Repurchase Agreements (Tables)

6 Months Ended

Jun. 30, 2019

Disclosure of Repurchase Agreements [Abstract]

Schedule of Company's borrowings under repurchase agreements and associated assets pledged as collateral

The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at June 30, 2019 and December 31, 2018:

(Dollars in Thousands)	June 30, 2019			December 31, 2018
Repurchase agreement borrowings secured by Agency MBS	$	2,065,386		$	2,384,357
Fair value of Agency MBS pledged as collateral under repurchase agreements	$	2,220,560		$	2,572,597
Weighted average haircut on Agency MBS (1)	4.49		%	4.60		%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS	$	1,276,010		$	1,447,585
Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements	$	1,668,326		$	1,871,650
Weighted average haircut on Legacy Non-Agency MBS (1)	20.16		%	21.38		%
Repurchase agreement borrowings secured by RPL/NPL MBS	$	808,969		$	1,084,532
Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements	$	1,037,499		$	1,377,250
Weighted average haircut on RPL/NPL MBS (1)	21.54		%	21.31		%
Repurchase agreements secured by CRT securities	$	324,560		$	391,586
Fair value of CRT securities pledged as collateral under repurchase agreements	$	403,381		$	480,315
Weighted average haircut on CRT securities (1)	19.42		%	20.01		%
Repurchase agreements secured by residential whole loans (2)	$	3,148,919		$	2,020,508
Fair value of residential whole loans pledged as collateral under repurchase agreements (3)(4)	$	3,885,517		$	2,441,931
Weighted average haircut on residential whole loans (1)	16.31		%	16.55		%
Repurchase agreements secured by MSR-related assets	$	920,733		$	474,127
Fair value of MSR-related assets pledged as collateral under repurchase agreements	$	1,169,872		$	611,807
Weighted average haircut on MSR-related assets (1)	21.03		%	21.88		%
Repurchase agreements secured by other interest-earning assets	$	86,130		$	76,419
Fair value of other interest-earning assets pledged as collateral under repurchase agreements	$	86,722		$	81,494
Weighted average haircut on other interest-earning assets (1)	21.02		%	21.15		%

(1) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.

(2) Excludes $65,000 and $27,000 of unamortized debt issuance costs at June 30, 2019 and December 31, 2018, respectively.

(3) At June 30, 2019 and December 31, 2018, includes RPL/NPL MBS with an aggregate fair value of $237.5 million and $27.0 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.

(4) At June 30, 2019 and December 31, 2018, includes residential whole loans held at carrying value with an aggregate fair value of $2.9 billion and $1.7 billion and aggregate amortized cost of $2.8 billion and $1.6 billion, respectively and residential whole loans held at fair value with an aggregate fair value and amortized cost of $777.1 million and $738.6 million, respectively.

Schedule of repricing information about borrowings under repurchase agreements

The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at June 30, 2019 and December 31, 2018:

	June 30, 2019				December 31, 2018
	Balance		Weighted Average Interest Rate		Balance		Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
Within 30 days	$	7,691,365	3.43	%	$	6,747,166	3.35	%
Over 30 days to 3 months	255,437		3.28		368,857		3.10
Over 3 months to 12 months	683,905		4.04		763,091		4.18
Total repurchase agreements	8,630,707		3.47	%	7,879,114		3.42	%
Less debt issuance costs	65				27
Total repurchase agreements less debt   issuance costs	$	8,630,642			$	7,879,087

Schedule of contractual maturity information about repurchase agreements

The following table presents contractual maturity information about the Company’s borrowings under repurchase agreements, all of which are accounted for as secured borrowings, at June 30, 2019, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:

	June 30, 2019
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	$	—		$	1,955,072		$	110,314		$	—		$	—		$	2,065,386
Legacy Non-Agency MBS	—			1,006,126			42,750			227,134			—			1,276,010
RPL/NPL MBS	—			808,969			—			—			—			808,969
CRT securities	—			324,560			—			—			—			324,560
Residential whole loans (1)	—			194,068			1,248,579			1,000,770			705,502			3,148,919
MSR-related assets	—			744,743			—			175,990			—			920,733
Other	—			5,851			—			80,279			—			86,130
Total (2)	$	—		$	5,039,389		$	1,401,643		$	1,484,173		$	705,502		$	8,630,707
Weighted Average Interest Rate	—		%	3.09		%	4.04		%	3.92		%	4.14		%	3.47		%

(1) Repurchase agreement financings secured by residential whole loan collateral are disclosed based on the contractual maturity agreed with the respective counterparty. At June 30, 2019, $1.4 billion of repurchase agreement financings are subject to termination, at the option of the lender, prior to the otherwise agreed contractual maturity following the conclusion of a properly advised notice period. Such notice periods are currently 6 months. In addition, such repurchase agreements are subject to periodic repricing during their terms.

(2)

Excludes $65,000 of unamortized debt issuance costs at June 30, 2019.

Schedule of information about counterparty for repurchase agreements for which the entity had greater than 5% of stockholders' equity at risk

The following table presents information with respect to each counterparty under repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at June 30, 2019:

	June 30, 2019
	Counterparty Rating (1)	Amount  at Risk (2)		Weighted  Average Months  to Maturity for Repurchase Agreements	Percent of Stockholders’ Equity
Counterparty
(Dollars in Thousands)
Credit Suisse (3)	BBB+/Baa2/A-	$	317,915	1	9.3	%
Goldman Sachs (4)	BBB+/A3/A	268,830		1	7.9
RBC (5)	AA-/Aa2/AA	225,019		1	6.6
Wells Fargo (6)	A+/Aa2/AA-	207,814		0	6.1
Barclay’s Bank	BBB/Aa3/A	196,787		3	5.8

(1) As rated at June 30, 2019 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 $297.9 million at risk with Credit Suisse and $20.0 million at risk with Credit Suisse Cayman.

(4) Includes $143.2 million at risk with Goldman Sachs Bank USA and $125.6 million at risk with Goldman Sachs Lending Partners.

(5) Includes $222.0 million at risk with RBC Barbados and $3.1 million at risk with RBC New York. Counterparty ratings are not published for RBC Barbados and RBC Capital Markets LLC.

(6)

Includes $201.1 million at risk with Wells Fargo Bank, NA and approximately $6.7 million at risk with Wells Fargo Securities LLC.