Other Assets (Tables)

9 Months Ended

Sep. 30, 2019

Other Assets [Abstract]

Schedule of other assets

The following table presents the components of the Company’s Other assets at September 30, 2019 and December 31, 2018:

(In Thousands)	September 30, 2019		December 31, 2018
REO (1)	$	376,200	$	249,413
Capital contributions made to loan origination partners	122,903		23,210
Other interest-earning assets	87,896		92,022
MBS and loan related receivables	102,715		130,964
Other	45,495		32,176
Total Other Assets	$	735,209	$	527,785

(1)

Includes $19.6 million of REO that is held-for-investment at September 30, 2019.

Schedule of activity for real estate owned

The following table presents the activity in the Company’s REO for the three and nine months ended September 30, 2019 and 2018:

	Three Months Ended September 30,						Nine Months Ended September 30,
(In Thousands)	2019			2018			2019			2018
Balance at beginning of period	$	334,069		$	192,162		$	249,413		$	152,356
Adjustments to record at lower of cost or fair value	(3,875		)	(4,056		)	(9,264		)	(11,592		)
Transfer from residential whole loans (1)	61,888			58,051			193,531			161,572
Purchases and capital improvements, net	5,108			4,897			16,307			10,179
Disposals (2)	(20,990		)	(27,949		)	(73,787		)	(89,410		)
Balance at end of period	$	376,200		$	223,105		$	376,200		$	223,105
Number of properties	1,508			979			1,508			979

(1) Includes net gain recorded on transfer of approximately $5.0 million and $5.8 million, for the three months ended September 30, 2019 and 2018, respectively; and approximately $16.1 million and $17.0 million for the nine months ended September 30, 2019 and 2018, respectively.

(2)

During the three and nine months ended September 30, 2019, the Company sold 142 and 431 REO properties for consideration of $23.0 million and $80.0 million, realizing net gains of approximately $2.1 million and $5.8 million, respectively. During the three and nine months ended September 30, 2018, the Company sold 157 and 537 REO properties for consideration of $29.9 million and $96.0 million, realizing net gains of approximately $2.0 million and $6.6 million, respectively. These amounts are included in Other Income, net on the Company’s consolidated statements of operations.

Schedule of derivative instruments and balance sheet location

The following table presents the fair value of the Company’s derivative instruments at September 30, 2019 and December 31, 2018:

		September 30, 2019				December 31, 2018
Derivative Instrument (1)	Designation	Notional Amount		Fair Value		Notional Amount		Fair Value
(In Thousands)
Swaps	Hedging	$	2,922,000	$	—	$	2,622,000	$	—
Swaps	Non-Hedging	$	230,000	$	—	$	595,000	$	—

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

Schedule of assets pledged as collateral against derivative contracts

The following table presents the assets pledged as collateral against the Company’s Swap contracts at September 30, 2019 and December 31, 2018:

(In Thousands)	September 30, 2019		December 31, 2018
Agency MBS, at fair value	$	2,333	$	2,735
Restricted cash	23,395		30,068
Total assets pledged against Swaps	$	25,728	$	32,803

Schedule of information about swaps

The following table presents information about the Company’s Swaps at September 30, 2019 and December 31, 2018:

	September 30, 2019						December 31, 2018
	Notional Amount		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (2)		Notional Amount		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (2)
Maturity (1)
(Dollars in Thousands)
Within 30 days	$	—	—	%	—	%	$	—	—	%	—	%
Over 30 days to 3 months	—		—		—		100,000		1.71		2.50
Over 3 months to 6 months	—		—		—		100,000		1.71		2.50
Over 6 months to 12 months	1,630,000		2.27		2.06		—		—		—
Over 12 months to 24 months	800,000		1.73		2.12		1,630,000		2.27		2.50
Over 24 months to 36 months	500,000		2.73		2.13		800,000		2.57		2.64
Over 36 months to 48 months	182,000		2.83		2.09		—		—		—
Over 48 months to 60 months	40,000		3.11		2.27		417,000		2.88		2.63
Over 84 months	—		—		—		170,000		3.00		2.66
Total Swaps	$	3,152,000	2.25	%	2.09	%	$	3,217,000	2.42	%	2.56	%

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

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

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

The following table presents the net impact of the Company’s derivative hedging instruments on its net interest expense and the weighted average interest rate paid and received for such Swaps for the three and nine months ended September 30, 2019 and 2018:

	Three Months Ended September 30,						Nine Months Ended September 30,
(Dollars in Thousands)	2019			2018			2019			2018
Interest (expense)/income attributable to Swaps	$	(322	)	$	(547	)	$	1,561		$	(4,187	)
Weighted average Swap rate paid	2.29		%	2.19		%	2.32		%	2.09		%
Weighted average Swap rate received	2.24		%	2.09		%	2.40		%	1.86		%

Schedule of impact of hedging instruments on AOCI

The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the three and nine months ended September 30, 2019 and 2018:

	Three Months Ended September 30,					Nine Months Ended September 30,
(In Thousands)	2019			2018		2019			2018
AOCI from derivative hedging instruments:
Balance at beginning of period	$	(28,114	)	$	16,160	$	3,121		$	(11,424	)
Net (loss)/gain on Swaps	(233		)	5,390		(30,384		)	32,974
Amortization of de-designated hedging instruments, net	(685		)	—		(1,769		)	—
Balance at end of period	$	(29,032	)	$	21,550	$	(29,032	)	$	21,550