Other Assets (Tables)

6 Months Ended

Jun. 30, 2020

Other Assets [Abstract]

Schedule of other assets

The following table presents the components of the Company’s Other assets at June 30, 2020 and December 31, 2019:

(In Thousands)	June 30, 2020		December 31, 2019
REO (1)	$	348,516	$	411,659
Capital contributions made to loan origination partners	109,585		147,992
Other interest-earning assets	49,971		70,468
Interest receivable	49,588		70,986
Other MBS and loan related receivables	24,471		43,842
Other	31,343		39,304
Total Other Assets	$	613,474	$	784,251

(1)

Includes $53.0 million and $27.3 million of REO that is held-for-investment at June 30, 2020 and December 31, 2019, respectively.

Schedule of activity for real estate owned

The following table presents the activity in the Company’s REO for the three and six months ended June 30, 2020 and 2019:

	Three Months Ended June 30,						Six Months Ended June 30,
(In Thousands)	2020			2019			2020			2019
Balance at beginning of period	$	411,473		$	290,587		$	411,659		$	249,413
Adjustments to record at lower of cost or fair value	(7,138		)	(1,315		)	(11,889		)	(5,388		)
Transfer from residential whole loans (1)	8,526			66,483			59,219			131,644
Purchases and capital improvements, net	3,192			5,274			8,798			11,197
Disposals (2)	(67,537		)	(26,960		)	(119,271		)	(52,797		)
Balance at end of period	$	348,516		$	334,069		$	348,516		$	334,069
Number of properties	1,352			1,362			1,352			1,362

(1) Includes net gain recorded on transfer of approximately $0.2 million and $6.5 million for the three months ended June 30, 2020 and 2019, respectively; and approximately $3.2 million and $11.3 million for six months ended June 30, 2020 and 2019, respectively.

(2)

During the three and six months ended June 30, 2020, the Company sold 296 and 545 REO properties for consideration of $70.5 million and $125.3 million, realizing net gains of approximately $3.0 million and $6.1 million, respectively. During the three and six months ended June 30, 2019, the Company sold 152 and 289 REO properties for consideration of $29.2 million and $57.0 million, realizing net gains of approximately $2.3 million and $3.7 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 June 30, 2020 and December 31, 2019:

		June 30, 2020				December 31, 2019
Derivative Instrument (1)	Designation	Notional Amount		Fair Value		Notional Amount		Fair Value
(In Thousands)
Swaps	Hedging	$	—	$	—	$	2,942,000	$	—
Swaps	Non-Hedging	$	—	$	—	$	230,000	$	—

(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 June 30, 2020 and December 31, 2019:

(In Thousands)	June 30, 2020		December 31, 2019
Agency MBS, at fair value	$	—	$	2,241
Restricted cash	—		16,777
Total assets pledged against Swaps	$	—	$	19,018

Schedule of information about swaps

The following table presents information about the Company’s Swaps at June 30, 2020 and December 31, 2019:

	June 30, 2020						December 31, 2019
	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)
Over 3 months to 6 months	$	—	—	%	—	%	$	200,000	2.05	%	1.70	%
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
Over 24 months to 36 months	—		—		—		20,000		1.38		1.90
Over 36 months to 48 months	—		—		—		222,000		2.88		1.84
Total Swaps	$	—	—	%	—	%	$	3,172,000	2.24	%	1.81	%

(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 six months ended June 30, 2020 and 2019:

	Three Months Ended June 30,						Six Months Ended June 30,
(Dollars in Thousands)	2020			2019			2020			2019
Interest (expense)/income attributable to Swaps	$	—		$	692		$	(3,359	)	$	1,883
Weighted average Swap rate paid	—		%	2.35		%	2.06		%	2.33		%
Weighted average Swap rate received	—		%	2.46		%	1.63		%	2.48		%

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 six months ended June 30, 2020 and 2019:

	Three Months Ended June 30,						Six Months Ended June 30,
(In Thousands)	2020			2019			2020			2019
AOCI from derivative hedging instruments:
Balance at beginning of period	$	(71,208	)	$	(7,665	)	$	(22,675	)	$	3,121
Net loss on Swaps	—			(19,706		)	(50,126		)	(30,151		)
Reclassification adjustment for losses/gains related to hedging instruments included in net income	64,032			(743		)	65,625			(1,084		)
Balance at end of period	$	(7,176	)	$	(28,114	)	$	(7,176	)	$	(28,114	)