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Repurchase Agreements (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2019 and 2018:
 
(Dollars in Thousands)
 
December 31, 2019
 
December 31, 2018
Repurchase agreement borrowings secured by Agency MBS
 
$
1,557,675

 
$
2,384,357

Fair value of Agency MBS pledged as collateral under repurchase agreements
 
$
1,656,373

 
$
2,572,597

Weighted average haircut on Agency MBS (1)
 
4.46
%
 
4.60
%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS
 
$
1,121,802

 
$
1,447,585

Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements
 
$
1,420,797

 
$
1,871,650

Weighted average haircut on Legacy Non-Agency MBS (1)
 
20.27
%
 
21.38
%
Repurchase agreement borrowings secured by RPL/NPL MBS
 
$
495,091

 
$
1,084,532

Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements
 
$
635,005

 
$
1,377,250

Weighted average haircut on RPL/NPL MBS (1)
 
21.52
%
 
21.31
%
Repurchase agreements secured by CRT securities
 
$
203,569

 
$
391,586

Fair value of CRT securities pledged as collateral under repurchase agreements
 
$
252,175

 
$
480,315

Weighted average haircut on CRT securities (1)
 
18.84
%
 
20.01
%
Repurchase agreements secured by residential whole loans (2)
 
$
4,743,094

 
$
2,020,508

Fair value of residential whole loans pledged as collateral under repurchase agreements (3)(4)
 
$
5,986,267

 
$
2,441,931

Weighted average haircut on residential whole loans (1)
 
20.07
%
 
16.55
%
Repurchase agreements secured by MSR-related assets
 
$
962,515

 
$
474,127

Fair value of MSR-related assets pledged as collateral under repurchase agreements
 
$
1,217,002

 
$
611,807

Weighted average haircut on MSR-related assets (1)
 
21.18
%
 
21.88
%
Repurchase agreements secured by other interest-earning assets
 
$
57,198

 
$
76,419

Fair value of other interest-earning assets pledged as collateral under repurchase agreements
 
$
61,708

 
$
81,494

Weighted average haircut on other interest-earning assets (1)
 
22.01
%
 
21.15
%

(1)
Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
(2)
Excludes $1.1 million and $27,000 of unamortized debt issuance costs at December 31, 2019 and 2018, respectively.
(3)
At December 31, 2019 and 2018, includes RPL/NPL MBS with an aggregate fair value of $238.8 million and $27.0 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation.
(4)
At December 31, 2019 and 2018, includes residential whole loans held at carrying value with an aggregate fair value of $5.0 billion and $1.7 billion and aggregate amortized cost of $4.8 billion and $1.6 billion, respectively and residential whole loans held at fair value with an aggregate fair value and amortized cost of $794.7 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 December 31, 2019 and 2018:
 
 
 
December 31, 2019
 
December 31, 2018
Time Until Interest Rate Reset
 
Balance
 
Weighted
Average
Interest Rate
 
Balance 
 
Weighted
Average
Interest Rate
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Within 30 days
 
$
4,472,120

 
2.55
%
 
$
6,747,166

 
3.35
%
Over 30 days to 3 months
 
2,746,384

 
3.43

 
368,857

 
3.10

Over 3 months to 12 months
 
1,014,441

 
3.36

 
763,091

 
4.18

Over 12 months
 
907,999

 
3.44

 
—

 
—

Total repurchase agreements
 
$
9,140,944

 
2.99
%
 
$
7,879,114

 
3.42
%
Less debt issuance costs
 
1,123

 
 
 
27

 
 
Total repurchase agreements less debt
  issuance costs
 
$
9,139,821

 
 
 
$
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 December 31, 2019, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:
 
 
 
December 31, 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
 
$
—

 
$
1,557,675

 
$
—

 
$
—

 
$
—

 
$
1,557,675

Legacy Non-Agency MBS
 
—

 
942,212

 
—

 
179,590

 
—

 
1,121,802

RPL/NPL MBS
 
—

 
495,091

 
—

 
—

 
—

 
495,091

CRT securities
 
—

 
203,569

 
—

 
—

 
—

 
203,569

Residential whole loans (1)
 
—

 
486,226

 
2,600,720

 
748,149

 
907,999

 
4,743,094

MSR-related assets
 
—

 
772,197

 
145,664

 
44,654

 
—

 
962,515

Other
 
—

 
15,150

 
—

 
42,048

 
—

 
57,198

Total (2)
 
$
—

 
$
4,472,120

 
$
2,746,384

 
$
1,014,441

 
$
907,999

 
$
9,140,944

 
 
 
 
 
 
 
 
 
 
 
 
 
Weighted Average Interest Rate
 
—
%
 
2.55
%
 
3.43
%
 
3.36
%
 
3.44
%
 
2.99
%

(1)
Repurchase agreement financings secured by residential whole loan collateral are disclosed based on the contractual maturity agreed with the respective counterparty. At December 31, 2019, $2.4 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 currently range from one month to six months. In addition, such repurchase agreements are subject to periodic repricing during their terms.
(2)
Excludes $1.1 million of unamortized debt issuance costs at December 31, 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 December 31, 2019:
 
 
December 31, 2019
Counterparty
Counterparty
Rating (1)
 
Amount at
Risk (2)
 
Weighted
Average Months
to Maturity for
Repurchase
Agreements
 
Percent of
Stockholders’
Equity
(Dollars in Thousands)
 
 
 
 
 
 
 
Credit Suisse (3)
BBB+/Baa2/A-
 
$
414,987

 
2
 
12.3
%
Barclay's Bank
BBB/Aa3/A
 
393,391

 
2
 
11.6

Goldman Sachs (4)
BBB+/A3/A
 
247,191

 
7
 
7.3

Wells Fargo (5)
A+/Aa2/AA-
 
206,651

 
17
 
6.1


(1)
As rated at December 31, 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 $362.6 million at risk with Credit Suisse and $52.4 million at risk with Credit Suisse Cayman.
(4)
Includes $130.5 million at risk with Goldman Sachs Bank USA and $116.7 million at risk with Goldman Sachs Lending Partners.
(5)
Includes $199.8 million at risk with Wells Fargo Bank, NA and $6.9 million at risk with Wells Fargo Securities LLC.