensation deferred by employees | 50.00% | ||
Percentage of eligible compensation deferred by employees qualifying for 50 percent matching contribution | 2.00% | ||
Percentage of employer matching contributions that vest immediately | 100.00% | ||
Expenses for matching contributions | $ 371 | $ 363 | $ 359 |
Fair Value of Financial Instruments (Fair Value Hierarchy) (Details) - USD ($) $ in Thousands |
Dec. 31, 2018 |
Dec. 31, 2017 |
---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | $ 6,509,333 | $ 7,023,050 |
Residential whole loans, at fair value | 1,665,978 | 1,325,115 |
Securities obtained and pledged as collateral | 0 | 504,062 |
Total assets carried at fair value | 8,713,810 | 9,234,031 |
Obligation to return securities held as collateral, at fair value | 0 | 504,062 |
Total liabilities carried at fair value | 0 | 504,062 |
Agency MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 2,698,213 | 2,824,681 |
Non-Agency MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 3,318,299 | 3,533,966 |
CRT securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 492,821 | 664,403 |
Residential whole loans, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential whole loans, at fair value | 1,665,978 | 1,325,115 |
Term notes backed by MSR-related collateral | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Term notes backed by MSR-related collateral | 538,499 | 381,804 |
Level 1 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities obtained and pledged as collateral | 0 | 504,062 |
Total assets carried at fair value | 0 | 504,062 |
Obligation to return securities held as collateral, at fair value | 0 | 504,062 |
Total liabilities carried at fair value | 0 | 504,062 |
Level 1 | Agency MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Level 1 | Non-Agency MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Level 1 | CRT securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Level 1 | Residential whole loans, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential whole loans, at fair value | 0 | 0 |
Level 1 | Term notes backed by MSR-related collateral | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Term notes backed by MSR-related collateral | 0 | 0 |
Level 2 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities obtained and pledged as collateral | 0 | 0 |
Total assets carried at fair value | 6,509,333 | 7,023,050 |
Obligation to return securities held as collateral, at fair value | 0 | 0 |
Total liabilities carried at fair value | 0 | 0 |
Level 2 | Agency MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 2,698,213 | 2,824,681 |
Level 2 | Non-Agency MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 3,318,299 | 3,533,966 |
Level 2 | CRT securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 492,821 | 664,403 |
Level 2 | Residential whole loans, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential whole loans, at fair value | 0 | 0 |
Level 2 | Term notes backed by MSR-related collateral | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Term notes backed by MSR-related collateral | 0 | 0 |
Level 3 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Securities obtained and pledged as collateral | 0 | 0 |
Total assets carried at fair value | 2,204,477 | 1,706,919 |
Obligation to return securities held as collateral, at fair value | 0 | 0 |
Total liabilities carried at fair value | 0 | 0 |
Level 3 | Agency MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Level 3 | Non-Agency MBS | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Level 3 | CRT securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Level 3 | Residential whole loans, at fair value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential whole loans, at fair value | 1,665,978 | 1,325,115 |
Level 3 | Term notes backed by MSR-related collateral | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Term notes backed by MSR-related collateral | $ 538,499 | $ 381,804 |
Fair Value of Financial Instruments (Level 3 Assets) (Details) - Recurring basis - Level 3 - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
|
Residential whole loans, at fair value | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at beginning of period | $ 1,325,115 | $ 814,682 |
Purchases | 500,004 | 683,735 |
Changes in unrealized gain/losses | 36,725 | 33,617 |
Collection of principal | (199,203) | (87,072) |
Repurchases | (1,807) | (2,716) |
Transfer to REO | (189,571) | (117,131) |
Balance at end of period | 1,471,263 | 1,325,115 |
Term Notes Backed by MSR-Related Collateral | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at beginning of period | 381,804 | 0 |
Purchases | 548,404 | 381,000 |
Collection of principal | (390,898) | (140,980) |
Changes in unrealized gain/losses | (811) | 804 |
Transfers from Level 2 to Level 3 | 0 | 140,980 |
Balance at end of period | $ 538,499 | $ 381,804 |
Fair Value of Financial Instruments (Fair Value Methodology) (Details) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2018
USD ($)
|
Dec. 31, 2017
USD ($)
|
|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential whole loans, at fair value | $ 1,383,502 | $ 951,811 |
Loan purchases excluded from Level 3 fair value methodology disclosures | 282,500 | 373,300 |
Discounted cash flow | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential whole loans, at fair value | 700,250 | 358,871 |
Liquidation model | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential whole loans, at fair value | 683,252 | 592,940 |
Residential loans, simple average, amount | $ 400 | $ 336 |
Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Annual change in home prices | 12.20% | 8.80% |
Liquidation timeline (in years) | 4 years 6 months | 4 years 6 months |
Current value of underlying properties | $ 7,950 | $ 9,900 |
Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Annual change in home prices | (0.50%) | (8.00%) |
Liquidation timeline (in years) | 1 month 6 days | 1 month 6 days |
Current value of underlying properties | $ 2 | $ 0 |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.080 | 0.130 |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.045 | 0.045 |
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.052 | 0.055 |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.500 | 0.500 |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.061 | 0.061 |
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.080 | 0.080 |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.159 | 0.151 |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.009 | 0.0115 |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.048 | 0.041 |
Prepayment rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Annual change in home prices | 3.50% | 2.50% |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.241 | 0.065 |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.000 | 0.000 |
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.041 | 0.029 |
Default rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Liquidation timeline (in years) | 1 year 9 months 18 days | 1 year 7 months 6 days |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 1.000 | 1.000 |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.000 | 0.000 |
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.129 | 0.138 |
Loss severity | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Current value of underlying properties | $ 802 | $ 772 |
Fair Value of Financial Instruments (Carry Value vs Fair Value) (Details) - USD ($) $ in Thousands |
Dec. 31, 2018 |
Dec. 31, 2017 |
---|---|---|
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Available-for-sale Securities | $ 6,509,333 | $ 7,023,050 |
MSR related assets | 611,807 | 492,080 |
Residential whole loans, at carrying value | 3,016,715 | 908,516 |
Residential whole loans, at fair value | 1,665,978 | 1,325,115 |
Securities obtained and pledged as collateral | 0 | 504,062 |
Restricted cash | 36,744 | 13,986 |
Repurchase agreements | 7,879,087 | 6,614,701 |
Securitized debt | 684,420 | 363,944 |
Obligation to return securities held as collateral, at fair value | 0 | 504,062 |
Senior Notes | 96,816 | 96,773 |
Carrying value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
MSR related assets | 611,807 | 492,080 |
Securities obtained and pledged as collateral | 0 | 504,062 |
Cash and cash equivalents | 51,965 | 449,757 |
Restricted cash | 36,744 | 13,986 |
Repurchase agreements | 7,879,087 | 6,614,701 |
Securitized debt | 684,420 | 363,944 |
Obligation to return securities held as collateral, at fair value | 0 | 504,062 |
Senior Notes | 96,816 | 96,773 |
Estimated fair value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
MSR related assets | 611,807 | 493,026 |
Securities obtained and pledged as collateral | 0 | 504,062 |
Cash and cash equivalents | 51,965 | 449,757 |
Restricted cash | 36,744 | 13,986 |
Repurchase agreements | 7,896,672 | 6,623,255 |
Securitized debt | 680,209 | 366,109 |
Obligation to return securities held as collateral, at fair value | 0 | 504,062 |
Senior Notes | 99,951 | 103,729 |
Agency MBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Available-for-sale Securities | 2,698,213 | 2,824,681 |
Repurchase agreements | 2,384,357 | 2,501,340 |
Agency MBS | Carrying value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Available-for-sale Securities | 2,698,213 | 2,824,681 |
Agency MBS | Estimated fair value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Available-for-sale Securities | 2,698,213 | 2,824,681 |
Non-Agency MBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Available-for-sale Securities | 3,318,299 | 3,533,966 |
Repurchase agreements | 1,447,585 | 1,256,033 |
Non-Agency MBS | Carrying value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Available-for-sale Securities | 3,318,299 | 3,533,966 |
Non-Agency MBS | Estimated fair value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Available-for-sale Securities | 3,318,299 | 3,533,966 |
CRT securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Available-for-sale Securities | 492,821 | 664,403 |
Repurchase agreements | 391,586 | 459,058 |
CRT securities | Carrying value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Available-for-sale Securities | 492,821 | 664,403 |
CRT securities | Estimated fair value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Available-for-sale Securities | 492,821 | 664,403 |
Residential whole loans, at fair value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Residential whole loans, at fair value | 1,665,978 | 1,325,115 |
Repurchase agreements | 2,020,508 | 1,043,747 |
Residential whole loans, at fair value | Carrying value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Residential whole loans, at carrying value | 3,016,715 | 908,516 |
Residential whole loans, at fair value | 1,665,978 | 1,325,115 |
Residential whole loans, at fair value | Estimated fair value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Residential whole loans, at carrying value | 3,104,401 | 988,688 |
Residential whole loans, at fair value | $ 1,665,978 | $ 1,325,115 |
Fair Value of Financial Instruments (Narrative) (Details) - USD ($) $ in Thousands |
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
---|---|---|---|
Fair Value Disclosures [Abstract] | |||
Real estate owned | $ 249,413 | $ 152,356 | $ 80,503 |
Other real estate, fair value | $ 273,400 | $ 175,800 |
Use of Special Purpose Entities and Variable Interest Entities (Narrative) (Details) - USD ($) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Variable Interest Entity [Line Items] | |||
Residential whole loans, at fair value | $ 1,665,978,000 | $ 1,325,115,000 | |
Securitized debt | 684,420,000 | 363,944,000 | |
Residential whole loans | 4,700,000,000 | 2,200,000,000 | |
Residential whole loans, at carrying value | 3,016,715,000 | 908,516,000 | |
Real estate owned | 249,413,000 | 152,356,000 | $ 80,503,000 |
Other real estate, fair value | 273,400,000 | 175,800,000 | |
Residential whole loans | |||
Variable Interest Entity [Line Items] | |||
Unpaid principal balance residential whole loans sold | 666,800,000 | ||
Asset-backed Securities, Securitized Loans and Receivables | |||
Variable Interest Entity [Line Items] | |||
Unpaid principal balance residential whole loans sold | $ 1,290,029,000 | $ 620,924,000 | |
Weighted average interest rate | 3.66% | 3.14% | |
Proceeds from issuance of debt | $ 802,815,000 | $ 382,845,000 | |
Residential whole loans, at carrying value | 209,400,000 | 183,200,000 | |
Residential whole loans, at fair value | 694,700,000 | 289,300,000 | |
Securitized debt | 684,420,000 | 363,944,000 | |
Asset-backed Securities, Securitized Loans and Receivables | Trust, Ownership in Residential Whole Loans | |||
Variable Interest Entity [Line Items] | |||
Proceeds from issuance of debt | 420,000,000 | ||
Bonds | Asset-backed Securities, Securitized Loans and Receivables | |||
Variable Interest Entity [Line Items] | |||
Face amount | 802,817,000 | 382,847,000 | |
Bonds | Asset-backed Securities, Securitized Loans and Receivables | Trust, Ownership in Residential Whole Loans | |||
Variable Interest Entity [Line Items] | |||
Face amount | $ 419,970,000 | ||
Weighted average interest rate | 4.04% | ||
Non Rated Certificates | Asset-backed Securities, Securitized Loans and Receivables | Trust, Ownership in Residential Whole Loans | |||
Variable Interest Entity [Line Items] | |||
Face amount | $ 148,100,000 | ||
Other Assets | Asset-backed Securities, Securitized Loans and Receivables | |||
Variable Interest Entity [Line Items] | |||
Real estate owned at fair value | $ 79,000,000 | $ 5,500,000 |
Use of Special Purpose Entities and Variable Interest Entities (Loan Securitization Transactions) (Details) - USD ($) $ in Thousands |
1 Months Ended | 12 Months Ended | |
---|---|---|---|
Dec. 31, 2017 |
Dec. 31, 2018 |
Dec. 31, 2017 |
|
Variable Interest Entity [Line Items] | |||
Securitized debt | $ 363,944 | $ 684,420 | $ 363,944 |
Asset-backed Securities, Securitized Loans and Receivables | |||
Variable Interest Entity [Line Items] | |||
Unpaid principal balance residential whole loans sold | 620,924 | 1,290,029 | 620,924 |
Securitized debt | $ 363,944 | $ 684,420 | $ 363,944 |
Weighted average interest rate | 3.14% | 3.66% | 3.14% |
Weighted average contractual maturity of Senior Bonds | 31 years | 32 years | |
Cash received | $ 802,815 | $ 382,845 | |
Debt issuance cost | $ 2,300 | 3,800 | $ 2,300 |
Spread | 300.00% | ||
Debt instrument, coupon step-up period | 36 months | ||
Senior Notes | Asset-backed Securities, Securitized Loans and Receivables | |||
Variable Interest Entity [Line Items] | |||
Face amount | $ 382,847 | 802,817 | $ 382,847 |
Proceeds from senior bonds sold with step-up feature | 582,800 | 233,700 | |
Rated and Non-Rated Certificates | Asset-backed Securities, Securitized Loans and Receivables | |||
Variable Interest Entity [Line Items] | |||
Face amount | $ 127,001 | $ 275,174 | $ 127,001 |
Summary of Quarterly Results of Operations (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2018 |
Sep. 30, 2018 |
Jun. 30, 2018 |
Mar. 31, 2018 |
Dec. 31, 2017 |
Sep. 30, 2017 |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2018 |
Dec. 31, 2017 |
Dec. 31, 2016 |
|
Quarterly Financial Information Disclosure [Abstract] | |||||||||||
Interest income | $ 132,744 | $ 117,432 | $ 101,747 | $ 103,752 | $ 100,901 | $ 105,133 | $ 110,157 | $ 117,257 | $ 455,675 | $ 433,448 | $ 457,450 |
Interest expense | (70,944) | (58,878) | (51,810) | (50,554) | (48,495) | (49,275) | (49,022) | (50,349) | (232,186) | (197,141) | (193,355) |
Net Interest Income | 61,800 | 58,554 | 49,937 | 53,198 | 52,406 | 55,858 | 61,135 | 66,908 | 223,489 | 236,307 | 264,095 |
Net gain on residential whole loans measured at fair value through earnings | 31,736 | 34,942 | 32,443 | 38,498 | 41,385 | 18,679 | 16,208 | 13,773 | 137,619 | 90,045 | 62,605 |
Net realized gain on sales of residential mortgage securities | 28,646 | 16,415 | 7,429 | 8,817 | 9,047 | 14,933 | 5,889 | 9,708 | |||
Other income | (39,432) | (2,998) | 1,134 | 345 | 14,553 | (4,515) | 14,229 | 4,098 | |||
Operating and other expense | (21,871) | (19,781) | (20,548) | (17,463) | (16,798) | (21,150) | (17,526) | (16,427) | (79,663) | (71,901) | (59,984) |
Net Income | 60,879 | 87,132 | 70,395 | 83,395 | 100,593 | 63,805 | 79,935 | 78,060 | 301,801 | 322,393 | 312,668 |
Preferred stock dividends | (3,750) | (3,750) | (3,750) | (3,750) | (3,750) | (3,750) | (3,750) | (3,750) | (15,000) | (15,000) | (15,000) |
Net Income Available to Common Stock and Participating Securities | $ 57,129 | $ 83,382 | $ 66,645 | $ 79,645 | $ 96,843 | $ 60,055 | $ 76,185 | $ 74,310 | $ 286,801 | $ 307,393 | $ 297,668 |
Earnings per Common Share - Basic and Diluted (usd per share) | $ 0.13 | $ 0.19 | $ 0.17 | $ 0.20 | $ 0.24 | $ 0.15 | $ 0.20 | $ 0.20 | $ 0.68 | $ 0.79 | $ 0.80 |
Schedule IV - Mortgage Loans on Real Estate (Details) $ in Thousands |
12 Months Ended |
---|---|
Dec. 31, 2018
USD ($)
loan
| |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Other loans held at carrying value excluded | $ 211,100 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Residential whole loans, at fair value, beginning balance | 1,325,115 |
Residential whole loans, at fair value, ending balance | $ 1,665,978 |
Residential whole loans, at fair value | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Number (loans) | loan | 17,826 |
Balance Sheet Reported Amount | $ 4,471,563 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | 1,093,412 |
Tax basis of loans | $ 4,300,000 |
Residential whole loans, at fair value | Carrying value | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Number (loans) | loan | 11,112 |
Balance Sheet Reported Amount | $ 3,000,301 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | 122,654 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Residential whole loans, at carrying value, beginning balance | 908,516 |
Purchases and capitalized advances | 2,467,398 |
Discount accretion | 4,741 |
Cash collections for principal and liquidations | (355,413) |
Provision for loan loss | (638) |
Repurchases | (1,597) |
Transfer to REO | (6,292) |
Residential whole loans, at carrying value, ending balance | $ 3,016,715 |
Residential whole loans, at fair value | Fair value | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Number (loans) | loan | 6,714 |
Balance Sheet Reported Amount | $ 1,471,262 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | 970,758 |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | |
Residential whole loans, at fair value, beginning balance | 1,325,115 |
Purchases and capitalized advances | 741,113 |
Cash collections for principal and liquidations | (199,203) |
Changes in unrealized gain/losses | 36,725 |
Repurchases | (1,807) |
Transfer to REO | (189,571) |
Residential whole loans, at fair value, ending balance | $ 1,712,372 |
Original loan balance $0 - $149,999 | Residential whole loans, at fair value | Carrying value | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Number (loans) | loan | 3,360 |
Balance Sheet Reported Amount | $ 272,407 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 16,726 |
Original loan balance $0 - $149,999 | Residential whole loans, at fair value | Carrying value | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 0.00% |
Original loan balance $0 - $149,999 | Residential whole loans, at fair value | Carrying value | Maximum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 13.08% |
Original loan balance $0 - $149,999 | Residential whole loans, at fair value | Fair value | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Number (loans) | loan | 2,172 |
Balance Sheet Reported Amount | $ 165,419 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 92,672 |
Original loan balance $0 - $149,999 | Residential whole loans, at fair value | Fair value | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 0.00% |
Original loan balance $0 - $149,999 | Residential whole loans, at fair value | Fair value | Maximum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 14.99% |
Original loan balance $150,000 - $299,999 | Residential whole loans, at fair value | Carrying value | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Number (loans) | loan | 3,781 |
Balance Sheet Reported Amount | $ 679,899 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 42,262 |
Original loan balance $150,000 - $299,999 | Residential whole loans, at fair value | Carrying value | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 0.00% |
Original loan balance $150,000 - $299,999 | Residential whole loans, at fair value | Carrying value | Maximum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 11.00% |
Original loan balance $150,000 - $299,999 | Residential whole loans, at fair value | Fair value | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Number (loans) | loan | 2,280 |
Balance Sheet Reported Amount | $ 392,509 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 243,609 |
Original loan balance $150,000 - $299,999 | Residential whole loans, at fair value | Fair value | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 1.00% |
Original loan balance $150,000 - $299,999 | Residential whole loans, at fair value | Fair value | Maximum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 12.38% |
Original loan balance $300,000 - $449,999 | Residential whole loans, at fair value | Carrying value | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Number (loans) | loan | 2,205 |
Balance Sheet Reported Amount | $ 704,255 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 39,720 |
Original loan balance $300,000 - $449,999 | Residential whole loans, at fair value | Carrying value | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 1.30% |
Original loan balance $300,000 - $449,999 | Residential whole loans, at fair value | Carrying value | Maximum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 11.13% |
Original loan balance $300,000 - $449,999 | Residential whole loans, at fair value | Fair value | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Number (loans) | loan | 1,515 |
Balance Sheet Reported Amount | $ 461,389 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 304,731 |
Original loan balance $300,000 - $449,999 | Residential whole loans, at fair value | Fair value | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 0.00% |
Original loan balance $300,000 - $449,999 | Residential whole loans, at fair value | Fair value | Maximum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 10.80% |
Original loan balance greater than $449,999 | Residential whole loans, at fair value | Carrying value | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Number (loans) | loan | 1,766 |
Balance Sheet Reported Amount | $ 1,343,740 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 23,946 |
Original loan balance greater than $449,999 | Residential whole loans, at fair value | Carrying value | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 1.30% |
Original loan balance greater than $449,999 | Residential whole loans, at fair value | Carrying value | Maximum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 9.50% |
Original loan balance greater than $449,999 | Residential whole loans, at fair value | Fair value | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Number (loans) | loan | 747 |
Balance Sheet Reported Amount | $ 451,945 |
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 329,746 |
Original loan balance greater than $449,999 | Residential whole loans, at fair value | Fair value | Minimum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 1.63% |
Original loan balance greater than $449,999 | Residential whole loans, at fair value | Fair value | Maximum | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Interest Rate | 10.20% |
Other residential whole loans | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Other loans held at carrying value excluded | $ 16,400 |
Residential whole loans | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Line Items] | |
Excluded amount, unsettled purchases, residential whole loans, at fair value | $ 194,700 |
Label | Element | Value |
---|---|---|
Retained Earnings [Member] | ||
Cumulative Effect of New Accounting Principle in Period of Adoption | us-gaap_CumulativeEffectOfNewAccountingPrincipleInPeriodOfAdoption | $ 295,000 |
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