Other Assets (Tables)

12 Months Ended

Dec. 31, 2019

Other Assets [Abstract]

Schedule of other assets

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

(In Thousands)	December 31, 2019		December 31, 2018
REO (1)	$	411,659	$	249,413
Capital contributions made to loan origination partners	147,992		23,210
Other interest-earning assets	70,468		92,022
MBS and loan related receivables	114,828		130,964
Other	39,304		32,176
Total Other Assets	$	784,251	$	527,785

(1)

Includes $27.3 million of REO that is held-for-investment at December 31, 2019.

Schedule of activity for real estate owned

The following table presents the activity in the Company’s REO for the years ended December 31, 2019 and 2018:

	For the Year Ended December 31,
(Dollars In Thousands)	2019			2018
Balance at beginning of period	$	249,413		$	152,356
Adjustments to record at lower of cost or fair value	(14,884		)	(15,929		)
Transfer from residential whole loans (1)	257,701			215,038
Purchases and capital improvements	20,746			13,367
Disposals (2)	(101,317		)	(115,419		)
Balance at end of period	$	411,659		$	249,413
Number of properties	1,652			1,093

(1) Includes net gain recorded on transfer of approximately $19.8 million and $19.6 million, respectively, for the years ended December 31, 2019 and 2018.

(2) During the year ended December 31, 2019, the company sold 571 REO properties for consideration of $109.2 million, realizing net gains of approximately $7.4 million. 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. 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 December 31, 2019 and 2018:

		December 31,
		2019				2018
Derivative Instrument (1)	Designation	Notional Amount		Fair Value		Notional Amount		Fair Value
(In Thousands)
Swaps	Hedging	$	2,942,000	$	—	$	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 December 31, 2019 and 2018:

	December 31,
(In Thousands)	2019		2018
Agency MBS, at fair value	$	2,241	$	2,735
Restricted cash	16,777		30,068
Total assets pledged against Swaps	$	19,018	$	32,803

Schedule of information about swaps

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

	December 31, 2019						December 31, 2018
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	200,000		2.05		1.70		100,000		1.71		2.50
Over 6 months to 12 months	1,430,000		2.30		1.77		—		—		—
Over 12 months to 24 months	1,300,000		2.11		1.86		1,630,000		2.27		2.50
Over 24 months to 36 months	20,000		1.38		1.90		800,000		2.57		2.64
Over 36 months to 48 months	222,000		2.88		1.84		—		—		—
Over 48 months to 60 months	—		—		—		417,000		2.88		2.63
Over 84 months	—		—		—		170,000		3.00		2.66
Total Swaps	$	3,172,000	2.24	%	1.81	%	$	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 years ended December 31, 2019, 2018 and 2017:

	For the Year Ended December 31,
(Dollars in Thousands)	2019			2018			2017
Interest expense attributable to Swaps	$	927		$	3,780		$	24,524
Weighted average Swap rate paid	2.28		%	2.12		%	1.98		%
Weighted average Swap rate received	2.24		%	1.96		%	1.07		%

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, 2019, 2018 and 2017:

	For the Year Ended December 31,
(In Thousands)	2019			2018			2017
AOCI from derivative hedging instruments:
Balance at beginning of period	$	3,121		$	(11,424	)	$	(46,721	)
Net (loss)/gain on Swaps	(23,342		)	14,545			35,297
Amortization of de-designated hedging instruments, net	(2,454		)	—			—
Balance at end of period	$	(22,675	)	$	3,121		$	(11,424	)