(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | ||||||||||||||||||||||
(Address of principal executive offices) | (Zip Code) |
Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||||||
Preferred Stock, par value $0.01 per share | ||||||||
Preferred Stock, par value $0.01 per share | ||||||||
x | Accelerated filer | ☐ | ||||||||||||
Non-accelerated filer | ☐ | Smaller reporting company | ||||||||||||
Emerging growth company |
Page | ||||||||
PART I | ||||||||
FINANCIAL INFORMATION | ||||||||
MFA FINANCIAL, INC. CONSOLIDATED BALANCE SHEETS | ||||||||||||||
(In Thousands Except Per Share Amounts) | September 30, 2020 | December 31, 2019 | ||||||||||||
(Unaudited) | ||||||||||||||
Assets: | ||||||||||||||
Residential whole loans: | ||||||||||||||
Residential whole loans, at carrying value ($ | $ | $ | ||||||||||||
Residential whole loans, at fair value ($ | ||||||||||||||
Allowance for credit losses on residential whole loans held at carrying value | ( | ( | ||||||||||||
Total residential whole loans, net | ||||||||||||||
Residential mortgage securities, at fair value ($ | ||||||||||||||
Mortgage servicing rights (“MSR”) related assets ($ | ||||||||||||||
Cash and cash equivalents | ||||||||||||||
Restricted cash | ||||||||||||||
Other assets | ||||||||||||||
Total Assets | $ | $ | ||||||||||||
Liabilities: | ||||||||||||||
Financing agreements ($ | $ | $ | ||||||||||||
Other liabilities | ||||||||||||||
Total Liabilities | $ | $ | ||||||||||||
Commitments and contingencies (See Note 10) | ||||||||||||||
Stockholders’ Equity: | ||||||||||||||
Preferred stock, $ | $ | $ | ||||||||||||
Preferred stock, $ | ||||||||||||||
Common stock, $ and outstanding, respectively | ||||||||||||||
Additional paid-in capital, in excess of par | ||||||||||||||
Accumulated deficit | ( | ( | ||||||||||||
Accumulated other comprehensive income | ||||||||||||||
Total Stockholders’ Equity | $ | $ | ||||||||||||
Total Liabilities and Stockholders’ Equity | $ | $ |
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) | ||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands, Except Per Share Amounts) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Interest Income: | ||||||||||||||||||||||||||
Residential whole loans held at carrying value | $ | $ | $ | $ | ||||||||||||||||||||||
Residential mortgage securities | ||||||||||||||||||||||||||
MSR-related assets | ||||||||||||||||||||||||||
Other interest-earning assets | ||||||||||||||||||||||||||
Cash and cash equivalent investments | ||||||||||||||||||||||||||
Interest Income | $ | $ | $ | $ | ||||||||||||||||||||||
Interest Expense: | ||||||||||||||||||||||||||
Asset-backed and other collateralized financing arrangements | $ | $ | $ | $ | ||||||||||||||||||||||
Other interest expense | ||||||||||||||||||||||||||
Interest Expense | $ | $ | $ | $ | ||||||||||||||||||||||
Net Interest Income | $ | $ | $ | $ | ||||||||||||||||||||||
Reversal/(Provision) for credit and valuation losses on residential whole loans and other financial instruments | $ | $ | ( | $ | ( | $ | ( | |||||||||||||||||||
Net Interest Income after Provision for Credit and Valuation Losses | $ | $ | $ | $ | ||||||||||||||||||||||
Other Income, net: | ||||||||||||||||||||||||||
Impairment and other losses on securities available-for-sale and other assets | $ | ( | $ | $ | ( | $ | ||||||||||||||||||||
Net realized gain/(loss) on sales of residential mortgage securities and residential whole loans | ( | |||||||||||||||||||||||||
Net unrealized gain/(loss) on residential mortgage securities measured at fair value through earnings | ( | ( | ||||||||||||||||||||||||
Net gain on residential whole loans measured at fair value through earnings | ||||||||||||||||||||||||||
Loss on terminated swaps previously designated as hedges for accounting purposes | ( | ( | ||||||||||||||||||||||||
Other, net | ( | |||||||||||||||||||||||||
Other Income/(Loss), net | $ | $ | $ | ( | $ | |||||||||||||||||||||
Operating and Other Expense: | ||||||||||||||||||||||||||
Compensation and benefits | $ | $ | $ | $ | ||||||||||||||||||||||
Other general and administrative expense | ||||||||||||||||||||||||||
Loan servicing, financing and other related costs | ||||||||||||||||||||||||||
Costs associated with restructuring/forbearance agreement | $ | |||||||||||||||||||||||||
Operating and Other Expense | $ | $ | $ | $ | ||||||||||||||||||||||
Net Income/(Loss) | $ | $ | $ | ( | $ | |||||||||||||||||||||
Less Preferred Stock Dividend Requirement | $ | $ | $ | |||||||||||||||||||||||
Net Income/(Loss) Available to Common Stock and Participating Securities | $ | $ | $ | ( | $ | |||||||||||||||||||||
Basic Earnings/(Loss) per Common Share | $ | $ | $ | ( | $ | |||||||||||||||||||||
Diluted Earnings/(Loss) per Common Share | $ | $ | $ | ( | $ |
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) (UNAUDITED) | ||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Net income/(loss) | $ | $ | $ | ( | $ | |||||||||||||||||||||
Other Comprehensive Income/(Loss): | ||||||||||||||||||||||||||
Unrealized gains on securities available-for-sale | ||||||||||||||||||||||||||
Reclassification adjustment for MBS sales included in net income | ( | ( | ( | ( | ||||||||||||||||||||||
Reclassification adjustment for impairments included in net income | ( | |||||||||||||||||||||||||
Derivative hedging instrument fair value changes, net | ( | ( | ( | |||||||||||||||||||||||
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk | ( | ( | ||||||||||||||||||||||||
Reclassification adjustment for losses/(gains) related to hedging instruments included in net income | ( | ( | ||||||||||||||||||||||||
Other Comprehensive Income/(Loss) | ( | ( | ( | ( | ||||||||||||||||||||||
Comprehensive income before preferred stock dividends | $ | $ | $ | ( | $ | |||||||||||||||||||||
Dividends required on preferred stock | ( | ( | ( | ( | ||||||||||||||||||||||
Comprehensive Income/(Loss) Available to Common Stock and Participating Securities | $ | $ | $ | ( | $ |
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In Thousands, Except Per Share Amounts) | Preferred Stock 6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable - Liquidation Preference $25.00 per Share | Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share | Common Stock | Additional Paid-in Capital | Accumulated Deficit | Accumulated Other Comprehensive Income | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2019 | $ | $ | $ | $ | $ | ( | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cumulative effect adjustment on adoption of new accounting standard ASU 2016-13 | — | — | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net loss | — | — | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of Series C Preferred Stock, net of expenses | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock, net of expenses | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | — | — | ( | — | ( | — | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity based compensation expense | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in unrealized gains on MBS, net | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative hedging instrument fair value changes and amortization, net | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at March 31, 2020 | $ | $ | $ | $ | $ | ( | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock, net of expenses | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity based compensation expense | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in unrealized gains on MBS, net | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative hedging instrument fair value changes and amortization, net | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Warrants Issued | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at June 30, 2020 | $ | $ | $ | $ | $ | ( | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock, net of expenses | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity based compensation expense | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | — | — | ( | — | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends declared on common stock ($0.05 per share) | — | — | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends declared on Series B Preferred Stock ($1.40625 per share) (2) | — | — | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends declared on Series C Preferred Stock ($0.93889 per share) (2) | — | — | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends attributable to dividend equivalents | — | — | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in unrealized gains on MBS, net | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative hedging instrument fair value changes and amortization, net | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk | — | — | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2020 | $ | $ | $ | $ | $ | ( | $ | $ |
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2019 | ||||||||||||||||||||||||||||||||||||||||||||||||||
(In Thousands, Except Per Share Amounts) | Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share | Common Stock | Additional Paid-in Capital | Accumulated Deficit | Accumulated Other Comprehensive Income | Total | ||||||||||||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||||||||||||||||||||||||||||||||||
Balance at December 31, 2018 | $ | $ | $ | $ | ( | $ | $ | |||||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock, net of expenses | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | ( | — | ( | — | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Equity based compensation expense | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Dividends declared on common stock ($0.20 per share) | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Dividends declared on preferred stock ($0.46875 per share) | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Dividends attributable to dividend equivalents | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Change in unrealized losses on MBS, net | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Derivative hedging instruments fair value changes, net | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Balance at March 31, 2019 | $ | $ | $ | $ | ( | $ | $ | |||||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock, net of expenses | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Equity based compensation expense | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | ( | — | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Dividends declared on common stock ($0.20 per share) | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Dividends declared on preferred stock ($0.46875 per share) | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Dividends attributable to dividend equivalents | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Change in unrealized losses on MBS, net | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Derivative hedging instruments fair value changes, net | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Balance at June 30, 2019 | $ | $ | $ | $ | ( | $ | $ | |||||||||||||||||||||||||||||||||||||||||||
Net income | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Issuance of common stock, net of expenses | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Equity based compensation expense | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | ( | — | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Dividends declared on common stock ($0.20 per share) | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Dividends declared on preferred stock ($0.46875 per share) | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Dividends attributable to dividend equivalents | — | — | — | — | — | ( | — | ( | ||||||||||||||||||||||||||||||||||||||||||
Change in unrealized losses on MBS, net | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Derivative hedging instruments fair value changes, net | — | — | — | — | — | — | ( | ( | ||||||||||||||||||||||||||||||||||||||||||
Balance at September 30, 2019 | $ | $ | $ | $ | ( | $ | $ |
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) | ||||||||||||||
Nine Months Ended September 30, | ||||||||||||||
(In Thousands) | 2020 | 2019 | ||||||||||||
Cash Flows From Operating Activities: | ||||||||||||||
Net (loss)/income | $ | ( | $ | |||||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||
Losses/(gains) on residential whole loans and real estate owned, net | ( | |||||||||||||
Gains on residential mortgage securities and MSR related assets, net | ( | ( | ||||||||||||
Impairment and other losses on securities available-for-sale and other assets | ||||||||||||||
Losses on terminated swaps previously designated as hedges and other | ||||||||||||||
Accretion of purchase discounts on residential mortgage securities, residential whole loans and MSR-related assets | ( | ( | ||||||||||||
Amortization of purchase premiums on residential mortgage securities and residential whole loans, and amortization of terminated hedging instruments | ||||||||||||||
Provision for credit and valuation losses on residential whole loans and other financial instruments | ||||||||||||||
Net valuation and other non-cash losses included in net income | ||||||||||||||
Decrease/(increase) in other assets | ( | |||||||||||||
(Decrease)/increase in other liabilities | ( | |||||||||||||
Net cash provided by operating activities | $ | $ | ||||||||||||
Cash Flows From Investing Activities: | ||||||||||||||
Purchases of residential whole loans, loan related investments and capitalized advances | $ | ( | $ | ( | ||||||||||
Proceeds from sales of residential whole loans | ||||||||||||||
Principal payments on residential whole loans | ||||||||||||||
Principal payments on residential mortgage securities and MSR-related assets | ||||||||||||||
Proceeds from sales of residential mortgage securities, MSR-related assets, and other assets | ||||||||||||||
Purchases of residential mortgage securities and MSR-related assets | ( | ( | ||||||||||||
Proceeds from sales of real estate owned | ||||||||||||||
Purchases of real estate owned and capital improvements | ( | ( | ||||||||||||
Additions to leasehold improvements, furniture and fixtures | ( | ( | ||||||||||||
Net cash provided by/(used in) investing activities | $ | $ | ( | |||||||||||
Cash Flows From Financing Activities: | ||||||||||||||
Principal payments on financing agreements with mark-to-market collateral provisions | $ | ( | $ | ( | ||||||||||
Proceeds from borrowings under financing agreements with mark-to-market collateral provisions | ||||||||||||||
Principal payments on financing agreements with non-mark-to-market collateral provisions | ( | |||||||||||||
Proceeds from borrowings under financing agreements with non-mark-to-market collateral provisions | ||||||||||||||
Principal payments made on senior secured credit agreement | ( | |||||||||||||
Proceeds from issuance of senior secured credit agreement | ||||||||||||||
Principal payments on securitized debt | ( | ( | ||||||||||||
Proceeds from issuance of securitized debt | ||||||||||||||
Proceeds from issuance of convertible senior notes | ||||||||||||||
Payments made for settlements and unwinds of Swaps | ( | ( | ||||||||||||
Proceeds from issuance of series C preferred stock | ||||||||||||||
Payments made for costs related to series C preferred stock issuance | ( | |||||||||||||
Proceeds from issuances of common stock | ||||||||||||||
Proceeds from the issuance of warrants | ||||||||||||||
Dividends paid on preferred stock | ( | ( | ||||||||||||
Dividends paid on common stock and dividend equivalents | ( | ( | ||||||||||||
Net cash (used in)/provided by financing activities | $ | ( | $ | |||||||||||
Net increase in cash, cash equivalents and restricted cash | $ | $ | ||||||||||||
Cash, cash equivalents and restricted cash at beginning of period | $ | $ | ||||||||||||
Cash, cash equivalents and restricted cash at end of period | $ | $ | ||||||||||||
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) | ||||||||||||||
Supplemental Disclosure of Cash Flow Information | ||||||||||||||
Interest Paid | $ | $ | ||||||||||||
Non-cash Investing and Financing Activities: | ||||||||||||||
Transfer from residential whole loans to real estate owned | $ | $ | ||||||||||||
Dividends and dividend equivalents declared and unpaid | $ | $ | ||||||||||||
Payable for unsettled residential whole loan purchases | $ | $ |
(Dollars In Thousands) | September 30, 2020 | December 31, 2019 | ||||||||||||
Purchased Performing Loans: | ||||||||||||||
Non-QM loans | $ | $ | ||||||||||||
Rehabilitation loans | ||||||||||||||
Single-family rental loans | ||||||||||||||
Seasoned performing loans | ||||||||||||||
Total Purchased Performing Loans | ||||||||||||||
Purchased Credit Deteriorated Loans (1) | ||||||||||||||
Total Residential whole loans, at carrying value | $ | $ | ||||||||||||
Allowance for credit losses on residential whole loans held at carrying value | ( | ( | ||||||||||||
Total Residential whole loans at carrying value, net | $ | $ | ||||||||||||
Number of loans |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Purchased Performing Loans: | ||||||||||||||||||||||||||
Non-QM loans | $ | $ | $ | $ | ||||||||||||||||||||||
Rehabilitation loans | ||||||||||||||||||||||||||
Single-family rental loans | ||||||||||||||||||||||||||
Seasoned performing loans | ||||||||||||||||||||||||||
Total Purchased Performing Loans | ||||||||||||||||||||||||||
Purchased Credit Deteriorated Loans | ||||||||||||||||||||||||||
Total Residential whole loans, at carrying value | $ | $ | $ | $ |
Carrying Value | Amortized Cost Basis | Unpaid Principal Balance (“UPB”) | Weighted Average Coupon (1) | Weighted Average Term to Maturity (Months) | Weighted Average LTV Ratio (2) | Weighted Average Original FICO (3) | Aging by Amortized Cost Basis | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Past Due Days | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars In Thousands) | Current | 30-59 | 60-89 | 90+ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased Performing Loans: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-QM loans (4) | $ | $ | $ | % | % | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rehabilitation loans (4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Single-family rental loans (4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Seasoned performing loans (4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased Credit Deteriorated Loans (4)(5) | N/A | N/M | N/M | N/M | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential whole loans, at carrying value, total or weighted average | $ | $ | $ | % |
Carrying Value | Amortized Cost Basis | Unpaid Principal Balance (“UPB”) | Weighted Average Coupon (1) | Weighted Average Term to Maturity (Months) | Weighted Average LTV Ratio (2) | Weighted Average Original FICO (3) | Aging by UPB | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Past Due Days | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(Dollars In Thousands) | Current | 30-59 | 60-89 | 90+ | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased Performing Loans: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-QM loans (4) | $ | $ | $ | % | % | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Rehabilitation loans (4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Single-family rental loans (4) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Seasoned performing loans | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased Credit Impaired Loans (5) | N/A | N/M | N/M | N/M | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential whole loans, at carrying value, total or weighted average | $ | $ | $ | % |
Nine Months Ended September 30, 2020 | ||||||||||||||||||||||||||||||||||||||
(Dollars In Thousands) | Non-QM Loans | Rehabilitation Loans (1)(2) | Single-family Rental Loans | Seasoned Performing Loans | Purchased Credit Deteriorated Loans (3) | Totals | ||||||||||||||||||||||||||||||||
Allowance for credit losses at December 31, 2019 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||
Transition adjustment on adoption of ASU 2016-13 (4) | ||||||||||||||||||||||||||||||||||||||
Current provision | ||||||||||||||||||||||||||||||||||||||
Write-offs | ( | ( | ( | |||||||||||||||||||||||||||||||||||
Valuation adjustment on loans held for sale | ||||||||||||||||||||||||||||||||||||||
Allowance for credit and valuation losses at March 31, 2020 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||
Current provision/(reversal) | ( | ( | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||
Write-offs | ( | ( | ( | |||||||||||||||||||||||||||||||||||
Valuation adjustment on loans held for sale | ( | ( | ||||||||||||||||||||||||||||||||||||
Allowance for credit losses at June 30, 2020 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||
Current provision/(reversal) | ( | ( | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||
Write-offs | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||
Allowance for credit losses at September 30, 2020 | $ | $ | $ | $ | $ | $ |
Nine Months Ended September 30, 2019 | ||||||||||||||||||||||||||||||||||||||
(Dollars In Thousands) | Non-QM Loans | Rehabilitation Loans | Single-family Rental Loans | Seasoned Performing Loans | Purchased Credit Deteriorated Loans | Totals | ||||||||||||||||||||||||||||||||
Allowance for credit losses at December 31, 2018 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||
Current provision | ||||||||||||||||||||||||||||||||||||||
Write-offs | ||||||||||||||||||||||||||||||||||||||
Allowance for credit losses at March 31, 2019 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||
Current provision | ||||||||||||||||||||||||||||||||||||||
Write-offs | ( | ( | ||||||||||||||||||||||||||||||||||||
Allowance for credit losses at June 30, 2019 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||
Current provision | ||||||||||||||||||||||||||||||||||||||
Write-offs | ( | ( | ||||||||||||||||||||||||||||||||||||
Allowance for credit losses at September 30, 2019 | $ | $ | $ | $ | $ | $ |
Amortized Cost Basis by Origination Year and LTV Bands | ||||||||||||||||||||||||||||||||||||||||||||
(Dollars In Thousands) | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | Total | |||||||||||||||||||||||||||||||||||||
Non-QM loans | ||||||||||||||||||||||||||||||||||||||||||||
LTV < 80% (1) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
LTV >= 80% (1) | ||||||||||||||||||||||||||||||||||||||||||||
Total Non-QM loans | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Gross write-offs | $ | — | $ | — | $ | $ | — | $ | — | $ | — | $ | ||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Recoveries | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Net write-offs | $ | — | $ | — | $ | $ | — | $ | — | $ | — | $ | ||||||||||||||||||||||||||||||||
Rehabilitation loans | ||||||||||||||||||||||||||||||||||||||||||||
LTV < 80% (1) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
LTV >= 80% (1) | ||||||||||||||||||||||||||||||||||||||||||||
Total Rehabilitation loans | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Gross write-offs | $ | — | $ | $ | $ | $ | — | $ | $ | |||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Recoveries | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Net write-offs | $ | — | $ | $ | $ | $ | — | $ | $ | |||||||||||||||||||||||||||||||||||
Single family rental loans | ||||||||||||||||||||||||||||||||||||||||||||
LTV < 80% (1) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
LTV >= 80% (1) | ||||||||||||||||||||||||||||||||||||||||||||
Total Single family rental loans | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Gross write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Recoveries | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Net write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||
Seasoned performing loans | ||||||||||||||||||||||||||||||||||||||||||||
LTV < 80% (1) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
LTV >= 80% (1) | ||||||||||||||||||||||||||||||||||||||||||||
Total Seasoned performing loans | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Gross write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Recoveries | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Net write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||
Purchased credit deteriorated loans | ||||||||||||||||||||||||||||||||||||||||||||
LTV < 80% (1) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
LTV >= 80% (1) | ||||||||||||||||||||||||||||||||||||||||||||
Total Purchased credit deteriorated loans | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Gross write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | $ | ||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Recoveries | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 Net write-offs | $ | — | $ | — | $ | — | $ | — | $ | — | $ | $ | ||||||||||||||||||||||||||||||||
Total LTV < 80% (1) | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
Total LTV >= 80% (1) | ||||||||||||||||||||||||||||||||||||||||||||
Total residential whole loans, at carrying value | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||||
Total Gross write-offs | $ | — | $ | $ | $ | $ | — | $ | $ | |||||||||||||||||||||||||||||||||||
Total Recoveries | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
Total Net write-offs | $ | — | $ | $ | $ | $ | — | $ | $ |
(Dollars in Thousands) | September 30, 2020 | December 31, 2019 | ||||||||||||
Less than 60 Days Past Due: | ||||||||||||||
Outstanding principal balance | $ | $ | ||||||||||||
Aggregate fair value | $ | $ | ||||||||||||
Weighted Average LTV Ratio (1) | % | % | ||||||||||||
Number of loans | ||||||||||||||
60 Days to 89 Days Past Due: | ||||||||||||||
Outstanding principal balance | $ | $ | ||||||||||||
Aggregate fair value | $ | $ | ||||||||||||
Weighted Average LTV Ratio (1) | % | % | ||||||||||||
Number of loans | ||||||||||||||
90 Days or More Past Due: | ||||||||||||||
Outstanding principal balance | $ | $ | ||||||||||||
Aggregate fair value | $ | $ | ||||||||||||
Weighted Average LTV Ratio (1) | % | % | ||||||||||||
Number of loans | ||||||||||||||
Total Residential whole loans, at fair value | $ | $ |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Coupon payments, realized gains, and other income received (1) | $ | $ | $ | $ | ||||||||||||||||||||||
Net unrealized gains/(losses) | ( | |||||||||||||||||||||||||
Net gain on transfers to REO | ||||||||||||||||||||||||||
Total | $ | $ | $ | $ |
(In Thousands) | Principal/ Current Face | Purchase Premiums | Accretable Purchase Discounts | Discount Designated as Credit Reserve (1) | Gross Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency MBS (2)(3)(4) | $ | $ | $ | ( | $ | ( | $ | $ | $ | ( | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||
CRT securities (5) | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total residential mortgage securities | $ | $ | $ | ( | $ | ( | $ | $ | $ | ( | $ | $ |
(In Thousands) | Principal/ Current Face | Purchase Premiums | Accretable Purchase Discounts | Discount Designated as Credit Reserve (1) | Gross Amortized Cost (6) | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||
Agency MBS: (7) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | $ | $ | ( | $ | $ | $ | $ | ( | $ | ( | $ | ||||||||||||||||||||||||||||||||||||||||||||
Freddie Mac | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ginnie Mae | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Agency MBS | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency MBS: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expected to Recover Par (2)(3) | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Expected to Recover Less than Par (2) | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Non-Agency MBS (4) | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total MBS | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||||
CRT securities (5) | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total residential mortgage securities | $ | $ | $ | ( | $ | ( | $ | $ | $ | ( | $ | $ |
Three Months Ended September 30, 2020 | Three Months Ended September 30, 2019 | |||||||||||||||||||||||||
(In Thousands) | Sales Proceeds | Gains/(Losses) | Sales Proceeds | Gains/(Losses) | ||||||||||||||||||||||
Agency MBS | $ | $ | $ | $ | ||||||||||||||||||||||
Non-Agency MBS | ||||||||||||||||||||||||||
CRT Securities | ||||||||||||||||||||||||||
Total | $ | $ | $ | $ |
Nine Months Ended September 30, 2020 | Nine Months Ended September 30, 2019 | |||||||||||||||||||||||||
(In Thousands) | Sales Proceeds | Gains/(Losses) | Sales Proceeds | Gains/(Losses) | ||||||||||||||||||||||
Agency MBS | $ | $ | ( | $ | $ | |||||||||||||||||||||
Non-Agency MBS | ||||||||||||||||||||||||||
CRT Securities | ( | |||||||||||||||||||||||||
Total | $ | $ | $ | $ |
Less than 12 Months | 12 Months or more | Total | ||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | Number of Securities | Fair Value | Unrealized Losses | |||||||||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Non-Agency MBS (1) | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||
CRT securities (2) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total residential mortgage securities | $ | $ | $ | $ | $ | $ |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(Dollars In Thousands) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Allowance for credit losses at beginning of period | $ | $ | $ | $ | ||||||||||||||||||||||
Current provision: | — | — | — | — | ||||||||||||||||||||||
Securities with no prior loss allowance | ||||||||||||||||||||||||||
Securities with a prior loss allowance | ||||||||||||||||||||||||||
Write-offs, including allowance related to securities the Company intends to sell | ( | |||||||||||||||||||||||||
Allowance for credit losses at end of period | $ | $ | $ | $ |
Three Months Ended September 30, 2020 | Three Months Ended September 30, 2019 | |||||||||||||||||||||||||
(In Thousands) | Discount Designated as Credit Reserve | Accretable Discount (1) | Discount Designated as Credit Reserve | Accretable Discount (1) | ||||||||||||||||||||||
Balance at beginning of period | $ | ( | $ | ( | $ | ( | $ | ( | ||||||||||||||||||
Accretion of discount | ||||||||||||||||||||||||||
Realized credit losses | ||||||||||||||||||||||||||
Sales/Redemptions | ||||||||||||||||||||||||||
Transfers/release of credit reserve | ( | |||||||||||||||||||||||||
Balance at end of period | $ | ( | $ | ( | $ | ( | $ | ( |
Nine Months Ended September 30, 2020 | Nine Months Ended September 30, 2019 | |||||||||||||||||||||||||
(In Thousands) | Discount Designated as Credit Reserve | Accretable Discount (1) | Discount Designated as Credit Reserve | Accretable Discount (1) | ||||||||||||||||||||||
Balance at beginning of period | $ | ( | $ | ( | $ | ( | $ | ( | ||||||||||||||||||
Impact of RMBS Issuer Settlement (2) | ( | |||||||||||||||||||||||||
Accretion of discount | ||||||||||||||||||||||||||
Realized credit losses | ||||||||||||||||||||||||||
Purchases | ( | |||||||||||||||||||||||||
Sales/Redemptions | ||||||||||||||||||||||||||
Net impairment losses recognized in earnings | ( | |||||||||||||||||||||||||
Transfers/release of credit reserve | ( | ( | ||||||||||||||||||||||||
Balance at end of period | $ | ( | $ | ( | $ | ( | $ | ( |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
AOCI from AFS securities: | ||||||||||||||||||||||||||
Unrealized gain on AFS securities at beginning of period | $ | $ | $ | $ | ||||||||||||||||||||||
Unrealized gain/(loss) on Agency MBS, net | ( | |||||||||||||||||||||||||
Unrealized gain on Non-Agency MBS, net | ||||||||||||||||||||||||||
Unrealized gain on MSR term notes, net | ||||||||||||||||||||||||||
Reclassification adjustment for MBS sales included in net income | ( | ( | ( | ( | ||||||||||||||||||||||
Reclassification adjustment for impairment included in net income | ( | |||||||||||||||||||||||||
Change in AOCI from AFS securities | ( | ( | ||||||||||||||||||||||||
Balance at end of period | $ | $ | $ | $ |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Agency MBS | ||||||||||||||||||||||||||
Coupon interest | $ | $ | $ | $ | ||||||||||||||||||||||
Effective yield adjustment (1) | ( | ( | ( | |||||||||||||||||||||||
Interest income | $ | $ | $ | $ | ||||||||||||||||||||||
Legacy Non-Agency MBS | ||||||||||||||||||||||||||
Coupon interest | $ | $ | $ | $ | ||||||||||||||||||||||
Effective yield adjustment (2)(3) | ||||||||||||||||||||||||||
Interest income | $ | $ | $ | $ | ||||||||||||||||||||||
RPL/NPL MBS | ||||||||||||||||||||||||||
Coupon interest | $ | $ | $ | $ | ||||||||||||||||||||||
Effective yield adjustment (1)(4) | ||||||||||||||||||||||||||
Interest income | $ | $ | $ | $ | ||||||||||||||||||||||
CRT securities | ||||||||||||||||||||||||||
Coupon interest | $ | $ | $ | $ | ||||||||||||||||||||||
Effective yield adjustment (2) | ( | ( | ( | |||||||||||||||||||||||
Interest income | $ | $ | $ | $ | ||||||||||||||||||||||
MSR-related assets | ||||||||||||||||||||||||||
Coupon interest | $ | $ | $ | $ | ||||||||||||||||||||||
Effective yield adjustment (1)(2) | ||||||||||||||||||||||||||
Interest income | $ | $ | $ | $ |
(In Thousands) | September 30, 2020 | December 31, 2019 | ||||||||||||
REO (1) | $ | $ | ||||||||||||
Capital contributions made to loan origination partners | ||||||||||||||
Other interest-earning assets | ||||||||||||||
Interest receivable | ||||||||||||||
Other MBS and loan related receivables | ||||||||||||||
Other | ||||||||||||||
Total Other Assets | $ | $ |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Balance at beginning of period | $ | $ | $ | $ | ||||||||||||||||||||||
Adjustments to record at lower of cost or fair value | ( | ( | ( | |||||||||||||||||||||||
Transfer from residential whole loans (1) | ||||||||||||||||||||||||||
Purchases and capital improvements, net | ||||||||||||||||||||||||||
Disposals (2) | ( | ( | ( | ( | ||||||||||||||||||||||
Balance at end of period | $ | $ | $ | $ | ||||||||||||||||||||||
Number of properties |
September 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||||||||
Derivative Instrument (1) | Designation | Notional Amount | Fair Value | Notional Amount | Fair Value | |||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||
Swaps | Hedging | $ | $ | $ | $ | |||||||||||||||||||||||||||
Swaps | Non-Hedging | $ | $ | $ | $ | |||||||||||||||||||||||||||
(In Thousands) | September 30, 2020 | December 31, 2019 | ||||||||||||
Agency MBS, at fair value | $ | $ | ||||||||||||
Restricted cash | ||||||||||||||
Total assets pledged against Swaps | $ | $ |
September 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 | $ | % | % | $ | % | % | ||||||||||||||||||||||||||||||||
Over 6 months to 12 months | ||||||||||||||||||||||||||||||||||||||
Over 12 months to 24 months | ||||||||||||||||||||||||||||||||||||||
Over 24 months to 36 months | ||||||||||||||||||||||||||||||||||||||
Over 36 months to 48 months | ||||||||||||||||||||||||||||||||||||||
Total Swaps | $ | % | % | $ | % | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(Dollars in Thousands) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Interest (expense)/income attributable to Swaps | $ | $ | ( | $ | ( | $ | ||||||||||||||||||||
Weighted average Swap rate paid | % | % | % | % | ||||||||||||||||||||||
Weighted average Swap rate received | % | % | % | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
AOCI from derivative hedging instruments: | ||||||||||||||||||||||||||
Balance at beginning of period | $ | ( | $ | ( | $ | ( | $ | |||||||||||||||||||
Net loss on Swaps | ( | ( | ( | |||||||||||||||||||||||
Reclassification adjustment for losses/gains related to hedging instruments included in net income | ( | ( | ||||||||||||||||||||||||
Balance at end of period | $ | $ | ( | $ | $ | ( |
September 30, 2020 | ||||||||||||||||||||
(In Thousands) | Unpaid Principal Balance | Amortized Cost Balance | Fair Value/Carrying Value(1) | |||||||||||||||||
Financing agreements, at fair value | ||||||||||||||||||||
Agreements with non-mark-to-market collateral provisions | $ | $ | $ | |||||||||||||||||
Agreements with mark-to-market collateral provisions | ||||||||||||||||||||
Senior secured credit agreement | ||||||||||||||||||||
Securitized debt | ||||||||||||||||||||
Total Financing agreements, at fair value | $ | $ | $ | |||||||||||||||||
Other financing agreements | ||||||||||||||||||||
Securitized debt | $ | $ | ||||||||||||||||||
Convertible senior notes | ||||||||||||||||||||
Senior notes | ||||||||||||||||||||
Total Financing agreements at carrying value | $ | $ | ||||||||||||||||||
Total Financing agreements | $ | $ |
December 31, 2019 | ||||||||||||||
(In Thousands) | Unpaid Principal Balance | Carrying Value | ||||||||||||
Repurchase agreements | $ | $ | ||||||||||||
Securitized debt | ||||||||||||||
Convertible senior notes | ||||||||||||||
Senior notes | ||||||||||||||
Total Financing agreements at carrying value | $ | $ |
(Dollars in Thousands) | September 30, 2020 | December 31, 2019 | ||||||||||||
Non-mark-to-market financing secured by residential whole loans at carrying value | $ | $ | ||||||||||||
Fair value of residential whole loans at carrying value pledged as collateral under financing agreements | $ | $ | ||||||||||||
Weighted average haircut on residential whole loans at carrying value | % | % | ||||||||||||
Non-mark-to-market financing secured by residential whole loans at fair value | $ | $ | ||||||||||||
Fair value of residential whole loans at fair value pledged as collateral under financing agreements | $ | $ | ||||||||||||
Weighted average haircut on residential whole loans at fair value | % | % |
(Dollars in Thousands) | September 30, 2020 | December 31, 2019 | ||||||||||||
Mark-to-market financing agreements secured by residential whole loans (1) | $ | $ | ||||||||||||
Fair value of residential whole loans pledged as collateral under financing agreements (2) | $ | $ | ||||||||||||
Weighted average haircut on residential whole loans (3) | % | % | ||||||||||||
Mark-to-market financing agreement borrowings secured by Agency MBS | $ | $ | ||||||||||||
Fair value of Agency MBS pledged as collateral under financing agreements | $ | $ | ||||||||||||
Weighted average haircut on Agency MBS (3) | % | % | ||||||||||||
Mark-to-market financing agreement borrowings secured by Legacy Non-Agency MBS | $ | $ | ||||||||||||
Fair value of Legacy Non-Agency MBS pledged as collateral under financing agreements | $ | $ | ||||||||||||
Weighted average haircut on Legacy Non-Agency MBS (3) | % | % | ||||||||||||
Mark-to-market financing agreement borrowings secured by RPL/NPL MBS | $ | $ | ||||||||||||
Fair value of RPL/NPL MBS pledged as collateral under financing agreements | $ | $ | ||||||||||||
Weighted average haircut on RPL/NPL MBS (3) | % | % | ||||||||||||
Mark-to-market financing agreements secured by CRT securities | $ | $ | ||||||||||||
Fair value of CRT securities pledged as collateral under financing agreements | $ | $ | ||||||||||||
Weighted average haircut on CRT securities (3) | % | % | ||||||||||||
Mark-to-market financing agreements secured by MSR-related assets | $ | $ | ||||||||||||
Fair value of MSR-related assets pledged as collateral under financing agreements | $ | $ | ||||||||||||
Weighted average haircut on MSR-related assets (3) | % | % | ||||||||||||
Mark-to-market financing agreements secured by other interest-earning assets | $ | $ | ||||||||||||
Fair value of other interest-earning assets pledged as collateral under financing agreements | $ | $ | ||||||||||||
Weighted average haircut on other interest-earning assets (3) | % | % |
September 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||
Amortized Cost Basis | Weighted Average Interest Rate | Amortized Cost Basis | Weighted Average Interest Rate | |||||||||||||||||||||||
Time Until Interest Rate Reset | ||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||
Within 30 days | $ | % | $ | % | ||||||||||||||||||||||
Over 30 days to 3 months | ||||||||||||||||||||||||||
Over 3 months to 12 months | ||||||||||||||||||||||||||
Over 12 months | ||||||||||||||||||||||||||
Total financing agreements | $ | % | $ | % | ||||||||||||||||||||||
Less debt issuance costs | ||||||||||||||||||||||||||
Total financing agreements less debt issuance costs | $ | $ |
September 30, 2020 | ||||||||||||||||||||||||||
Counterparty Rating (1) | Amount at Risk (2) | Weighted Average Months to Repricing for Repurchase Agreements | Percent of Stockholders’ Equity | |||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||
Barclays Bank | BBB/Aa3/A | $ | % | |||||||||||||||||||||||
Credit Suisse | BBB+/Baa2/A- | |||||||||||||||||||||||||
Wells Fargo | A+/Aa2/AA- | |||||||||||||||||||||||||
Goldman Sachs (3) | BBB+/A3/A | |||||||||||||||||||||||||
Athene (4) | BBB+/N/A/BBB+ |
(In Thousands) | September 30, 2020 | December 31, 2019 | ||||||||||||
Dividends and dividend equivalents payable | $ | $ | ||||||||||||
Accrued interest payable | ||||||||||||||
Accrued expenses and other | ||||||||||||||
Total Other Liabilities | $ | $ |
Three Months Ended September 30, 2020 | Nine Months Ended September 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
(In Thousands) | Net Unrealized Gain/(Loss) on AFS Securities | Net Gain/(Loss) on Swaps | Net Unrealized Gain/(Loss) on Financing Agreements (3) | Total AOCI | Net Unrealized Gain/(Loss) on AFS Securities | Net Gain/(Loss) on Swaps | Net Unrealized Gain/(Loss) on Financing Agreements (3) | Total AOCI | ||||||||||||||||||||||||||||||||||||||||||
Balance at beginning of period | $ | $ | ( | $ | $ | $ | $ | ( | $ | $ | ||||||||||||||||||||||||||||||||||||||||
OCI before reclassifications | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||
Amounts reclassified from AOCI (1) | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||
Net OCI during the period (2) | ( | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||
Balance at end of period | $ | $ | $ | ( | $ | $ | $ | $ | ( | $ |
Three Months Ended September 30, 2019 | Nine Months Ended September 30, 2019 | |||||||||||||||||||||||||||||||||||||
(In Thousands) | Net Unrealized Gain/(Loss) on AFS Securities | Net Gain/(Loss) on Swaps | Total AOCI | Net Unrealized Gain/(Loss) on AFS Securities | Net Gain/(Loss) on Swaps | Total AOCI | ||||||||||||||||||||||||||||||||
Balance at beginning of period | $ | $ | ( | $ | $ | $ | $ | |||||||||||||||||||||||||||||||
OCI before reclassifications | ( | ( | ||||||||||||||||||||||||||||||||||||
Amounts reclassified from AOCI (1) | ( | ( | ( | ( | ( | ( | ||||||||||||||||||||||||||||||||
Net OCI during the period (2) | ( | ( | ( | ( | ( | |||||||||||||||||||||||||||||||||
Balance at end of period | $ | $ | ( | $ | $ | $ | ( | $ |
Three Months Ended September 30, 2020 | Nine Months Ended September 30, 2020 | |||||||||||||||||||
Details about AOCI Components | Amounts Reclassified from AOCI | Affected Line Item in the Statement Where Net Income is Presented | ||||||||||||||||||
(In Thousands) | ||||||||||||||||||||
AFS Securities: | ||||||||||||||||||||
Realized gain on sale of securities | $ | ( | $ | ( | Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans | |||||||||||||||
Impairment recognized in earnings | ( | Other, net | ||||||||||||||||||
Total AFS Securities | $ | ( | $ | ( | ||||||||||||||||
Swaps designated as cash flow hedges: | ||||||||||||||||||||
Reclassification adjustment for losses related to hedging instruments included in net income | Other, net | |||||||||||||||||||
Total Swaps designated as cash flow hedges | ||||||||||||||||||||
Total reclassifications for period | $ | $ | ( |
Three Months Ended September 30, 2019 | Nine Months Ended September 30, 2019 | |||||||||||||||||||
Details about AOCI Components | Amounts Reclassified from AOCI | Affected Line Item in the Statement Where Net Income is Presented | ||||||||||||||||||
(In Thousands) | ||||||||||||||||||||
AFS Securities: | ||||||||||||||||||||
Realized gain on sale of securities | $ | ( | $ | ( | Net realized (loss)/gain on sales of residential mortgage securities and residential whole loans | |||||||||||||||
Total AFS Securities | $ | ( | $ | ( | ||||||||||||||||
Amortization of de-designated hedging instruments | ( | ( | ||||||||||||||||||
Total reclassifications for period | $ | ( | $ | ( |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands, Except Per Share Amounts) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Basic Earnings/(Loss) per Share: | ||||||||||||||||||||||||||
Net income/(loss) to common stockholders | $ | $ | $ | ( | $ | |||||||||||||||||||||
Dividends declared on preferred stock | ( | ( | ( | ( | ||||||||||||||||||||||
Dividends, dividend equivalents and undistributed earnings allocated to participating securities | ( | ( | ( | ( | ||||||||||||||||||||||
Net income/(loss) to common stockholders - basic | $ | $ | $ | ( | $ | |||||||||||||||||||||
Basic weighted average common shares outstanding | ||||||||||||||||||||||||||
Basic Earnings/(Loss) per Share | $ | $ | $ | ( | $ | |||||||||||||||||||||
Diluted Earnings/(Loss) per Share: | ||||||||||||||||||||||||||
Net income/(loss) to common stockholders - basic | $ | $ | ( | |||||||||||||||||||||||
Interest expense on Convertible Senior Notes | ||||||||||||||||||||||||||
Net income/(loss) to common stockholders - diluted | $ | $ | $ | ( | $ | |||||||||||||||||||||
Basic weighted average common shares outstanding | ||||||||||||||||||||||||||
Effect of assumed conversion of Convertible Senior Notes to common shares | ||||||||||||||||||||||||||
Effect of incremental shares issued on assumed conversion of Warrants | ||||||||||||||||||||||||||
Diluted weighted average common shares outstanding (1) | ||||||||||||||||||||||||||
Diluted Earnings/(Loss) per Share | $ | $ | $ | ( | $ |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
RSUs | $ | $ | $ | $ | ||||||||||||||||||||||
Total | $ | $ | $ | $ |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Non-employee directors | $ | $ | $ | ( | $ | |||||||||||||||||||||
Total | $ | $ | $ | ( | $ |
September 30, 2020 | December 31, 2019 | |||||||||||||||||||||||||
(In Thousands) | Undistributed Income Deferred (1) | Liability Under Deferred Plans | Undistributed Income Deferred (1) | Liability Under Deferred Plans | ||||||||||||||||||||||
Non-employee directors | $ | $ | $ | $ | ||||||||||||||||||||||
Total | $ | $ | $ | $ |
(In Thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||
Residential whole loans, at fair value | $ | $ | $ | $ | ||||||||||||||||||||||
Non-Agency MBS | ||||||||||||||||||||||||||
CRT securities | ||||||||||||||||||||||||||
Term notes backed by MSR-related collateral | ||||||||||||||||||||||||||
Total assets carried at fair value | $ | $ | $ | $ | ||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||
Agreements with non-mark-to-market collateral provisions | $ | $ | $ | $ | ||||||||||||||||||||||
Agreements with mark-to-market collateral provisions | ||||||||||||||||||||||||||
Senior secured credit agreement | ||||||||||||||||||||||||||
Securitized debt | ||||||||||||||||||||||||||
Total liabilities carried at fair value | $ | $ | $ | $ |
(In Thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||
Residential whole loans, at fair value | $ | $ | $ | $ | ||||||||||||||||||||||
Non-Agency MBS | ||||||||||||||||||||||||||
Agency MBS | ||||||||||||||||||||||||||
CRT securities | ||||||||||||||||||||||||||
Term notes backed by MSR-related collateral | ||||||||||||||||||||||||||
Total assets carried at fair value | $ | $ | $ | $ |
Residential Whole Loans, at Fair Value | ||||||||||||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||
(In Thousands) | 2020 | 2019 (1) | 2020 | 2019 (1)(2) | ||||||||||||||||||||||
Balance at beginning of period | $ | $ | $ | $ | ||||||||||||||||||||||
Purchases (2) | ||||||||||||||||||||||||||
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings | ( | |||||||||||||||||||||||||
Cash collections, net of liquidation gains/(losses) | ( | ( | ( | ( | ||||||||||||||||||||||
Sales and repurchases | ( | ( | ( | |||||||||||||||||||||||
Transfer to REO | ( | ( | ( | ( | ||||||||||||||||||||||
Balance at end of period | $ | $ | $ | $ |
Term Notes Backed by MSR-Related Collateral | ||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
(In Thousands) | 2019 | 2019 | ||||||||||||
Balance at beginning of period | $ | $ | ||||||||||||
Purchases | ||||||||||||||
Collection of principal | ( | ( | ||||||||||||
Changes in unrealized gains | ||||||||||||||
Transfer to Level 2 | ( | ( | ||||||||||||
Balance at end of period | $ | $ |
Agreements with Non-mark-to-market Collateral Provisions | ||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
(In Thousands) | 2020 | 2020 | ||||||||||||
Balance at beginning of period | $ | $ | ||||||||||||
Transfer from Level 2 | ||||||||||||||
Payment of principal | ( | ( | ||||||||||||
Changes in unrealized losses | ||||||||||||||
Balance at end of period | $ | $ |
Agreements with Mark-to-market Collateral Provisions | ||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
(In Thousands) | 2020 | 2020 | ||||||||||||
Balance at beginning of period | $ | $ | ||||||||||||
Transfer from Level 2 | ||||||||||||||
Payment of principal | ( | ( | ||||||||||||
Changes in unrealized losses | ||||||||||||||
Balance at end of period | $ | $ |
September 30, 2020 | ||||||||||||||||||||||||||||||||
(Dollars in Thousands) | Fair Value (1) | Valuation Technique | Unobservable Input | Weighted Average (2) | Range | |||||||||||||||||||||||||||
Residential whole loans, at fair value | $ | Discounted cash flow | Discount rate | % | 3.2-8.0% | |||||||||||||||||||||||||||
Prepayment rate | % | 0.0-9.3% | ||||||||||||||||||||||||||||||
Default rate | % | 0.0-30.3% | ||||||||||||||||||||||||||||||
Loss severity | % | 0.0-100.0% | ||||||||||||||||||||||||||||||
$ | Liquidation model | Discount rate | % | 6.7-50.0% | ||||||||||||||||||||||||||||
Annual change in home prices | % | (0.3)-5.5% | ||||||||||||||||||||||||||||||
Liquidation timeline (in years) | 0.1-4.8 | |||||||||||||||||||||||||||||||
Current value of underlying properties (3) | $ | $12-$4,500 | ||||||||||||||||||||||||||||||
Total | $ |
December 31, 2019 | ||||||||||||||||||||||||||||||||
(Dollars in Thousands) | Fair Value (1) | Valuation Technique | Unobservable Input | Weighted Average (2) | Range | |||||||||||||||||||||||||||
Residential whole loans, at fair value | $ | Discounted cash flow | Discount rate | % | 3.8-8.0% | |||||||||||||||||||||||||||
Prepayment rate | % | 0.7-18.0% | ||||||||||||||||||||||||||||||
Default rate | % | 0.0-23.0% | ||||||||||||||||||||||||||||||
Loss severity | % | 0.0-100.0% | ||||||||||||||||||||||||||||||
$ | Liquidation model | Discount rate | % | 6.2-50.0% | ||||||||||||||||||||||||||||
Annual change in home prices | % | 2.4-8.0% | ||||||||||||||||||||||||||||||
Liquidation timeline (in years) | 0.1-4.5 | |||||||||||||||||||||||||||||||
Current value of underlying properties (3) | $ | $10-$4,500 | ||||||||||||||||||||||||||||||
Total | $ |
September 30, 2020 | September 30, 2020 | December 31, 2019 | ||||||||||||||||||||||||||||||
Level in Fair Value Hierarchy | Carrying Value | Estimated Fair Value | Carrying Value | Estimated Fair Value | ||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||
Financial Assets: | ||||||||||||||||||||||||||||||||
Residential whole loans, at carrying value | 3 | $ | $ | $ | $ | |||||||||||||||||||||||||||
Residential whole loans, at fair value | 3 | |||||||||||||||||||||||||||||||
Non-Agency MBS | 2 | |||||||||||||||||||||||||||||||
Agency MBS | 2 | |||||||||||||||||||||||||||||||
CRT securities | 2 | |||||||||||||||||||||||||||||||
MSR-related assets (1) | 2 and 3 | |||||||||||||||||||||||||||||||
Cash and cash equivalents | 1 | |||||||||||||||||||||||||||||||
Restricted cash | 1 | |||||||||||||||||||||||||||||||
Financial Liabilities (2): | ||||||||||||||||||||||||||||||||
Financing agreements with non-mark-to-market collateral provisions | 3 | |||||||||||||||||||||||||||||||
Financing agreements with mark-to-market collateral provisions | 3 | |||||||||||||||||||||||||||||||
Financing agreements with mark-to-market collateral provisions | 2 | |||||||||||||||||||||||||||||||
Senior secured credit agreement | 2 | |||||||||||||||||||||||||||||||
Securitized debt (3) | 2 | |||||||||||||||||||||||||||||||
Convertible senior notes | 2 | |||||||||||||||||||||||||||||||
Senior notes | 1 |
(Dollars in Thousands) | September 30, 2020 | December 31, 2019 | |||||||||||||||
Aggregate unpaid principal balance of residential whole loans sold | $ | $ | |||||||||||||||
Face amount of Senior Bonds issued by the VIE and purchased by third-party investors | $ | $ | |||||||||||||||
Outstanding amount of Senior Bonds, at carrying value | $ | (1) | $ | (1) | |||||||||||||
Outstanding amount of Senior Bonds, at fair value | $ | $ | |||||||||||||||
Outstanding amount of Senior Bonds, total | $ | $ | |||||||||||||||
Weighted average fixed rate for Senior Bonds issued | % | (2) | % | (2) | |||||||||||||
Weighted average contractual maturity of Senior Bonds | (2) | (2) | |||||||||||||||
Face amount of Senior Support Certificates received by the Company (3) | $ | $ | |||||||||||||||
Cash received | $ | $ |
(In Millions) | June 30, 2020 | Runoff (1) | Acquisitions | Other (2) | September 30, 2020 | Change | ||||||||||||||||||||||||||||||||
Residential whole loans and REO | $ | 6,226 | $ | (455) | $ | 40 | $ | 105 | $ | 5,916 | $ | (310) | ||||||||||||||||||||||||||
MSR-related assets | 254 | (17) | — | 15 | 252 | (2) | ||||||||||||||||||||||||||||||||
Residential mortgage securities | 149 | (2) | — | 6 | 153 | 4 | ||||||||||||||||||||||||||||||||
Totals | $ | 6,629 | $ | (474) | $ | 40 | $ | 126 | $ | 6,321 | $ | (308) |
(Dollars in Millions) | Residential Whole Loans, at Carrying Value (1) | Residential Whole Loans, at Fair Value | Residential Mortgage Securities | MSR-Related Assets | Other, net (2) | Total | ||||||||||||||||||||||||||||||||
Fair Value/Carrying Value | $ | 4,388 | $ | 1,230 | $ | 153 | $ | 252 | $ | 1,395 | $ | 7,418 | ||||||||||||||||||||||||||
Financing Agreements with non-mark-to-market collateral provisions | (1,471) | (256) | — | — | — | (1,727) | ||||||||||||||||||||||||||||||||
Financing Agreements with mark-to-market collateral provisions | (1,038) | (193) | (89) | (135) | (35) | (1,490) | ||||||||||||||||||||||||||||||||
Less Senior secured credit agreement | — | — | — | — | (474) | (474) | ||||||||||||||||||||||||||||||||
Less Securitized Debt | (470) | (369) | — | — | — | (839) | ||||||||||||||||||||||||||||||||
Less Convertible Senior Notes | — | — | — | — | (225) | (225) | ||||||||||||||||||||||||||||||||
Less Senior Notes | — | — | — | — | (97) | (97) | ||||||||||||||||||||||||||||||||
Net Equity Allocated | $ | 1,409 | $ | 412 | $ | 64 | $ | 117 | $ | 564 | $ | 2,566 | ||||||||||||||||||||||||||
Debt/Net Equity Ratio (3) | 2.1 | x | 2.0 | x | 1.4 | x | 1.2 | x | 1.9 | x |
(In Thousands) | Purchased Performing Loans (1) | Purchased Credit Deteriorated Loans (2) | Residential Whole Loans, at Fair Value | |||||||||||||||||
Amount due: | ||||||||||||||||||||
Within one year | $ | 648,713 | $ | 707 | $ | 4,614 | ||||||||||||||
After one year: | ||||||||||||||||||||
Over one to five years | 86,090 | 4,383 | 5,452 | |||||||||||||||||
Over five years | 3,056,989 | 696,923 | 1,219,598 | |||||||||||||||||
Total due after one year | $ | 3,143,079 | $ | 701,306 | $ | 1,225,050 | ||||||||||||||
Total residential whole loans | $ | 3,791,792 | $ | 702,013 | $ | 1,229,664 |
(In Thousands) | Purchased Performing Loans (1)(2) | Purchased Credit Deteriorated Loans (1)(3) | Residential Whole Loans, at Fair Value (1) | |||||||||||||||||
Interest rates: | ||||||||||||||||||||
Fixed | $ | 1,027,710 | $ | 483,308 | $ | 889,006 | ||||||||||||||
Adjustable | 2,115,369 | 217,998 | 336,044 | |||||||||||||||||
Total | $ | 3,143,079 | $ | 701,306 | $ | 1,225,050 |
(In Thousands) | September 30, 2020 | December 31, 2019 | ||||||||||||
Non-Agency MBS | ||||||||||||||
Face/Par | $ | 60,295 | $ | 2,195,303 | ||||||||||
Fair Value | 56,430 | 2,063,529 | ||||||||||||
Amortized Cost | 51,380 | 1,668,088 | ||||||||||||
Purchase Discount Designated as Credit Reserve | (669) | (436,598) | ||||||||||||
Purchase Discount Designated as Accretable | (8,246) | (90,617) | ||||||||||||
Three Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||
2020 | 2019 | |||||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||||||||||||||||||
Residential whole loans, at carrying value (1) | $ | 4,699,124 | $ | 54,393 | 4.63 | % | $ | 4,604,305 | $ | 64,226 | 5.58 | % | ||||||||||||||||||||||||||
Agency MBS (2) | — | — | — | 2,037,817 | 11,806 | 2.32 | ||||||||||||||||||||||||||||||||
Legacy Non-Agency MBS (2) | 2,253 | 48 | 8.52 | 1,214,589 | 31,347 | 10.32 | ||||||||||||||||||||||||||||||||
RPL/NPL MBS (2) | 50,293 | 905 | 7.20 | 1,021,398 | 13,235 | 5.18 | ||||||||||||||||||||||||||||||||
Total MBS | 52,546 | 953 | 7.25 | 4,273,804 | 56,388 | 5.28 | ||||||||||||||||||||||||||||||||
CRT securities (2) | 85,529 | 1,376 | 6.44 | 390,051 | 4,251 | 4.36 | ||||||||||||||||||||||||||||||||
MSR-related assets (2) | 211,791 | 6,241 | 11.79 | 1,160,627 | 15,274 | 5.26 | ||||||||||||||||||||||||||||||||
Cash and cash equivalents (3) | 754,493 | 100 | 0.05 | 199,070 | 903 | 1.81 | ||||||||||||||||||||||||||||||||
Other interest-earning assets | 123,073 | 3,017 | 9.81 | 105,867 | 1,679 | 6.34 | ||||||||||||||||||||||||||||||||
Total interest-earning assets | 5,926,556 | 66,080 | 4.46 | 10,733,724 | 142,721 | 5.32 | ||||||||||||||||||||||||||||||||
Total non-interest-earning assets | 1,650,120 | 2,448,754 | ||||||||||||||||||||||||||||||||||||
Total assets | $ | 7,576,676 | $ | 13,182,478 | ||||||||||||||||||||||||||||||||||
Liabilities and stockholders’ equity: | ||||||||||||||||||||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||||||||||||||||||
Collateralized financing agreements (4)(5) | $ | 3,511,403 | $ | 30,929 | 3.45 | % | $ | 8,654,350 | $ | 74,240 | 3.36 | % | ||||||||||||||||||||||||||
Securitized debt (6) | 607,893 | 5,318 | 3.42 | 617,689 | 5,692 | 3.61 | ||||||||||||||||||||||||||||||||
Convertible Senior Notes | 224,666 | 3,898 | 6.94 | 223,496 | 3,879 | 6.94 | ||||||||||||||||||||||||||||||||
Senior Notes | 96,891 | 2,012 | 8.31 | 96,842 | 2,012 | 8.31 | ||||||||||||||||||||||||||||||||
Senior secured credit agreement | 499,796 | 13,807 | 11.00 | — | — | — | ||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | 4,940,649 | 55,964 | 4.43 | 9,592,377 | 85,823 | 3.50 | ||||||||||||||||||||||||||||||||
Total non-interest-bearing liabilities | 118,145 | 189,429 | ||||||||||||||||||||||||||||||||||||
Total liabilities | 5,058,794 | 9,781,806 | ||||||||||||||||||||||||||||||||||||
Stockholders’ equity | 2,517,882 | 3,400,672 | ||||||||||||||||||||||||||||||||||||
Total liabilities and stockholders’ equity | $ | 7,576,676 | $ | 13,182,478 | ||||||||||||||||||||||||||||||||||
Net interest income/net interest rate spread (7) | $ | 10,116 | 0.03 | % | $ | 56,898 | 1.82 | % | ||||||||||||||||||||||||||||||
Net interest-earning assets/net interest margin (8) | $ | 985,907 | 0.76 | % | $ | 1,141,347 | 2.19 | % |
Three Months Ended September 30, 2020 | ||||||||||||||||||||
Compared to | ||||||||||||||||||||
Three Months Ended September 30, 2019 | ||||||||||||||||||||
Increase/(Decrease) due to | Total Net Change in Interest Income/Expense | |||||||||||||||||||
(In Thousands) | Volume | Rate | ||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Residential whole loans, at carrying value (1) | $ | 1,299 | $ | (11,132) | $ | (9,833) | ||||||||||||||
Residential mortgage securities | (72,235) | 13,925 | (58,310) | |||||||||||||||||
MSR-related assets | (18,637) | 9,604 | (9,033) | |||||||||||||||||
Cash and cash equivalents | 705 | (1,508) | (803) | |||||||||||||||||
Other interest-earning assets | 307 | 1,031 | 1,338 | |||||||||||||||||
Total net change in income from interest-earning assets | $ | (88,561) | $ | 11,920 | $ | (76,641) | ||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Residential whole loan at carrying value financing agreements | $ | 855 | $ | (3,369) | $ | (2,514) | ||||||||||||||
Residential whole loan at fair value financing agreements | (2,216) | (787) | (3,003) | |||||||||||||||||
Residential mortgage securities repurchase agreements | (36,909) | 6,260 | (30,649) | |||||||||||||||||
MSR-related assets repurchase agreements | (6,754) | 450 | (6,304) | |||||||||||||||||
Other repurchase agreements | (302) | (539) | (841) | |||||||||||||||||
Securitized debt | (89) | (285) | (374) | |||||||||||||||||
Convertible Senior Notes and Senior Notes | 23 | (4) | 19 | |||||||||||||||||
Senior secured credit agreement | 13,807 | — | 13,807 | |||||||||||||||||
Total net change in expense from interest-bearing liabilities | $ | (31,585) | $ | 1,726 | $ | (29,859) | ||||||||||||||
Net change in net interest income | $ | (56,976) | $ | 10,194 | $ | (46,782) |
Total Interest-Earning Assets and Interest- Bearing Liabilities | ||||||||||||||
Net Interest Spread (1) | Net Interest Margin (2) | |||||||||||||
Quarter Ended | ||||||||||||||
September 30, 2020 | 0.03 | % | 0.76 | % | ||||||||||
June 30, 2020 | (0.90) | 0.02 | ||||||||||||
March 31, 2020 | 1.82 | 2.20 | ||||||||||||
December 31, 2019 | 2.33 | 2.68 | ||||||||||||
September 30, 2019 | 1.82 | 2.19 |
Purchased Performing Loans | Purchased Credit Deteriorated Loans | Total Residential Whole Loans, at Carrying Value | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Quarter Ended | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | |||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2020 | 4.58 | % | 3.42 | % | 1.16 | % | 4.89 | % | 3.22 | % | 1.67 | % | 4.63 | % | 3.39 | % | 1.24 | % | ||||||||||||||||||||||||||||||||||||||
June 30, 2020 | 5.17 | 6.34 | (1.17) | 5.07 | 6.03 | (0.96) | 5.15 | 6.30 | (1.15) | |||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2020 | 5.10 | 3.44 | 1.66 | 4.84 | 3.39 | 1.45 | 5.07 | 3.43 | 1.64 | |||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2019 | 5.24 | 3.61 | 1.63 | 5.79 | 3.51 | 2.28 | 5.31 | 3.59 | 1.72 | |||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2019 | 5.55 | 3.92 | 1.63 | 5.76 | 3.79 | 1.97 | 5.58 | 3.90 | 1.68 |
Residential Mortgage Securities | MSR-Related Assets | |||||||||||||||||||||||||||||||||||||
Quarter Ended | Net Yield (1) | Cost of Funding (2) | Net Interest Rate Spread (3) | Net Yield (1) | Cost of Funding | Net Interest Rate Spread (3) | ||||||||||||||||||||||||||||||||
September 30, 2020 | 6.75 | % | 3.60 | % | 3.15 | % | 11.79 | % | 3.43 | % | 8.36 | % | ||||||||||||||||||||||||||
June 30, 2020 | 6.09 | 5.23 | 0.86 | 9.96 | 6.21 | 3.75 | ||||||||||||||||||||||||||||||||
March 31, 2020 | 5.40 | 2.72 | 2.68 | 4.74 | 2.56 | 2.18 | ||||||||||||||||||||||||||||||||
December 31, 2019 | 6.54 | 3.26 | 3.28 | 4.88 | 2.82 | 2.06 | ||||||||||||||||||||||||||||||||
September 30, 2019 | 7.44 | 3.21 | 4.23 | 5.26 | 3.23 | 2.03 |
Quarter Ended September 30, | ||||||||||||||
(In Thousands) | 2020 | 2019 | ||||||||||||
Net gain on residential whole loans measured at fair value through earnings | $ | 76,871 | $ | 40,175 | ||||||||||
Transfer from OCI of loss on swaps previously designated as hedges for accounting purposes | (7,177) | — | ||||||||||||
Liquidation gains on Purchased Credit Deteriorated Loans and other loan related income | 1,694 | 4,189 | ||||||||||||
Impairment and other losses on securities available-for-sale and other assets | (221) | — | ||||||||||||
Net unrealized gain/(loss) on residential mortgage securities measured at fair value through earnings | 91 | (695) | ||||||||||||
Net realized gain on sales of residential mortgage securities | 48 | 17,708 | ||||||||||||
Other | 5,804 | 1,052 | ||||||||||||
Total Other Income, net | $ | 77,110 | $ | 62,429 |
At or for the Quarter Ended | Return on Average Total Assets (1) | Return on Average Total Stockholders’ Equity (2)(3) | Total Average Stockholders’ Equity to Total Average Assets (4) | Dividend Payout Ratio (5) | Leverage Multiple (6) | Book Value per Share of Common Stock (7) | Economic Book Value per Share of Common Stock (8) | |||||||||||||||||||||||||||||||||||||
September 30, 2020 | 4.17 | % | 13.85 | % | 33.23 | % | 0.29 | 1.9 | $ | 4.61 | $ | 4.92 | ||||||||||||||||||||||||||||||||
June 30, 2020 | 4.33 | 15.70 | 30.08 | — | 2.0 | 4.51 | 4.46 | |||||||||||||||||||||||||||||||||||||
March 31, 2020 | (26.72) | (26.58) | 24.99 | — | 3.4 | 4.34 | 4.09 | |||||||||||||||||||||||||||||||||||||
December 31, 2019 | 2.92 | 11.90 | 25.48 | 0.95 | 3.0 | 7.04 | 7.44 | |||||||||||||||||||||||||||||||||||||
September 30, 2019 | 2.79 | 11.24 | 25.80 | 1.00 | 2.8 | 7.09 | 7.41 |
Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||
2020 | 2019 | |||||||||||||||||||||||||||||||||||||
Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | |||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||||||||||||||||||
Residential whole loans, at carrying value (1) | $ | 5,554,592 | $ | 207,306 | 4.98 | % | $ | 4,011,929 | $ | 171,725 | 5.71 | % | ||||||||||||||||||||||||||
Agency MBS (2) | 522,119 | 8,852 | 2.26 | 2,379,289 | 45,521 | 2.55 | ||||||||||||||||||||||||||||||||
Legacy Non-Agency MBS (2) | 356,471 | 28,786 | 10.77 | 1,322,559 | 106,147 | 10.70 | ||||||||||||||||||||||||||||||||
RPL/NPL MBS (2) | 195,495 | 8,071 | 5.50 | 1,182,484 | 44,463 | 5.01 | ||||||||||||||||||||||||||||||||
Total MBS | 1,074,085 | 45,709 | 5.67 | 4,884,332 | 196,131 | 5.35 | ||||||||||||||||||||||||||||||||
CRT securities (2) | 173,033 | 5,969 | 4.60 | 411,273 | 15,545 | 5.04 | ||||||||||||||||||||||||||||||||
MSR-related assets (2) | 598,838 | 30,189 | 6.72 | 959,145 | 38,232 | 5.31 | ||||||||||||||||||||||||||||||||
Cash and cash equivalents (3) | 443,034 | 646 | 0.19 | 186,587 | 2,703 | 1.93 | ||||||||||||||||||||||||||||||||
Other interest-earning assets | 128,565 | 9,089 | 9.43 | 94,708 | 4,272 | 6.01 | ||||||||||||||||||||||||||||||||
Total interest-earning assets | 7,972,147 | 298,908 | 5.00 | 10,547,974 | 428,608 | 5.42 | ||||||||||||||||||||||||||||||||
Total non-interest-earning assets | 1,834,040 | 2,465,917 | ||||||||||||||||||||||||||||||||||||
Total assets | $ | 9,806,187 | $ | 13,013,891 | ||||||||||||||||||||||||||||||||||
Liabilities and stockholders’ equity: | ||||||||||||||||||||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||||||||||||||||||
Collateralized financing agreements (4)(5) | $ | 5,818,826 | $ | 179,754 | 4.06 | % | $ | 8,520,981 | $ | 220,939 | 3.42 | % | ||||||||||||||||||||||||||
Securitized debt (6) | 568,186 | 15,673 | 3.62 | 646,234 | 17,834 | 3.64 | ||||||||||||||||||||||||||||||||
Convertible Senior Notes | 224,291 | 11,678 | 6.94 | 98,243 | 5,085 | 6.94 | ||||||||||||||||||||||||||||||||
Senior Notes | 96,879 | 6,038 | 8.31 | 96,831 | 6,035 | 8.31 | ||||||||||||||||||||||||||||||||
Senior secured credit agreement | 176,939 | 14,571 | 11.00 | — | — | — | ||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | 6,885,121 | 227,714 | 4.35 | 9,362,289 | 249,893 | 3.52 | ||||||||||||||||||||||||||||||||
Total non-interest-bearing liabilities | 122,635 | 242,414 | ||||||||||||||||||||||||||||||||||||
Total liabilities | 7,007,756 | 9,604,703 | ||||||||||||||||||||||||||||||||||||
Stockholders’ equity | 2,798,431 | 3,409,188 | ||||||||||||||||||||||||||||||||||||
Total liabilities and stockholders’ equity | $ | 9,806,187 | $13,013,891 | |||||||||||||||||||||||||||||||||||
Net interest income/net interest rate spread (7) | $ | 71,194 | 0.65 | % | $ | 178,715 | 1.90 | % | ||||||||||||||||||||||||||||||
Net interest-earning assets/net interest margin (8) | $ | 1,087,026 | 1.25 | % | $ | 1,185,685 | 2.29 | % |
Nine Months Ended September 30, 2020 | ||||||||||||||||||||
Compared to | ||||||||||||||||||||
Nine Months Ended September 30, 2019 | ||||||||||||||||||||
Increase/(Decrease) due to | Total Net Change in Interest Income/Expense | |||||||||||||||||||
(In Thousands) | Volume | Rate | ||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||
Residential whole loans, at carrying value (1) | $ | 59,688 | $ | (24,107) | $ | 35,581 | ||||||||||||||
Residential mortgage securities | (167,490) | 7,492 | (159,998) | |||||||||||||||||
MSR-related assets | (16,592) | 8,549 | (8,043) | |||||||||||||||||
Cash and cash equivalents | 1,695 | (3,752) | (2,057) | |||||||||||||||||
Other interest-earning assets | 1,862 | 2,955 | 4,817 | |||||||||||||||||
Total net change in income from interest-earning assets | $ | (120,837) | $ | (8,863) | $ | (129,700) | ||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||
Residential whole loan at carrying value financing agreements | $ | 43,522 | $ | 6,512 | $ | 50,034 | ||||||||||||||
Residential whole loan at fair value financing agreements | (2,852) | 1,381 | (1,471) | |||||||||||||||||
Residential mortgage securities repurchase agreements | (75,707) | (6,622) | (82,329) | |||||||||||||||||
MSR-related assets repurchase agreements | (7,166) | 919 | (6,247) | |||||||||||||||||
Other repurchase agreements | (790) | (382) | (1,172) | |||||||||||||||||
Securitized debt | (2,090) | (71) | (2,161) | |||||||||||||||||
Convertible Senior Notes and Senior Notes | 6,966 | (370) | 6,596 | |||||||||||||||||
Senior secured credit agreement | 14,571 | — | 14,571 | |||||||||||||||||
Total net change in expense of interest-bearing liabilities | $ | (23,546) | $ | 1,367 | $ | (22,179) | ||||||||||||||
Net change in net interest income | $ | (97,291) | $ | (10,230) | $ | (107,521) |
Purchased Performing Loans | Purchased Credit Deteriorated Loans | Total Residential Whole Loans, at Carrying Value | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | |||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2020 | 4.98 | % | 4.43 | % | 0.55 | % | 4.93 | % | 4.23 | % | 0.70 | % | 4.98 | % | 4.41 | % | 0.57 | % | ||||||||||||||||||||||||||||||||||||||
September 30, 2019 | 5.69 | 4.11 | 1.58 | 5.76 | 3.05 | 2.71 | 5.71 | 3.88 | 1.83 |
Residential Mortgage Securities | MSR-Related Assets | |||||||||||||||||||||||||||||||||||||
Nine Months Ended | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | Net Yield (1) | Cost of Funding | Net Interest Spread (3) | ||||||||||||||||||||||||||||||||
September 30, 2020 | 5.53 | % | 2.74 | % | 2.79 | % | 6.72 | % | 3.56 | % | 3.16 | % | ||||||||||||||||||||||||||
September 30, 2019 | 5.33 | 2.95 | 2.38 | 5.31 | 3.40 | 1.91 |
Nine Months Ended September 30, | ||||||||||||||
(In Thousands) | 2020 | 2019 | ||||||||||||
Impairment and other losses on securities available-for-sale and other assets | $ | (424,966) | $ | — | ||||||||||
Net realized (loss)/ gain on sales of residential mortgage securities and residential whole loans | (188,847) | 50,027 | ||||||||||||
Transfer from OCI of loss on swaps previously designated as hedges for accounting purposes | (57,034) | — | ||||||||||||
Net gain on residential whole loans measured at fair value through earnings | 44,431 | 116,915 | ||||||||||||
Net unrealized (loss)/gain on residential mortgage securities measured at fair value through earnings | (13,432) | 7,977 | ||||||||||||
Liquidation gains on Purchased Credit Deteriorated Loans and other loan related income | 4,427 | 11,234 | ||||||||||||
Other | (2,057) | (15,693) | ||||||||||||
Total Other (Loss)/Income, net | $ | (637,478) | $ | 170,460 |
At or for the Nine Months Ended | Return on Average Total Assets (1) | Return on Average Total Stockholders’ Equity (2) | Total Average Stockholders’ Equity to Total Average Assets (3) | Dividend Payout Ratio (4) | Leverage Multiple (5) | Book Value per Share of Common Stock (6) | ||||||||||||||||||||||||||||||||
September 30, 2020 | (10.15) | % | (34.55) | % | 28.54 | % | (0.03) | 1.9 | $ | 4.61 | ||||||||||||||||||||||||||||
September 30, 2019 | 2.73 | 10.85 | 26.20 | 1.02 | 2.8 | 7.09 |
(In Thousands, Except Per Share Amounts) | September 30, 2020 | June 30, 2020 | March 31, 2020 | December 31, 2019 | September 30, 2019 | June 30, 2019 | March 31, 2019 | |||||||||||||||||||||||||||||||||||||
GAAP Total Stockholders’ Equity | $ | 2,565.7 | $ | 2,521.1 | $ | 2,440.7 | $ | 3,384.0 | $ | 3,403.4 | $ | 3,403.4 | $ | 3,404.5 | ||||||||||||||||||||||||||||||
Preferred Stock, liquidation preference | (475.0) | (475.0) | (475.0) | (200.0) | (200.0) | (200.0) | (200.0) | |||||||||||||||||||||||||||||||||||||
GAAP Stockholders’ Equity for book value per common share | 2,090.7 | 2,046.1 | 1,965.7 | 3,184.0 | 3,203.4 | 3,203.4 | 3,204.5 | |||||||||||||||||||||||||||||||||||||
Adjustments: | ||||||||||||||||||||||||||||||||||||||||||||
Fair value adjustment to Residential whole loans, at carrying value | 141.1 | (25.3) | (113.5) | 182.4 | 145.8 | 131.2 | 92.1 | |||||||||||||||||||||||||||||||||||||
Stockholders’ Equity including fair value adjustment to Residential whole loans, at carrying value (Economic book value) | $ | 2,231.8 | $ | 2,020.8 | $ | 1,852.2 | $ | 3,366.4 | $ | 3,349.2 | $ | 3,334.6 | $ | 3,296.6 | ||||||||||||||||||||||||||||||
GAAP book value per common share | $ | 4.61 | $ | 4.51 | $ | 4.34 | $ | 7.04 | $ | 7.09 | $ | 7.11 | $ | 7.11 | ||||||||||||||||||||||||||||||
Economic book value per common share | $ | 4.92 | $ | 4.46 | $ | 4.09 | $ | 7.44 | $ | 7.41 | $ | 7.40 | $ | 7.32 | ||||||||||||||||||||||||||||||
Number of shares of common stock outstanding | 453.3 | 453.2 | 453.1 | 452.4 | 451.7 | 450.6 | 450.5 |
Asset-backed Financing Agreements | Securitized Debt | |||||||||||||||||||||||||||||||||||||
Quarter Ended (1) | Quarterly Average Balance | End of Period Balance | Maximum Balance at Any Month-End | Quarterly Average Balance | End of Period Balance | Maximum Balance at Any Month-End | ||||||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||||||||
September 30, 2020 | $ | 3,511,453 | $ | 3,217,678 | $ | 3,613,968 | $ | 610,120 | $ | 837,683 | $ | 837,683 | ||||||||||||||||||||||||||
June 30, 2020 | 4,736,610 | 3,692,845 | 5,024,926 | 538,245 | 516,102 | 541,698 | ||||||||||||||||||||||||||||||||
March 31, 2020 | 9,233,808 | 7,768,180 | 9,486,555 | 558,007 | 533,733 | 594,458 | ||||||||||||||||||||||||||||||||
December 31, 2019 | 8,781,646 | 9,139,821 | 9,139,821 | 590,813 | 570,952 | 621,071 | ||||||||||||||||||||||||||||||||
September 30, 2019 | 8,654,350 | 8,571,422 | 8,833,159 | 617,689 | 605,712 | 649,405 |
Collateral Pledged to Meet Margin Calls | Cash and Securities Received for Reverse Margin Calls | Net Assets Received/(Pledged) for Margin Activity | ||||||||||||||||||||||||||||||
For the Quarter Ended (1) | Fair Value of Securities Pledged | Cash Pledged | Aggregate Assets Pledged For Margin Calls | |||||||||||||||||||||||||||||
(In Thousands) | ||||||||||||||||||||||||||||||||
September 30, 2020 | $ | — | $ | 2,526 | $ | 2,526 | $ | 2,199 | $ | (327) | ||||||||||||||||||||||
June 30, 2020 | — | 108,999 | 108,999 | 322,682 | 213,683 | |||||||||||||||||||||||||||
March 31, 2020 | 30,187 | 213,392 | 243,579 | 67,343 | (176,236) | |||||||||||||||||||||||||||
December 31, 2019 | — | 26,972 | 26,972 | 18,311 | (8,661) | |||||||||||||||||||||||||||
September 30, 2019 | 77,214 | 35,271 | 112,485 | 129,132 | 16,647 |
Change in Interest Rates | Estimated Value of Assets (1) | Estimated Value of Securitized and Other Fixed Rate Debt | Estimated Value of Financial Instruments | Change in Estimated Value | Percentage Change in Net Interest Income | Percentage Change in Portfolio Value | ||||||||||||||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||||||||||
+100 Basis Point Increase | $ | 7,338,936 | $ | 9,758 | $ | 7,348,694 | $ | (143,322) | 8.38 | % | (1.91) | % | ||||||||||||||||||||||||||
+ 50 Basis Point Increase | $ | 7,428,701 | $ | (2,068) | $ | 7,426,633 | $ | (65,383) | 4.60 | % | (0.87) | % | ||||||||||||||||||||||||||
Actual at September 30, 2020 | $ | 7,505,910 | $ | (13,894) | $ | 7,492,016 | $ | — | — | % | — | % | ||||||||||||||||||||||||||
- 50 Basis Point Decrease | $ | 7,570,563 | $ | (25,719) | $ | 7,544,844 | $ | 52,828 | (5.08) | % | 0.71 | % | ||||||||||||||||||||||||||
-100 Basis Point Decrease | $ | 7,622,661 | $ | (37,545) | $ | 7,585,116 | $ | 93,100 | (9.39) | % | 1.24 | % |
Purchased Performing Loans | Purchased Credit Deteriorated Loans | |||||||||||||||||||||||||||||||
Loans with an LTV: | Loans with an LTV: | |||||||||||||||||||||||||||||||
(Dollars in Thousands) | 80% or Below | Above 80% | 80% or Below | Above 80% | Total | |||||||||||||||||||||||||||
Amortized cost | $ | 3,659,498 | $ | 132,294 | $ | 423,880 | $ | 278,134 | $ | 4,493,806 | ||||||||||||||||||||||
Unpaid principal balance (UPB) | $ | 3,601,206 | $ | 132,238 | $ | 467,432 | $ | 345,182 | $ | 4,546,058 | ||||||||||||||||||||||
Weighted average coupon (1) | 6.1 | % | 6.5 | % | 4.5 | % | 4.4 | % | 5.8 | % | ||||||||||||||||||||||
Weighted average term to maturity (months) | 273 | 335 | 267 | 319 | 277 | |||||||||||||||||||||||||||
Weighted average LTV (2) | 62.8 | % | 86.3 | % | 56.8 | % | 108.7 | % | 66.3 | % | ||||||||||||||||||||||
Loans 90+ days delinquent (UPB) | $ | 293,277 | $ | 12,326 | $ | 63,682 | $ | 83,842 | $ | 453,127 |
Property Location | Percent of Interest-Bearing Unpaid Principal Balance | |||||||
California | 35.0 | % | ||||||
Florida | 13.2 | % | ||||||
New York | 7.7 | % | ||||||
New Jersey | 5.4 | % | ||||||
Georgia | 3.3 | % |
Date: November 5, 2020 | MFA FINANCIAL, INC. | |||||||
(Registrant) | ||||||||
By: | /s/ Stephen D. Yarad | |||||||
Stephen D. Yarad | ||||||||
Chief Financial Officer | ||||||||
and Chief Accounting Officer | ||||||||
(Principal Financial Officer) |
Exhibit | Description | |||||||
Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||||||||
Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. | ||||||||
Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||||||||
Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. | ||||||||
101 | Interactive Data Files pursuant to Rule 405 of Regulation S-T formatted in iXBRL (Inline Extensible Business Reporting Language): (i) our Consolidated Balance Sheets as of September 30, 2020 (Unaudited) and December 31, 2019; (ii) our Consolidated Statements of Operations (Unaudited) for the three and nine months ended September 30, 2020 and 2019; (iii) our Consolidated Statements of Comprehensive Income / (Loss) (Unaudited) for the three and nine months ended September 30, 2020 and 2019; (iv) Consolidated Statements of Changes in Stockholders’ Equity (Unaudited) for the three and nine months ended September 30, 2020 and 2019; (v) our Consolidated Statements of Cash Flows (Unaudited) for the three months ended September 30, 2020 and 2019; and (vi) the notes to our Unaudited Consolidated Financial Statements. | |||||||
104 | Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101). | |||||||
Date: November 5, 2020 | |||||
By: | /s/ Craig L. Knutson | ||||
Name: Craig L. Knutson | |||||
Title: President and Chief Executive Officer | |||||
Date: November 5, 2020 | |||||
By: | /s/ Stephen D. Yarad | ||||
Name: Stephen D. Yarad | |||||
Title: Chief Financial Officer | |||||
and Chief Accounting Officer |
By: | /s/ Craig L. Knutson | Date: November 5, 2020 | |||||||||
Name: Craig L. Knutson | |||||||||||
Title: President and Chief Executive Officer |
By: | /s/ Stephen D. Yarad | Date: November 5, 2020 | |||||||||
Name: Stephen D. Yarad | |||||||||||
Title: Chief Financial Officer | |||||||||||
and Chief Accounting Officer |
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) shares in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2020 |
Dec. 31, 2019 |
|
Residential whole loans, carrying value | $ 3,843,153,000 | $ 4,847,782,000 |
Residential whole loans, fair value | 705,666,000 | 794,684,000 |
Servicing rights pledged as collateral | 252,183,000 | 1,217,002,000 |
Financial agreements held at fair value | 4,080,461,000 | $ 0 |
Preferred stock, liquidation preference, value | $ 275,000,000 | |
Common stock, par value (usd per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 874,300 | 886,950 |
Common stock, shares issued (in shares) | 453,333 | 452,369 |
Common stock, shares outstanding (in shares) | 453,333 | 452,369 |
Collateral Pledged | Non-Agency MBS | ||
Securities, at fair value, pledged as collateral | $ 152,765,000 | $ 3,966,591,000 |
Series B Preferred Stock | ||
Preferred stock par value (usd per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 8,050 | 8,050 |
Preferred Stock, dividend rate | 7.50% | 7.50% |
Preferred stock, shares issued (in shares) | 8,000 | 8,000 |
Preferred stock, shares outstanding (in shares) | 8,000 | 8,000 |
Preferred stock, liquidation preference, value | $ 200,000,000 | $ 200,000,000 |
Series C Preferred Stock | ||
Preferred stock par value (usd per share) | $ 0.01 | |
Preferred stock, shares authorized (in shares) | 12,650 | |
Preferred Stock, dividend rate | 6.50% | |
Preferred stock, shares issued (in shares) | 11,000 |
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Interest Income: | ||||
Residential whole loans held at carrying value | $ 54,393 | $ 64,226 | $ 207,306 | $ 171,725 |
Residential mortgage securities | 2,329 | 60,639 | 51,678 | 211,676 |
MSR-related assets | 6,241 | 15,274 | 30,189 | 38,232 |
Other interest-earning assets | 3,017 | 1,679 | 9,089 | 4,272 |
Cash and cash equivalent investments | 100 | 903 | 646 | 2,703 |
Interest Income | 66,080 | 142,721 | 298,908 | 428,608 |
Interest Expense: | ||||
Asset-backed and other collateralized financing arrangements | 50,054 | 79,932 | 209,998 | 238,773 |
Other interest expense | 5,910 | 5,891 | 17,716 | 11,120 |
Interest Expense | 55,964 | 85,823 | 227,714 | 249,893 |
Net Interest Income | 10,116 | 56,898 | 71,194 | 178,715 |
Reversal/(Provision) for credit and valuation losses on residential whole loans and other financial instruments | 27,244 | (347) | (38,090) | (1,538) |
Net Interest Income after Provision for Credit and Valuation Losses | 37,360 | 56,551 | 33,104 | 177,177 |
Other Income, net: | ||||
Impairment and other losses on securities available-for-sale and other assets | (221) | 0 | (424,966) | 0 |
Net realized gain/(loss) on sales of residential mortgage securities and residential whole loans | 48 | 17,708 | (188,847) | 50,027 |
Net unrealized gain/(loss) on residential mortgage securities measured at fair value through earnings | 91 | (695) | (13,432) | 7,977 |
Net gain on residential whole loans measured at fair value through earnings | 76,871 | 40,175 | 44,431 | 116,915 |
Loss on terminated swaps previously designated as hedges for accounting purposes | (7,177) | 0 | (57,034) | 0 |
Other, net | 7,498 | 5,241 | 2,370 | (4,459) |
Other Income/(Loss), net | 77,110 | 62,429 | (637,478) | 170,460 |
Operating and Other Expense: | ||||
Compensation and benefits | 11,657 | 7,920 | 29,134 | 24,315 |
Other general and administrative expense | 6,611 | 5,022 | 18,656 | 15,601 |
Loan servicing, financing and other related costs | 8,992 | 10,439 | 28,609 | 30,225 |
Costs associated with restructuring/forbearance agreement | 0 | 0 | 44,434 | 0 |
Operating and Other Expense | 27,260 | 23,381 | 120,833 | 70,141 |
Net Income/(Loss) | 87,210 | 95,599 | (725,207) | 277,496 |
Less Preferred Stock Dividend Requirement | 8,219 | 3,750 | 21,578 | 11,250 |
Net Income/(Loss) Available to Common Stock and Participating Securities | $ 78,991 | $ 91,849 | $ (746,785) | $ 266,246 |
Basic Earnings per Common Share (usd per share) | $ 0.17 | $ 0.20 | $ (1.65) | $ 0.59 |
Diluted Earnings per Common Share (usd per share) | $ 0.17 | $ 0.20 | $ (1.65) | $ 0.58 |
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Statement of Comprehensive Income [Abstract] | ||||
Net income/(loss) | $ 87,210 | $ 95,599 | $ (725,207) | $ 277,496 |
Other Comprehensive Income/(Loss): | ||||
Unrealized gains on securities available-for-sale | 15,082 | 5,483 | 408,585 | 50,085 |
Reclassification adjustment for MBS sales included in net income | (60) | (14,499) | (389,127) | (36,370) |
Reclassification adjustment for impairments included in net income | 0 | 0 | (344,269) | 0 |
Derivative hedging instrument fair value changes, net | 0 | (233) | (50,127) | (30,384) |
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk | (22,652) | 0 | (22,652) | 0 |
Reclassification adjustment for losses/(gains) related to hedging instruments included in net income | 7,176 | (685) | 72,802 | (1,769) |
Other Comprehensive Income/(Loss) | (454) | (9,934) | (324,788) | (18,438) |
Comprehensive income before preferred stock dividends | 86,756 | 85,665 | (1,049,995) | 259,058 |
Dividends required on preferred stock | (8,219) | (3,750) | (21,578) | (11,250) |
Comprehensive Income/(Loss) Available to Common Stock and Participating Securities | $ 78,537 | $ 81,915 | $ (1,071,573) | $ 247,808 |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands |
Total |
Series C Preferred Stock |
Series B Preferred Stock |
[3] |
Preferred Stock
Series C Preferred Stock
|
Preferred Stock
Series B Preferred Stock
|
Common Stock |
Additional Paid-in Capital |
Additional Paid-in Capital
Series C Preferred Stock
|
Accumulated Deficit |
Accumulated Deficit
Series C Preferred Stock
|
[3] |
Accumulated Deficit
Series B Preferred Stock
|
[3] | Accumulated Other Comprehensive Income |
Revision of Prior Period, Accounting Standards Update, Adjustment |
Revision of Prior Period, Accounting Standards Update, Adjustment
Accumulated Deficit
|
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance (in shares) at Dec. 31, 2018 | 8,000,000 | 449,787,000 | ||||||||||||||||||||||
Balance at Dec. 31, 2018 | $ 3,416,101 | $ 80 | $ 4,498 | $ 3,623,275 | $ (632,040) | $ 420,288 | ||||||||||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||||||||||||||
Net income/(loss) | 88,857 | 88,857 | ||||||||||||||||||||||
Issuance of stock, net of expenses (in shares) | 1,066,000 | |||||||||||||||||||||||
Issuance of stock, net of expenses | 551 | $ 7 | 544 | |||||||||||||||||||||
Repurchase of shares of common stock (in shares) | [1] | (370,000) | ||||||||||||||||||||||
Repurchase of shares of common stock | [1] | (2,610) | (2,610) | |||||||||||||||||||||
Equity based compensation expense | 992 | 992 | ||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | 435 | 435 | ||||||||||||||||||||||
Dividends declared on common stock | (90,097) | (90,097) | ||||||||||||||||||||||
Dividends declared on preferred stock | (3,750) | (3,750) | ||||||||||||||||||||||
Dividends attributable to dividend equivalents | (256) | (256) | ||||||||||||||||||||||
Change in unrealized gains on MBS, net | 5,094 | 5,094 | ||||||||||||||||||||||
Derivative hedging instrument fair value changes and amortization, net | (10,786) | (10,786) | ||||||||||||||||||||||
Balance (in shares) at Mar. 31, 2019 | 8,000,000 | 450,483,000 | ||||||||||||||||||||||
Balance at Mar. 31, 2019 | 3,404,531 | $ 80 | $ 4,505 | 3,622,636 | (637,286) | 414,596 | ||||||||||||||||||
Balance (in shares) at Dec. 31, 2018 | 8,000,000 | 449,787,000 | ||||||||||||||||||||||
Balance at Dec. 31, 2018 | 3,416,101 | $ 80 | $ 4,498 | 3,623,275 | (632,040) | 420,288 | ||||||||||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||||||||||||||
Net income/(loss) | 277,496 | |||||||||||||||||||||||
Dividends declared on preferred stock | (11,250) | |||||||||||||||||||||||
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk | 0 | |||||||||||||||||||||||
Balance (in shares) at Sep. 30, 2019 | 8,000,000 | 451,692,000 | ||||||||||||||||||||||
Balance at Sep. 30, 2019 | 3,403,426 | $ 80 | $ 4,517 | 3,634,140 | (637,161) | 401,850 | ||||||||||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||||||||||||||
Adjustments related to tax withholding for share-based compensation | $ 2,600 | |||||||||||||||||||||||
Shares paid for tax withholding for share based compensation (in shares) | 370,244 | |||||||||||||||||||||||
Balance (in shares) at Mar. 31, 2019 | 8,000,000 | 450,483,000 | ||||||||||||||||||||||
Balance at Mar. 31, 2019 | 3,404,531 | $ 80 | $ 4,505 | 3,622,636 | (637,286) | 414,596 | ||||||||||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||||||||||||||
Net income/(loss) | 93,040 | 93,040 | ||||||||||||||||||||||
Issuance of stock, net of expenses (in shares) | 139,000 | |||||||||||||||||||||||
Issuance of stock, net of expenses | 586 | $ 1 | 585 | |||||||||||||||||||||
Equity based compensation expense | 2,438 | 2,438 | ||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | (260) | (260) | ||||||||||||||||||||||
Dividends declared on common stock | (90,124) | (90,124) | ||||||||||||||||||||||
Dividends declared on preferred stock | (3,750) | (3,750) | ||||||||||||||||||||||
Dividends attributable to dividend equivalents | (276) | (276) | ||||||||||||||||||||||
Change in unrealized gains on MBS, net | 17,637 | 17,637 | ||||||||||||||||||||||
Derivative hedging instrument fair value changes and amortization, net | (20,449) | (20,449) | ||||||||||||||||||||||
Balance (in shares) at Jun. 30, 2019 | 8,000,000 | 450,622,000 | ||||||||||||||||||||||
Balance at Jun. 30, 2019 | 3,403,373 | $ 80 | $ 4,506 | 3,625,399 | (638,396) | 411,784 | ||||||||||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||||||||||||||
Net income/(loss) | 95,599 | 95,599 | ||||||||||||||||||||||
Issuance of stock, net of expenses (in shares) | 1,070,000 | |||||||||||||||||||||||
Issuance of stock, net of expenses | 7,724 | $ 11 | 7,713 | |||||||||||||||||||||
Equity based compensation expense | 1,288 | 1,288 | ||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | (260) | (260) | ||||||||||||||||||||||
Dividends declared on common stock | (90,338) | (90,338) | ||||||||||||||||||||||
Dividends declared on preferred stock | (3,750) | (3,750) | ||||||||||||||||||||||
Dividends attributable to dividend equivalents | (276) | (276) | ||||||||||||||||||||||
Change in unrealized gains on MBS, net | (9,016) | (9,016) | ||||||||||||||||||||||
Derivative hedging instrument fair value changes and amortization, net | (918) | (918) | ||||||||||||||||||||||
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk | 0 | |||||||||||||||||||||||
Balance (in shares) at Sep. 30, 2019 | 8,000,000 | 451,692,000 | ||||||||||||||||||||||
Balance at Sep. 30, 2019 | 3,403,426 | $ 80 | $ 4,517 | 3,634,140 | (637,161) | 401,850 | ||||||||||||||||||
Balance (in shares) at Dec. 31, 2019 | 0 | 8,000,000 | 452,369,000 | |||||||||||||||||||||
Balance at Dec. 31, 2019 | 3,383,952 | $ 0 | $ 80 | $ 4,524 | 3,640,341 | (631,040) | 370,047 | $ (8,326) | $ (8,326) | |||||||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||||||||||||||
Net income/(loss) | (908,995) | (908,995) | ||||||||||||||||||||||
Issuance of stock, net of expenses (in shares) | 11,000,000 | 1,106,000 | ||||||||||||||||||||||
Issuance of stock, net of expenses | 687 | $ 266,029 | $ 110 | $ 7 | 680 | $ 265,919 | ||||||||||||||||||
Repurchase of shares of common stock (in shares) | [2] | (337,000) | ||||||||||||||||||||||
Repurchase of shares of common stock | [2] | (2,652) | (2,652) | |||||||||||||||||||||
Equity based compensation expense | 1,266 | 1,266 | ||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | 1,059 | 1,059 | ||||||||||||||||||||||
Change in unrealized gains on MBS, net | (243,812) | (243,812) | ||||||||||||||||||||||
Derivative hedging instrument fair value changes and amortization, net | (48,533) | (48,533) | ||||||||||||||||||||||
Balance (in shares) at Mar. 31, 2020 | 11,000,000 | 8,000,000 | 453,138,000 | |||||||||||||||||||||
Balance at Mar. 31, 2020 | 2,440,675 | $ 110 | $ 80 | $ 4,531 | 3,906,613 | (1,548,361) | 77,702 | |||||||||||||||||
Balance (in shares) at Dec. 31, 2019 | 0 | 8,000,000 | 452,369,000 | |||||||||||||||||||||
Balance at Dec. 31, 2019 | 3,383,952 | $ 0 | $ 80 | $ 4,524 | 3,640,341 | (631,040) | 370,047 | $ (8,326) | $ (8,326) | |||||||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||||||||||||||
Net income/(loss) | (725,207) | |||||||||||||||||||||||
Dividends declared on preferred stock | (21,578) | |||||||||||||||||||||||
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk | (22,652) | |||||||||||||||||||||||
Balance (in shares) at Sep. 30, 2020 | 11,000,000 | 8,000,000 | 453,333,000 | |||||||||||||||||||||
Balance at Sep. 30, 2020 | 2,565,656 | $ 110 | $ 80 | $ 4,533 | 3,924,584 | (1,408,910) | 45,259 | |||||||||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||||||||||||||
Adjustments related to tax withholding for share-based compensation | $ 2,700 | |||||||||||||||||||||||
Shares paid for tax withholding for share based compensation (in shares) | 337,026 | |||||||||||||||||||||||
Balance (in shares) at Mar. 31, 2020 | 11,000,000 | 8,000,000 | 453,138,000 | |||||||||||||||||||||
Balance at Mar. 31, 2020 | 2,440,675 | $ 110 | $ 80 | $ 4,531 | 3,906,613 | (1,548,361) | 77,702 | |||||||||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||||||||||||||
Net income/(loss) | 96,578 | 96,578 | ||||||||||||||||||||||
Issuance of stock, net of expenses (in shares) | 106,000 | |||||||||||||||||||||||
Issuance of stock, net of expenses | 37 | $ 1 | 36 | |||||||||||||||||||||
Equity based compensation expense | 1,709 | 1,709 | ||||||||||||||||||||||
Change in unrealized gains on MBS, net | (96,021) | (96,021) | ||||||||||||||||||||||
Derivative hedging instrument fair value changes and amortization, net | 64,032 | 64,032 | ||||||||||||||||||||||
Warrants Issued | 14,041 | |||||||||||||||||||||||
Balance (in shares) at Jun. 30, 2020 | 11,000,000 | 8,000,000 | 453,244,000 | |||||||||||||||||||||
Balance at Jun. 30, 2020 | 2,521,051 | $ 110 | $ 80 | $ 4,532 | 3,922,399 | (1,451,783) | 45,713 | |||||||||||||||||
Increase (Decrease) in Stockholders' Equity | ||||||||||||||||||||||||
Net income/(loss) | 87,210 | 87,210 | ||||||||||||||||||||||
Issuance of stock, net of expenses (in shares) | 89,000 | |||||||||||||||||||||||
Issuance of stock, net of expenses | 1 | $ 1 | ||||||||||||||||||||||
Equity based compensation expense | 2,266 | 2,266 | ||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | (81) | (81) | ||||||||||||||||||||||
Dividends declared on common stock | (22,667) | (22,667) | ||||||||||||||||||||||
Dividends declared on preferred stock | (8,219) | $ (10,328) | [3] | $ (11,250) | $ (10,328) | $ (11,250) | ||||||||||||||||||
Dividends attributable to dividend equivalents | (92) | (92) | ||||||||||||||||||||||
Change in unrealized gains on MBS, net | 15,022 | 15,022 | ||||||||||||||||||||||
Derivative hedging instrument fair value changes and amortization, net | 7,176 | 7,176 | ||||||||||||||||||||||
Changes in fair value of financing agreements at fair value due to changes in instrument-specific credit risk | (22,652) | (22,652) | ||||||||||||||||||||||
Balance (in shares) at Sep. 30, 2020 | 11,000,000 | 8,000,000 | 453,333,000 | |||||||||||||||||||||
Balance at Sep. 30, 2020 | $ 2,565,656 | $ 110 | $ 80 | $ 4,533 | $ 3,924,584 | $ (1,408,910) | $ 45,259 | |||||||||||||||||
|
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares |
3 Months Ended | 9 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Aug. 12, 2020 |
Aug. 06, 2020 |
Jul. 01, 2020 |
Feb. 14, 2020 |
Apr. 15, 2013 |
Sep. 30, 2020 |
Sep. 30, 2019 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
Dec. 31, 2019 |
|
Common stock, cash dividends declared (in dollars per share) | $ 0.05 | $ 0.05 | $ 0.20 | $ 0.20 | $ 0.20 | |||||||
Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share | ||||||||||||
Preferred Stock, dividend rate | 7.50% | 7.50% | ||||||||||
Dividend declared per share, preferred stock (in dollars per share) | $ 0.46875 | $ 0.9375 | $ 0.46875 | 1.40625 | $ 0.46875 | $ 0.46875 | $ 0.46875 | |||||
Preferred Stock | Preferred Stock 7.50% Series B Cumulative Redeemable - Liquidation Preference $25.00 per Share | ||||||||||||
Preferred Stock, dividend rate | 7.50% | 7.50% | 7.50% | |||||||||
Preferred Stock, liquidation preference per share (in dollars per share) | $ 25.00 | $ 25.00 | $ 25.00 | $ 25.00 |
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands |
9 Months Ended | |
---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Cash Flows From Operating Activities: | ||
Net income/(loss) | $ (725,207) | $ 277,496 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Losses/(gains) on residential whole loans and real estate owned, net | 280,142 | (61,125) |
Gains on residential mortgage securities and MSR related assets, net | (71,569) | (58,005) |
Impairment and other losses on securities available-for-sale and other assets | 424,966 | 0 |
Losses on terminated swaps previously designated as hedges and other | 57,034 | 0 |
Accretion of purchase discounts on residential mortgage securities, residential whole loans and MSR-related assets | (27,585) | (45,990) |
Amortization of purchase premiums on residential mortgage securities and residential whole loans, and amortization of terminated hedging instruments | 40,952 | 32,085 |
Provision for credit and valuation losses on residential whole loans and other financial instruments | 38,090 | 0 |
Net valuation and other non-cash losses included in net income | 16,388 | 22,026 |
Decrease/(increase) in other assets | 459 | (24,647) |
(Decrease)/increase in other liabilities | (16,919) | 11,756 |
Net cash provided by operating activities | 16,751 | 153,596 |
Cash Flows From Investing Activities: | ||
Purchases of residential whole loans, loan related investments and capitalized advances | (1,345,422) | (2,988,229) |
Proceeds from sales of residential whole loans | 1,521,060 | 0 |
Principal payments on residential whole loans | 1,261,319 | 906,072 |
Principal payments on residential mortgage securities and MSR-related assets | 609,758 | 1,555,449 |
Proceeds from sales of residential mortgage securities, MSR-related assets, and other assets | 3,790,148 | 735,768 |
Purchases of residential mortgage securities and MSR-related assets | (163,748) | (837,591) |
Proceeds from sales of real estate owned | 203,603 | 81,206 |
Purchases of real estate owned and capital improvements | (9,334) | (15,671) |
Additions to leasehold improvements, furniture and fixtures | (1,425) | (1,351) |
Net cash provided by/(used in) investing activities | 5,865,959 | (564,347) |
Cash Flows From Financing Activities: | ||
Principal payments on financing agreements with mark-to-market collateral provisions | (21,401,578) | (54,103,776) |
Proceeds from borrowings under financing agreements with mark-to-market collateral provisions | 13,749,720 | 54,796,010 |
Principal payments on financing agreements with non-mark-to-market collateral provisions | (312,638) | 0 |
Proceeds from borrowings under financing agreements with non-mark-to-market collateral provisions | 2,036,597 | 0 |
Principal payments made on senior secured credit agreement | (18,750) | 0 |
Proceeds from issuance of senior secured credit agreement | 480,959 | 0 |
Principal payments on securitized debt | (133,450) | (79,350) |
Proceeds from issuance of securitized debt | 391,154 | 0 |
Proceeds from issuance of convertible senior notes | 0 | 223,311 |
Payments made for settlements and unwinds of Swaps | (88,405) | (47,622) |
Proceeds from issuance of series C preferred stock | 275,000 | 0 |
Payments made for costs related to series C preferred stock issuance | (8,948) | 0 |
Proceeds from issuances of common stock | 725 | 8,861 |
Proceeds from the issuance of warrants | 14,041 | 0 |
Dividends paid on preferred stock | (21,578) | (11,250) |
Dividends paid on common stock and dividend equivalents | (90,749) | (270,951) |
Net cash (used in)/provided by financing activities | (5,127,900) | 515,233 |
Net increase in cash, cash equivalents and restricted cash | 754,810 | 104,482 |
Cash, cash equivalents and restricted cash at beginning of period | 134,664 | 88,709 |
Cash, cash equivalents and restricted cash at end of period | 889,474 | 193,191 |
Supplemental Disclosure of Cash Flow Information | ||
Interest Paid | 213,318 | 237,644 |
Non-cash Investing and Financing Activities: | ||
Transfer from residential whole loans to real estate owned | 74,891 | 193,531 |
Dividends and dividend equivalents declared and unpaid | 22,758 | 90,614 |
Payable for unsettled residential whole loan purchases | $ 0 | $ 59,524 |
Organization |
9 Months Ended |
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Sep. 30, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization MFA Financial, Inc. (the “Company”) was incorporated in Maryland on July 24, 1997 and began operations on April 10, 1998. The Company has elected to be treated as a real estate investment trust (“REIT”) for U.S. federal income tax purposes. In order to maintain its qualification as a REIT, the Company must comply with a number of requirements under federal tax law, including that it must distribute at least 90% of its annual REIT taxable income to its stockholders. The Company has elected to treat certain of its subsidiaries as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business. (See Note 2(n))
|
Summary of Significant Accounting Policies |
9 Months Ended |
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Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies (a) Basis of Presentation and Consolidation The interim unaudited consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (the “SEC”). Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) have been condensed or omitted in accordance with these SEC rules and regulations. Management believes that the disclosures included in these interim unaudited consolidated financial statements are adequate to make the information presented not misleading. The accompanying unaudited consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2020 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2020 should not be construed as indicative of the results to be expected for the full year. The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas, including impairment, valuation allowances and loss allowances on residential whole loans (see Note 3), mortgage-backed securities (“MBS”) (see Note 4) and Other Assets (see Note 5), valuation of MBS, CRT securities and MSR-related assets (see Notes 4 and 14), income recognition and valuation of residential whole loans (see Notes 3 and 14), valuation of derivative instruments (see Notes 5(c) and 14) and income recognition on certain Non-Agency MBS (defined below) purchased at a discount (see Note 4). In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest (see Note 2(n)). Actual results could differ from those estimates. The Company has one reportable segment since it manages its business and analyzes and reports its results of operations on the basis of one operating segment: investing, on a leveraged basis, in residential mortgage assets. The consolidated financial statements of the Company include the accounts of all subsidiaries. All intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation. (b) Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions. The accounting model utilized by the Company is determined at the time each loan package is initially acquired and is generally based on the delinquency status of the majority of the underlying borrowers in the package at acquisition. The accounting model described below for Purchased Credit Deteriorated Loans that are held at carrying value is typically utilized by the Company for Purchased Credit Deteriorated Loans where the underlying borrower has a delinquency status of less than 60 days at the acquisition date. The Company also acquires Purchased Performing Loans that are typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required credit loss reserves (as discussed below) differ from those used for Purchased Credit Deteriorated Loans held at carrying value. The accounting model described below for residential whole loans held at fair value is typically utilized by the Company for loans where the underlying borrower has a delinquency status of 60 days or more at the acquisition date. The accounting model initially applied is not subsequently changed. The Company’s residential whole loans pledged as collateral against financing agreements are included in the consolidated balance sheets with amounts pledged disclosed parenthetically. Purchases and sales of residential whole loans that are subject to an extended period of due diligence that crosses a reporting date are recorded in our balance sheet at amounts reflecting management’s current estimate of assets that will be acquired or disposed at the closing of the transaction. This estimate is subject to revision at the closing of the transaction, pending the outcome of due diligence performed prior to closing. Residential whole loans purchased under flow arrangements with loan origination partners are generally recorded at the transaction settlement date. Recorded amounts of residential whole loans for which the closing of the purchase transaction is yet to occur are not eligible to be pledged as collateral against any financing agreement until the closing of the purchase transaction. Interest income, credit related losses and changes in the fair value of loans held at fair value are recorded post settlement for acquired loans and until transaction settlement for sold loans (see Notes 3, 6, 7, 14 and 15). Residential Whole Loans at Carrying Value Purchased Performing Loans Acquisitions of Purchased Performing Loans to date have been primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) short-term business purpose loans collateralized by residential properties made to non-occupant borrowers who intend to rehabilitate and sell the property for a profit (“Rehabilitation loans” or “Fix and Flip loans”), (iii) loans to finance (or refinance) non-owner occupied one-to four-family residential properties that are rented to one or more tenants (“Single-family rental loans”), and (iv) previously originated loans secured by residential real estate that is generally owner occupied (“Seasoned performing loans”). Purchased Performing Loans are initially recorded at their purchase price. Interest income on Purchased Performing Loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate, net of related servicing costs. Interest income on such loans purchased at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related serving costs. An allowance for credit losses is recorded at acquisition, and maintained on an ongoing basis, for all losses expected to be incurred over the life of the respective loan. Any required credit loss allowance would reduce the net carrying value of the loan with a corresponding charge to earnings, and may increase or decrease over time. Significant judgments are required in determining any allowance for credit loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. Income recognition is suspended, and interest accruals are reversed against income, for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful (i.e., such loans are placed on nonaccrual status). For nonaccrual loans other than Fix and Flip loans, all payments are applied to principal under the cost recovery method. For nonaccrual Fix and Flip loans, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. Modified loans are considered “troubled debt restructurings” if the Company grants a concession to a borrower who is experiencing financial difficulty (including the interpretation of this definition set forth in OCC Bulletin 2020-35). Charge-offs to the allowance for loan losses occur when losses are confirmed through the receipt of cash or other consideration from the completion of a sale; when a modification or restructuring takes place in which we grant a concession to a borrower or agree to a discount in full or partial satisfaction of the loan; when we take ownership and control of the underlying collateral in full satisfaction of the loan; when loans are reclassified as other investments; or when significant collection efforts have ceased and it is highly likely that a loss has been realized. The aggregate allowance for credit losses is equal to the sum of the losses expected to be incurred over the life of each respective loan. These losses were estimated by projecting each loan’s expected cash flows based on their contractual terms, expected prepayments, and estimated default and loss severity rates. The default and severity rates were estimated based on the following steps: (i) obtained the Company’s historical experience through an entire economic cycle for each loan type or, to the extent the Company did not have sufficient historical loss experience for a given loan type, publicly available data derived from the historical loss experience of certain banks, which data the Company believes is generally representative of its portfolio, (ii) obtained historical economic data (U.S. unemployment rates and home price appreciation) over the same period, and (iii) estimated default and severity rates during three distinct future periods based on historical default and severity rates during periods when economic conditions similar to those forecasted were experienced. The three periods were as follows: (i) a one-year forecast of economic conditions based on U.S. unemployment rates and home price appreciation, followed by (ii) a two-year “reversion” period during which economic conditions (U.S. unemployment rates and home price appreciation) are projected to revert to historical averages on a straight line basis, followed by (iii) the remaining life of each loan, during which period economic conditions (U.S. unemployment rates and home price appreciation) are projected to equal historical averages. In addition, a liability is established (and recorded in Other Liabilities) each period using a similar methodology for committed but undrawn loan amounts. This methodology has not changed from the calculation of the allowance for credit losses on January 1, 2020 pursuant to the transition to ASU 2016-13 as described below under “New Accounting Standards and Interpretations,” other than a change in the reversion period from one year to two years to reflect the expected ongoing impact of current conditions (see Note 3). Purchased Credit Deteriorated Loans The Company has elected to account for these loans as credit impaired as they have experienced a more-than-insignificant deterioration in credit quality since origination and were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with LTVs of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit impaired are initially recorded at the purchase price on a net basis, after establishing an initial allowance for credit losses (their initial cost basis is equal to their purchase price plus the initial allowance for credit losses). Subsequent to acquisition, the gross recorded amount for these loans reflects the initial cost basis, plus accretion of interest income, less principal and interest cash flows received. These loans are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded cost basis reduced by any allowance for credit losses. Interest income on such loans purchased is recorded each period based on the contractual coupon net of amortization of the difference between their cost basis and unpaid principal balance (“UPB”), subject to the Company’s nonaccrual policy. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. For the majority of these loans, there is significant uncertainty associated with estimating the timing of and amount of cash flows that will be collected. Further, the cash flows ultimately collected may be dependent on the value of the property securing the loan. Consequently, the Company considers that accounting for these loans at fair value should result in a better reflection over time of the economic returns for the majority of these loans. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans and trading activity observed in the market place. Subsequent changes in fair value are reported in current period earnings and presented in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash received (or accrued) representing coupon interest payments on residential whole loans held at fair value is not included in Interest Income, but rather is included in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash outflows associated with loan-related advances made by the Company on behalf of the borrower are included in the basis of the loan and are reflected in unrealized gains or losses reported each period. (c) Residential Mortgage Securities Prior to the quarter ended June 30, 2020, the Company had invested in residential MBS that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”) (collectively, “Agency MBS”), and residential MBS that are not guaranteed by any agency of the U.S. Government or any federally chartered corporation (“Non-Agency MBS”). The Company disposed of its investments in Agency MBS during the quarter and has substantially reduced its investments in Non-Agency MBS. In addition, the Company has investments in CRT securities that are issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. Designation MBS that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as “available-for-sale” (“AFS”). Such MBS are carried at their fair value with unrealized gains and losses excluded from earnings (except when an allowance for losses is recognized, as discussed below) and reported in Accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. The Company had elected the fair value option for certain of its previously held Agency MBS that it did not intend to hold to maturity. These securities were carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. The Company has elected the fair value option for certain of its CRT securities as it considers this method of accounting to more appropriately reflect the risk-sharing structure of these securities. Such securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. Revenue Recognition, Premium Amortization and Discount Accretion Interest income on securities is accrued based on their outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Determination of Fair Value for Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity (see Note 14). Allowance for credit losses When the fair value of an AFS security is less than its amortized cost at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities, as well as securities for which a credit loss allowance had been previously recorded, on at least a quarterly basis and determines whether any changes to the allowance for credit losses are required. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize a write-down through charges to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the balance sheet date. If the Company does not expect to sell an impaired security, only the portion of the impairment related to credit losses is recognized through a loss allowance charged to earnings with the remainder recognized through AOCI on the Company’s consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Credit loss allowances are subject to reversal through earnings resulting from improvements in expected cash flows. The determination as to whether to record (or reverse) a credit loss allowance is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of losses constitute material estimates that are susceptible to significant change (see Note 4). Non-Agency MBS that are assessed to be of less than high credit quality and on which impairments are recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. The Company’s estimate of cash flows for its Non-Agency MBS is based on its review of the underlying mortgage loans securing the MBS. The Company considers information available about the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, year of origination, loan-to-value ratios (“LTVs”), geographic concentrations and dialogue with market participants. As a result, significant judgment is used in the Company’s analysis to determine the expected cash flows for its Non-Agency MBS. In determining the allowance related to credit losses for securities that were purchased at significant discounts to par and/or are considered to be of less than high credit quality, the Company compares the present value of the remaining cash flows expected to be collected at the purchase date (or last date previously revised) against the present value of the cash flows expected to be collected at the current financial reporting date. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. Impairment assessment for Non-Agency MBS that were purchased at prices close to par and/or are otherwise considered to be of high credit quality involves comparing the present value of the remaining cash flows expected to be collected against the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the instrument’s IRR. Balance Sheet Presentation The Company’s residential mortgage securities pledged as collateral against financing agreements and Swaps are included on the consolidated balance sheets with the fair value of the securities pledged disclosed parenthetically. Purchases and sales of securities are recorded on the trade date. (d) MSR-Related Assets The Company has investments in financial instruments whose cash flows are considered to be largely dependent on underlying MSRs that either directly or indirectly act as collateral for the investment. These financial instruments, which are referred to as MSR-related assets, are discussed in more detail below. The Company’s MSR-related assets pledged as collateral against repurchase agreements are included in the consolidated balance sheets with the amounts pledged disclosed parenthetically. Purchases and sales of MSR-related assets are recorded on the trade date (see Notes 4, 6, 7 and 14). Term Notes Backed by MSR-Related Collateral The Company has invested in term notes that are issued by special purpose vehicles (“SPV”) that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considers payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes is also mitigated by structural credit support in the form of over-collateralization. Credit support is also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the underlying MSRs be insufficient. The Company’s term notes backed by MSR-related collateral are treated as AFS securities and reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in AOCI, subject to impairment and loss allowances. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral, as applicable, and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are generally secured by certain MSRs, as well as certain other unencumbered assets owned by the borrower. Corporate loans are recorded on the Company’s consolidated balance sheets at the drawn amount, on which interest income is recognized on an accrual basis on the Company’s consolidated statements of operations, subject to loss allowances. Commitment fees received on the undrawn amount are deferred and recognized as interest income over the remaining loan term at the time of draw. At the end of the commitment period, any remaining deferred commitment fees are recorded as Other Income on the Company’s consolidated statements of operations. The Company evaluates the recoverability of its corporate loans on a quarterly basis considering various factors, including the current status of the loan, changes in the fair value of the MSRs that secure the loan and the recent financial performance of the borrower. (e) Cash and Cash Equivalents Cash and cash equivalents include cash on deposit with financial institutions and investments in money market funds, all of which have original maturities of three months or less. Cash and cash equivalents may also include cash pledged as collateral to the Company by its financing counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). The Company did not hold any cash pledged by its counterparties at September 30, 2020 and December 31, 2019. At September 30, 2020 and December 31, 2019, the Company had cash and cash equivalents of $884.2 million and $70.6 million, respectively. At September 30, 2020, the Company had $837.6 million of investments in overnight money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. As of December 31, 2019, the Company had $39.6 million worth of investments in overnight money market funds. In addition, deposits in FDIC insured accounts generally exceed insured limits (see Notes 7 and 14). (f) Restricted Cash Restricted cash represents the Company’s cash held by its counterparties in connection with certain of the Company’s Swaps and/or financing agreements that is not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to financing agreement and/or Swap counterparties, or may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the Swap and/or financing agreements. The Company had aggregate restricted cash held as collateral or otherwise in connection with its financing agreements and/or Swaps of $5.3 million and $64.0 million at September 30, 2020 and December 31, 2019, respectively (see Notes 5(c), 6, 7 and 14). (g) Real Estate Owned (“REO”) REO represents real estate acquired by the Company, including through foreclosure, deed in lieu of foreclosure, or purchased in connection with the acquisition of residential whole loans. REO acquired through foreclosure or deed in lieu of foreclosure is initially recorded at fair value less estimated selling costs. REO acquired in connection with the acquisition of residential whole loans is initially recorded at its purchase price. Subsequent to acquisition, REO is reported, at each reporting date, at the lower of the current carrying amount or fair value less estimated selling costs and for presentation purposes is included in Other assets on the Company’s consolidated balance sheets. Changes in fair value that result in an adjustment to the reported amount of an REO property that has a fair value at or below its carrying amount are reported in Other Income, net on the Company’s consolidated statements of operations. The Company has acquired certain properties that it holds for investment purposes, including rentals to third parties. These properties are held at their historical basis less depreciation, and are subject to impairment. Related rental income and expenses are recorded in Other Income, net (see Note 5). (h) Depreciation Leasehold Improvements, Real estate and Other Depreciable Assets Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from to eight years at the time of purchase. The building component of real estate held-for-investment is depreciated over 27.5 years. (i) Loan Securitization and Other Debt Issuance Costs Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. Other debt issuance and related costs include costs incurred by the Company in connection with issuing its 6.25% Convertible Senior Notes due 2024 (“Convertible Senior Notes”) and its 8% Senior Notes due 2042 (“Senior Notes”). These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges (unless the debt is recorded at fair value, as discussed below), are included on the Company’s consolidated balance sheets as a direct deduction from the corresponding debt liability. These deferred charges are amortized as an adjustment to interest expense using the effective interest method. For the Convertible Senior Notes and Senior Notes, such costs are amortized over the shorter of the period to the expected or stated legal maturity of the debt instruments. The Company periodically reviews the recoverability of these deferred costs and, in the event an impairment charge is required, such amount will be included in Operating and Other Expense on the Company’s consolidated statements of operations. (j) Financing Agreements The Company finances the majority of its residential mortgage assets with financing agreements that include repurchase agreements and other forms of collateralized financing. Under repurchase agreements, the Company sells assets to a lender and agrees to repurchase the same assets in the future for a price that is higher than the original sale price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although legally structured as sale and repurchase transactions, the Company accounts for repurchase agreements as secured borrowings. Under its repurchase agreements and other forms of collateralized financing, the Company pledges its assets as collateral to secure the borrowing, in an amount which is equal to a specified percentage of the fair value of the pledged collateral, while the Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase financing, unless the repurchase financing is renewed with the same counterparty, the Company is required to repay the loan including any accrued interest and concurrently receives back its pledged collateral from the lender. With the consent of the lender, the Company may renew a repurchase financing at the then prevailing financing terms. Margin calls, whereby a lender requires that the Company pledge additional assets or cash as collateral to secure borrowings under its repurchase financing with such lender, are routinely experienced by the Company when the value of the assets pledged as collateral declines as a result of principal amortization and prepayments or due to changes in market interest rates, spreads or other market conditions. The Company also may make margin calls on counterparties when collateral values increase. The Company’s repurchase financings collateralized by residential mortgage securities and MSR-related assets typically have terms ranging from one month to six months at inception, while the majority of our financing arrangements collateralized by residential whole loans have terms of twelve months or longer. Should a counterparty decide not to renew a financing arrangement at maturity, the Company must either refinance elsewhere or be in a position to satisfy the obligation. If, during the term of a financing, a lender should default on its obligation, the Company might experience difficulty recovering its pledged assets which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged by the Company to such lender, including accrued interest receivable on such collateral (see Notes 6, 7 and 14). The Company has elected the fair value option on certain of its financing agreements. These agreements are reported at their fair value, with changes in fair value being recorded in earnings each period (or other comprehensive income, to the extent the change results from a change in instrument specific credit risk), as further detailed in Note 6. Financing costs, including “up front” fees paid at inception related to financing agreements at fair value are expensed as incurred. Interest expense is recorded based on the current interest rate in effect for the related agreement. (k) Equity-Based Compensation Compensation expense for equity-based awards that are subject to vesting conditions, is recognized ratably over the vesting period of such awards, based upon the fair value of such awards at the grant date. The Company has made annual grants of restricted stock units (“RSUs”) certain of which cliff vest after a three-year period, subject only to continued employment, and others of which cliff vest after a three-year period, subject to both continued employment and the achievement of certain performance criteria based on a formula tied to the Company’s achievement of average total shareholder return during that three-year period, as well as the total shareholder return (“TSR”) of the Company relative to the TSR of a group of peer companies (over the three-year period) selected by the Compensation Committee of the Company’s Board of Directors (the “Compensation Committee”) at the date of grant. The features in these awards related to the attainment of total shareholder return over a specified period constitute a “market condition,” which impacts the amount of compensation expense recognized for these awards. Specifically, the uncertainty regarding the achievement of the market condition was reflected in the grant date fair valuation of the RSUs, which is recognized as compensation expense over the relevant vesting period. The amount of compensation expense recognized is not dependent on whether the market condition was or will be achieved. The Company makes dividend equivalent payments in connection with certain of its equity-based awards. A dividend equivalent is a right to receive a distribution equal to the dividend distributions that would be paid on a share of the Company’s common stock. Dividend equivalents may be granted as a separate instrument or may be a right associated with the grant of another award (e.g., an RSU) under the Company’s Equity Compensation Plan (the “Equity Plan”), and they are paid in cash or other consideration at such times and in accordance with such rules, terms and conditions, as the Compensation Committee may determine in its discretion. Payments pursuant to dividend equivalents are generally charged to Stockholders’ Equity to the extent that the attached equity awards are expected to vest. Compensation expense is recognized for payments made for dividend equivalents to the extent that the attached equity awards (i) do not or are not expected to vest and (ii) grantees are not required to return payments of dividends or dividend equivalents to the Company (see Notes 2(l) and 13). (l) Earnings per Common Share (“EPS”) Basic EPS is computed using the two-class method, which includes the weighted-average number of shares of common stock outstanding during the period and an estimate of other securities that participate in dividends, such as the Company’s dividend equivalents attached to/associated with RSUs, to arrive at total common equivalent shares. In applying the two-class method, earnings are allocated to both shares of common stock and estimated securities that participate in dividends based on their respective weighted-average shares outstanding for the period. For the diluted EPS calculation, common equivalent shares are further adjusted for the effect of RSUs outstanding that are unvested and have dividends that are subject to forfeiture, and for the effect of outstanding warrants, using the treasury stock method. Under the treasury stock method, common equivalent shares are calculated assuming that all dilutive common stock equivalents are exercised and the proceeds, along with future compensation expenses associated with such instruments (if any), are used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period. In addition, the Company’s Convertible Senior Notes are included in the calculation of diluted EPS if the assumed conversion into common shares is dilutive, using the “if-converted” method. This involves adding back the periodic interest expense associated with the Convertible Senior Notes to the numerator and by adding the shares that would be issued in an assumed conversion (regardless of whether the conversion option is in or out of the money) to the denominator for the purposes of calculating diluted EPS (see Note 12). (m) Comprehensive Income/(Loss) The Company’s comprehensive income/(loss) available to common stock and participating securities includes net income, the change in net unrealized gains/(losses) on its AFS securities and derivative hedging instruments (to the extent that such changes are not recorded in earnings), adjusted by realized net gains/(losses) reclassified out of AOCI for sold AFS securities and terminated hedging relationships, as well as the portion of unrealized gains/(losses) on its financing agreements held at fair value related to instrument-specific credit risk, and is reduced by dividends declared on the Company’s preferred stock and issuance costs of redeemed preferred stock. (n) U.S. Federal Income Taxes The Company has elected to be taxed as a REIT under the provisions of the Internal Revenue Code of 1986, as amended, (the “Code”), and the corresponding provisions of state law. The Company expects to operate in a manner that will enable it to satisfy the various requirements to maintain its status as a REIT for federal income tax purposes. In order to maintain its status as a REIT, the Company must, among other things, distribute at least 90% of its REIT taxable income (excluding net long-term capital gains) to stockholders in the timeframe permitted by the Code. As long as the Company maintains its status as a REIT, the Company will not be subject to regular federal income tax to the extent that it distributes 100% of its REIT taxable income (including net long-term capital gains) to its stockholders within the permitted timeframe. Should this not occur, the Company would be subject to federal taxes at prevailing corporate tax rates on the difference between its REIT taxable income and the amounts deemed to be distributed for that tax year. As the Company’s objective is to distribute 100% of its REIT taxable income to its stockholders within the permitted timeframe, no provision for current or deferred income taxes has been made in the accompanying consolidated financial statements. Should the Company incur a liability for corporate income tax, such amounts would be recorded as REIT income tax expense on the Company’s consolidated statements of operations. Furthermore, if the Company fails to distribute during each calendar year, or by the end of January following the calendar year in the case of distributions with declaration and record dates falling in the last three months of the calendar year, at least the sum of (i) 85% of its REIT ordinary income for such year, (ii) 95% of its REIT capital gain income for such year, and (iii) any undistributed taxable income from prior periods, the Company would be subject to a 4% nondeductible excise tax on the excess of the required distribution over the amounts actually distributed. To the extent that the Company incurs interest, penalties or related excise taxes in connection with its tax obligations, including as a result of its assessment of uncertain tax positions, such amounts will be included in Operating and Other Expense on the Company’s consolidated statements of operations. In addition, the Company has elected to treat certain of its subsidiaries as TRS. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. Generally, a domestic TRS is subject to U.S. federal, state and local corporate income taxes. Since a portion of the Company’s business is conducted through one or more TRS, the net taxable income earned by its domestic TRS, if any, is subject to corporate income taxation. To maintain the Company’s REIT election, no more than 20% of the value of the Company’s assets at the end of each calendar quarter may consist of stock or securities in TRS. For purposes of the determination of U.S. federal and state income taxes, the Company’s subsidiaries that elected to be treated as TRS record current or deferred income taxes based on differences (both permanent and timing) between the determination of their taxable income and net income under GAAP. No net deferred tax benefit was recorded by the Company for the nine months ended September 30, 2020 and 2019, related to the net taxable losses in the TRS, since a valuation allowance for the full amount of the associated deferred tax asset of approximately $75.5 million was recognized as its recovery is not considered more likely than not. The related net operating loss carryforwards generated prior to 2018 will begin to expire in 2034; those generated in 2020, 2019 and 2018 can be carried back to each of the five taxable years preceding the taxable year of such loss and thereafter can be carried forward and do not expire. Based on its analysis of any potentially uncertain tax positions, the Company concluded that it does not have any material uncertain tax positions that meet the relevant recognition or measurement criteria as of September 30, 2020, December 31, 2019, or September 30, 2019. As of the date of this filing the Company’s tax returns for tax years 2017 through 2019 are open to examination. (o) Derivative Financial Instruments The Company may use a variety of derivative instruments to economically hedge a portion of its exposure to market risks, including interest rate risk and prepayment risk. The objective of the Company’s risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, the Company attempts to mitigate the risk of the cost of its variable rate liabilities increasing during a period of rising interest rates. The Company’s derivative instruments have generally been comprised of Swaps, the majority of which were designated as cash flow hedges against the interest rate risk associated with its borrowings. Swaps The Company documents its risk-management policies, including objectives and strategies, as they relate to its hedging activities and the relationship between the hedging instrument and the hedged liability for all Swaps designated as hedging transactions. The Company assesses, both at the inception of a hedge and on a quarterly basis thereafter, whether or not the hedge is “highly effective.” During the first quarter of 2020, the Company terminated all of its Swaps. Prior to their termination, Swaps were carried on the Company’s consolidated balance sheets at fair value, in Other assets, if their fair value was positive, or in Other liabilities, if their fair value was negative. Changes in the fair value of the Company’s Swaps previously designated in hedging transactions are recorded in OCI provided that the hedge remains effective. Periodic payments accrued in connection with Swaps designated as hedges are included in interest expense and are treated as an operating cash flow. The Company discontinues hedge accounting on a prospective basis and recognizes changes in fair value through earnings when: (i) it is determined that the derivative is no longer effective in offsetting cash flows of a hedged item (including forecasted transactions); (ii) it is no longer probable that the forecasted transaction will occur; or (iii) it is determined that designating the derivative as a hedge is no longer appropriate (see Notes 5(c), 7 and 14). Changes in the fair value of the Company’s Swaps not designated in hedging transactions are recorded in Other income, net on the Company’s consolidated statements of operations. (p) Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities The Company’s presentation of fair value for its financial assets and liabilities is determined within a framework that stipulates that the fair value of a financial asset or liability is an exchange price in an orderly transaction between market participants to sell the asset or transfer the liability in the market in which the reporting entity would transact for the asset or liability, that is, the principal or most advantageous market for the asset or liability. The transaction to sell the asset or transfer the liability is a hypothetical transaction at the measurement date, considered from the perspective of a market participant that holds the asset or owes the liability. This definition of fair value focuses on exit price and prioritizes the use of market-based inputs over entity-specific inputs when determining fair value. In addition, the framework for measuring fair value establishes a three-level hierarchy for fair value measurements based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. In addition to the financial instruments that it is required to report at fair value, the Company has elected the fair value option for certain of its financial assets and liabilities at the time of acquisition or issuance. Subsequent changes in the fair value of these financial instruments are generally reported in Other income, net, in the Company’s consolidated statements of operations. A decision to elect the fair value option for an eligible financial instrument, which may be made on an instrument by instrument basis, is irrevocable (see Notes 2(b), 2(c), 3, 4 and 14). (q) Variable Interest Entities An entity is referred to as a VIE if it meets at least one of the following criteria: (i) the entity has equity that is insufficient to permit the entity to finance its activities without the additional subordinated financial support of other parties; or (ii) as a group, the holders of the equity investment at risk lack (a) the power to direct the activities of an entity that most significantly impact the entity’s economic performance; (b) the obligation to absorb the expected losses; or (c) the right to receive the expected residual returns; or (iii) the holders of the equity investment at risk have disproportional voting rights and the entity’s activities are conducted on behalf of the investor that has disproportionately few voting rights. The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. The Company has entered into several financing transactions which resulted in the Company forming entities to facilitate these transactions. In determining the accounting treatment to be applied to these transactions, the Company concluded that the entities used to facilitate these transactions are VIEs and that they should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfers of the underlying assets would qualify as sales or should be accounted for as secured financings under GAAP (see Note 15). The Company also includes on its consolidated balance sheets certain financial assets and liabilities that are acquired/issued by trusts and/or other special purpose entities that have been evaluated as being required to be consolidated by the Company under the applicable accounting guidance. (r) Offering Costs Related to Issuance and Redemption of Preferred Stock Offering costs related to the issuance of preferred stock are recorded as a reduction in Additional paid-in capital, a component of Stockholders’ Equity, at the time such preferred stock is issued. On redemption of preferred stock, any excess of the fair value of the consideration transferred to the holders of the preferred stock over the carrying amount of the preferred stock in the Company’s consolidated balance sheets is included in the determination of Net Income Available to Common Stock and Participating Securities in the calculation of EPS. (s) New Accounting Standards and Interpretations Accounting Standards Adopted in 2020 Financial Instruments - Credit Losses - Measurement of Credit Losses on Financial Instruments In June 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU” 2016-13, Measurement of Credit Losses on Financial Instruments (“ASU 2016-13”), which has subsequently been amended by ASUs 2019-11, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2019-05, Financial Instruments - Credit Losses (Topic 326): Targeted Transition Relief, 2019-04, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2018-19, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2020-02 Financial Instruments-Credit Losses (Topic 326)-Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date (SEC Update), and 2020-03 Codification Improvements to Financial Instruments. The amendments in ASU 2016-13 require entities to measure all expected credit losses (rather than incurred losses) for financial assets held at the reporting date, based on historical experience, current conditions and reasonable and supportable forecasts. ASU 2016-13 also requires enhanced financial statement disclosures to help financial statement users better understand significant estimates and judgments used in estimating credit losses, as well as the credit quality and underwriting standards of an entity’s portfolio. The amendments in this ASU were required to be applied by recording a cumulative-effect adjustment to equity as of the beginning of the first reporting period in which the guidance is effective. A prospective transition approach is required for debt securities for which an OTTI had been recognized before the effective date. The Company adopted the new ASU on January 1, 2020. The impact of adoption was that the allowance for credit losses on Purchased Performing Loans increased by approximately $8.3 million. This transition adjustment was recorded as an increase in the Company’s allowance for credit losses and an adjustment to decrease retained earnings as of the adoption date. In addition, for Purchased Credit Deteriorated Loans, the carrying value of the portfolio was adjusted on transition to include an estimate of the allowance for credit losses as required by the new standard. For financial statement reporting purposes, this adjusted carrying value is presented net of the estimated allowance for credit losses. Consequently, the adjustments recorded on transition for Purchased Credit Deteriorated Loans do not result in any adjustment to retained earnings as of the adoption date. The Company does not consider these transition adjustments to be material to its financial position or previously reported GAAP or economic book value. Under ASU 2016-13, credit losses for available-for-sale debt securities are measured in a manner similar to prior GAAP. However, the amendments in this ASU require that credit losses be recorded through an allowance for credit losses, which will allow subsequent reversals in credit loss estimates to be recognized in current income. In addition, the allowance on available-for-sale debt securities will be limited to the extent that the fair value is less than the amortized cost. Under prior GAAP, credit impairment losses were generally required to be recorded as “other than temporary” impairment, which directly reduced the carrying amount of impaired securities, and was recorded in earnings and was not reversed if expected cash flows subsequently recovered. Under the new guidance, credit impairments on such securities (other than those related to expected sales) are recorded as an allowance for credit losses that is also recorded in earnings, but the allowance can be reversed through earnings in a subsequent period if expected cash flows subsequently recover. Transition to the new available-for-sale debt securities guidance did not result in a change to our retained earnings. Reference Rate Reform - Facilitation of the Effects of Reference Rate Reform on Financial Reporting In March 2020, the FASB issued ASU 2020-04, Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”). The amendments in this ASU provide temporary optional expedients to ease the financial reporting burden of the expected transition from the London Interbank Offered Rate (“LIBOR”) to an alternative reference rate such as the Secured Overnight Financing Rate (“SOFR”). The amendments in the ASU are elective and apply to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The amendments in ASU 2020-04 were effective for all entities as of March 12, 2020 and will generally no longer be available to apply after December 31, 2022. The Company adopted this ASU as of the effective date and will utilize the optional expedients to the extent that they apply to the Company.
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Residential Whole Loans | Residential Whole Loans Included on the Company’s consolidated balance sheets at September 30, 2020 and December 31, 2019 are approximately $5.6 billion and $7.4 billion, respectively, of residential whole loans arising from the Company’s interests in certain trusts established to acquire the loans and certain entities established in connection with its loan securitization transactions. The Company has assessed that these entities are required to be consolidated for financial reporting purposes. Residential Whole Loans, at Carrying Value The following table presents the components of the Company’s Residential whole loans, at carrying value at September 30, 2020 and December 31, 2019:
(1) The amortized cost basis of Purchased Credit Deteriorated Loans was increased by $62.6 million on January 1, 2020 in connection with the adoption of ASU 2016-13. The following table presents the components of interest income on the Company’s Residential whole loans, at carrying value for the three and nine months ended September 30, 2020 and 2019:
The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at September 30, 2020: September 30, 2020
December 31, 2019
(1)Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. (2)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $222.2 million and $269.2 million at September 30, 2020 and December 31, 2019, respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% and 69% at September 30, 2020 and December 31, 2019, respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. (3)Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. (4)At September 30, 2020 and December 31, 2019 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses. (5)Purchased Credit Deteriorated Loans tend to be characterized by varying performance of the underlying borrowers over time, including loans where multiple months of payments are received in a period to bring the loan to current status, followed by months where no payments are received. Accordingly, delinquency information is presented for loans that are more than 90 days past due that are considered to be seriously delinquent. No Residential whole loans, at carrying value were sold during the three months ended September 30, 2020. During the nine months ended September 30, 2020, $1.8 billion of Non-QM loans were sold, realizing losses of $273.0 million. Allowance for Credit Losses The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential Whole Loans, at Carrying Value:
(1)In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $73.2 million, with an allowance for credit losses of $1.6 million at September 30, 2020. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 9). (2)Includes $143.4 million of loans that were assessed for credit losses based on a collateral dependent methodology. (3)Includes $72.7 million of loans that were assessed for credit losses based on a collateral dependent methodology. (4)Of the $70.6 million of reserves recorded on adoption of ASU 2016-13, $8.3 million was recorded as an adjustment to stockholders’ equity and $62.4 million was recorded as a “gross up” of the amortized cost basis of Purchased Credit Deteriorated Loans. The Company adopted ASU 2016-13 (“CECL”) on January 1, 2020 (see Note 2). The anticipated impact of the COVID-19 pandemic on expected economic conditions, including forecasted unemployment, home price appreciation, and prepayment rates, for the short to medium term resulted in significantly increased estimates of credit losses recorded under CECL for the first quarter of 2020 for residential whole loans held at carrying value. As of September 30, 2020, the Company adjusted its estimates related to future rates of unemployment, which resulted in a reversal of the allowance for loan loss in the third quarter. However, the Company continues to anticipate that deteriorated market conditions will continue for an extended period, resulting in increased delinquencies and defaults compared to historical periods. Estimates of credit losses under CECL are highly sensitive to changes in assumptions and current economic conditions have increased the difficulty of accurately forecasting future conditions. The amortized cost basis of Purchased Performing Loans on nonaccrual status as of September 30, 2020 and December 31, 2019 was $345.6 million and $99.9 million, respectively. The amortized cost basis of Purchased Credit Deteriorated Loans on nonaccrual status as of September 30, 2020 was $148.7 million. Because Purchase Credit Deteriorated Loans were previously accounted for in pools, there were no such loans on nonaccrual status as of December 31, 2019. No interest income was recognized from loans on nonaccrual status during the nine months ended September 30, 2020. At September 30, 2020, there were approximately $134.8 million of loans on nonaccrual status that did not have an associated allowance for credit losses, because they were determined to be collateral dependent and the estimated fair value of the related collateral exceeded the carrying value of each loan. The following table presents certain additional credit-related information regarding our residential whole loans, at carrying value:
(1)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $222.2 million at September 30, 2020, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% at September 30, 2020. Certain low value loans secured by vacant lots are categorized as LTV >= 80%. Residential Whole Loans, at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. Subsequent changes in fair value are reported in current period earnings and presented in Net gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. The following table presents information regarding the Company’s residential whole loans held at fair value at September 30, 2020 and December 31, 2019:
(1)LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. The following table presents the components of Net gain/(loss) on residential whole loans measured at fair value through earnings for the three and nine months ended September 30, 2020 and 2019:
(1)Primarily includes gains on liquidation of non-performing loans, including the recovery of delinquent interest payments, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans. During the nine months ended September 30, 2020, loans at fair value with an aggregate unpaid principal balance of $24.1 million were sold, realizing net losses of $0.8 million.
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Residential Mortgage Securities and MSR-Related Assets |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Securities and MSR-Related Assets | Residential Mortgage Securities and MSR-Related Assets Agency and Non-Agency MBS MBS investments held as of September 30, 2020 or in prior periods include Agency MBS and Non-Agency MBS which include MBS issued prior to 2008 (“Legacy Non-Agency MBS”). These MBS are secured by: (i) hybrid mortgages (“Hybrids”), which have interest rates that are fixed for a specified period of time and, thereafter, generally adjust annually to an increment over a specified interest rate index; (ii) adjustable-rate mortgages (“ARMs”), which have interest rates that reset annually or more frequently (collectively, “ARM-MBS”); and (iii) 15 and 30 year fixed-rate mortgages for Agency MBS and, for Non-Agency MBS, 30-year and longer-term fixed rate mortgages. In addition, the Company’s MBS are also comprised of MBS backed by securitized re-performing/non-performing loans (“RPL/NPL MBS”), where the cash flows of the bond may not reflect the contractual cash flows of the underlying collateral. The Company’s RPL/NPL MBS are generally structured with a contractual coupon step-up feature where the coupon increases from 300 - 400 basis points at 36 - 48 months from issuance or sooner. The Company pledges a significant portion of its MBS as collateral against its borrowings under repurchase agreements (see Note 7). Agency MBS: Agency MBS are guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae. The payment of principal and/or interest on Ginnie Mae MBS is explicitly backed by the full faith and credit of the U.S. Government. Since the third quarter of 2008, Fannie Mae and Freddie Mac have been under the conservatorship of the Federal Housing Finance Agency, which significantly strengthened the backing for these government-sponsored entities. The Company sold its remaining holdings of Agency MBS during the quarter ended June 30, 2020. Non-Agency MBS: The Company’s Non-Agency MBS are primarily secured by pools of residential mortgages, which are not guaranteed by an agency of the U.S. Government or any federally chartered corporation. Credit risk associated with Non-Agency MBS is regularly assessed as new information regarding the underlying collateral becomes available and based on updated estimates of cash flows generated by the underlying collateral. During the quarter ended June 30, 2020, the Company had sold substantially all of its holdings of Legacy Non-Agency MBS and substantially reduced its holdings of other Non-Agency MBS. The Company sold its remaining Legacy Non-Agency MBS during the quarter ended September 30, 2020. CRT Securities CRT securities are debt obligations issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. The Company assesses the credit risk associated with its investments in CRT securities by assessing the current and expected future performance of the associated loan pool. The Company pledges a portion of its CRT securities as collateral against its borrowings under repurchase agreements (see Note 7). The following tables present certain information about the Company’s residential mortgage securities at September 30, 2020 and December 31, 2019: September 30, 2020
December 31, 2019
(1)Discount designated as Credit Reserve is generally not expected to be accreted into interest income. (2)Based on management’s current estimates of future principal cash flows expected to be received. (3)Includes RPL/NPL MBS, which at September 30, 2020 had an $57.4 million Principal/Current face, $49.2 million amortized cost and $53.8 million fair value. At December 31, 2019, RPL/NPL MBS had a $632.3 million Principal/Current face, $631.8 million amortized cost and $635.0 million fair value. (4)At September 30, 2020 and December 31, 2019, the Company expected to recover approximately 99% and 80% of the then-current face amount of Non-Agency MBS, respectively. (5)Amounts disclosed at September 30, 2020 includes CRT securities with a fair value of $63.3 million for which the fair value option has been elected. Such securities had $410,000 gross unrealized gains and gross unrealized losses of approximately $3.1 million at September 30, 2020. Amounts disclosed at December 31, 2019 includes CRT securities with a fair value of $255.4 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $6.3 million and gross unrealized losses of approximately $91,000 at December 31, 2019. (6)Includes principal payments receivable of $614,000 at December 31, 2019, which is not included in the Principal/Current Face. (7)Amounts disclosed at December 31, 2019 include Agency MBS with a fair value of $280.3 million, for which the fair value option has been elected. Such securities had $4.5 million unrealized gains and no gross unrealized losses at December 31, 2019, respectively. Sales of Residential Mortgage Securities The following table presents information about the Company’s sales of its residential mortgage securities for the three and nine months ended September 30, 2020 and 2019. The Company has no continuing involvement with any of the sold securities.
Unrealized Losses on Residential Mortgage Securities The following table presents information about the Company’s residential mortgage securities that were in an unrealized loss position at September 30, 2020, with respect to which no allowance for credit losses has been recorded: Unrealized Loss Position For:
(1)Based on management’s current estimates of future principal cash flows expected to be received. (2)Amounts disclosed at September 30, 2020 include CRT securities with a fair value of $59.6 million for which the fair value option has been elected. Such securities had unrealized losses of $3.1 million at September 30, 2020. During the three months ended March 31, 2020, the Company recognized an impairment loss related to its Non-Agency MBS of $63.5 million based on its intent to sell, or the likelihood it will be required to sell, its remaining securities. Gross unrealized losses on the Company’s Non-Agency MBS were $3.0 million at September 30, 2020. Based upon the most recent evaluation, the Company does not consider these unrealized losses to require an allowance for credit losses and does not believe that these unrealized losses are credit related, but are rather a reflection of current market yields and/or marketplace bid-ask spreads. The Company has reviewed its Non-Agency MBS that are in an unrealized loss position to identify those securities that require an allowance for credit losses based on an assessment of changes in expected cash flows for such securities, which considers recent bond performance and, where possible, expected future performance of the underlying collateral. The Company did not recognize an allowance for credit losses (or other than temporary impairment in prior year periods) through earnings related to its Non-Agency MBS during the three and nine months ended September 30, 2020 and 2019. The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential mortgage securities and MSR-related assets:
Purchase Discounts on Non-Agency MBS The following table presents the changes in the components of the Company’s purchase discount on its Non-Agency MBS between purchase discount designated as Credit Reserve and accretable purchase discount for the three and nine months ended September 30, 2020 and 2019:
(1)Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. (2)Includes the impact of $1.7 million of cash proceeds (a one-time payment) received by the Company during the nine months ended September 30, 2019 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by JP Morgan Chase & Co. and affiliated entities. MSR-Related Assets (a) Term Notes Backed by MSR-Related Collateral At September 30, 2020 and December 31, 2019, the Company had $234.1 million and $1.2 billion, respectively, of term notes issued by SPVs that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. Payment of principal and interest on these term notes is considered to be largely dependent on cash flows generated by the underlying MSRs, as this impacts the cash flows available to the SPV that issued the term notes. At September 30, 2020, these term notes had an amortized cost of $184.5 million, gross unrealized gains of $49.5 million, a weighted average yield of 12.1% and a weighted average term to maturity of 9.5 years. During the nine months ended September 30, 2020, the Company sold certain term notes for $711.7 million, realizing gains of $28.7 million, respectively. During the three months ended March 31, 2020, the Company recognized an impairment loss related to its term notes of $280.8 million based on its intent to sell, or the likelihood it will be required to sell, such notes. At December 31, 2019, the term notes had an amortized cost of $1.2 billion, gross unrealized gains of $5.2 million, a weighted average yield of 4.75% and a weighted average term to maturity of 5.3 years. (b) Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are secured by MSRs, as well as certain other unencumbered assets owned by the borrower. The Company has participated in a loan where the Company committed to lend $32.6 million of which approximately $18.1 million was drawn at September 30, 2020. At September 30, 2020, the coupon paid by the borrower on the drawn amount is 5.52%. The facility expires in 11 months. During the remaining commitment period, the Company receives a commitment fee between 0.25% and 1.0% based on the undrawn amount of the loan. Impact of AFS Securities on AOCI The following table presents the impact of the Company’s AFS securities on its AOCI for the three and nine months ended September 30, 2020 and 2019:
Interest Income on Residential Mortgage Securities and MSR-Related Assets The following table presents the components of interest income on the Company’s residential mortgage securities and MSR- related assets for the three and nine months ended September 30, 2020 and 2019:
(1) Includes amortization of premium paid net of accretion of purchase discount. For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity. (2) The effective yield adjustment is the difference between the net income calculated using the net yield less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or on the instrument’s contractual cash flows, depending on the relevant accounting standard. (3) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $3.1 million during the nine months ended September 30, 2019. (4) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $4,000 during the three months ended September 30, 2019 and $277,000 and $152,000 during the nine months ended September 30, 2020 and 2019, respectively.
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Other Assets |
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Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Assets | Other Assets The following table presents the components of the Company’s Other assets at September 30, 2020 and December 31, 2019:
(1) Includes $59.3 million and $27.3 million of REO that is held-for-investment at September 30, 2020 and December 31, 2019, respectively. (a) Real Estate Owned At September 30, 2020, the Company had 1,131 REO properties with an aggregate carrying value of $298.9 million. At December 31, 2019, the Company had 1,652 REO properties with an aggregate carrying value of $411.7 million. At September 30, 2020, $295.7 million of residential real estate property was held by the Company that was acquired either through a completed foreclosure proceeding or from completion of a deed-in-lieu of foreclosure or similar legal agreement. In addition, formal foreclosure proceedings were in process with respect to $132.5 million of residential whole loans held at carrying value and $487.3 million of residential whole loans held at fair value at September 30, 2020. The following table presents the activity in the Company’s REO for the three and nine months ended September 30, 2020 and 2019:
(1)Includes net gain recorded on transfer of approximately $834,000 and $5.0 million for the three months ended September 30, 2020 and 2019, respectively; and approximately $4.1 million and $16.1 million for nine months ended September 30, 2020 and 2019, respectively. (2)During the three and nine months ended September 30, 2020, the Company sold 267 and 812 REO properties for consideration of $69.9 million and $195.2 million, realizing net gains of approximately $3.9 million and $10.0 million, respectively. 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. These amounts are included in Other Income, net on the Company’s consolidated statements of operations.(b) Capital Contributions Made to Loan Origination Partners The Company has made investments in several loan originators as part of its strategy to be a reliable source of capital to select partners from whom it sources residential mortgage loans through both flow arrangements and bulk purchases. To date, such contributions of capital include the following investments (based on their carrying value prior to any impairments): $31.0 million of common equity, $68.0 million of preferred equity and $75.0 million of convertible notes. In addition, for certain partners, options or warrants may have also been acquired that provide the Company the ability to increase the level of its investment if certain conditions are met. At the end of each reporting period, or earlier if circumstances warrant, the Company evaluates whether the nature of its interests and other involvement with the investee entity requires the Company to apply equity method accounting or consolidate the results of the investee entity with the Company’s financial results. To date, the nature of the Company’s interests and/or involvement with investee companies has not resulted in consolidation. Further, to the extent that the nature of the Company’s interests has resulted in the need for the Company to apply equity method accounting, the impact of such accounting on the Company’s results for periods subsequent to that in which the Company was determined to have significant influence over the investee company was not material for any period. As the interests acquired to date by the Company generally do not have a readily determinable fair value, the Company accounts for its non-equity method interests (including any acquired options and warrants) in loan originators initially at cost. The carrying value of these investments is adjusted if it is determined that an impairment has occurred or if there has been a subsequent observable transaction in either the investee company’s equity securities or a similar security that provides evidence to support an adjustment to the carrying value. Following an evaluation of the anticipated impact of the COVID-19 pandemic on economic conditions for the short to medium term, the Company recorded impairment charges of $65.2 million on investments in certain loan origination partners during the nine months ended September 30, 2020, respectively, which was included in “Impairment and other losses on securities available-for-sale and other assets” on the consolidated statements of operations. The Company did not record any impairment charges on investments in certain loan origination partners during the three months ended September 30, 2020. At September 30, 2020, approximately $840.5 million of the Company’s Residential whole loans, at carrying value were serviced by entities in which the Company has an investment. (c) Derivative Instruments The Company’s derivative instruments have generally been comprised of Swaps, the majority of which were designated as cash flow hedges against the interest rate risk associated with certain borrowings. In addition, in connection with managing risks associated with purchases of longer duration Agency MBS, the Company has also entered into Swaps that are not designated as hedges for accounting purposes. In response to the turmoil in the financial markets resulting from the COVID-19 pandemic experienced during the three months ended March 31, 2020, the Company unwound all of its approximately $4.1 billion of Swap hedging transactions late in the first quarter in order to recover previously posted margin. Gains or losses associated with these Swap hedging transactions are required to be transferred from AOCI to earnings over the original term of the Swap, if the underlying hedged item or transactions are assessed as probable of occurring. After the closing of several new financing transactions late in the quarter ended June 30, 2020, the Company evaluated its anticipated future financing requirements. The Company concluded that it was no longer probable that certain previously used financing strategies, including those that primarily utilized repurchase agreements with funding costs that reset on a monthly basis, would be used by the Company on an ongoing basis, as this financing strategy had been essentially replaced by the new financing transactions. Consequently, the Company concluded that it was appropriate to transfer from AOCI to earnings approximately $49.9 million of losses on Swaps that had previously been designated as hedges for accounting purposes, because the hedged transactions were no longer considered probable to occur. In addition, during the quarter ended September 30, 2020, the Company transferred from AOCI to earnings approximately $7.2 million of losses on Swaps that had been previously designated as hedges for accounting purposes as the Company had assessed that the underlying transactions were no longer probable of occurring. These amounts are included in Other income, net on the Company’s consolidated statements of operations. At September 30, 2020, there are no remaining losses included in AOCI on Swaps previously designated as hedges for accounting purposes. The following table presents the fair value of the Company’s derivative instruments at September 30, 2020 and December 31, 2019:
(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. Swaps The following table presents the assets pledged as collateral against the Company’s Swap contracts at September 30, 2020 and December 31, 2019:
The following table presents information about the Company’s Swaps at September 30, 2020 and December 31, 2019:
(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. 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, 2020 and 2019:
During the nine months ended September 30, 2020, the Company recorded net losses on Swaps not designated in hedging relationships of approximately $4.3 million, which included $9.4 million of losses realized on the unwind of certain Swaps. During the three and nine months ended September 30, 2019, the Company recorded net losses on Swaps not designated in hedging relationships of approximately $929,000 and $17.3 million, respectively, which included $3.7 million and $17.7 million of losses realized on the unwind of certain Swaps. These amounts are included in Other income, net on the Company’s consolidated statements of operations. Impact of Derivative 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, 2020 and 2019:
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Financing Agreements |
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Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financing Agreements | Financing Agreements The following tables present the components of the Company’s Financing agreements at September 30, 2020 and December 31, 2019:
(1) Financing agreements at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. Other financing arrangements are reported at their carrying value (amortized cost basis) as the fair value option was not elected on these liabilities. Consequently, Total Financing agreements as presented reflects a summation of balances reported at fair value and carrying value. Set out below is information about the Company’s Financing agreements that existed as of December 31, 2019. During the second quarter of 2020, outstanding repurchase agreement transactions at that time were renegotiated as part of a reinstatement agreement that was entered into by the Company. The Company elected to account for these reinstated transactions under the fair value option from the time these repurchase agreements were reinstated. Accordingly, as of September 30, 2020, such liabilities are reported as Financing agreements at fair value.
(a) Financing Agreements, at Fair Value During the second quarter of 2020, the Company entered into a $500 million senior secured credit agreement. In addition, in conjunction with its exit from forbearance arrangements, the Company entered into several new asset backed financing arrangements and renegotiated financing arrangements for certain assets with existing lenders, that resulted in the Company essentially refinancing the majority of its investment portfolio. The Company elected the fair value option on these financing arrangements, primarily to simplify the accounting associated with costs incurred to establish the new facilities or renegotiate existing facilities. The Company considers that the most relevant feature that distinguishes between the various asset backed financing arrangements is how the financing arrangement is collateralized, including the ability of the lender to make margin calls on the Company based on changes in value of the underlying collateral securing the financing. Accordingly, further details are provided below regarding assets that are financed with agreements that have non-mark-to-market collateral provisions and assets that are financed with agreements that have mark-to-market collateral provisions. Agreements with non-mark-to-market collateral provisions The Company and certain of its subsidiaries entered into a non-mark-to-market term loan facility with certain lenders to finance an aggregate amount of up to $1.65 billion. The Company’s borrowing subsidiaries have pledged, as collateral security for the facility, certain of their residential whole loans (excluding Rehabilitation loans), as well as the equity in subsidiaries that own the loans. The facility has an initial term of two years, which may be extended for up to an additional three years, subject to certain conditions, including the payment of an extension fee and provided that no events of default have occurred. For the initial two year term, the financing cost for the facility will be calculated at a spread over the lender’s financing cost, which, depending on the lender, is expected to be based either on three-month LIBOR, or an index that it expected over time to be closely correlated to changes in three-month LIBOR. At September 30, 2020, the amount financed under this facility was approximately $1.4 billion. In addition, the Company also entered into non-mark-to-market financing facilities on Rehabilitation loans. Under these facilities, Rehabilitation loans, as well as the equity in subsidiaries that own the loans, are pledged as collateral. The facilities have a two year term and the financing cost is calculated at a spread over three-month LIBOR. At September 30, 2020, the amount financed under these facilities was approximately $359.0 million. The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at September 30, 2020 and December 31, 2019:
Agreements with mark-to-market collateral provisions In addition to entering into the financing arrangements discussed above, the Company also entered into a reinstatement agreement with certain lending counterparties that facilitated its exit from the forbearance arrangements that the Company had previously entered into. In connection with the reinstatement agreement, terms of its prior financing arrangements on certain residential whole loans, residential mortgage securities, and MSR-related assets were renegotiated and those arrangements were reinstated on a go-forward basis. These financing arrangements continue to contain mark-to-market provisions that permit the lending counterparties to make margin calls on the Company should the value of the pledged collateral decline. The Company is also permitted to recover previously posted margin payments, should values of the pledged collateral subsequently increase. These facilities generally have a maturity ranging from to three months and can be renewed at the discretion of the lending counterparty at financing costs reflecting prevailing market pricing. At September 30, 2020, the amount financed under these agreements was approximately $1.5 billion. The following table presents information with respect to the Company’s financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at September 30, 2020 and December 31, 2019:
(1)Excludes $0 and $1.1 million of unamortized debt issuance costs at September 30, 2020 and December 31, 2019, respectively. (2)At September 30, 2020 and December 31, 2019, includes RPL/NPL MBS with an aggregate fair value of $192.7 million and $238.8 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. (3) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. In addition, the Company had cash pledged as collateral in connection with its financing agreements of $5.3 million and $25.2 million at September 30, 2020 and December 31, 2019, respectively. The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at September 30, 2020 and December 31, 2019:
The Company had financing agreements, including repurchase agreements and other forms of secured financing with 8 and 28 counterparties at September 30, 2020 and December 31, 2019, respectively. The following table presents information with respect to each counterparty under financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at September 30, 2020:
(1)As rated at September 30, 2020 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 financing 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 $20.6 million at risk with Goldman Sachs and $152.7 million at risk with Goldman Sachs Bank USA. (4)Includes amounts at risk with various Athene affiliates that collectively exceed 5% of stockholders’ equity. Senior Secured Term Loan Facility The Company entered into a $500 million senior secured term loan facility (the “Term Loan Facility”) with certain funds, accounts and/or clients managed by affiliates of Apollo Global Management, Inc. and affiliates of Athene Holding Ltd. The term loans were issued with original issue discount of 1%. Interest on the outstanding principal amount of the term loans will accrue at a rate of 11% per annum until the third anniversary of the original funding date. Prior to the third anniversary of the funding date, a portion of such interest, in an amount equal to up to 3% per annum, may be capitalized, compounded and added to the unpaid principal amount of the term loans. The interest rate on the term loans will increase by 1% per annum on the third anniversary of the funding date and by an additional 1% per annum on each subsequent anniversary of the funding date. Upon the occurrence and during the continuance of an event of default under the Term Loan Facility, the principal amount of all loans outstanding and, to the extent permitted by applicable law, any interest payments on such term loans or any fees or other amounts owing under the Term Loan Facility that, in either case, are then overdue, would thereafter bear interest at a rate that is 2% per annum in excess of the interest rate otherwise payable on the term loans. The Company is permitted to voluntarily prepay the amount borrowed under the Term Loan Facility in full at any time without penalty. In addition, the Company may partially prepay the amount borrowed on only one occasion without penalty, provided such partial prepayment be in an amount of not less than $250 million. Installment payments of principal equal to 3.75% of the initial principal amount for the first three years of the Term Loan Facility and 4.50% of the initial principal amount thereafter, together with accrued and unpaid interest on such principal amount, will be required to be made on the last business day of each March, June, September and December beginning on September 30, 2020. Mandatory prepayments of the term loans are required to be made from net cash proceeds received in connection with certain events, that are set out in the credit agreement. Upon the event of a change in control as defined in the credit agreement, the Company is also required to make an offer to repay the loan at par, plus unpaid accrued interest, plus a specified redemption premium. In addition, the Company is required to comply with certain affirmative and negative covenants as specified in the Term Loan Facility that, among other things, impose certain limitations on the Company to incur liens or indebtedness, to make certain investments or enter into new businesses, to modify or waive terms on certain of the Company’s existing debt or to prepay such debt, or to pay dividends in certain circumstances. The Company must also maintain a minimum level of liquidity as defined in the Term Loan Facility. Subsequent to the end of the third quarter, the outstanding balance of the Term Loan Facility was repaid and the Term Loan Facility was terminated. Refer to note 16 for further discussion. (b) Other Financing Agreements These arrangements were either entered into prior to the Company experiencing financial difficulties related to the COVID-19 pandemic, or, in the case of the Company’s most recent securitization, after the Company’s exit from forbearance, and were not subject to the forbearance arrangements that were entered into by the Company or any negotiations related to the Company’s exit from those arrangements. Additional information regarding the Company’s Other financing arrangements as of September 30, 2020, is included below: Securitized Debt Securitized debt represents third-party liabilities of consolidated VIEs and excludes liabilities of the VIEs acquired by the Company that are eliminated in consolidation. The third-party beneficial interest holders in the VIEs have no recourse to the general credit of the Company. The weighted average fixed rate on the securitized debt was 2.93% at September 30, 2020 (see Notes 10 and 15 for further discussion). Convertible Senior Notes On June 3, 2019, the Company issued $230.0 million in aggregate principal amount of its Convertible Senior Notes in an underwritten public offering, including an additional $30.0 million issued pursuant to the exercise of the underwriters’ option to purchase additional Convertible Senior Notes. The total net proceeds the Company received from the offering were approximately $223.3 million, after deducting offering expenses and the underwriting discount. The Convertible Senior Notes bear interest at a fixed rate of 6.25% per year, paid semiannually on June 15 and December 15 of each year commencing December 15, 2019 and will mature on June 15, 2024, unless earlier converted, redeemed or repurchased in accordance with their terms. The Convertible Senior Notes are convertible at the option of the holders at any time until the close of business on the business day immediately preceding the maturity date into shares of the Company’s common stock based on an initial conversion rate of 125.7387 shares of the Company’s common stock for each $1,000 principal amount of the Convertible Senior Notes, which is equivalent to an initial conversion price of approximately $7.95 per share of common stock. The Convertible Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 6.94%. The Company does not have the right to redeem the Convertible Senior Notes prior to maturity, except to the extent necessary to preserve its status as a REIT, in which case the Company may redeem the Convertible Senior Notes, in whole or in part, at a redemption price equal to the principal amount redeemed plus accrued and unpaid interest. The Convertible Senior Notes are the Company’s senior unsecured obligations and are effectively junior to all of the Company’s secured indebtedness, which includes the Company’s repurchase agreements and other financing arrangements, to the extent of the value of the collateral securing such indebtedness and equal in right of payment to the Company’s existing and future senior unsecured obligations, including the Senior Notes. Senior Notes On April 11, 2012, the Company issued $100.0 million in aggregate principal amount of its Senior Notes in an underwritten public offering. The total net proceeds the Company received from the offering of the Senior Notes were approximately $96.6 million, after deducting offering expenses and the underwriting discount. The Senior Notes bear interest at a fixed rate of 8.00% per year, paid quarterly in arrears on January 15, April 15, July 15 and October 15 of each year and will mature on April 15, 2042. The Senior Notes have an effective interest rate, including the impact of amortization to interest expense of debt issuance costs, of 8.31%. The Company may redeem the Senior Notes, in whole or in part, at any time, at a redemption price equal to 100% of the principal amount redeemed plus accrued and unpaid interest. The Senior Notes are the Company’s senior unsecured obligations and are effectively junior to all of the Company’s secured indebtedness, which includes the Company’s repurchase agreements and other financing arrangements, to the extent of the value of the collateral securing such indebtedness and equal in right of payment to the Company’s existing and future senior unsecured obligations, including the Convertible Senior Notes.
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Collateral Positions |
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Sep. 30, 2020 | |
Collateral Positions | |
Collateral Positions | Collateral Positions The Company pledges securities or cash as collateral to its counterparties in relation to certain of its financing arrangements. In addition, the Company receives securities or cash as collateral pursuant to financing provided under reverse repurchase agreements. The Company exchanges collateral with its counterparties based on changes in the fair value, notional amount and term of the associated financing arrangements and Swap contracts, as applicable. In connection with these margining practices, either the Company or its counterparty may be required to pledge cash or securities as collateral. When the Company’s pledged collateral exceeds the required margin, the Company may initiate a reverse margin call, at which time the counterparty may either return the excess collateral or provide collateral to the Company in the form of cash or equivalent securities. The Company’s assets pledged as collateral are described in Notes 2(f) - Restricted Cash, 5(c) - Derivative Instruments and 6 - Repurchase Agreements. The total fair value of assets pledged as collateral with respect to the Company’s borrowings under its financing arrangements and/or derivative hedging instruments was $5.2 billion and $11.3 billion at September 30, 2020 and December 31, 2019, respectively. An aggregate of $35.8 million and $57.2 million of accrued interest on those assets had also been pledged as of September 30, 2020 and December 31, 2019, respectively.
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Offsetting Assets and Liabilities |
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Sep. 30, 2020 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities Certain of the Company’s financing arrangements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff in the event of default or in the event of a bankruptcy of either party to the transaction. In the Company’s consolidated balance sheets, all balances associated with repurchase agreements are presented on a gross basis. The fair value of financial instruments pledged against the Company’s financing arrangements was $5.2 billion and $11.2 billion at September 30, 2020 and December 31, 2019, respectively. The fair value of financial instruments pledged against the Company’s Swaps was $0 and $2.2 million at September 30, 2020 and December 31, 2019, respectively. In addition, cash that has been pledged as collateral against financing arrangements and Swaps is reported as Restricted cash on the Company’s consolidated balance sheets (see Notes 2(f), 5(c) and 6).
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Other Liabilities | Other Liabilities The following table presents the components of the Company’s Other liabilities at September 30, 2020 and December 31, 2019:
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Commitments and Contingencies |
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Sep. 30, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies (a) Lease Commitments The Company pays monthly rent pursuant to three office leases. In November 2018, the Company amended the lease for its corporate headquarters in New York, New York, under the same terms and conditions, to extend the expiration date for the lease by up to one year, through June 30, 2021, with a mutual option to terminate in February 2021. For the three and nine months ended September 30, 2020, the Company recorded expense of approximately $739,000 and $2.1 million in connection with the lease for its current corporate headquarters. In addition, in November 2018, the Company executed a lease agreement on new office space in New York, New York. The Company plans to relocate its corporate headquarters to this new office space upon the substantial completion of the building. The lease term specified in the agreement is fifteen years with an option to renew for an additional five years. The Company’s current estimate of annual lease rental expense under the new lease, excluding escalation charges which at this point are unknown, is approximately $4.6 million. The Company currently expects to relocate to the space in the first quarter of 2021, but this timing, as well as when it is required to begin making payments and recognize rental and other expenses under the new lease, is dependent on when the space is actually available for use. (b) Representations and Warranties in Connection with Loan Securitization Transactions In connection with the loan securitization transactions entered into by the Company, the Company has the obligation under certain circumstances to repurchase assets previously transferred to securitization vehicles upon breach of certain representations and warranties. As of September 30, 2020, the Company had no reserve established for repurchases of loans and was not aware of any material unsettled repurchase claims that would require the establishment of such a reserve (see Note 15). (c) Corporate Loans The Company has participated in loans to provide financing to entities that originate loans and own MSRs, as well as certain other unencumbered assets owned by the borrower. At September 30, 2020, Company’s commitment to lend is $32.6 million, of which $14.5 million was undrawn. (see Note 4). (d) Rehabilitation Loan Commitments At September 30, 2020, the Company had unfunded commitments of $73.2 million in connection with its purchased Rehabilitation loans (see Note 3).
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Stockholders' Equity | Stockholders’ Equity (a) Preferred Stock 7.50% Series B Cumulative Redeemable Preferred Stock (“Series B Preferred Stock”) On April 15, 2013, the Company completed the issuance of 8.0 million shares of its Series B Preferred Stock with a par value of $0.01 per share, and a liquidation preference of $25.00 per share plus accrued and unpaid dividends, in an underwritten public offering. The Company’s Series B Preferred Stock is entitled to receive a dividend at a rate of 7.50% per year on the $25.00 liquidation preference before the Company’s common stock is paid any dividends and is senior to the Company’s common stock with respect to distributions upon liquidation, dissolution or winding up. Dividends on the Series B Preferred Stock are payable quarterly in arrears on or about March 31, June 30, September 30 and December 31 of each year. The Series B Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not authorized or declared) exclusively at the Company’s option. The Series B Preferred Stock generally does not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series B Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors (the “Board”), until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of the Series B Preferred Stock cannot be made without the affirmative vote of holders of at least 66 2/3% of the outstanding shares of Series B Preferred Stock. As a result of the turmoil in the financial markets resulting from the spread of the novel coronavirus and the global COVID-19 pandemic, and in order to preserve liquidity, on March 25, 2020, the Company revoked the previously announced first quarter 2020 quarterly cash dividends on each of the Company's common stock and Series B Preferred Stock. The Series B Preferred Stock dividend of $0.46875 per share had been declared on February 14, 2020, and was to be paid on March 31, 2020, to stockholders of record as of the close of business March 2, 2020. Unpaid dividends on the Company's Series B Preferred Stock accrue without interest. No dividends may be paid or set apart on shares of the Company's common stock unless full cumulative dividends on the Series B Preferred Stock for all past dividend periods that have ended have been or contemporaneously are paid in cash, or a sum sufficient for such payment is set apart for payment. In addition, pursuant to the now-terminated forbearance agreements that the Company entered into subsequent to the end of the first quarter, the Company was prohibited from paying dividends on its Series B Preferred Stock during the forbearance period, and therefore suspended the payment of dividends on the Series B Preferred Stock for the quarter ended June 30, 2020. On July 1, 2020, the Company announced that it had reinstated the payment of dividends on its Series B Preferred Stock and declared a preferred stock dividend of $0.9375 per share, payable on July 31, 2020 to Series B Preferred stockholders of record as of July 15, 2020. Upon payment of this dividend, the Company paid in full all accumulated but previously unpaid dividends on its Series B Preferred Stock. On August 12, 2020, the Company declared a dividend on its Series B preferred stock of $0.46875 per share. This dividend was paid on September 30, 2020, to Series B preferred stockholders of record as of September 8, 2020. Issuance of 6.50% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (“Series C Preferred Stock”) On February 28, 2020, the Company amended its charter through the filing of articles supplementary to reclassify 12,650,000 shares of the Company’s authorized but unissued common stock as shares of the Company’s Series C Preferred Stock. On March 2, 2020, the Company completed the issuance of 11.0 million shares of its Series C Preferred Stock with a par value of $0.01 per share, and a liquidation preference of $25.00 per share plus accrued and unpaid dividends, in an underwritten public offering. The total net proceeds the Company received from the offering were approximately $266.0 million, after deducting offering expenses and the underwriting discount. The Company’s Series C Preferred Stock is entitled to receive dividends (i) from and including the original issue date to, but excluding, March 31, 2025, at a fixed rate of 6.50% per year on the $25.00 liquidation preference and (ii) from and including March 31, 2025, at a floating rate equal to three-month LIBOR plus a spread of 5.345% per year of the $25.00 per share liquidation preference before the Company’s common stock is paid any dividends, and is senior to the Company’s common stock with respect to distributions upon liquidation, dissolution or winding up. Dividends on the Series C Preferred Stock are payable quarterly in arrears on or about March 31, June 30, September 30 and December 31 of each year. The Series C Preferred Stock is not redeemable by the Company prior to March 31, 2025, except under circumstances where it is necessary to preserve the Company’s qualification as a REIT for U.S. federal income tax purposes and upon the occurrence of certain specified change in control transactions. On or after March 31, 2025, the Company may, at its option, subject to certain procedural requirements, redeem any or all of the shares of the Series C Preferred Stock for cash at a redemption price of $25.00 per share, plus any accrued and unpaid dividends thereon (whether or not authorized or declared) to, but excluding, the redemption date. The Series C Preferred Stock generally does not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, the Series Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board, until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of the Series C Preferred Stock cannot be made without the affirmative vote of holders of at least 66 2/3 of the outstanding shares of Series C Preferred Stock. Pursuant to the now-terminated forbearance agreements that the Company had previously entered into, the Company was prohibited from paying dividends on its Series C Preferred Stock during the forbearance period. On July 1, 2020, the Company announced that it had reinstated the payment of dividends on its Series C Preferred Stock and declared a preferred stock dividend of $0.53264 per share, payable on July 31, 2020 to the Series C Preferred stockholders of record as of July 15, 2020. Upon payment of this dividend, the Company paid in full all accumulated but previously unpaid dividends on its Series C Preferred Stock. On August 12, 2020, the Company declared a dividend on its Series C preferred stock of $0.40625 per share. This dividend was paid on September 30, 2020, to Series C preferred stockholders of record as of September 8, 2020. (b) Dividends on Common Stock On August 6, 2020, the Company declared a regular cash dividend of $0.05 per share of common stock. The dividend will be paid on October 30, 2020, to stockholders of record on September 30, 2020. (c) Discount Waiver, Direct Stock Purchase and Dividend Reinvestment Plan (“DRSPP”) On October 15, 2019, the Company filed a shelf registration statement on Form S-3 with the SEC under the Securities Act of 1933, as amended (the “1933 Act”), for the purpose of registering additional common stock for sale through its DRSPP. Pursuant to Rule 462(e) under the 1933 Act, this shelf registration statement became effective automatically upon filing with the SEC and, when combined with the unused portion of the Company’s previous DRSPP shelf registration statements, registered an aggregate of 9.0 million shares of common stock. The Company’s DRSPP is designed to provide existing stockholders and new investors with a convenient and economical way to purchase shares of common stock through the automatic reinvestment of dividends and/or optional cash investments. At September 30, 2020, approximately 8.8 million shares of common stock remained available for issuance pursuant to the DRSPP shelf registration statement. During the three and nine months ended September 30, 2020, the Company issued 4,374 and 137,740 shares of common stock through the DRSPP, raising net proceeds of approximately $11,688 and $752,095, respectively. Since the inception of the DRSPP in September 2003 through September 30, 2020, the Company issued 34,516,508 shares pursuant to the DRSPP, raising net proceeds of $287.3 million. (d) At-the-Market Offering Program On August 16, 2019 the Company entered into a distribution agreement under the terms of which the Company may offer and sell shares of its common stock having an aggregate gross sales price of up to $400.0 million (the “ATM Shares”), from time to time, through various sales agents, pursuant to an at-the-market equity offering program (the “ATM Program”). Sales of the ATM Shares, if any, may be made in negotiated transactions or by transactions that are deemed to be “at-the-market” offerings, as defined in Rule 415 under the 1933 Act, including sales made directly on the New York Stock Exchange (“NYSE”) or sales made to or through a market maker other than an exchange. The sales agents are entitled to compensation of up to two percent of the gross sales price per share for any shares of common stock sold under the distribution agreement. During the nine months ended September 30, 2020, the Company did not sell any shares of common stock through the ATM Program. At September 30, 2020, approximately $390.0 million remained outstanding for future offerings under this program. (e) Stock Repurchase Program As previously disclosed, in August 2005, the Company’s Board authorized a stock repurchase program (the “Repurchase Program”) to repurchase up to 4.0 million shares of its outstanding common stock. The Board reaffirmed such authorization in May 2010. In December 2013, the Board increased the number of shares authorized under the Repurchase Program to an aggregate of 10.0 million. Such authorization does not have an expiration date and, at present, there is no intention to modify or otherwise rescind such authorization. Subject to applicable securities laws, repurchases of common stock under the Repurchase Program are made at times and in amounts as the Company deems appropriate (including, in our discretion, through the use of one or more plans adopted under Rule 10b5-1 promulgated under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) using available cash resources. Shares of common stock repurchased by the Company under the Repurchase Program are cancelled and, until reissued by the Company, are deemed to be authorized but unissued shares of the Company’s common stock. The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice. The Company did not repurchase any shares of its common stock during the nine months ended September 30, 2020. At September 30, 2020, 6,616,355 shares remained authorized for repurchase under the Repurchase Program. Please refer to note 16 for further discussion. (f) Warrants On June 15, 2020, the Company entered into an Investment Agreement with Apollo and Athene (together the “Purchasers”), under which the Company agreed to issue to the Purchasers warrants (the “Warrants”) to purchase, in the aggregate, 37,039,106 shares (subject to adjustment in accordance with their terms) of the Company’s common stock. The Warrants are exercisable at the holder’s option at any time until the date that is the later of (i) June 15, 2025 and (ii) the first anniversary of the repayment of the Term Loan Facility (See Note 6). One half of the Warrants have an exercise price of $1.66 per share and the other half have an exercise price of $2.08 per share. The Investment Agreement and the Term Loan Facility (See Note 6) were entered into simultaneously and the $495.0 million of proceeds received were allocated between the debt ($481.0 million) and the warrants ($14.0 million). The amount allocated to the warrants was recorded in Additional paid-in capital on the Company’s consolidated balance sheets. (g) Accumulated Other Comprehensive Income/(Loss) The following table presents changes in the balances of each component of the Company’s AOCI for the three and nine months ended September 30, 2020:
(1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). (3) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. The following table presents changes in the balances of each component of the Company’s AOCI for the three and nine months ended September 30, 2019:
(1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three and nine months ended September 30, 2020:
The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three and nine months ended September 30, 2019:
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EPS Calculation |
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Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
EPS Calculation | EPS Calculation The following table presents a reconciliation of the earnings/(loss) and shares used in calculating basic and diluted earnings/(loss) per share for the three and nine months ended September 30, 2020 and 2019:
(1)At September 30, 2020, the Company had approximately 39.0 million equity instruments outstanding that were not included in the calculation of diluted EPS for the nine months ended September 30, 2020, as their inclusion would have been anti-dilutive. These equity instruments reflect RSUs (based on current estimate of expected share settlement amount) with a weighted average grant date fair value of $6.29 and approximately 37.0 million warrants with a weighted average exercise price of $1.87 per share. These equity instruments may have a dilutive impact on future EPS. During the nine months ended September 30, 2020, the Convertible Senior Notes were determined to be anti-dilutive and were not included in the calculation of diluted EPS under the “if-converted” method. Under this method, the periodic interest expense for dilutive notes is added back to the numerator and the weighted average number of shares that the notes are entitled to (if converted, regardless of whether the conversion option is in or out of the money) is included in the denominator for the purpose of calculating diluted EPS. The Convertible Senior Notes may have a dilutive impact on future EPS.
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Equity Compensation, Employment Agreements and Other Benefit Plans |
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Equity Compensation, Employment Agreements and Other Benefit Plans | Equity Compensation, Employment Agreements and Other Benefit Plans (a) Equity Compensation Plan In accordance with the terms of the Company’s Equity Plan, which was adopted by the Company’s stockholders on June 10, 2020 (and which amended and restated the Company’s 2010 Equity Compensation Plan), directors, officers and employees of the Company and any of its subsidiaries and other persons expected to provide significant services for the Company and any of its subsidiaries are eligible to receive grants of stock options (“Options”), restricted stock, RSUs, dividend equivalent rights and other stock-based awards under the Equity Plan. Subject to certain exceptions, stock-based awards relating to a maximum of 18.0 million shares of common stock may be granted under the Equity Plan; forfeitures and/or awards that expire unexercised do not count toward this limit. At September 30, 2020, approximately 14.3 million shares of common stock remained available for grant in connection with stock-based awards under the Equity Plan. A participant may generally not receive stock-based awards in excess of 2.0 million shares of common stock in any one year and no award may be granted to any person who, assuming exercise of all Options and payment of all awards held by such person, would own or be deemed to own more than 9.8% of the outstanding shares of the Company’s common stock. Unless previously terminated by the Board, awards may be granted under the Equity Plan until June 10, 2030. Restricted Stock Units Under the terms of the Equity Plan, RSUs are instruments that provide the holder with the right to receive, subject to the satisfaction of conditions set by the Compensation Committee at the time of grant, a payment of a specified value, which may be a share of the Company’s common stock, the fair market value of a share of the Company’s common stock, or such fair market value to the extent in excess of an established base value, on the applicable settlement date. Although the Equity Plan permits the Company to issue RSUs that can settle in cash, all of the Company’s outstanding RSUs as of September 30, 2020 are designated to be settled in shares of the Company’s common stock. The Company granted 497,507 and 1,702,220 RSUs during the three and nine months ended September 30, 2020, respectively. The Company did not grant any RSUs during the three months ended September 30, 2019 and granted 912,525 RSUs during the nine months ended September 30, 2019. There were no RSUs forfeited during the nine months ended September 30, 2020 and 20,000 RSUs forfeited during the nine months ended September 30, 2019. All RSUs outstanding at September 30, 2020 may be entitled to receive dividend equivalent payments depending on the terms and conditions of the award either in cash at the time dividends are paid by the Company, or for certain performance-based RSU awards, as a grant of stock at the time such awards are settled. At September 30, 2020 and December 31, 2019, the Company had unrecognized compensation expense of $8.3 million and $5.5 million, respectively, related to RSUs. The unrecognized compensation expense at September 30, 2020 is expected to be recognized over a weighted average period of 1.9 years. Restricted Stock The Company granted 79,545 shares of restricted common stock during the nine months ended September 30, 2020, and the Company did not grant any shares of restricted common stock during the nine months ended September 30, 2019. At September 30, 2020, the Company did not have any unvested shares of restricted common stock outstanding. Dividend Equivalents A dividend equivalent is a right to receive a distribution equal to the dividend distributions that would be paid on a share of the Company’s common stock. Dividend equivalents may be granted as a separate instrument or may be a right associated with the grant of another award (e.g., an RSU) under the Equity Plan, and they are paid in cash or other consideration at such times and in accordance with such rules as the Compensation Committee of the Board shall determine in its discretion. Payments made on the Company’s outstanding dividend equivalent rights are generally charged to Stockholders’ Equity when common stock dividends are declared to the extent that such equivalents are expected to vest. The Company made dividend equivalent payments in respect of such instruments of approximately $276,000 during the nine months ended September 30, 2020 and approximately $276,000 and $773,000 during the three and nine months ended September 30, 2019, respectively. Expense Recognized for Equity-Based Compensation Instruments The following table presents the Company’s expenses related to its equity-based compensation instruments for the three and nine months ended September 30, 2020 and 2019:
(b) Employment Agreements At September 30, 2020, the Company had employment agreements with three of its officers, with varying terms that provide for, among other things, base salary, bonus and change-in-control payments upon the occurrence of certain triggering events. (c) Deferred Compensation Plans The Company administers deferred compensation plans for its senior officers and non-employee directors (collectively, the “Deferred Plans”), pursuant to which participants may elect to defer up to 100% of certain cash compensation. The Deferred Plans are designed to align participants’ interests with those of the Company’s stockholders. Amounts deferred under the Deferred Plans are considered to be converted into “stock units” of the Company. Stock units do not represent stock of the Company, but rather are a liability of the Company that changes in value as would equivalent shares of the Company’s common stock. Deferred compensation liabilities are settled in cash at the termination of the deferral period, based on the value of the stock units at that time. The Deferred Plans are non-qualified plans under the Employee Retirement Income Security Act of 1974 and, as such, are not funded. Prior to the time that the deferred accounts are settled, participants are unsecured creditors of the Company. The Company’s liability for stock units in the Deferred Plans is based on the market price of the Company’s common stock at the measurement date. The following table presents the Company’s expenses related to its Deferred Plans for the three and nine months ended September 30, 2020 and 2019:
The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through September 30, 2020 and December 31, 2019 that had not been distributed and the Company’s associated liability for such deferrals at September 30, 2020 and December 31, 2019:
(1) Represents the cumulative amounts that were deferred by participants through September 30, 2020 and December 31, 2019, which had not been distributed through such respective date. (d) Savings Plan The Company sponsors a tax-qualified employee savings plan (the “Savings Plan”) in accordance with Section 401(k) of the Code. Subject to certain restrictions, all of the Company’s employees are eligible to make tax-deferred contributions to the Savings Plan subject to limitations under applicable law. Participant’s accounts are self-directed and the Company bears the costs of administering the Savings Plan. The Company matches 100% of the first 3% of eligible compensation deferred by employees and 50% of the next 2%, subject to a maximum as provided by the Code. The Company has elected to operate the Savings Plan under the applicable safe harbor provisions of the Code, whereby among other things, the Company must make contributions for all participating employees and all matches contributed by the Company immediately vest 100%. For the three months ended September 30, 2020 and 2019, the Company recognized expenses for matching contributions of $120,000 and $94,000, respectively, and $360,000 and $323,000 for the nine months ended September 30, 2020 and 2019, respectively.
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Fair Value of Financial Instruments |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | Fair Value of Financial Instruments GAAP requires the categorization of fair value measurements into three broad levels that form a hierarchy. A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: Level 1 — Inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. Level 2 — Inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 — Inputs to the valuation methodology are unobservable and significant to the fair value measurement. The following describes the valuation methodologies used for the Company’s financial instruments measured at fair value on a recurring basis, as well as the general classification of such instruments pursuant to the valuation hierarchy. Residential Whole Loans, at Fair Value The Company determines the fair value of its residential whole loans held at fair value after considering valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans. The valuation approach applied generally depends on whether the loan is considered performing or non-performing at the date the valuation is performed. For performing loans, estimates of fair value are derived using a discounted cash flow approach, where estimates of cash flows are determined from the scheduled payments, adjusted using forecasted prepayment, default and loss given default rates. For non-performing loans, asset liquidation cash flows are derived based on the estimated time to liquidate the loan, the estimated value of the collateral, expected costs and estimated home price appreciation. Estimated cash flows for both performing and non-performing loans are discounted at yields considered appropriate to arrive at a reasonable exit price for the asset. Indications of loan value such as actual trades, bids, offers and generic market color may be used in determining the appropriate discount yield. The Company’s residential whole loans held at fair value are classified as Level 3 in the fair value hierarchy. Residential Mortgage Securities The Company determines the fair value of its Agency MBS based upon prices obtained from third-party pricing services, which are indicative of market activity, and repurchase agreement counterparties. For Agency MBS, the valuation methodology of the Company’s third-party pricing services incorporate commonly used market pricing methods, trading activity observed in the marketplace and other data inputs. The methodology also considers the underlying characteristics of each security, which are also observable inputs, including: collateral vintage, coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. Management analyzes pricing data received from third-party pricing services and compares it to other indications of fair value including data received from repurchase agreement counterparties and its own observations of trading activity observed in the marketplace. The Company’s Agency MBS are classified as Level 2 in the fair value hierarchy. During the quarter ended June 30, 2020, the Company sold its remaining holdings of Agency MBS. In determining the fair value of the Company’s Non-Agency MBS and CRT securities, management considers a number of observable market data points, including prices obtained from pricing services and brokers as well as dialogue with market participants. In valuing Non-Agency MBS, the Company understands that pricing services use observable inputs that include, in addition to trading activity observed in the marketplace, loan delinquency data, credit enhancement levels and vintage, which are taken into account to assign pricing factors such as spread and prepayment assumptions. For tranches of Legacy Non-Agency MBS that are cross-collateralized, performance of all collateral groups involved in the tranche are considered. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. The Company’s Legacy Non-Agency MBS, RPL/NPL MBS and CRT securities are valued using various market data points as described above, which management considers directly or indirectly observable parameters. Accordingly, these securities are classified as Level 2 in the fair value hierarchy. As of September 30, 2020, the Company has sold substantially all of its holdings of Legacy Non-Agency MBS and substantially reduced its holdings of other Non-Agency MBS and CRT securities. Term Notes Backed by MSR-Related Collateral The Company’s valuation process for term notes backed by MSR-related collateral is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral and, as applicable, the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Based on its evaluation of the observability of the data used in its fair value estimation process, these assets are classified as Level 2 in the fair value hierarchy. Swaps As previously disclosed, in response to the turmoil in the financial markets resulting from the COVID-19 pandemic experienced during the three months ended March 31, 2020, the Company unwound all of its Swap hedging transactions late in the first quarter in order to recover previously posted margin. Prior to their termination, valuations provided by the central clearing house were used for purposes of determining the fair value of the Company’s Swaps. Such valuations obtained were tested with internally developed models that applied readily observable market parameters. Swaps were classified as Level 2 in the fair value hierarchy. Financing Agreements, at Fair Value Agreements with mark-to-market collateral provisions These agreements are secured and subject to margin calls and their base interest rates reset frequently to market based rates. As a result, no credit valuation adjustment is required, and the primary factor in determining their fair value is the credit spread paid over the base rate, which is a non observable input as it is determined based on negotiations with the counterparty. The Company’s financing agreements with mark-to-market collateral provisions held at fair value are classified as Level 2 in the fair value hierarchy if the credit spreads used to price the instrument reset frequently, which is typically the case with shorter term repurchase agreement contracts collateralized by securities. Financing agreements with mark-to-market collateral provisions that are typically longer term and are collateralized by residential whole loans where the credit spread paid over the base rate on the instrument is not reset frequently are classified as Level 3 in the fair value hierarchy. Agreements with non-mark-to-market collateral provisions These agreements are secured, but not subject to margin calls, and their base interest rates reset frequently to market based rates. As a result, a credit valuation adjustment would only be required if there were a significant decrease in collateral value, and the primary factor in determining their fair value is the credit spread paid over the base rate, which is a non observable input as it is determined based on negotiations with the counterparty. The Company’s financing agreements with non-mark-to-market collateral provisions held at fair value are classified as Level 3 in the fair value hierarchy. Senior Secured Credit Agreement (Term Loan Facility) The estimated fair value of the Term Loan Facility was determined by management based on a valuation received from a third party that specializes in providing valuations on financial instruments. The most significant inputs to such valuation, market interest rates and the yield on the Company’s publicly traded financial instruments, are observable. The Company’s Term Loan Facility held at fair value is classified as Level 2 in the fair value hierarchy. Changes to the valuation methodologies used with respect to the Company’s financial instruments are reviewed by management to ensure any such changes result in appropriate exit price valuations. The Company will refine its valuation methodologies as markets and products develop and pricing methodologies evolve. The methods described above may produce fair value estimates that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with those used by market participants, the use of different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. The Company reviews the classification of its financial instruments within the fair value hierarchy on a quarterly basis, and management may conclude that its financial instruments should be reclassified to a different level in the future. The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of September 30, 2020 and December 31, 2019, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at September 30, 2020
Fair Value at December 31, 2019
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis The following table presents additional information for the three and nine months ended September 30, 2020 and 2019 about the Company’s Residential whole loans, at fair value, which are classified as Level 3 and measured at fair value on a recurring basis:
(1)Included in the activity presented for the three months ended September 30, 2019 are approximately $87.0 million of residential whole loans held at fair value the Company committed to purchase during the three months ended June 30, 2019, but for which the closing of the purchase transaction occurred during the three months ended September 30, 2019. (2)Included in the activity presented for the nine months ended September 30, 2019 is an adjustment of $70.6 million for loans the Company committed to purchase during the three months ended December 31, 2018, but for which the closing of the purchase transaction occurred during the three months ended March 31, 2019. The adjustment was required following the finalization of due diligence performed prior to the closing of the purchase transaction and resulted in a downward revision to the prior estimate of the loan purchase amount. The following table presents additional information for the three and nine months ended September 30, 2019 about the Company’s investments in term notes backed by MSR-related collateral, which were classified as Level 3 prior to September 30, 2019 and measured at fair value on a recurring basis:
The following table presents additional information for the three and nine months ended September 30, 2020 about the Company’s financing agreements with non-mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis:
The following table presents additional information for the three and nine months ended September 30, 2020 about the Company’s financing agreements with mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis:
At June 30, 2020, the Company’s financing agreements with non-mark-to-market collateral provisions and the Company’s financing agreements with mark-to-market collateral provisions had just been issued and were therefore classified as Level 2 since their values were based on market transactions. However, market information for similar financings was not available at September 30, 2020 and the Company valued these financing instruments based on unobservable inputs. Fair Value Methodology for Level 3 Financial Instruments Residential Whole Loans, at Fair Value The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s residential whole loans held at fair value for which it has utilized Level 3 inputs to determine fair value as of September 30, 2020 and December 31, 2019:
(1) Excludes approximately $477,000 and $470,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at September 30, 2020 and December 31, 2019, respectively. (2) Amounts are weighted based on the fair value of the underlying loan. (3) The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $383,000 and $365,000 as of September 30, 2020 and December 31, 2019, respectively. Changes in market conditions, as well as changes in the assumptions or methodology used to determine fair value, could result in a significant increase or decrease in the fair value of residential whole loans. Loans valued using a discounted cash flow model are most sensitive to changes in the discount rate assumption, while loans valued using the liquidation model technique are most sensitive to changes in the current value of the underlying properties and the liquidation timeline. Increases in discount rates, default rates, loss severities, or liquidation timelines, either in isolation or collectively, would generally result in a lower fair value measurement, whereas increases in the current or expected value of the underlying properties, in isolation, would result in a higher fair value measurement. In practice, changes in valuation assumptions may not occur in isolation and the changes in any particular assumption may result in changes in other assumptions, which could offset or amplify the impact on the overall valuation. The following table presents the carrying values and estimated fair values of the Company’s financial instruments at September 30, 2020 and December 31, 2019:
(1)Includes $18.1 million and $59.5 million of MSR-related assets that are measured at fair value on a non-recurring basis that are classified as Level 3 in the fair value hierarchy at September 30, 2020 and December 31, 2019, respectively. (2)Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. (3)Includes Securitized debt that is carried at amortized cost basis and fair value. Other Assets Measured at Fair Value on a Nonrecurring Basis The Company holds REO at the lower of the current carrying amount or fair value less estimated selling costs. During the nine months ended September 30, 2020 and 2019, the Company recorded REO with an aggregate estimated fair value, less estimated cost to sell, of $74.9 million and $193.5 million, respectively, at the time of foreclosure. The Company classifies fair value measurements of REO as Level 3 in the fair value hierarchy.
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Use of Special Purpose Entities and Variable Interest Entities |
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Use of Special Purpose Entities and Variable Interest Entities | Use of Special Purpose Entities and Variable Interest Entities A Special Purpose Entity (“SPE”) is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying financial assets on improved terms. Securitization involves transferring assets to a SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business, through the SPE’s issuance of debt or equity instruments. Investors in a SPE usually have recourse only to the assets in the SPE and, depending on the overall structure of the transaction, may benefit from various forms of credit enhancement such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company has entered into several financing transactions that resulted in the Company consolidating as VIEs the SPEs that were created to facilitate these transactions. See Note 2(q) for a discussion of the accounting policies applied to the consolidation of VIEs and transfers of financial assets in connection with financing transactions. The Company has engaged in loan securitizations primarily for the purpose of obtaining improved overall financing terms as well as non-recourse financing on a portion of its residential whole loan portfolio. Notwithstanding the Company’s participation in these transactions, the risks facing the Company are largely unchanged as the Company remains economically exposed to the first loss position on the underlying assets transferred to the VIEs. Loan Securitization Transactions The following table summarizes the key details of the Company’s loan securitization transactions as of September 30, 2020 and December 31, 2019:
(1)Net of $2.2 million and $2.9 million of deferred financing costs at September 30, 2020 and December 31, 2019, respectively. (2)At September 30, 2020 and December 31, 2019, $743.9 million and $493.2 million, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by either 100 or 300 basis points or more at 36 months from issuance if the bond is not redeemed before such date. (3)Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions. During the three and nine months ended September 30, 2020, the Company issued Senior Bonds with a current face of $372.8 million and $399.8 million to third-party investors for proceeds of $372.8 million and $391.2 million, respectively, before offering costs and accrued interest. The Senior Bonds issued by the Company during the nine months ended September 30, 2020 are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of issuance. As of September 30, 2020 and December 31, 2019, as a result of the transactions described above, securitized loans with a carrying value of approximately $568.6 million and $186.4 million are included in “Residential whole loans, at carrying value,” securitized loans with a fair value of approximately $521.2 million and $567.4 million are included in “Residential whole loans, at fair value,” and REO with a carrying value approximately $80.3 million and $137.8 million are included in “Other assets” on the Company’s consolidated balance sheets, respectively. As of September 30, 2020 and December 31, 2019, the aggregate carrying value of Senior Bonds issued by consolidated VIEs was $837.7 million and $571.0 million, respectively. These Senior Bonds are disclosed as “Securitized debt” and are included in Other liabilities on the Company’s consolidated balance sheets. The holders of the securitized debt have no recourse to the general credit of the Company, but the Company does have the obligation, under certain circumstances to repurchase assets from the VIE upon the breach of certain representations and warranties with respect to the residential whole loans sold to the VIE. In the absence of such a breach, the Company has no obligation to provide any other explicit or implicit support to any VIE. The Company concluded that the entities created to facilitate the loan securitization transactions are VIEs. The Company then completed an analysis of whether each VIE created to facilitate the securitization transactions should be consolidated by the Company, based on consideration of its involvement in each VIE, including the design and purpose of the SPE, and whether its involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of each VIE. In determining whether the Company would be considered the primary beneficiary, the following factors were assessed: •whether the Company has both the power to direct the activities that most significantly impact the economic performance of the VIE; and •whether the Company has a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. Based on its evaluation of the factors discussed above, including its involvement in the purpose and design of the entity, the Company determined that it was required to consolidate each VIE created to facilitate the loan securitization transactions. Residential Whole Loans and REO (including Residential Whole Loans and REO transferred to consolidated VIEs) Included on the Company’s consolidated balance sheets as of September 30, 2020 and December 31, 2019 are a total of $5.6 billion and $7.4 billion, respectively, of residential whole loans, of which approximately $4.4 billion and $6.1 billion, respectively, are reported at carrying value and $1.2 billion and $1.4 billion, respectively, are reported at fair value. These assets, and certain of the Company’s REO assets, are directly owned by certain trusts established by the Company to acquire the loans and entities established in connection with the Company’s loan securitization transactions. The Company has assessed that these entities are required to be consolidated (see Notes 3 and 5(a)).
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Subsequent Events |
9 Months Ended |
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Sep. 30, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Payoff of remaining balance of Term Loan Facility On October 9, 2020, the Company repaid $400 million of the principal outstanding on the Term Loan Facility (see note 6) and the remaining principal balance of this facility of $81,250,000 was repaid on October 30, 2020. The repayments were made without penalty or yield maintenance. Upon the full repayment, the Term Loan Facility was terminated. Securitization of Non-QM loans Subsequent to the end of the third quarter the Company closed on a $570 million Non-QM securitization that generated $125.1 million of additional liquidity. Share Repurchase Authorization On November 2, 2020, the Company’s Board of Directors authorized a share repurchase program under which the Company may repurchase up to $250 million of its common stock through the end of 2022. The Board’s authorization replaces the authorization under the Company’s existing stock repurchase program that was adopted in December 2013, which authorized the Company to repurchase up to 10 million shares of common stock and under which approximately 6.6 million shares remained available for repurchase The stock repurchase program does not require the purchase of any minimum number of shares. The timing and extent to which the Company repurchases its shares will depend upon, among other things, market conditions, share price, liquidity, regulatory requirements and other factors, and repurchases may be commenced or suspended at any time without prior notice. Acquisitions under the share repurchase program may be made in the open market, through privately negotiated transactions or block trades or other means, in accordance with applicable securities laws. The Company expects to fund the share repurchases from cash balances and future investment portfolio run-off. The Company currently has approximately 453.3 million shares of common stock outstanding.
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Summary of Significant Accounting Policies (Policies) |
9 Months Ended |
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Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The interim unaudited consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission (the “SEC”). Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) have been condensed or omitted in accordance with these SEC rules and regulations. Management believes that the disclosures included in these interim unaudited consolidated financial statements are adequate to make the information presented not misleading. The accompanying unaudited consolidated financial statements should be read in conjunction with the consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2019. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2020 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2020 should not be construed as indicative of the results to be expected for the full year. The accompanying consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could differ from those estimates, which could materially impact the Company’s results of operations and its financial condition. Management has made significant estimates in several areas, including impairment, valuation allowances and loss allowances on residential whole loans (see Note 3), mortgage-backed securities (“MBS”) (see Note 4) and Other Assets (see Note 5), valuation of MBS, CRT securities and MSR-related assets (see Notes 4 and 14), income recognition and valuation of residential whole loans (see Notes 3 and 14), valuation of derivative instruments (see Notes 5(c) and 14) and income recognition on certain Non-Agency MBS (defined below) purchased at a discount (see Note 4). In addition, estimates are used in the determination of taxable income used in the assessment of REIT compliance and contingent liabilities for related taxes, penalties and interest (see Note 2(n)). Actual results could differ from those estimates. The Company has one reportable segment since it manages its business and analyzes and reports its results of operations on the basis of one operating segment: investing, on a leveraged basis, in residential mortgage assets. The consolidated financial statements of the Company include the accounts of all subsidiaries. All intercompany accounts and transactions have been eliminated. In addition, the Company consolidates entities established to facilitate transactions related to the acquisition and securitization of residential whole loans completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation.
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Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) | Residential Whole Loans (including Residential Whole Loans transferred to consolidated VIEs) Residential whole loans included in the Company’s consolidated balance sheets are primarily comprised of pools of fixed- and adjustable-rate residential mortgage loans acquired through consolidated trusts in secondary market transactions. The accounting model utilized by the Company is determined at the time each loan package is initially acquired and is generally based on the delinquency status of the majority of the underlying borrowers in the package at acquisition. The accounting model described below for Purchased Credit Deteriorated Loans that are held at carrying value is typically utilized by the Company for Purchased Credit Deteriorated Loans where the underlying borrower has a delinquency status of less than 60 days at the acquisition date. The Company also acquires Purchased Performing Loans that are typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required credit loss reserves (as discussed below) differ from those used for Purchased Credit Deteriorated Loans held at carrying value. The accounting model described below for residential whole loans held at fair value is typically utilized by the Company for loans where the underlying borrower has a delinquency status of 60 days or more at the acquisition date. The accounting model initially applied is not subsequently changed. The Company’s residential whole loans pledged as collateral against financing agreements are included in the consolidated balance sheets with amounts pledged disclosed parenthetically. Purchases and sales of residential whole loans that are subject to an extended period of due diligence that crosses a reporting date are recorded in our balance sheet at amounts reflecting management’s current estimate of assets that will be acquired or disposed at the closing of the transaction. This estimate is subject to revision at the closing of the transaction, pending the outcome of due diligence performed prior to closing. Residential whole loans purchased under flow arrangements with loan origination partners are generally recorded at the transaction settlement date. Recorded amounts of residential whole loans for which the closing of the purchase transaction is yet to occur are not eligible to be pledged as collateral against any financing agreement until the closing of the purchase transaction. Interest income, credit related losses and changes in the fair value of loans held at fair value are recorded post settlement for acquired loans and until transaction settlement for sold loans (see Notes 3, 6, 7, 14 and 15). Residential Whole Loans at Carrying Value Purchased Performing Loans Acquisitions of Purchased Performing Loans to date have been primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties that are not considered to meet the definition of a “Qualified Mortgage” in accordance with guidelines adopted by the Consumer Financial Protection Bureau (“Non-QM loans”), (ii) short-term business purpose loans collateralized by residential properties made to non-occupant borrowers who intend to rehabilitate and sell the property for a profit (“Rehabilitation loans” or “Fix and Flip loans”), (iii) loans to finance (or refinance) non-owner occupied one-to four-family residential properties that are rented to one or more tenants (“Single-family rental loans”), and (iv) previously originated loans secured by residential real estate that is generally owner occupied (“Seasoned performing loans”). Purchased Performing Loans are initially recorded at their purchase price. Interest income on Purchased Performing Loans acquired at par is accrued based on each loan’s current interest bearing balance and current interest rate, net of related servicing costs. Interest income on such loans purchased at a premium/discount to par is recorded each period based on the contractual coupon net of any amortization of premium or accretion of discount, adjusted for actual prepayment activity. For loans acquired with related servicing rights retained by the seller, interest income is reported net of related serving costs. An allowance for credit losses is recorded at acquisition, and maintained on an ongoing basis, for all losses expected to be incurred over the life of the respective loan. Any required credit loss allowance would reduce the net carrying value of the loan with a corresponding charge to earnings, and may increase or decrease over time. Significant judgments are required in determining any allowance for credit loss, including assumptions regarding the loan cash flows expected to be collected, the value of the underlying collateral and the ability of the Company to collect on any other forms of security, such as a personal guaranty provided either by the borrower or an affiliate of the borrower. Income recognition is suspended, and interest accruals are reversed against income, for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful (i.e., such loans are placed on nonaccrual status). For nonaccrual loans other than Fix and Flip loans, all payments are applied to principal under the cost recovery method. For nonaccrual Fix and Flip loans, interest income is recorded under the cash basis method as interest payments are received. Interest accruals are resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. Modified loans are considered “troubled debt restructurings” if the Company grants a concession to a borrower who is experiencing financial difficulty (including the interpretation of this definition set forth in OCC Bulletin 2020-35). Charge-offs to the allowance for loan losses occur when losses are confirmed through the receipt of cash or other consideration from the completion of a sale; when a modification or restructuring takes place in which we grant a concession to a borrower or agree to a discount in full or partial satisfaction of the loan; when we take ownership and control of the underlying collateral in full satisfaction of the loan; when loans are reclassified as other investments; or when significant collection efforts have ceased and it is highly likely that a loss has been realized. The aggregate allowance for credit losses is equal to the sum of the losses expected to be incurred over the life of each respective loan. These losses were estimated by projecting each loan’s expected cash flows based on their contractual terms, expected prepayments, and estimated default and loss severity rates. The default and severity rates were estimated based on the following steps: (i) obtained the Company’s historical experience through an entire economic cycle for each loan type or, to the extent the Company did not have sufficient historical loss experience for a given loan type, publicly available data derived from the historical loss experience of certain banks, which data the Company believes is generally representative of its portfolio, (ii) obtained historical economic data (U.S. unemployment rates and home price appreciation) over the same period, and (iii) estimated default and severity rates during three distinct future periods based on historical default and severity rates during periods when economic conditions similar to those forecasted were experienced. The three periods were as follows: (i) a one-year forecast of economic conditions based on U.S. unemployment rates and home price appreciation, followed by (ii) a two-year “reversion” period during which economic conditions (U.S. unemployment rates and home price appreciation) are projected to revert to historical averages on a straight line basis, followed by (iii) the remaining life of each loan, during which period economic conditions (U.S. unemployment rates and home price appreciation) are projected to equal historical averages. In addition, a liability is established (and recorded in Other Liabilities) each period using a similar methodology for committed but undrawn loan amounts. This methodology has not changed from the calculation of the allowance for credit losses on January 1, 2020 pursuant to the transition to ASU 2016-13 as described below under “New Accounting Standards and Interpretations,” other than a change in the reversion period from one year to two years to reflect the expected ongoing impact of current conditions (see Note 3). Purchased Credit Deteriorated Loans The Company has elected to account for these loans as credit impaired as they have experienced a more-than-insignificant deterioration in credit quality since origination and were acquired at discounted prices that reflect, in part, the impaired credit history of the borrower. Substantially all of these loans have previously experienced payment delinquencies and the amount owed may exceed the value of the property pledged as collateral. Consequently, these loans generally have a higher likelihood of default than newly originated mortgage loans with LTVs of 80% or less to creditworthy borrowers. The Company believes that amounts paid to acquire these loans represent fair market value at the date of acquisition. Loans considered credit impaired are initially recorded at the purchase price on a net basis, after establishing an initial allowance for credit losses (their initial cost basis is equal to their purchase price plus the initial allowance for credit losses). Subsequent to acquisition, the gross recorded amount for these loans reflects the initial cost basis, plus accretion of interest income, less principal and interest cash flows received. These loans are presented on the Company’s consolidated balance sheets at carrying value, which reflects the recorded cost basis reduced by any allowance for credit losses. Interest income on such loans purchased is recorded each period based on the contractual coupon net of amortization of the difference between their cost basis and unpaid principal balance (“UPB”), subject to the Company’s nonaccrual policy. Residential Whole Loans at Fair Value Certain of the Company’s residential whole loans are presented at fair value on its consolidated balance sheets as a result of a fair value election made at the time of acquisition. For the majority of these loans, there is significant uncertainty associated with estimating the timing of and amount of cash flows that will be collected. Further, the cash flows ultimately collected may be dependent on the value of the property securing the loan. Consequently, the Company considers that accounting for these loans at fair value should result in a better reflection over time of the economic returns for the majority of these loans. The Company determines the fair value of its residential whole loans held at fair value after considering portfolio valuations obtained from a third-party that specializes in providing valuations of residential mortgage loans and trading activity observed in the market place. Subsequent changes in fair value are reported in current period earnings and presented in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash received (or accrued) representing coupon interest payments on residential whole loans held at fair value is not included in Interest Income, but rather is included in Net (loss)/gain on residential whole loans measured at fair value through earnings on the Company’s consolidated statements of operations. Cash outflows associated with loan-related advances made by the Company on behalf of the borrower are included in the basis of the loan and are reflected in unrealized gains or losses reported each period.
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Residential Mortgage Securities | Residential Mortgage Securities Prior to the quarter ended June 30, 2020, the Company had invested in residential MBS that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or an agency of the U.S. Government, such as the Government National Mortgage Association (“Ginnie Mae”) (collectively, “Agency MBS”), and residential MBS that are not guaranteed by any agency of the U.S. Government or any federally chartered corporation (“Non-Agency MBS”). The Company disposed of its investments in Agency MBS during the quarter and has substantially reduced its investments in Non-Agency MBS. In addition, the Company has investments in CRT securities that are issued by or sponsored by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by the issuer and the principal payments received are dependent on the performance of loans in either a reference pool or an actual pool of loans. As the loans in the underlying pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a principal loss if the performance of the actual or reference pool loans results in either an actual or calculated loss that exceeds the credit enhancement of the security owned by the Company. Designation MBS that the Company generally intends to hold until maturity, but that it may sell from time to time as part of the overall management of its business, are designated as “available-for-sale” (“AFS”). Such MBS are carried at their fair value with unrealized gains and losses excluded from earnings (except when an allowance for losses is recognized, as discussed below) and reported in Accumulated other comprehensive income/(loss) (“AOCI”), a component of Stockholders’ Equity. Upon the sale of an AFS security, any unrealized gain or loss is reclassified out of AOCI to earnings as a realized gain or loss using the specific identification method. The Company had elected the fair value option for certain of its previously held Agency MBS that it did not intend to hold to maturity. These securities were carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. The Company has elected the fair value option for certain of its CRT securities as it considers this method of accounting to more appropriately reflect the risk-sharing structure of these securities. Such securities are carried at their fair value with changes in fair value included in earnings for the period and reported in Other Income, net on the Company’s consolidated statements of operations. Revenue Recognition, Premium Amortization and Discount Accretion Interest income on securities is accrued based on their outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency MBS and Non-Agency MBS assessed as high credit quality at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. Determination of Fair Value for Residential Mortgage Securities In determining the fair value of the Company’s residential mortgage securities, management considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity (see Note 14). Allowance for credit losses When the fair value of an AFS security is less than its amortized cost at the balance sheet date, the security is considered impaired. The Company assesses its impaired securities, as well as securities for which a credit loss allowance had been previously recorded, on at least a quarterly basis and determines whether any changes to the allowance for credit losses are required. If the Company intends to sell an impaired security, or it is more likely than not that it will be required to sell the impaired security before its anticipated recovery, then the Company must recognize a write-down through charges to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the balance sheet date. If the Company does not expect to sell an impaired security, only the portion of the impairment related to credit losses is recognized through a loss allowance charged to earnings with the remainder recognized through AOCI on the Company’s consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Credit loss allowances are subject to reversal through earnings resulting from improvements in expected cash flows. The determination as to whether to record (or reverse) a credit loss allowance is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future performance and cash flow projections. As a result, the timing and amount of losses constitute material estimates that are susceptible to significant change (see Note 4). Non-Agency MBS that are assessed to be of less than high credit quality and on which impairments are recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. The Company’s estimate of cash flows for its Non-Agency MBS is based on its review of the underlying mortgage loans securing the MBS. The Company considers information available about the past and expected future performance of underlying mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, year of origination, loan-to-value ratios (“LTVs”), geographic concentrations and dialogue with market participants. As a result, significant judgment is used in the Company’s analysis to determine the expected cash flows for its Non-Agency MBS. In determining the allowance related to credit losses for securities that were purchased at significant discounts to par and/or are considered to be of less than high credit quality, the Company compares the present value of the remaining cash flows expected to be collected at the purchase date (or last date previously revised) against the present value of the cash flows expected to be collected at the current financial reporting date. The discount rate used to calculate the present value of expected future cash flows is the current yield used for income recognition purposes. Impairment assessment for Non-Agency MBS that were purchased at prices close to par and/or are otherwise considered to be of high credit quality involves comparing the present value of the remaining cash flows expected to be collected against the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the instrument’s IRR. Balance Sheet Presentation |
MSR-Related Assets | MSR-Related Assets The Company has investments in financial instruments whose cash flows are considered to be largely dependent on underlying MSRs that either directly or indirectly act as collateral for the investment. These financial instruments, which are referred to as MSR-related assets, are discussed in more detail below. The Company’s MSR-related assets pledged as collateral against repurchase agreements are included in the consolidated balance sheets with the amounts pledged disclosed parenthetically. Purchases and sales of MSR-related assets are recorded on the trade date (see Notes 4, 6, 7 and 14). Term Notes Backed by MSR-Related Collateral The Company has invested in term notes that are issued by special purpose vehicles (“SPV”) that have acquired rights to receive cash flows representing the servicing fees and/or excess servicing spread associated with certain MSRs. The Company considers payment of principal and interest on these term notes to be largely dependent on the cash flows generated by the underlying MSRs as this impacts the cash flows available to the SPV that issued the term notes. Credit risk borne by the holders of the term notes is also mitigated by structural credit support in the form of over-collateralization. Credit support is also provided by a corporate guarantee from the ultimate parent or sponsor of the SPV that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the underlying MSRs be insufficient. The Company’s term notes backed by MSR-related collateral are treated as AFS securities and reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in AOCI, subject to impairment and loss allowances. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes is similar to that used for residential mortgage securities and considers a number of observable market data points, including prices obtained from pricing services, brokers and repurchase agreement counterparties, dialogue with market participants, as well as management’s observations of market activity. Other factors taken into consideration include estimated changes in fair value of the related underlying MSR collateral, as applicable, and the financial performance of the ultimate parent or sponsoring entity of the issuer, which has provided a guarantee that is intended to provide for payment of interest and principal to the holders of the term notes should cash flows generated by the related underlying MSR collateral be insufficient. Corporate Loans The Company has made or participated in loans to provide financing to entities that originate residential mortgage loans and own the related MSRs. These corporate loans are generally secured by certain MSRs, as well as certain other unencumbered assets owned by the borrower. Corporate loans are recorded on the Company’s consolidated balance sheets at the drawn amount, on which interest income is recognized on an accrual basis on the Company’s consolidated statements of operations, subject to loss allowances. Commitment fees received on the undrawn amount are deferred and recognized as interest income over the remaining loan term at the time of draw. At the end of the commitment period, any remaining deferred commitment fees are recorded as Other Income on the Company’s consolidated statements of operations. The Company evaluates the recoverability of its corporate loans on a quarterly basis considering various factors, including the current status of the loan, changes in the fair value of the MSRs that secure the loan and the recent financial performance of the borrower.
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Cash and Cash Equivalents | Cash and Cash Equivalents Cash and cash equivalents include cash on deposit with financial institutions and investments in money market funds, all of which have original maturities of three months or less. Cash and cash equivalents may also include cash pledged as collateral to the Company by its financing counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). The Company did not hold any cash pledged by its counterparties at September 30, 2020 and December 31, 2019. |
Restricted Cash | Restricted Cash Restricted cash represents the Company’s cash held by its counterparties in connection with certain of the Company’s Swaps and/or financing agreements that is not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to financing agreement and/or Swap counterparties, or may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the Swap and/or financing agreements. |
Real Estate Owned (REO) | Real Estate Owned (“REO”) REO represents real estate acquired by the Company, including through foreclosure, deed in lieu of foreclosure, or purchased in connection with the acquisition of residential whole loans. REO acquired through foreclosure or deed in lieu of foreclosure is initially recorded at fair value less estimated selling costs. REO acquired in connection with the acquisition of residential whole loans is initially recorded at its purchase price. Subsequent to acquisition, REO is reported, at each reporting date, at the lower of the current carrying amount or fair value less estimated selling costs and for presentation purposes is included in Other assets on the Company’s consolidated balance sheets. Changes in fair value that result in an adjustment to the reported amount of an REO property that has a fair value at or below its carrying amount are reported in Other Income, net on the Company’s consolidated statements of operations. The Company has acquired certain properties that it holds for investment purposes, including rentals to third parties. These properties are held at their historical basis less depreciation, and are subject to impairment. Related rental income and expenses are recorded in Other Income, net
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Depreciation | Depreciation Leasehold Improvements, Real estate and Other Depreciable Assets Depreciation is computed on the straight-line method over the estimated useful life of the related assets or, in the case of leasehold improvements, over the shorter of the useful life or the lease term. Furniture, fixtures, computers and related hardware have estimated useful lives ranging from to eight years at the time of purchase. The building component of real estate held-for-investment is depreciated over 27.5 years.
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Loan Securitization and Other Debt Issuance Costs | Loan Securitization and Other Debt Issuance Costs Loan securitization related costs are costs associated with the issuance of beneficial interests by consolidated VIEs and incurred by the Company in connection with various financing transactions completed by the Company. Other debt issuance and related costs include costs incurred by the Company in connection with issuing its 6.25% Convertible Senior Notes due 2024 (“Convertible Senior Notes”) and its 8% Senior Notes due 2042 (“Senior Notes”). These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges (unless the debt is recorded at fair value, as discussed below), are included on the Company’s consolidated balance sheets as a direct deduction from the corresponding debt liability. These deferred charges are amortized as an adjustment to interest expense using the effective interest method. For the Convertible Senior Notes and Senior Notes, such costs are amortized over the shorter of the period to the expected or stated legal maturity of the debt instruments. The Company periodically reviews the recoverability of these deferred costs and, in the event an impairment charge is required, such amount will be included in Operating and Other Expense on the Company’s consolidated statements of operations.
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Financing Arrangements | Financing Agreements The Company finances the majority of its residential mortgage assets with financing agreements that include repurchase agreements and other forms of collateralized financing. Under repurchase agreements, the Company sells assets to a lender and agrees to repurchase the same assets in the future for a price that is higher than the original sale price. The difference between the sale price that the Company receives and the repurchase price that the Company pays represents interest paid to the lender. Although legally structured as sale and repurchase transactions, the Company accounts for repurchase agreements as secured borrowings. Under its repurchase agreements and other forms of collateralized financing, the Company pledges its assets as collateral to secure the borrowing, in an amount which is equal to a specified percentage of the fair value of the pledged collateral, while the Company retains beneficial ownership of the pledged collateral. At the maturity of a repurchase financing, unless the repurchase financing is renewed with the same counterparty, the Company is required to repay the loan including any accrued interest and concurrently receives back its pledged collateral from the lender. With the consent of the lender, the Company may renew a repurchase financing at the then prevailing financing terms. Margin calls, whereby a lender requires that the Company pledge additional assets or cash as collateral to secure borrowings under its repurchase financing with such lender, are routinely experienced by the Company when the value of the assets pledged as collateral declines as a result of principal amortization and prepayments or due to changes in market interest rates, spreads or other market conditions. The Company also may make margin calls on counterparties when collateral values increase. |
Equity-Based Compensation | Equity-Based Compensation Compensation expense for equity-based awards that are subject to vesting conditions, is recognized ratably over the vesting period of such awards, based upon the fair value of such awards at the grant date. The Company has made annual grants of restricted stock units (“RSUs”) certain of which cliff vest after a three-year period, subject only to continued employment, and others of which cliff vest after a three-year period, subject to both continued employment and the achievement of certain performance criteria based on a formula tied to the Company’s achievement of average total shareholder return during that three-year period, as well as the total shareholder return (“TSR”) of the Company relative to the TSR of a group of peer companies (over the three-year period) selected by the Compensation Committee of the Company’s Board of Directors (the “Compensation Committee”) at the date of grant. The features in these awards related to the attainment of total shareholder return over a specified period constitute a “market condition,” which impacts the amount of compensation expense recognized for these awards. Specifically, the uncertainty regarding the achievement of the market condition was reflected in the grant date fair valuation of the RSUs, which is recognized as compensation expense over the relevant vesting period. The amount of compensation expense recognized is not dependent on whether the market condition was or will be achieved. |
Earnings per Common Share (EPS) | Earnings per Common Share (“EPS”) Basic EPS is computed using the two-class method, which includes the weighted-average number of shares of common stock outstanding during the period and an estimate of other securities that participate in dividends, such as the Company’s dividend equivalents attached to/associated with RSUs, to arrive at total common equivalent shares. In applying the two-class method, earnings are allocated to both shares of common stock and estimated securities that participate in dividends based on their respective weighted-average shares outstanding for the period. For the diluted EPS calculation, common equivalent shares are further adjusted for the effect of RSUs outstanding that are unvested and have dividends that are subject to forfeiture, and for the effect of outstanding warrants, using the treasury stock method. Under the treasury stock method, common equivalent shares are calculated assuming that all dilutive common stock equivalents are exercised and the proceeds, along with future compensation expenses associated with such instruments (if any), are used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period. In addition, the Company’s Convertible Senior Notes are included in the calculation of diluted EPS if the assumed conversion into common shares is dilutive, using the “if-converted” method. This involves adding back the periodic interest expense associated with the Convertible Senior Notes to the numerator and by adding the shares that would be issued in an assumed conversion (regardless of whether the conversion option is in or out of the money) to the denominator for the purposes of calculating diluted EPS |
Comprehensive Income/(Loss) | Comprehensive Income/(Loss) The Company’s comprehensive income/(loss) available to common stock and participating securities includes net income, the change in net unrealized gains/(losses) on its AFS securities and derivative hedging instruments (to the extent that such changes are not recorded in earnings), adjusted by realized net gains/(losses) reclassified out of AOCI for sold AFS securities and terminated hedging relationships, as well as the portion of unrealized gains/(losses) on its financing agreements held at fair value related to instrument-specific credit risk, and is reduced by dividends declared on the Company’s preferred stock and issuance costs of redeemed preferred stock.
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U.S. Federal Income Taxes | U.S. Federal Income Taxes The Company has elected to be taxed as a REIT under the provisions of the Internal Revenue Code of 1986, as amended, (the “Code”), and the corresponding provisions of state law. The Company expects to operate in a manner that will enable it to satisfy the various requirements to maintain its status as a REIT for federal income tax purposes. In order to maintain its status as a REIT, the Company must, among other things, distribute at least 90% of its REIT taxable income (excluding net long-term capital gains) to stockholders in the timeframe permitted by the Code. As long as the Company maintains its status as a REIT, the Company will not be subject to regular federal income tax to the extent that it distributes 100% of its REIT taxable income (including net long-term capital gains) to its stockholders within the permitted timeframe. Should this not occur, the Company would be subject to federal taxes at prevailing corporate tax rates on the difference between its REIT taxable income and the amounts deemed to be distributed for that tax year. As the Company’s objective is to distribute 100% of its REIT taxable income to its stockholders within the permitted timeframe, no provision for current or deferred income taxes has been made in the accompanying consolidated financial statements. Should the Company incur a liability for corporate income tax, such amounts would be recorded as REIT income tax expense on the Company’s consolidated statements of operations. Furthermore, if the Company fails to distribute during each calendar year, or by the end of January following the calendar year in the case of distributions with declaration and record dates falling in the last three months of the calendar year, at least the sum of (i) 85% of its REIT ordinary income for such year, (ii) 95% of its REIT capital gain income for such year, and (iii) any undistributed taxable income from prior periods, the Company would be subject to a 4% nondeductible excise tax on the excess of the required distribution over the amounts actually distributed. To the extent that the Company incurs interest, penalties or related excise taxes in connection with its tax obligations, including as a result of its assessment of uncertain tax positions, such amounts will be included in Operating and Other Expense on the Company’s consolidated statements of operations. In addition, the Company has elected to treat certain of its subsidiaries as TRS. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. Generally, a domestic TRS is subject to U.S. federal, state and local corporate income taxes. Since a portion of the Company’s business is conducted through one or more TRS, the net taxable income earned by its domestic TRS, if any, is subject to corporate income taxation. To maintain the Company’s REIT election, no more than 20% of the value of the Company’s assets at the end of each calendar quarter may consist of stock or securities in TRS. For purposes of the determination of U.S. federal and state income taxes, the Company’s subsidiaries that elected to be treated as TRS record current or deferred income taxes based on differences (both permanent and timing) between the determination of their taxable income and net income under GAAP. No net deferred tax benefit was recorded by the Company for the nine months ended September 30, 2020 and 2019, related to the net taxable losses in the TRS, since a valuation allowance for the full amount of the associated deferred tax asset of approximately $75.5 million was recognized as its recovery is not considered more likely than not. The related net operating loss carryforwards generated prior to 2018 will begin to expire in 2034; those generated in 2020, 2019 and 2018 can be carried back to each of the five taxable years preceding the taxable year of such loss and thereafter can be carried forward and do not expire. Based on its analysis of any potentially uncertain tax positions, the Company concluded that it does not have any material uncertain tax positions that meet the relevant recognition or measurement criteria as of September 30, 2020, December 31, 2019, or September 30, 2019. As of the date of this filing the Company’s tax returns for tax years 2017 through 2019 are open to examination.
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Derivative Financial Instruments | Derivative Financial Instruments The Company may use a variety of derivative instruments to economically hedge a portion of its exposure to market risks, including interest rate risk and prepayment risk. The objective of the Company’s risk management strategy is to reduce fluctuations in net book value over a range of interest rate scenarios. In particular, the Company attempts to mitigate the risk of the cost of its variable rate liabilities increasing during a period of rising interest rates. The Company’s derivative instruments have generally been comprised of Swaps, the majority of which were designated as cash flow hedges against the interest rate risk associated with its borrowings. Swaps The Company documents its risk-management policies, including objectives and strategies, as they relate to its hedging activities and the relationship between the hedging instrument and the hedged liability for all Swaps designated as hedging transactions. The Company assesses, both at the inception of a hedge and on a quarterly basis thereafter, whether or not the hedge is “highly effective.” During the first quarter of 2020, the Company terminated all of its Swaps. Prior to their termination, Swaps were carried on the Company’s consolidated balance sheets at fair value, in Other assets, if their fair value was positive, or in Other liabilities, if their fair value was negative. Changes in the fair value of the Company’s Swaps previously designated in hedging transactions are recorded in OCI provided that the hedge remains effective. Periodic payments accrued in connection with Swaps designated as hedges are included in interest expense and are treated as an operating cash flow. The Company discontinues hedge accounting on a prospective basis and recognizes changes in fair value through earnings when: (i) it is determined that the derivative is no longer effective in offsetting cash flows of a hedged item (including forecasted transactions); (ii) it is no longer probable that the forecasted transaction will occur; or (iii) it is determined that designating the derivative as a hedge is no longer appropriate (see Notes 5(c), 7 and 14). Changes in the fair value of the Company’s Swaps not designated in hedging transactions are recorded in Other income, net on the Company’s consolidated statements of operations.
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Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities | Fair Value Measurements and the Fair Value Option for Financial Assets and Financial Liabilities The Company’s presentation of fair value for its financial assets and liabilities is determined within a framework that stipulates that the fair value of a financial asset or liability is an exchange price in an orderly transaction between market participants to sell the asset or transfer the liability in the market in which the reporting entity would transact for the asset or liability, that is, the principal or most advantageous market for the asset or liability. The transaction to sell the asset or transfer the liability is a hypothetical transaction at the measurement date, considered from the perspective of a market participant that holds the asset or owes the liability. This definition of fair value focuses on exit price and prioritizes the use of market-based inputs over entity-specific inputs when determining fair value. In addition, the framework for measuring fair value establishes a three-level hierarchy for fair value measurements based upon the observability of inputs to the valuation of an asset or liability as of the measurement date. In addition to the financial instruments that it is required to report at fair value, the Company has elected the fair value option for certain of its financial assets and liabilities at the time of acquisition or issuance. Subsequent changes in the fair value of these financial instruments are generally reported in Other income, net, in the Company’s consolidated statements of operations. A decision to elect the fair value option for an eligible financial instrument, which may be made on an instrument by instrument basis, is irrevocable
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Variable Interest Entities | Variable Interest Entities An entity is referred to as a VIE if it meets at least one of the following criteria: (i) the entity has equity that is insufficient to permit the entity to finance its activities without the additional subordinated financial support of other parties; or (ii) as a group, the holders of the equity investment at risk lack (a) the power to direct the activities of an entity that most significantly impact the entity’s economic performance; (b) the obligation to absorb the expected losses; or (c) the right to receive the expected residual returns; or (iii) the holders of the equity investment at risk have disproportional voting rights and the entity’s activities are conducted on behalf of the investor that has disproportionately few voting rights. The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. The Company is required to reconsider its evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. The Company has entered into several financing transactions which resulted in the Company forming entities to facilitate these transactions. In determining the accounting treatment to be applied to these transactions, the Company concluded that the entities used to facilitate these transactions are VIEs and that they should be consolidated. If the Company had determined that consolidation was not required, it would have then assessed whether the transfers of the underlying assets would qualify as sales or should be accounted for as secured financings under GAAP (see Note 15). The Company also includes on its consolidated balance sheets certain financial assets and liabilities that are acquired/issued by trusts and/or other special purpose entities that have been evaluated as being required to be consolidated by the Company under the applicable accounting guidance.
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Offering Costs Related to Issuance and Redemption of Preferred Stock | Offering Costs Related to Issuance and Redemption of Preferred Stock Offering costs related to the issuance of preferred stock are recorded as a reduction in Additional paid-in capital, a component of Stockholders’ Equity, at the time such preferred stock is issued. On redemption of preferred stock, any excess of the fair value of the consideration transferred to the holders of the preferred stock over the carrying amount of the preferred stock in the Company’s consolidated balance sheets is included in the determination of Net Income Available to Common Stock and Participating Securities in the calculation of EPS. |
New Accounting Standards and Interpretations | New Accounting Standards and Interpretations Accounting Standards Adopted in 2020 Financial Instruments - Credit Losses - Measurement of Credit Losses on Financial Instruments In June 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU” 2016-13, Measurement of Credit Losses on Financial Instruments (“ASU 2016-13”), which has subsequently been amended by ASUs 2019-11, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2019-05, Financial Instruments - Credit Losses (Topic 326): Targeted Transition Relief, 2019-04, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2018-19, Codification Improvements to Topic 326, Financial Instruments - Credit Losses, 2020-02 Financial Instruments-Credit Losses (Topic 326)-Amendments to SEC Paragraphs Pursuant to SEC Staff Accounting Bulletin No. 119 and Update to SEC Section on Effective Date (SEC Update), and 2020-03 Codification Improvements to Financial Instruments. The amendments in ASU 2016-13 require entities to measure all expected credit losses (rather than incurred losses) for financial assets held at the reporting date, based on historical experience, current conditions and reasonable and supportable forecasts. ASU 2016-13 also requires enhanced financial statement disclosures to help financial statement users better understand significant estimates and judgments used in estimating credit losses, as well as the credit quality and underwriting standards of an entity’s portfolio. The amendments in this ASU were required to be applied by recording a cumulative-effect adjustment to equity as of the beginning of the first reporting period in which the guidance is effective. A prospective transition approach is required for debt securities for which an OTTI had been recognized before the effective date. The Company adopted the new ASU on January 1, 2020. The impact of adoption was that the allowance for credit losses on Purchased Performing Loans increased by approximately $8.3 million. This transition adjustment was recorded as an increase in the Company’s allowance for credit losses and an adjustment to decrease retained earnings as of the adoption date. In addition, for Purchased Credit Deteriorated Loans, the carrying value of the portfolio was adjusted on transition to include an estimate of the allowance for credit losses as required by the new standard. For financial statement reporting purposes, this adjusted carrying value is presented net of the estimated allowance for credit losses. Consequently, the adjustments recorded on transition for Purchased Credit Deteriorated Loans do not result in any adjustment to retained earnings as of the adoption date. The Company does not consider these transition adjustments to be material to its financial position or previously reported GAAP or economic book value. Under ASU 2016-13, credit losses for available-for-sale debt securities are measured in a manner similar to prior GAAP. However, the amendments in this ASU require that credit losses be recorded through an allowance for credit losses, which will allow subsequent reversals in credit loss estimates to be recognized in current income. In addition, the allowance on available-for-sale debt securities will be limited to the extent that the fair value is less than the amortized cost. Under prior GAAP, credit impairment losses were generally required to be recorded as “other than temporary” impairment, which directly reduced the carrying amount of impaired securities, and was recorded in earnings and was not reversed if expected cash flows subsequently recovered. Under the new guidance, credit impairments on such securities (other than those related to expected sales) are recorded as an allowance for credit losses that is also recorded in earnings, but the allowance can be reversed through earnings in a subsequent period if expected cash flows subsequently recover. Transition to the new available-for-sale debt securities guidance did not result in a change to our retained earnings. Reference Rate Reform - Facilitation of the Effects of Reference Rate Reform on Financial Reporting In March 2020, the FASB issued ASU 2020-04, Facilitation of the Effects of Reference Rate Reform on Financial Reporting (“ASU 2020-04”). The amendments in this ASU provide temporary optional expedients to ease the financial reporting burden of the expected transition from the London Interbank Offered Rate (“LIBOR”) to an alternative reference rate such as the Secured Overnight Financing Rate (“SOFR”). The amendments in the ASU are elective and apply to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The amendments in ASU 2020-04 were effective for all entities as of March 12, 2020 and will generally no longer be available to apply after December 31, 2022. The Company adopted this ASU as of the effective date and will utilize the optional expedients to the extent that they apply to the Company.
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Residential Whole Loans (Tables) |
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Residential Whole Loans, at Carrying Value | The following table presents the components of the Company’s Residential whole loans, at carrying value at September 30, 2020 and December 31, 2019:
(1) The amortized cost basis of Purchased Credit Deteriorated Loans was increased by $62.6 million on January 1, 2020 in connection with the adoption of ASU 2016-13.
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Schedule of Interest Income Components | The following table presents the components of interest income on the Company’s Residential whole loans, at carrying value for the three and nine months ended September 30, 2020 and 2019:
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Financing Receivable Credit Quality Indicators | The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at September 30, 2020: September 30, 2020
December 31, 2019
(1)Weighted average is calculated based on the interest bearing principal balance of each loan within the related category. For loans acquired with servicing rights released by the seller, interest rates included in the calculation do not reflect loan servicing fees. For loans acquired with servicing rights retained by the seller, interest rates included in the calculation are net of servicing fees. (2)LTV represents the ratio of the total unpaid principal balance of the loan to the estimated value of the collateral securing the related loan as of the most recent date available, which may be the origination date. For Rehabilitation loans, the LTV presented is the ratio of the maximum unpaid principal balance of the loan, including unfunded commitments, to the estimated “after repaired” value of the collateral securing the related loan, where available. For certain Rehabilitation loans, totaling $222.2 million and $269.2 million at September 30, 2020 and December 31, 2019, respectively, an after repaired valuation was not obtained and the loan was underwritten based on an “as is” valuation. The weighted average LTV of these loans based on the current unpaid principal balance and the valuation obtained during underwriting, is 68% and 69% at September 30, 2020 and December 31, 2019, respectively. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful. (3)Excludes loans for which no Fair Isaac Corporation (“FICO”) score is available. (4)At September 30, 2020 and December 31, 2019 the difference between the Carrying Value and Amortized Cost Basis represents the related allowance for credit losses. (5)Purchased Credit Deteriorated Loans tend to be characterized by varying performance of the underlying borrowers over time, including loans where multiple months of payments are received in a period to bring the loan to current status, followed by months where no payments are received. Accordingly, delinquency information is presented for loans that are more than 90 days past due that are considered to be seriously delinquent. The following table presents certain additional credit-related information regarding our residential whole loans, at carrying value:
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Schedule of Credit Losses | The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential Whole Loans, at Carrying Value:
(1)In connection with purchased Rehabilitation loans, the Company had unfunded commitments of $73.2 million, with an allowance for credit losses of $1.6 million at September 30, 2020. Such allowance is included in “Other liabilities” in the Company’s consolidated balance sheets (see Note 9). (2)Includes $143.4 million of loans that were assessed for credit losses based on a collateral dependent methodology. (3)Includes $72.7 million of loans that were assessed for credit losses based on a collateral dependent methodology. (4)Of the $70.6 million of reserves recorded on adoption of ASU 2016-13, $8.3 million was recorded as an adjustment to stockholders’ equity and $62.4 million was recorded as a “gross up” of the amortized cost basis of Purchased Credit Deteriorated Loans.
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Residential Whole Loans, Fair Value | The following table presents information regarding the Company’s residential whole loans held at fair value at September 30, 2020 and December 31, 2019:
(1)LTV represents the ratio of the total unpaid principal balance of the loan, to the estimated value of the collateral securing the related loan. Excluded from the calculation of weighted average LTV are certain low value loans secured by vacant lots, for which the LTV ratio is not meaningful.
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Residential Whole Loans, Fair Value, Component of Net gain on residential whole loans | The following table presents the components of Net gain/(loss) on residential whole loans measured at fair value through earnings for the three and nine months ended September 30, 2020 and 2019:
(1)Primarily includes gains on liquidation of non-performing loans, including the recovery of delinquent interest payments, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans.
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Residential Mortgage Securities and MSR-Related Assets (Tables) |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of information about MBS and CRT Securities | The following tables present certain information about the Company’s residential mortgage securities at September 30, 2020 and December 31, 2019: September 30, 2020
December 31, 2019
(1)Discount designated as Credit Reserve is generally not expected to be accreted into interest income. (2)Based on management’s current estimates of future principal cash flows expected to be received. (3)Includes RPL/NPL MBS, which at September 30, 2020 had an $57.4 million Principal/Current face, $49.2 million amortized cost and $53.8 million fair value. At December 31, 2019, RPL/NPL MBS had a $632.3 million Principal/Current face, $631.8 million amortized cost and $635.0 million fair value. (4)At September 30, 2020 and December 31, 2019, the Company expected to recover approximately 99% and 80% of the then-current face amount of Non-Agency MBS, respectively. (5)Amounts disclosed at September 30, 2020 includes CRT securities with a fair value of $63.3 million for which the fair value option has been elected. Such securities had $410,000 gross unrealized gains and gross unrealized losses of approximately $3.1 million at September 30, 2020. Amounts disclosed at December 31, 2019 includes CRT securities with a fair value of $255.4 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $6.3 million and gross unrealized losses of approximately $91,000 at December 31, 2019. (6)Includes principal payments receivable of $614,000 at December 31, 2019, which is not included in the Principal/Current Face. (7)Amounts disclosed at December 31, 2019 include Agency MBS with a fair value of $280.3 million, for which the fair value option has been elected. Such securities had $4.5 million unrealized gains and no gross unrealized losses at December 31, 2019, respectively.
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Schedule of Sale of Residential Mortgage Securities | The following table presents information about the Company’s sales of its residential mortgage securities for the three and nine months ended September 30, 2020 and 2019. The Company has no continuing involvement with any of the sold securities.
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Schedule of information about MBS and CRT Securities that were in an unrealized loss position | The following table presents information about the Company’s residential mortgage securities that were in an unrealized loss position at September 30, 2020, with respect to which no allowance for credit losses has been recorded: Unrealized Loss Position For:
(1)Based on management’s current estimates of future principal cash flows expected to be received. (2)Amounts disclosed at September 30, 2020 include CRT securities with a fair value of $59.6 million for which the fair value option has been elected. Such securities had unrealized losses of $3.1 million at September 30, 2020.
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Schedule of Credit Losses | The following table presents a roll-forward of the allowance for credit losses on the Company’s Residential mortgage securities and MSR-related assets:
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Schedule of changes in the components of the purchase discount on Non-Agency MBS | The following table presents the changes in the components of the Company’s purchase discount on its Non-Agency MBS between purchase discount designated as Credit Reserve and accretable purchase discount for the three and nine months ended September 30, 2020 and 2019:
(1)Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. (2)Includes the impact of $1.7 million of cash proceeds (a one-time payment) received by the Company during the nine months ended September 30, 2019 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by JP Morgan Chase & Co. and affiliated entities.
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Schedule of impact of AFS on AOCI | The following table presents the impact of the Company’s AFS securities on its AOCI for the three and nine months ended September 30, 2020 and 2019:
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Schedule of interest income on MBS, CRT Securities and MSR Related Assets | The following table presents the components of interest income on the Company’s residential mortgage securities and MSR- related assets for the three and nine months ended September 30, 2020 and 2019:
(1) Includes amortization of premium paid net of accretion of purchase discount. For Agency MBS, RPL/NPL MBS and the corporate loan secured by MSRs, interest income is recorded at an effective yield, which reflects net premium amortization/accretion based on actual prepayment activity. (2) The effective yield adjustment is the difference between the net income calculated using the net yield less the current coupon yield. The net yield may be based on management’s estimates of the amount and timing of future cash flows or on the instrument’s contractual cash flows, depending on the relevant accounting standard. (3) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $3.1 million during the nine months ended September 30, 2019. (4) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously purchased at a discount of approximately $4,000 during the three months ended September 30, 2019 and $277,000 and $152,000 during the nine months ended September 30, 2020 and 2019, respectively.
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Other Assets (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of other assets | The following table presents the components of the Company’s Other assets at September 30, 2020 and December 31, 2019:
(1) Includes $59.3 million and $27.3 million of REO that is held-for-investment at September 30, 2020 and December 31, 2019, respectively.
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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, 2020 and 2019:
(1)Includes net gain recorded on transfer of approximately $834,000 and $5.0 million for the three months ended September 30, 2020 and 2019, respectively; and approximately $4.1 million and $16.1 million for nine months ended September 30, 2020 and 2019, respectively. (2)During the three and nine months ended September 30, 2020, the Company sold 267 and 812 REO properties for consideration of $69.9 million and $195.2 million, realizing net gains of approximately $3.9 million and $10.0 million, respectively. 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. These amounts are included in Other Income, net on the Company’s consolidated statements of operations.
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Schedule of derivative instruments and balance sheet location | The following table presents the fair value of the Company’s derivative instruments at September 30, 2020 and December 31, 2019:
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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, 2020 and December 31, 2019:
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Schedule of information about swaps | The following table presents information about the Company’s Swaps at September 30, 2020 and December 31, 2019:
(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.
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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, 2020 and 2019:
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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, 2020 and 2019:
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Financing Agreements (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financing Agreements | The following tables present the components of the Company’s Financing agreements at September 30, 2020 and December 31, 2019:
(1) Financing agreements at fair value are reported at estimated fair value each period as a result of the Company’s fair value option election. Other financing arrangements are reported at their carrying value (amortized cost basis) as the fair value option was not elected on these liabilities. Consequently, Total Financing agreements as presented reflects a summation of balances reported at fair value and carrying value. Set out below is information about the Company’s Financing agreements that existed as of December 31, 2019. During the second quarter of 2020, outstanding repurchase agreement transactions at that time were renegotiated as part of a reinstatement agreement that was entered into by the Company. The Company elected to account for these reinstated transactions under the fair value option from the time these repurchase agreements were reinstated. Accordingly, as of September 30, 2020, such liabilities are reported as Financing agreements at fair value.
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Financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral | The following table presents information with respect to the Company’s financing agreements with non-mark-to-market collateral provisions and associated assets pledged as collateral at September 30, 2020 and December 31, 2019:
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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 financing agreements with mark-to-market collateral provisions and associated assets pledged as collateral at September 30, 2020 and December 31, 2019:
(1)Excludes $0 and $1.1 million of unamortized debt issuance costs at September 30, 2020 and December 31, 2019, respectively. (2)At September 30, 2020 and December 31, 2019, includes RPL/NPL MBS with an aggregate fair value of $192.7 million and $238.8 million, respectively, obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. (3) Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
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Schedule of repricing information about borrowings under repurchase agreements | The following table presents repricing information (excluding the impact of associated derivative hedging instruments, if any) about the Company’s financing agreements that have non-mark-to-market collateral provisions as well as those that have mark-to-market collateral provisions, at September 30, 2020 and December 31, 2019:
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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 financing agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at September 30, 2020:
(1)As rated at September 30, 2020 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 financing 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 $20.6 million at risk with Goldman Sachs and $152.7 million at risk with Goldman Sachs Bank USA. (4)Includes amounts at risk with various Athene affiliates that collectively exceed 5% of stockholders’ equity.
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Other Liabilities (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Liabilities | The following table presents the components of the Company’s Other liabilities at September 30, 2020 and December 31, 2019:
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Stockholders' Equity (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Stockholders' Equity Note [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of changes in balances of each component of the entity's AOCI | The following table presents changes in the balances of each component of the Company’s AOCI for the three and nine months ended September 30, 2020:
(1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss). (3) Net Unrealized Gain/(Loss) on Financing Agreements at Fair Value due to changes in instrument-specific credit risk. The following table presents changes in the balances of each component of the Company’s AOCI for the three and nine months ended September 30, 2019:
(1) See separate table below for details about these reclassifications. (2) For further information regarding changes in OCI, see the Company’s consolidated statements of comprehensive income/(loss).
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Information about the significant amounts reclassified out of the entity's AOCI | The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three and nine months ended September 30, 2020:
The following table presents information about the significant amounts reclassified out of the Company’s AOCI for the three and nine months ended September 30, 2019:
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EPS Calculation (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of reconciliation of the earnings and shares used in calculating basic and diluted EPS | The following table presents a reconciliation of the earnings/(loss) and shares used in calculating basic and diluted earnings/(loss) per share for the three and nine months ended September 30, 2020 and 2019:
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Equity Compensation, Employment Agreements and Other Benefit Plans (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Compensation Related Costs [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of expenses related to equity-based compensation | The following table presents the Company’s expenses related to its equity-based compensation instruments for the three and nine months ended September 30, 2020 and 2019:
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Schedule of expenses related to deferred compensation plans | The following table presents the Company’s expenses related to its Deferred Plans for the three and nine months ended September 30, 2020 and 2019:
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Schedule of aggregate income deferred by participants and associated liability under deferred compensation plans | The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through September 30, 2020 and December 31, 2019 that had not been distributed and the Company’s associated liability for such deferrals at September 30, 2020 and December 31, 2019:
(1) Represents the cumulative amounts that were deferred by participants through September 30, 2020 and December 31, 2019, which had not been distributed through such respective date.
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Fair Value of Financial Instruments (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of fair value measurement inputs and valuation techniques | The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of September 30, 2020 and December 31, 2019, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at September 30, 2020
Fair Value at December 31, 2019
The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s residential whole loans held at fair value for which it has utilized Level 3 inputs to determine fair value as of September 30, 2020 and December 31, 2019:
(1) Excludes approximately $477,000 and $470,000 of loans for which management considers the purchase price continues to reflect the fair value of such loans at September 30, 2020 and December 31, 2019, respectively. (2) Amounts are weighted based on the fair value of the underlying loan. (3) The simple average value of the properties underlying residential whole loans held at fair value valued via a liquidation model was approximately $383,000 and $365,000 as of September 30, 2020 and December 31, 2019, respectively.
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Schedule of significant unobservable inputs used in fair value measurement of residential whole loans | The following table presents additional information for the three and nine months ended September 30, 2020 and 2019 about the Company’s Residential whole loans, at fair value, which are classified as Level 3 and measured at fair value on a recurring basis:
(1)Included in the activity presented for the three months ended September 30, 2019 are approximately $87.0 million of residential whole loans held at fair value the Company committed to purchase during the three months ended June 30, 2019, but for which the closing of the purchase transaction occurred during the three months ended September 30, 2019. (2)Included in the activity presented for the nine months ended September 30, 2019 is an adjustment of $70.6 million for loans the Company committed to purchase during the three months ended December 31, 2018, but for which the closing of the purchase transaction occurred during the three months ended March 31, 2019. The adjustment was required following the finalization of due diligence performed prior to the closing of the purchase transaction and resulted in a downward revision to the prior estimate of the loan purchase amount. The following table presents additional information for the three and nine months ended September 30, 2019 about the Company’s investments in term notes backed by MSR-related collateral, which were classified as Level 3 prior to September 30, 2019 and measured at fair value on a recurring basis:
The following table presents additional information for the three and nine months ended September 30, 2020 about the Company’s financing agreements with non-mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis:
The following table presents additional information for the three and nine months ended September 30, 2020 about the Company’s financing agreements with mark-to-market collateral provisions, which are classified as Level 3 and measured at fair value on a recurring basis:
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Schedule of carrying value and fair value of financial instruments | The following table presents the carrying values and estimated fair values of the Company’s financial instruments at September 30, 2020 and December 31, 2019:
(1)Includes $18.1 million and $59.5 million of MSR-related assets that are measured at fair value on a non-recurring basis that are classified as Level 3 in the fair value hierarchy at September 30, 2020 and December 31, 2019, respectively. (2)Carrying value of securitized debt, Convertible Senior Notes, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. (3)Includes Securitized debt that is carried at amortized cost basis and fair value.
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Use of Special Purpose Entities and Variable Interest Entities (Tables) |
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Use of Special Purpose Entities and Variable Interest Entities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of key details related to securitization transactions | The following table summarizes the key details of the Company’s loan securitization transactions as of September 30, 2020 and December 31, 2019:
(1)Net of $2.2 million and $2.9 million of deferred financing costs at September 30, 2020 and December 31, 2019, respectively. (2)At September 30, 2020 and December 31, 2019, $743.9 million and $493.2 million, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by either 100 or 300 basis points or more at 36 months from issuance if the bond is not redeemed before such date. (3)Provides credit support to the Senior Bonds sold to third-party investors in the securitization transactions.
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Summary of Significant Accounting Policies (Details) |
9 Months Ended |
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Sep. 30, 2020
segment
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Accounting Policies [Abstract] | |
Number of reportable segments | 1 |
Number of operating segments | 1 |
Summary of Significant Accounting Policies (Residential Whole Loans) (Details) |
9 Months Ended |
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Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Number of days considered to classify loans delinquent | 60 days |
Weighted Average LTV Ratio | 80.00% |
Summary of Significant Accounting Policies (Cash and Cash Equivalents) (Details) - USD ($) $ in Thousands |
Sep. 30, 2020 |
Dec. 31, 2019 |
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Accounting Policies [Abstract] | ||
Cash and cash equivalents | $ 884,171 | $ 70,629 |
Overnight money market funds | 837,600 | 39,600 |
Restricted cash | $ 5,303 | $ 64,035 |
Summary of Significant Accounting Policies (Depreciation) (Details) |
9 Months Ended |
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Sep. 30, 2020 | |
Furniture, fixtures, computers and related hardwares | Minimum | |
Estimated useful life of long-lived assets | |
Estimated useful life | 5 years |
Furniture, fixtures, computers and related hardwares | Maximum | |
Estimated useful life of long-lived assets | |
Estimated useful life | 8 years |
Building | |
Estimated useful life of long-lived assets | |
Estimated useful life | 27 years 6 months |
Summary of Significant Accounting Policies (Loan Securitization and Other Debt Issuance Costs ) (Details) |
Sep. 30, 2020 |
---|---|
Convertible Senior Note Due 2024 | |
Debt Instrument [Line Items] | |
Stated interest rate | 6.25% |
Senior Note Due 2042 | |
Debt Instrument [Line Items] | |
Stated interest rate | 8.00% |
Summary of Significant Accounting Policies (Repurchase Agreements) (Details) |
9 Months Ended |
---|---|
Sep. 30, 2020 | |
Accounting Policies [Abstract] | |
Repurchase financing period, low end of range | 1 month |
Repurchase financing period, high end of range | 6 months |
Repurchase financings collateralized by residential whole loans, high end | 12 months |
Summary of Significant Accounting Policies (Equity Based Compensation) (Details) - RSUs |
63 Months Ended |
---|---|
Mar. 31, 2019 | |
Share based compensation | |
Vesting period of restricted share units (RSUs) | 3 years |
Period for measuring market condition of award | 3 years |
Summary of Significant Accounting Policies (Income Tax) (Details) - USD ($) |
9 Months Ended | |
---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Accounting Policies [Abstract] | ||
Percentage of annual REIT taxable income distributed to stockholders | 100.00% | |
REIT income tax expense | $ 0 | |
Deferred income tax expense (benefit) | 0 | $ 0 |
Valuation allowance decrease | $ 75,500,000 |
Summary of Significant Accounting Policies (Accounting Standards Adopted in 2020) (Details) - USD ($) $ in Thousands |
Sep. 30, 2020 |
Jun. 30, 2020 |
Mar. 31, 2020 |
Jan. 01, 2020 |
Dec. 31, 2019 |
Sep. 30, 2019 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Dec. 31, 2018 |
---|---|---|---|---|---|---|---|---|---|
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||||||
Allowance for loan loss | $ 106,246 | $ 136,589 | $ 218,011 | $ 3,025 | $ 2,271 | $ 1,986 | $ 1,651 | $ 968 | |
Cumulative Effect, Period of Adoption, Adjustment | |||||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||||||
Allowance for loan loss | $ 8,300 |
Residential Whole Loans (Narrative) (Details) - USD ($) |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2020 |
Jun. 30, 2020 |
Mar. 31, 2020 |
Sep. 30, 2020 |
Dec. 31, 2019 |
|
Receivables [Abstract] | |||||
Total residential whole loans | $ 5,600,000,000 | $ 5,600,000,000 | $ 7,400,000,000 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Loss on sale of financing receivable | (800,000) | ||||
Valuation allowance adjustment | $ 70,181,000 | $ (70,181,000) | |||
Interest income | 0 | ||||
Unpaid principal balance of loans | 24,100,000 | 24,100,000 | |||
Non-QM Loans | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Financing receivable, sale | 1,800,000,000 | ||||
Loss on sale of financing receivable | 273,000,000.0 | ||||
Valuation allowance adjustment | 70,181,000 | (70,181,000) | |||
Purchased Performing Loans | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Financing receivable, nonaccrual | 345,600,000 | 345,600,000 | $ 99,900,000 | ||
Purchased Credit Deteriorated Loans | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Valuation allowance adjustment | $ 0 | $ 0 | |||
Financing receivable, nonaccrual | 148,700,000 | 148,700,000 | |||
Without Associated Credit Losses | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Financing receivable, nonaccrual | $ 134,800,000 | $ 134,800,000 |
Residential Whole Loans (Residential Whole Loans, at Carrying Value) (Details) $ in Thousands |
Sep. 30, 2020
USD ($)
loan
|
Jan. 01, 2020
USD ($)
|
Dec. 31, 2019
USD ($)
loan
|
||
---|---|---|---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Purchased Performing Loans | $ 3,791,792 | $ 5,370,653 | |||
Purchased Credit Deteriorated Loans | 702,013 | 698,717 | |||
Total Residential whole loans, at carrying value | [1] | 4,493,805 | 6,069,370 | ||
Allowance for credit losses on residential whole loans held at carrying value | (106,246) | (3,025) | |||
Total Residential whole loans at carrying value, net | $ 4,387,559 | $ 6,066,345 | |||
Number of loans | loan | 13,754 | 17,082 | |||
Non-QM Loans | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Purchased Performing Loans | $ 2,465,148 | $ 3,707,245 | |||
Rehabilitation loans | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Purchased Performing Loans | 699,868 | 1,026,097 | |||
Single-family rental loans | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Purchased Performing Loans | 479,070 | 460,742 | |||
Seasoned performing loans | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Purchased Performing Loans | $ 147,706 | $ 176,569 | |||
Cumulative Effect, Period of Adoption, Adjustment | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Purchased Credit Deteriorated Loans | $ 62,600 | ||||
|
Residential Whole Loans (Interest Income Components) (Details) - Residential whole loans - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Interest income | $ 54,393 | $ 64,226 | $ 207,306 | $ 171,725 |
Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Interest income | 25,884 | 30,258 | 112,212 | 79,250 |
Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Interest income | 10,863 | 15,142 | 39,502 | 38,331 |
Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Interest income | 6,917 | 5,025 | 21,528 | 11,652 |
Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Interest income | 1,945 | 3,166 | 6,799 | 9,461 |
Purchased Performing Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Interest income | 45,609 | 53,591 | 180,041 | 138,694 |
Purchased credit impaired loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Interest income | $ 8,784 | $ 10,635 | $ 27,265 | $ 33,031 |
Residential Whole Loans (Residential Whole Loans, at Carrying Value - Additional Information) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Mar. 31, 2020 |
Sep. 30, 2020 |
Sep. 30, 2019 |
Dec. 31, 2019 |
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 3,791,792 | $ 5,370,653 | ||
Purchased Credit Deteriorated Loans | 702,013 | 698,717 | ||
Residential whole loans, at carrying value, total or weighted average | $ 4,493,806 | |||
Weighted Average LTV Ratio | 80.00% | |||
Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 2,465,148 | 3,707,245 | ||
Residential whole loans, at carrying value, total or weighted average | 2,465,148 | |||
Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | 699,868 | 1,026,097 | ||
Residential whole loans, at carrying value, total or weighted average | 699,868 | |||
Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | 479,070 | 460,742 | ||
Residential whole loans, at carrying value, total or weighted average | 479,070 | |||
Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | 147,706 | 176,569 | ||
Residential whole loans, at carrying value, total or weighted average | $ 147,706 | |||
90 or more | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Weighted Average LTV Ratio | 87.82% | 89.69% | ||
Settled Whole Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Residential whole loans, at carrying value, total or weighted average | $ 4,387,559 | 6,066,345 | ||
Amortized Cost Basis | 4,493,805 | 6,069,370 | ||
Unpaid Principal Balance (“UPB”) | $ 4,546,058 | $ 6,141,421 | ||
Weighted Average Coupon | 5.81% | 5.96% | ||
Weighted Average Term to Maturity (Months) | 288 months | 277 months | ||
Settled Whole Loans | Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 2,438,395 | $ 3,706,857 | ||
Amortized Cost Basis | 2,465,148 | 3,707,245 | ||
Unpaid Principal Balance (“UPB”) | $ 2,397,247 | $ 3,592,701 | ||
Weighted Average Coupon | 5.87% | 5.96% | ||
Weighted Average Term to Maturity (Months) | 368 months | 352 months | ||
Weighted Average LTV Ratio | 67.00% | 64.00% | ||
Weighted Average FICO Scores | 716 | 712 | ||
Settled Whole Loans | Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 677,235 | $ 1,023,766 | ||
Amortized Cost Basis | 699,868 | 1,026,097 | ||
Unpaid Principal Balance (“UPB”) | $ 699,868 | $ 1,026,097 | ||
Weighted Average Coupon | 7.28% | 7.30% | ||
Weighted Average Term to Maturity (Months) | 8 months | 4 months | ||
Weighted Average LTV Ratio | 64.00% | 63.00% | ||
Weighted Average FICO Scores | 717 | 718 | ||
Settled Whole Loans | Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 474,045 | $ 460,679 | ||
Amortized Cost Basis | 479,070 | 460,741 | ||
Unpaid Principal Balance (“UPB”) | $ 475,072 | $ 457,146 | ||
Weighted Average Coupon | 6.28% | 6.29% | ||
Weighted Average Term to Maturity (Months) | 324 months | 319 months | ||
Weighted Average LTV Ratio | 70.00% | 70.00% | ||
Weighted Average FICO Scores | 734 | 734 | ||
Settled Whole Loans | Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 147,556 | $ 176,569 | ||
Amortized Cost Basis | 147,706 | 176,569 | ||
Unpaid Principal Balance (“UPB”) | $ 161,257 | $ 192,151 | ||
Weighted Average Coupon | 3.45% | 4.24% | ||
Weighted Average Term to Maturity (Months) | 181 months | 173 months | ||
Weighted Average LTV Ratio | 46.00% | 41.00% | ||
Weighted Average FICO Scores | 723 | 723 | ||
Settled Whole Loans | Purchased credit impaired loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Credit Deteriorated Loans | $ 650,328 | $ 698,474 | ||
Amortized Cost Basis | 702,013 | 698,718 | ||
Unpaid Principal Balance (“UPB”) | $ 812,614 | $ 873,326 | ||
Weighted Average Coupon | 4.45% | 4.46% | ||
Weighted Average Term to Maturity (Months) | 294 months | 289 months | ||
Weighted Average LTV Ratio | 81.00% | 79.00% | ||
Settled Whole Loans | Certain Rehabilitation Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased Performing Loans | $ 222,200 | $ 269,200 | ||
Weighted Average LTV Ratio | 69.00% | 68.00% | ||
Settled Whole Loans | Current | Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | $ 2,174,935 | 3,492,533 | ||
Settled Whole Loans | Current | Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 491,343 | 868,281 | ||
Settled Whole Loans | Current | Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 439,503 | 432,936 | ||
Settled Whole Loans | Current | Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 136,622 | 187,683 | ||
Settled Whole Loans | 30-59 | Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 74,231 | 59,963 | ||
Settled Whole Loans | 30-59 | Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 65,166 | 67,747 | ||
Settled Whole Loans | 30-59 | Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 16,111 | 15,948 | ||
Settled Whole Loans | 30-59 | Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 1,406 | 2,164 | ||
Settled Whole Loans | 60-89 | Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 52,069 | 19,605 | ||
Settled Whole Loans | 60-89 | Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 22,995 | 27,437 | ||
Settled Whole Loans | 60-89 | Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 7,373 | 2,047 | ||
Settled Whole Loans | 60-89 | Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 880 | 430 | ||
Settled Whole Loans | 90 or more | Non-QM Loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 163,913 | 20,600 | ||
Settled Whole Loans | 90 or more | Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 120,364 | 62,632 | ||
Settled Whole Loans | 90 or more | Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 16,083 | 6,215 | ||
Settled Whole Loans | 90 or more | Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | 8,798 | 1,874 | ||
Settled Whole Loans | 90 or more | Purchased credit impaired loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Amortized Cost Basis | $ 122,478 | $ 108,998 |
Residential Whole Loans (Allowance for Credit Losses) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||
---|---|---|---|---|---|---|---|
Sep. 30, 2020 |
Jun. 30, 2020 |
Mar. 31, 2020 |
Sep. 30, 2019 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Sep. 30, 2020 |
|
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||||
Beginning balance | $ 136,589 | $ 218,011 | $ 3,025 | $ 1,986 | $ 1,651 | $ 968 | $ 3,025 |
Transition adjustment on adoption of ASU 2016-13 | 70,555 | 70,600 | |||||
Current provision | (30,062) | (10,614) | 74,897 | 347 | 385 | 683 | |
Write-offs | (281) | (627) | (647) | (62) | (50) | 0 | (1,555) |
Valuation adjustment on loans held for sale | (70,181) | 70,181 | |||||
Ending balance | 106,246 | 136,589 | 218,011 | 2,271 | 1,986 | 1,651 | 106,246 |
Residential whole loans, at carrying value | 4,493,806 | 4,493,806 | |||||
Gross up of the amortized cost basis of Purchased Credit Deteriorated Loans | 62,400 | ||||||
Non-QM Loans | |||||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||||
Beginning balance | 31,353 | 103,831 | 388 | 0 | 0 | 0 | 388 |
Transition adjustment on adoption of ASU 2016-13 | 6,904 | ||||||
Current provision | (4,568) | (2,297) | 26,358 | 0 | 0 | 0 | |
Write-offs | (32) | 0 | 0 | 0 | 0 | 0 | |
Valuation adjustment on loans held for sale | (70,181) | 70,181 | |||||
Ending balance | 26,753 | 31,353 | 103,831 | 0 | 0 | 0 | 26,753 |
Rehabilitation loans | |||||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||||
Beginning balance | 30,000 | 35,633 | 2,331 | 450 | 500 | 0 | 2,331 |
Transition adjustment on adoption of ASU 2016-13 | 517 | ||||||
Current provision | (7,140) | (5,213) | 33,213 | 0 | 0 | 500 | |
Write-offs | (227) | (420) | (428) | (62) | (50) | 0 | |
Valuation adjustment on loans held for sale | 0 | 0 | |||||
Ending balance | 22,633 | 30,000 | 35,633 | 388 | 450 | 500 | 22,633 |
Residential whole loans, at carrying value | 143,400 | 143,400 | |||||
Single-family rental loans | |||||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||||
Beginning balance | 6,931 | 7,431 | 62 | 0 | 0 | 0 | 62 |
Transition adjustment on adoption of ASU 2016-13 | 754 | ||||||
Current provision | (1,906) | (500) | 6,615 | 0 | 0 | 0 | |
Write-offs | 0 | 0 | 0 | 0 | 0 | 0 | |
Valuation adjustment on loans held for sale | 0 | 0 | |||||
Ending balance | 5,025 | 6,931 | 7,431 | 0 | 0 | 0 | 5,025 |
Seasoned performing loans | |||||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||||
Beginning balance | 224 | 249 | 0 | 0 | 0 | 0 | 0 |
Transition adjustment on adoption of ASU 2016-13 | 19 | ||||||
Current provision | (74) | (25) | 230 | 0 | 0 | 0 | |
Write-offs | 0 | 0 | 0 | 0 | 0 | 0 | |
Valuation adjustment on loans held for sale | 0 | 0 | |||||
Ending balance | 150 | 224 | 249 | 0 | 0 | 0 | 150 |
Purchased Credit Deteriorated Loans | |||||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||||
Beginning balance | 68,081 | 70,867 | 244 | 1,536 | 1,151 | 968 | 244 |
Transition adjustment on adoption of ASU 2016-13 | 62,361 | ||||||
Current provision | (16,374) | (2,579) | 8,481 | 347 | 385 | 183 | |
Write-offs | (22) | (207) | (219) | 0 | 0 | 0 | |
Valuation adjustment on loans held for sale | 0 | 0 | |||||
Ending balance | 51,685 | $ 68,081 | $ 70,867 | $ 1,883 | $ 1,536 | $ 1,151 | 51,685 |
Residential whole loans, at carrying value | 72,700 | 72,700 | |||||
Unfunded Loan Commitment | |||||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||||
Ending balance | 1,600 | 1,600 | |||||
Commitment to lend, unfunded | 73,200 | 73,200 | |||||
Non-QM Loans | |||||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||||
Write-offs | (32) | ||||||
Residential whole loans, at carrying value | $ 2,465,148 | $ 2,465,148 |
Residential Whole Loans (Additional Credit Related Information) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2020 |
Jun. 30, 2020 |
Mar. 31, 2020 |
Sep. 30, 2019 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Sep. 30, 2020 |
Dec. 31, 2019 |
|
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | $ 490,345 | $ 490,345 | ||||||
2019 | 2,091,705 | 2,091,705 | ||||||
2018 | 948,938 | 948,938 | ||||||
2017 | 107,208 | 107,208 | ||||||
2016 | 12,768 | 12,768 | ||||||
Prior | 842,842 | 842,842 | ||||||
Residential whole loans, at carrying value, total or weighted average | 4,493,806 | 4,493,806 | ||||||
Gross write-offs, 2019 | 13 | |||||||
Gross write-offs, 2018 | 1,062 | |||||||
Gross write-offs, 2017 | 32 | |||||||
Gross write-offs, prior | 448 | |||||||
Nine Months Ended September 30, 2020 Gross write-offs | 281 | $ 627 | $ 647 | $ 62 | $ 50 | $ 0 | 1,555 | |
Net write-offs, 2019 | 13 | |||||||
Net write-offs, 2018 | 1,062 | |||||||
Net write-offs, 2017 | 32 | |||||||
Net write-offs | 448 | |||||||
Total Recoveries | 0 | |||||||
Nine Months Ended September 30, 2020 Net write-offs | 1,555 | |||||||
Purchased Performing Loans | 3,791,792 | $ 3,791,792 | $ 5,370,653 | |||||
Ratio Loan-To-Value | 80.00% | |||||||
Debt-to-Value Ratio, Less than 80 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 439,607 | $ 439,607 | ||||||
2019 | 2,026,153 | 2,026,153 | ||||||
2018 | 918,394 | 918,394 | ||||||
2017 | 96,397 | 96,397 | ||||||
2016 | 9,432 | 9,432 | ||||||
Prior | 559,803 | 559,803 | ||||||
Residential whole loans, at carrying value, total or weighted average | 4,049,786 | 4,049,786 | ||||||
Debt-to-Value Ratio, 80 to 100 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 50,738 | 50,738 | ||||||
2019 | 65,552 | 65,552 | ||||||
2018 | 30,544 | 30,544 | ||||||
2017 | 10,811 | 10,811 | ||||||
2016 | 3,336 | 3,336 | ||||||
Prior | 283,039 | 283,039 | ||||||
Residential whole loans, at carrying value, total or weighted average | 444,020 | 444,020 | ||||||
Non-QM Loans | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 428,811 | 428,811 | ||||||
2019 | 1,231,653 | 1,231,653 | ||||||
2018 | 714,188 | 714,188 | ||||||
2017 | 83,973 | 83,973 | ||||||
2016 | 6,523 | 6,523 | ||||||
Prior | 0 | 0 | ||||||
Residential whole loans, at carrying value, total or weighted average | 2,465,148 | 2,465,148 | ||||||
Gross write-offs, 2018 | 32 | |||||||
Nine Months Ended September 30, 2020 Gross write-offs | 32 | |||||||
Net write-offs, 2018 | 32 | |||||||
Nine Months Ended September 30, 2020 Net write-offs | 32 | |||||||
Purchased Performing Loans | 2,465,148 | 2,465,148 | 3,707,245 | |||||
Non-QM Loans | Debt-to-Value Ratio, Less than 80 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 380,729 | 380,729 | ||||||
2019 | 1,196,185 | 1,196,185 | ||||||
2018 | 684,404 | 684,404 | ||||||
2017 | 74,862 | 74,862 | ||||||
2016 | 6,371 | 6,371 | ||||||
Prior | 0 | 0 | ||||||
Residential whole loans, at carrying value, total or weighted average | 2,342,551 | 2,342,551 | ||||||
Non-QM Loans | Debt-to-Value Ratio, 80 to 100 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 48,082 | 48,082 | ||||||
2019 | 35,468 | 35,468 | ||||||
2018 | 29,784 | 29,784 | ||||||
2017 | 9,111 | 9,111 | ||||||
2016 | 152 | 152 | ||||||
Prior | 0 | 0 | ||||||
Residential whole loans, at carrying value, total or weighted average | 122,597 | 122,597 | ||||||
Rehabilitation loans | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 37,740 | 37,740 | ||||||
2019 | 558,361 | 558,361 | ||||||
2018 | 94,521 | 94,521 | ||||||
2017 | 9,246 | 9,246 | ||||||
2016 | 0 | 0 | ||||||
Prior | 0 | 0 | ||||||
Residential whole loans, at carrying value, total or weighted average | 699,868 | 699,868 | ||||||
Gross write-offs, 2019 | 13 | |||||||
Gross write-offs, 2018 | 1,030 | |||||||
Gross write-offs, 2017 | 32 | |||||||
Gross write-offs, prior | 0 | |||||||
Nine Months Ended September 30, 2020 Gross write-offs | 1,075 | |||||||
Net write-offs, 2019 | 13 | |||||||
Net write-offs, 2018 | 1,030 | |||||||
Net write-offs, 2017 | 32 | |||||||
Net write-offs | 0 | |||||||
Nine Months Ended September 30, 2020 Net write-offs | 1,075 | |||||||
Purchased Performing Loans | 699,868 | 699,868 | 1,026,097 | |||||
Rehabilitation loans | Debt-to-Value Ratio, Less than 80 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 36,478 | 36,478 | ||||||
2019 | 542,865 | 542,865 | ||||||
2018 | 93,973 | 93,973 | ||||||
2017 | 7,546 | 7,546 | ||||||
2016 | 0 | 0 | ||||||
Prior | 0 | 0 | ||||||
Residential whole loans, at carrying value, total or weighted average | 680,862 | 680,862 | ||||||
Rehabilitation loans | Debt-to-Value Ratio, 80 to 100 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 1,262 | 1,262 | ||||||
2019 | 15,496 | 15,496 | ||||||
2018 | 548 | 548 | ||||||
2017 | 1,700 | 1,700 | ||||||
2016 | 0 | 0 | ||||||
Prior | 0 | 0 | ||||||
Residential whole loans, at carrying value, total or weighted average | 19,006 | 19,006 | ||||||
Single-family rental loans | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 23,794 | 23,794 | ||||||
2019 | 301,691 | 301,691 | ||||||
2018 | 140,229 | 140,229 | ||||||
2017 | 13,356 | 13,356 | ||||||
2016 | 0 | 0 | ||||||
Prior | 0 | 0 | ||||||
Residential whole loans, at carrying value, total or weighted average | 479,070 | 479,070 | ||||||
Purchased Performing Loans | 479,070 | 479,070 | 460,742 | |||||
Single-family rental loans | Debt-to-Value Ratio, Less than 80 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 22,400 | 22,400 | ||||||
2019 | 287,103 | 287,103 | ||||||
2018 | 140,017 | 140,017 | ||||||
2017 | 13,356 | 13,356 | ||||||
2016 | 0 | 0 | ||||||
Prior | 0 | 0 | ||||||
Residential whole loans, at carrying value, total or weighted average | 462,876 | 462,876 | ||||||
Single-family rental loans | Debt-to-Value Ratio, 80 to 100 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 1,394 | 1,394 | ||||||
2019 | 14,588 | 14,588 | ||||||
2018 | 212 | 212 | ||||||
2017 | 0 | 0 | ||||||
2016 | 0 | 0 | ||||||
Prior | 0 | 0 | ||||||
Residential whole loans, at carrying value, total or weighted average | 16,194 | 16,194 | ||||||
Seasoned performing loans | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 0 | 0 | ||||||
2019 | 0 | 0 | ||||||
2018 | 0 | 0 | ||||||
2017 | 0 | 0 | ||||||
2016 | 79 | 79 | ||||||
Prior | 147,627 | 147,627 | ||||||
Residential whole loans, at carrying value, total or weighted average | 147,706 | 147,706 | ||||||
Purchased Performing Loans | 147,706 | 147,706 | 176,569 | |||||
Seasoned performing loans | Debt-to-Value Ratio, Less than 80 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 0 | 0 | ||||||
2019 | 0 | 0 | ||||||
2018 | 0 | 0 | ||||||
2017 | 0 | 0 | ||||||
2016 | 79 | 79 | ||||||
Prior | 139,538 | 139,538 | ||||||
Residential whole loans, at carrying value, total or weighted average | 139,617 | 139,617 | ||||||
Seasoned performing loans | Debt-to-Value Ratio, 80 to 100 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 0 | 0 | ||||||
2019 | 0 | 0 | ||||||
2018 | 0 | 0 | ||||||
2017 | 0 | 0 | ||||||
2016 | 0 | 0 | ||||||
Prior | 8,089 | 8,089 | ||||||
Residential whole loans, at carrying value, total or weighted average | 8,089 | 8,089 | ||||||
Purchased Credit Deteriorated Loans | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 0 | 0 | ||||||
2019 | 0 | 0 | ||||||
2018 | 0 | 0 | ||||||
2017 | 633 | 633 | ||||||
2016 | 6,166 | 6,166 | ||||||
Prior | 695,215 | 695,215 | ||||||
Residential whole loans, at carrying value, total or weighted average | 702,014 | 702,014 | ||||||
Gross write-offs, prior | 448 | |||||||
Nine Months Ended September 30, 2020 Gross write-offs | 448 | |||||||
Net write-offs | 448 | |||||||
Total Recoveries | 0 | |||||||
Nine Months Ended September 30, 2020 Net write-offs | 448 | |||||||
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, Less than 80 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 0 | 0 | ||||||
2019 | 0 | 0 | ||||||
2018 | 0 | 0 | ||||||
2017 | 633 | 633 | ||||||
2016 | 2,982 | 2,982 | ||||||
Prior | 420,265 | 420,265 | ||||||
Residential whole loans, at carrying value, total or weighted average | 423,880 | 423,880 | ||||||
Purchased Credit Deteriorated Loans | Debt-to-Value Ratio, 80 to 100 Percent | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
2020 | 0 | 0 | ||||||
2019 | 0 | 0 | ||||||
2018 | 0 | 0 | ||||||
2017 | 0 | 0 | ||||||
2016 | 3,184 | 3,184 | ||||||
Prior | 274,950 | 274,950 | ||||||
Residential whole loans, at carrying value, total or weighted average | 278,134 | 278,134 | ||||||
Settled Whole Loans | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
Residential whole loans, at carrying value, total or weighted average | 4,387,559 | 4,387,559 | 6,066,345 | |||||
Settled Whole Loans | Non-QM Loans | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
Purchased Performing Loans | 2,438,395 | $ 2,438,395 | 3,706,857 | |||||
Ratio Loan-To-Value | 67.00% | 64.00% | ||||||
Settled Whole Loans | Rehabilitation loans | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
Purchased Performing Loans | 677,235 | $ 677,235 | 1,023,766 | |||||
Ratio Loan-To-Value | 64.00% | 63.00% | ||||||
Settled Whole Loans | Single-family rental loans | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
Purchased Performing Loans | 474,045 | $ 474,045 | 460,679 | |||||
Ratio Loan-To-Value | 70.00% | 70.00% | ||||||
Settled Whole Loans | Seasoned performing loans | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
Purchased Performing Loans | 147,556 | $ 147,556 | 176,569 | |||||
Ratio Loan-To-Value | 46.00% | 41.00% | ||||||
Settled Whole Loans | Certain Rehabilitation Loans | ||||||||
Financing Receivable, Credit Quality Indicator [Line Items] | ||||||||
Purchased Performing Loans | $ 222,200 | $ 222,200 | $ 269,200 | |||||
Ratio Loan-To-Value | 69.00% | 68.00% |
Residential Whole Loans (Fair Value) (Details) $ in Thousands |
9 Months Ended | ||
---|---|---|---|
Sep. 30, 2020
USD ($)
loan
|
Sep. 30, 2019
loan
|
Dec. 31, 2019
USD ($)
|
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Weighted Average LTV Ratio | 80.00% | ||
Total Residential whole loans, at fair value | $ 1,229,664 | $ 1,381,583 | |
Less than 60 Days Past Due: | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Outstanding principal balance | 599,461 | 666,026 | |
Aggregate fair value | $ 577,761 | 641,616 | |
Weighted Average LTV Ratio | 74.33% | 76.69% | |
Number of loans | loan | 3,038 | 3,159 | |
60 Days to 89 Days Past Due: | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Outstanding principal balance | $ 55,183 | 58,160 | |
Aggregate fair value | $ 49,188 | 53,485 | |
Weighted Average LTV Ratio | 83.62% | 79.48% | |
Number of loans | loan | 259 | 313 | |
90 Days or More Past Due: | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Outstanding principal balance | $ 679,211 | 767,320 | |
Aggregate fair value | $ 602,715 | $ 686,482 | |
Weighted Average LTV Ratio | 87.82% | 89.69% | |
Number of loans | loan | 2,532 | 2,983 |
Residential Whole Loans (Fair Value Components of Net Income) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Receivables [Abstract] | ||||
Coupon payments, realized gains and other income received | $ 17,477 | $ 22,202 | $ 54,684 | $ 67,966 |
Net unrealized gains/(losses) | 58,863 | 13,185 | (13,683) | 33,312 |
Net gain on transfers to REO | 531 | 4,788 | 3,430 | 15,637 |
Total | $ 76,871 | $ 40,175 | $ 44,431 | $ 116,915 |
Residential Mortgage Securities and MSR-Related Assets (Narrative) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Debt Securities, Available-for-sale [Line Items] | ||||
Minimum term of fixed rate mortgages underlying MBS | 15 years | |||
Maximum term of fixed rate mortgages underlying MBS | 30 years | |||
Impairment and other losses on securities available-for-sale and other assets | $ (221) | $ 0 | $ (424,966) | $ 0 |
Available-for-sale, unrealized loss position, accumulated loss | 6,092 | 6,092 | ||
Loans in Unrealized Loss Position | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Impairment and other losses on securities available-for-sale and other assets | (63,500) | |||
Non-Agency MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Available-for-sale, unrealized loss position, accumulated loss | $ 3,000 | $ 3,000 | ||
Minimum | RPL/NPL MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt instrument, basis spread on variable rate | 3.00% | |||
Debt instrument, coupon step-up period | 36 months | |||
Maximum | RPL/NPL MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt instrument, basis spread on variable rate | 4.00% | |||
Debt instrument, coupon step-up period | 48 months |
Residential Mortgage Securities and MSR-Related Assets (Residential and Mortgage Securities) (Details) - USD ($) |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | $ 164,458,000 | $ 4,044,818,000 |
Purchase Premiums | 2,414,000 | 67,108,000 |
Accretable Purchase Discounts | (8,315,000) | (90,694,000) |
Discount Designated as Credit Reserve and OTTI | (21,437,000) | (436,598,000) |
Amortized Cost | 137,120,000 | 3,585,248,000 |
Gross Unrealized Gains | 21,737,000 | 417,089,000 |
Gross Unrealized Losses | (6,092,000) | (18,818,000) |
Net Unrealized Gain/(Loss) | 15,645,000 | 398,271,000 |
Fair Value | 152,765,000 | 3,983,519,000 |
Principal payments receivable | 614,000 | |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 1,604,583,000 | |
Purchase Premiums | 62,790,000 | |
Accretable Purchase Discounts | (22,000) | |
Discount Designated as Credit Reserve and OTTI | 0 | |
Amortized Cost | 1,667,965,000 | |
Gross Unrealized Gains | 15,326,000 | |
Gross Unrealized Losses | (18,709,000) | |
Net Unrealized Gain/(Loss) | (3,383,000) | |
Fair Value | 1,664,582,000 | |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Fannie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 1,119,708,000 | |
Purchase Premiums | 43,249,000 | |
Accretable Purchase Discounts | (22,000) | |
Discount Designated as Credit Reserve and OTTI | 0 | |
Amortized Cost | 1,162,935,000 | |
Gross Unrealized Gains | 9,799,000 | |
Gross Unrealized Losses | (14,741,000) | |
Net Unrealized Gain/(Loss) | (4,942,000) | |
Fair Value | 1,157,993,000 | |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Freddie Mac | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 480,879,000 | |
Purchase Premiums | 19,468,000 | |
Accretable Purchase Discounts | 0 | |
Discount Designated as Credit Reserve and OTTI | 0 | |
Amortized Cost | 500,961,000 | |
Gross Unrealized Gains | 5,475,000 | |
Gross Unrealized Losses | (3,968,000) | |
Net Unrealized Gain/(Loss) | 1,507,000 | |
Fair Value | 502,468,000 | |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Ginnie Mae | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 3,996,000 | |
Purchase Premiums | 73,000 | |
Accretable Purchase Discounts | 0 | |
Discount Designated as Credit Reserve and OTTI | 0 | |
Amortized Cost | 4,069,000 | |
Gross Unrealized Gains | 52,000 | |
Gross Unrealized Losses | 0 | |
Net Unrealized Gain/(Loss) | 52,000 | |
Fair Value | 4,121,000 | |
Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 60,295,000 | 2,195,303,000 |
Purchase Premiums | 0 | 0 |
Accretable Purchase Discounts | (8,246,000) | (90,617,000) |
Discount Designated as Credit Reserve and OTTI | (669,000) | (436,598,000) |
Amortized Cost | 51,380,000 | 1,668,088,000 |
Gross Unrealized Gains | 8,015,000 | 395,459,000 |
Gross Unrealized Losses | (2,965,000) | (18,000) |
Net Unrealized Gain/(Loss) | 5,050,000 | 395,441,000 |
Fair Value | $ 56,430,000 | 2,063,529,000 |
Expected to Recover Par | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 722,477,000 | |
Purchase Premiums | 0 | |
Accretable Purchase Discounts | (16,661,000) | |
Discount Designated as Credit Reserve and OTTI | 0 | |
Amortized Cost | 705,816,000 | |
Gross Unrealized Gains | 19,861,000 | |
Gross Unrealized Losses | (9,000) | |
Net Unrealized Gain/(Loss) | 19,852,000 | |
Fair Value | 725,668,000 | |
Expected to Recover Less Than Par | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 1,472,826,000 | |
Purchase Premiums | 0 | |
Accretable Purchase Discounts | (73,956,000) | |
Discount Designated as Credit Reserve and OTTI | (436,598,000) | |
Amortized Cost | 962,272,000 | |
Gross Unrealized Gains | 375,598,000 | |
Gross Unrealized Losses | (9,000) | |
Net Unrealized Gain/(Loss) | 375,589,000 | |
Fair Value | $ 1,337,861,000 | |
Percentage of current face amount of Non-Agency MBS to be recovered | 99.00% | 80.00% |
Total MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | $ 3,799,886,000 | |
Purchase Premiums | 62,790,000 | |
Accretable Purchase Discounts | (90,639,000) | |
Discount Designated as Credit Reserve and OTTI | (436,598,000) | |
Amortized Cost | 3,336,053,000 | |
Gross Unrealized Gains | 410,785,000 | |
Gross Unrealized Losses | (18,727,000) | |
Net Unrealized Gain/(Loss) | 392,058,000 | |
Fair Value | 3,728,111,000 | |
CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | $ 104,163,000 | 244,932,000 |
Purchase Premiums | 2,414,000 | 4,318,000 |
Accretable Purchase Discounts | (69,000) | (55,000) |
Discount Designated as Credit Reserve and OTTI | (20,768,000) | 0 |
Amortized Cost | 85,740,000 | 249,195,000 |
Gross Unrealized Gains | 13,722,000 | 6,304,000 |
Gross Unrealized Losses | (3,127,000) | (91,000) |
Net Unrealized Gain/(Loss) | 10,595,000 | 6,213,000 |
Fair Value | 96,335,000 | 255,408,000 |
RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Current Face | 57,400,000 | 632,300,000 |
Amortized Cost | 49,200,000 | 631,800,000 |
Fair Value | 53,800,000 | 635,000,000.0 |
CRT, Fair Value Option | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Gains | 410,000 | 6,300,000 |
Gross Unrealized Losses | (3,100,000) | (91,000) |
Fair Value | $ 63,300,000 | 255,400,000 |
Agency MBS, Fair Value Option | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross Unrealized Gains | 4,500,000 | |
Gross Unrealized Losses | 0 | |
Debt securities, fair value option | $ 280,300,000 |
Residential Mortgage Securities and MSR-Related Assets (Sale of MBS) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Debt Securities, Available-for-sale [Line Items] | ||||
Sales Proceeds | $ 116 | $ 334,125 | $ 3,062,858 | $ 738,919 |
Gains/(Losses) | 48 | 17,708 | 61,697 | 50,027 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Sales Proceeds | 0 | 257,289 | 1,500,875 | 360,634 |
Gains/(Losses) | 0 | 2,771 | (19,291) | 499 |
Non-Agency MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Sales Proceeds | 116 | 47,867 | 1,318,958 | 244,778 |
Gains/(Losses) | 48 | 14,444 | 107,999 | 41,420 |
CRT securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Sales Proceeds | 0 | 28,969 | 243,025 | 133,507 |
Gains/(Losses) | $ 0 | $ 493 | $ (27,011) | $ 8,108 |
Residential Mortgage Securities and MSR-Related Assets (Unrealized Losses) (Details) $ in Thousands |
Sep. 30, 2020
USD ($)
security
|
Dec. 31, 2019
USD ($)
|
---|---|---|
Fair Value | ||
Less than 12 Months | $ 104,480 | |
12 Months or more | 0 | |
Total | 104,480 | |
Unrealized Losses | ||
Less than 12 Months | 6,092 | |
12 Months or more | 0 | |
Total | $ 6,092 | |
Number of Securities | ||
Less than 12 months (in security) | security | 13 | |
12 months or more (in security) | security | 0 | |
Fair Value | $ 152,765 | $ 3,983,519 |
Gross unrealized losses | 6,092 | 18,818 |
Non-Agency MBS | ||
Unrealized Losses | ||
Total | 3,000 | |
Number of Securities | ||
Fair Value | 56,430 | 2,063,529 |
Gross unrealized losses | 2,965 | 18 |
Total MBS | ||
Fair Value | ||
Less than 12 Months | 44,927 | |
12 Months or more | 0 | |
Total | 44,927 | |
Unrealized Losses | ||
Less than 12 Months | 2,965 | |
12 Months or more | 0 | |
Total | $ 2,965 | |
Number of Securities | ||
Less than 12 months (in security) | security | 5 | |
12 months or more (in security) | security | 0 | |
Fair Value | 3,728,111 | |
Gross unrealized losses | 18,727 | |
CRT securities | ||
Fair Value | ||
Less than 12 Months | $ 59,553 | |
12 Months or more | 0 | |
Total | 59,553 | |
Unrealized Losses | ||
Less than 12 Months | 3,127 | |
12 Months or more | 0 | |
Total | $ 3,127 | |
Number of Securities | ||
Less than 12 months (in security) | security | 8 | |
12 months or more (in security) | security | 0 | |
Fair Value | $ 96,335 | 255,408 |
Gross unrealized losses | 3,127 | $ 91 |
CRT in Loss Positions Only, Fair Value Option | ||
Number of Securities | ||
Fair Value | 59,600 | |
Gross unrealized losses | $ 3,100 |
Residential Mortgage Securities and MSR-Related Assets (Purchase Discounts) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Changes in the components of the purchase discount on Non-Agency MBS | ||||
Realized credit losses | $ 0 | $ 0 | $ (344,269) | $ 0 |
Discount Designated as Credit Reserve | Non-Agency MBS | ||||
Changes in the components of the purchase discount on Non-Agency MBS | ||||
Balance at beginning of period | (669) | (479,566) | (436,598) | (516,116) |
Impact of RMBS Issuer Settlement | 0 | 0 | ||
Accretion of discount | 0 | 0 | 0 | 0 |
Realized credit losses | 0 | 4,062 | 5,868 | 21,482 |
Purchases | 0 | (624) | ||
Sales/Redemptions | 0 | 12,479 | 436,885 | 23,842 |
Net impairment losses recognized in earnings | (11,513) | 0 | ||
Transfers/release of credit reserve | 0 | 930 | 4,689 | 9,321 |
Balance at end of period | (669) | (462,095) | (669) | (462,095) |
Accretable Discount | Non-Agency MBS | ||||
Changes in the components of the purchase discount on Non-Agency MBS | ||||
Balance at beginning of period | (8,430) | (117,753) | (90,617) | (155,025) |
Impact of RMBS Issuer Settlement | 0 | (1,688) | ||
Accretion of discount | 7 | 10,357 | 10,827 | 38,215 |
Realized credit losses | 0 | 0 | 0 | 0 |
Purchases | 0 | 291 | ||
Sales/Redemptions | 177 | 6,029 | 76,233 | 25,231 |
Net impairment losses recognized in earnings | 0 | 0 | ||
Transfers/release of credit reserve | 0 | (930) | (4,689) | (9,321) |
Balance at end of period | $ (8,246) | $ (102,297) | $ (8,246) | (102,297) |
Jp Morgan Chase | ||||
Changes in the components of the purchase discount on Non-Agency MBS | ||||
Proceeds from legal settlements | $ 1,700 |
Residential Mortgage Securities and MSR-Related Assets (Credit Losses Rollforward) (Details) - Mortgage-backed Securities, Issued by US Government Sponsored Enterprises - USD ($) |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Debt Securities, Available-for-sale, Allowance for Credit Loss [Line Items] | ||||
Allowance for credit losses at beginning of period | $ 0 | $ 0 | $ 0 | $ 0 |
Securities with no prior loss allowance | 0 | 0 | 344,269,000 | 0 |
Securities with a prior loss allowance | 0 | 0 | 0 | 0 |
Write-offs, including allowance related to securities the Company intends to sell | 0 | 0 | (344,269,000) | 0 |
Allowance for credit losses at end of period | $ 0 | $ 0 | $ 0 | $ 0 |
Residential Mortgage Securities and MSR-Related Assets (MSR Related Assets - Narrative) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |
---|---|---|---|
Mar. 31, 2020 |
Sep. 30, 2020 |
Dec. 31, 2019 |
|
Term notes backed by MSR-related collateral | |||
Debt Securities, Available-for-sale [Line Items] | |||
Term notes backed by MSR related collateral | $ 234,091 | $ 1,157,463 | |
Amortized costs | 184,500 | 1,200,000 | |
Gross unrealized gains | $ 49,500 | $ 5,200 | |
Weighted average yield | 4.75% | 12.10% | |
Weighted average to maturity | 5 years 3 months 18 days | 9 years 6 months | |
Proceeds from sale of MSR | $ 711,700 | ||
Realized losses | 28,700 | ||
Impairment | 280,800 | ||
Corporate Loan | |||
Debt Securities, Available-for-sale [Line Items] | |||
Commitment to lend | 32,600 | ||
Amount drawn | $ 18,100 | ||
Interest coupon rate | 5.52% | ||
Debt term | 11 months | ||
Minimum | Corporate Loan | |||
Debt Securities, Available-for-sale [Line Items] | |||
Commitment fee on undrawn amount | 0.25% | ||
Maximum | Corporate Loan | |||
Debt Securities, Available-for-sale [Line Items] | |||
Commitment fee on undrawn amount | 1.00% |
Residential Mortgage Securities and MSR-Related Assets (Impact of AFS Securities on AOCI) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
AOCI from AFS Securities: | ||||
Unrealized gain on AFS securities at beginning of period | $ 52,889 | $ 439,898 | $ 392,722 | $ 417,167 |
Unrealized (loss)/gain on AFS securities, net | 15,082 | 5,483 | 408,585 | 50,085 |
Reclassification adjustment for MBS sales included in net income | (60) | (14,499) | (389,127) | (36,370) |
Reclassification adjustment for impairment included in net income | 0 | 0 | (344,269) | 0 |
Change in AOCI from AFS securities | 15,022 | (9,016) | (324,811) | 13,715 |
Balance at end of period | 67,911 | 430,882 | 67,911 | 430,882 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
AOCI from AFS Securities: | ||||
Unrealized (loss)/gain on AFS securities, net | 0 | 603 | (161) | 22,483 |
Non-Agency MBS | ||||
AOCI from AFS Securities: | ||||
Unrealized (loss)/gain on AFS securities, net | 5,998 | 2,856 | 360,315 | 22,211 |
MSR-related assets | ||||
AOCI from AFS Securities: | ||||
Unrealized (loss)/gain on AFS securities, net | $ 9,084 | $ 2,024 | $ 48,431 | $ 5,391 |
Residential Mortgage Securities and MSR-Related Assets (Interest Income) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Debt Securities, Available-for-sale [Line Items] | ||||
Interest income | $ 2,329 | $ 60,639 | $ 51,678 | $ 211,676 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon interest | 0 | 18,994 | 14,038 | 66,560 |
Effective yield adjustment | 0 | (7,188) | (5,186) | (21,039) |
Interest income | 0 | 11,806 | 8,852 | 45,521 |
Legacy Non-Agency MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon interest | 42 | 21,011 | 18,222 | 68,144 |
Effective yield adjustment | 6 | 10,336 | 10,564 | 38,003 |
Interest income | 48 | 31,347 | 28,786 | 106,147 |
Accretion Income | 3,100 | |||
RPL/NPL MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon interest | 811 | 13,227 | 7,622 | 44,305 |
Effective yield adjustment | 94 | 8 | 449 | 158 |
Interest income | 905 | 13,235 | 8,071 | 44,463 |
Accretion Income | 4 | 277 | 152 | |
CRT securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon interest | 956 | 5,174 | 6,063 | 16,769 |
Effective yield adjustment | 420 | (923) | (94) | (1,224) |
Interest income | 1,376 | 4,251 | 5,969 | 15,545 |
MSR-related assets | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon interest | 2,991 | 15,273 | 23,332 | 38,230 |
Effective yield adjustment | 3,250 | 1 | 6,857 | 2 |
Interest income | $ 6,241 | $ 15,274 | $ 30,189 | $ 38,232 |
Other Assets (Details) - USD ($) $ in Thousands |
Sep. 30, 2020 |
Jun. 30, 2020 |
Dec. 31, 2019 |
Sep. 30, 2019 |
Jun. 30, 2019 |
Dec. 31, 2018 |
---|---|---|---|---|---|---|
Other Assets [Abstract] | ||||||
REO | $ 298,866 | $ 348,516 | $ 411,659 | $ 376,200 | $ 334,069 | $ 249,413 |
Capital contributions made to loan origination partners | 108,887 | 147,992 | ||||
Other interest-earning assets | 45,442 | 70,468 | ||||
Interest receivable | 42,723 | 70,986 | ||||
Other MBS and loan related receivables | 36,342 | 43,842 | ||||
Other | 39,354 | 39,304 | ||||
Total Other Assets | 571,614 | 784,251 | ||||
Real estate held-for-investment | $ 59,300 | $ 27,300 |
Other Assets (Real Estate Owned) (Details) $ in Thousands |
Sep. 30, 2020
USD ($)
property
|
Jun. 30, 2020
USD ($)
|
Dec. 31, 2019
USD ($)
property
|
Sep. 30, 2019
USD ($)
property
|
Jun. 30, 2019
USD ($)
|
Dec. 31, 2018
USD ($)
|
---|---|---|---|---|---|---|
Real Estate Properties [Line Items] | ||||||
Number of real estate owned properties | property | 1,131 | 1,652 | 1,508 | |||
Real estate owned | $ 298,866 | $ 348,516 | $ 411,659 | $ 376,200 | $ 334,069 | $ 249,413 |
Residential Whole Loans acquired through foreclosure ordered in lieu | 295,700 | |||||
Carrying Value | ||||||
Real Estate Properties [Line Items] | ||||||
Mortgage loans in process of foreclosure | 132,500 | |||||
Estimated Fair Value | ||||||
Real Estate Properties [Line Items] | ||||||
Mortgage loans in process of foreclosure | $ 487,300 |
Other Assets (Real Estate Owned - Activity) (Details) $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2020
USD ($)
property
|
Sep. 30, 2019
USD ($)
property
|
Sep. 30, 2020
USD ($)
property
|
Sep. 30, 2019
USD ($)
property
|
Dec. 31, 2019
property
|
|
Real Estate Owned [Roll Forward] | |||||
Balance at beginning of period | $ 348,516 | $ 334,069 | $ 411,659 | $ 249,413 | |
Adjustments to record at lower of cost or fair value | 93 | (3,875) | (11,796) | (9,264) | |
Transfer from residential whole loans | 15,672 | 61,888 | 74,891 | 193,531 | |
Purchases and capital improvements, net | 536 | 5,108 | 9,334 | 16,307 | |
Disposals | (65,951) | (20,990) | (185,222) | (73,787) | |
Balance at end of period | $ 298,866 | $ 376,200 | $ 298,866 | $ 376,200 | |
Number of properties | property | 1,131 | 1,508 | 1,131 | 1,508 | 1,652 |
Gain recorded on transfer from residential whole loans to real estate owned | $ 834 | $ 5,000 | $ 4,100 | $ 16,100 | |
Properties sold during period | property | 267 | 142 | 812 | 431 | |
Proceeds from sale of real estate | $ 69,900 | $ 23,000 | $ 195,200 | $ 80,000 | |
Gain on sales of real estate owned | $ 3,900 | $ 2,100 | $ 10,000 | $ 5,800 |
Other Assets (Capital Contributions Made to Loan Origination Partners) (Details) - Loan Originators |
3 Months Ended | 9 Months Ended |
---|---|---|
Sep. 30, 2020
USD ($)
|
Sep. 30, 2020
USD ($)
|
|
Other Assets [Line Items] | ||
Equity method investments | $ 31,000,000.0 | $ 31,000,000.0 |
Equity investment, convertible notes | 75,000,000.0 | 75,000,000.0 |
Impairment on investment | 0 | 65,200,000 |
Company’s residential whole loans at carrying value are serviced by entities the Company has an investment in | 840,500,000 | 840,500,000 |
Preferred Stock | ||
Other Assets [Line Items] | ||
Equity method investments | $ 68,000,000.0 | $ 68,000,000.0 |
Other Assets (Derivative Instruments Narrative) (Details ) |
3 Months Ended | 9 Months Ended |
---|---|---|
Sep. 30, 2020
USD ($)
|
Sep. 30, 2020
USD ($)
|
|
Derivative [Line Items] | ||
Derivative, terminated amount | $ 4,100,000,000 | $ 4,100,000,000 |
Loss on discontinuation of cash flow hedge due to forecasted transaction probable of not occurring | $ 7,200,000 | |
Swap | Hedging | ||
Derivative [Line Items] | ||
Reclassification of hedge gain (loss) from AOCI | (49,900,000) | |
Loss on derivative | $ 0 |
Other Assets (Derivative Instruments - Balance Sheet Location) (Details) - Swap - USD ($) $ in Thousands |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Hedging | ||
Derivative Instruments | ||
Notional Amount | $ 0 | $ 2,942,000 |
Fair Value | 0 | 0 |
Non-Hedging | ||
Derivative Instruments | ||
Notional Amount | 0 | 230,000 |
Fair Value | $ 0 | $ 0 |
Other Assets (Derivative Instruments) (Details) - USD ($) |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
Dec. 31, 2019 |
|
AOCI from derivative hedging instruments: | |||||
Balance at beginning of period | $ (7,176,000) | $ (28,114,000) | $ (22,675,000) | $ 3,121,000 | |
Net loss on Swaps | 0 | (233,000) | (50,127,000) | (30,384,000) | |
Reclassification adjustment for losses/(gains) related to hedging instruments included in net income | 7,176,000 | (685,000) | 72,802,000 | (1,769,000) | |
Balance at end of period | 0 | (29,032,000) | 0 | (29,032,000) | |
Interest Rate Contract | |||||
Derivative [Line Items] | |||||
Assets pledged | 0 | 0 | $ 19,018,000 | ||
Swaps, at fair value | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 3,172,000,000 | ||
Weighted average fixed-pay rate | 0.00% | 0.00% | 2.24% | ||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 1.81% | ||
Interest (expense)/income attributable to Swaps | $ 0 | $ (322,000) | $ (3,359,000) | $ 1,561,000 | |
Weighted average Swap rate paid | 0.00% | 2.29% | 2.06% | 2.32% | |
Weighted average Swap rate received | 0.00% | 2.24% | 1.63% | 2.40% | |
Swaps, at fair value | Over 3 months to 6 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 200,000,000 | ||
Weighted average fixed-pay rate | 0.00% | 0.00% | 2.05% | ||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 1.70% | ||
Swaps, at fair value | Over 6 months to 12 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 1,430,000,000 | ||
Weighted average fixed-pay rate | 0.00% | 0.00% | 2.30% | ||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 1.77% | ||
Swaps, at fair value | Over 12 months to 24 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 1,300,000,000 | ||
Weighted average fixed-pay rate | 0.00% | 0.00% | 2.11% | ||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 1.86% | ||
Swaps, at fair value | Over 24 months to 36 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 20,000,000 | ||
Weighted average fixed-pay rate | 0.00% | 0.00% | 1.38% | ||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 1.90% | ||
Swaps, at fair value | Over 36 months to 48 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 222,000,000 | ||
Weighted average fixed-pay rate | 0.00% | 0.00% | 2.88% | ||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 1.84% | ||
Swap | Hedging | |||||
Derivative [Line Items] | |||||
Loss on derivative | $ 0 | ||||
Swap | Non-Hedging | |||||
Derivative [Line Items] | |||||
Loss on derivative | $ 929,000 | 4,300,000 | $ 17,300,000 | ||
Realized loss | $ 3,700,000 | 9,400,000 | $ 17,700,000 | ||
Agency MBS, at fair value | Interest Rate Contract | |||||
Derivative [Line Items] | |||||
Assets pledged | $ 0 | 0 | $ 2,241,000 | ||
Restricted cash | Interest Rate Contract | |||||
Derivative [Line Items] | |||||
Assets pledged | $ 0 | $ 0 | $ 16,777,000 |
Financing Agreements (Financing Agreements) (Details) - USD ($) $ in Thousands |
Sep. 30, 2020 |
Jun. 30, 2020 |
Jun. 26, 2020 |
Dec. 31, 2019 |
---|---|---|---|---|
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | $ 4,864,554 | $ 10,044,844 | ||
Fair value / Carrying Value | 4,851,121 | 10,031,606 | ||
Financing agreements with non-mark-to-market collateral provisions | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 1,723,959 | |||
Amortized Cost Balance | 1,723,959 | |||
Fair value / Carrying Value | 1,727,407 | |||
Financing agreements with mark-to-market collateral provisions | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 1,489,097 | |||
Amortized Cost Balance | 1,489,097 | |||
Fair value / Carrying Value | 1,490,271 | $ 1,650,000 | ||
Senior secured credit agreement | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 481,250 | $ 500,000 | ||
Amortized Cost Balance | 462,923 | |||
Fair value / Carrying Value | 473,993 | |||
Securitized debt | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 389,051 | 573,900 | ||
Amortized Cost Balance | 380,407 | |||
Fair value / Carrying Value | 388,790 | 570,952 | ||
Total Financing agreements, at fair value | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 4,083,357 | |||
Amortized Cost Balance | 4,056,386 | |||
Fair value / Carrying Value | 4,080,461 | |||
Repurchase agreements | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 9,140,944 | |||
Fair value / Carrying Value | 9,139,821 | |||
Securitized debt | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 451,197 | |||
Fair value / Carrying Value | 448,893 | |||
Convertible senior notes | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 230,000 | 230,000 | ||
Fair value / Carrying Value | 224,867 | 223,971 | ||
Senior notes | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 100,000 | 100,000 | ||
Fair value / Carrying Value | 96,900 | $ 96,862 | ||
Total Financing agreements at carrying value | ||||
Financing Agreements [Line Items] | ||||
Unpaid Principal Balance | 781,197 | |||
Fair value / Carrying Value | $ 770,660 |
Financing Agreements (Financing Agreements, at Fair Values Narrative) (Details) - USD ($) $ in Thousands |
9 Months Ended | |||
---|---|---|---|---|
Jun. 26, 2020 |
Sep. 30, 2020 |
Jun. 30, 2020 |
Dec. 31, 2019 |
|
Financing Agreements [Line Items] | ||||
Agreement amount | $ 4,864,554 | $ 10,044,844 | ||
Financial instruments | 4,851,121 | $ 10,031,606 | ||
Senior secured credit agreement | ||||
Financing Agreements [Line Items] | ||||
Agreement amount | 481,250 | $ 500,000 | ||
Financial instruments | 473,993 | |||
Financing agreements with mark-to-market collateral provisions | ||||
Financing Agreements [Line Items] | ||||
Agreement amount | 1,489,097 | |||
Financial instruments | $ 1,650,000 | 1,490,271 | ||
Financing agreements with non-mark-to-market collateral provisions | ||||
Financing Agreements [Line Items] | ||||
Agreement amount | 1,723,959 | |||
Financial instruments | 1,727,407 | |||
Non Mark to Market Financing Facilities | ||||
Financing Agreements [Line Items] | ||||
Financial instruments | 1,400,000 | |||
Debt instrument term | 2 years | |||
Debt instrument, term, extension | 3 years | |||
Non Mark to Market Financing Facilities on Rehabilitation Loans | ||||
Financing Agreements [Line Items] | ||||
Long-term debt, term | 2 years | |||
Debt outstanding | $ 359,000 | |||
Minimum | Financing agreements with mark-to-market collateral provisions | ||||
Financing Agreements [Line Items] | ||||
Debt instrument term | 1 month | |||
Maximum | Financing agreements with mark-to-market collateral provisions | ||||
Financing Agreements [Line Items] | ||||
Debt instrument term | 3 months |
Financing Agreements (Borrowings Under Repurchase Agreement And Associated Assets Pledged as Collateral) (Details) - USD ($) $ in Thousands |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair value of securities pledged as collateral under repurchase agreements | $ 5,200,000 | $ 11,300,000 |
Non Mark to Market Financing Facilities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | 1,471,269 | 0 |
Fair value of securities pledged as collateral under repurchase agreements | $ 2,323,085 | $ 0 |
Weighted average haircut (percent) | 41.91% | 0.00% |
Financing agreements with non-mark-to-market collateral provisions | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 256,138 | $ 0 |
Fair value of securities pledged as collateral under repurchase agreements | $ 435,081 | $ 0 |
Weighted average haircut (percent) | 41.25% | 0.00% |
Residential whole loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 1,231,734 | $ 4,743,094 |
Fair value of securities pledged as collateral under repurchase agreements | $ 2,002,903 | $ 5,986,267 |
Weighted average haircut (percent) | 30.88% | 20.07% |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 0 | $ 1,557,675 |
Fair value of securities pledged as collateral under repurchase agreements | $ 0 | $ 1,656,373 |
Weighted average haircut (percent) | 0.00% | 4.46% |
Non-Agency MBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 1,282 | $ 1,121,802 |
Fair value of securities pledged as collateral under repurchase agreements | $ 2,621 | $ 1,420,797 |
Weighted average haircut (percent) | 50.00% | 20.27% |
RPL/NPL MBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 32,950 | $ 495,091 |
Fair value of securities pledged as collateral under repurchase agreements | $ 53,809 | $ 635,005 |
Weighted average haircut (percent) | 38.75% | 21.52% |
CRT securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 54,883 | $ 203,569 |
Fair value of securities pledged as collateral under repurchase agreements | $ 96,336 | $ 252,175 |
Weighted average haircut (percent) | 42.47% | 18.84% |
MSR-related assets | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 135,340 | $ 962,515 |
Fair value of securities pledged as collateral under repurchase agreements | $ 252,183 | $ 1,217,002 |
Weighted average haircut (percent) | 39.87% | 21.18% |
Other Interest Earning Assets | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Carrying Value | $ 34,082 | $ 57,198 |
Fair value of securities pledged as collateral under repurchase agreements | $ 44,079 | $ 61,708 |
Weighted average haircut (percent) | 25.00% | 22.01% |
Repurchase Agreement Borrowings | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Unamortized debt issuance expense | $ 0 | $ 1,123 |
Loan Securitization | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair value of securities pledged as collateral under repurchase agreements | 192,700 | 238,800 |
Financing Agreement | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Cash pledged as collateral | $ 5,300 | $ 25,200 |
Financing Agreements (Borrowings Under Repurchase Agreement) (Details) - Repurchase Agreement Borrowings - USD ($) $ in Thousands |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Other financing agreements | $ 3,213,056 | $ 9,140,944 |
Weighted Average Interest Rate | 3.33% | 2.99% |
Less debt issuance costs | $ 0 | $ 1,123 |
Total financing agreements less debt issuance costs | 3,213,056 | 9,139,821 |
Within 30 days | ||
Debt Securities, Available-for-sale [Line Items] | ||
Other financing agreements | $ 2,932,213 | $ 4,472,120 |
Weighted Average Interest Rate | 3.36% | 2.55% |
Over 30 days to 3 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Other financing agreements | $ 0 | $ 2,746,384 |
Weighted Average Interest Rate | 0.00% | 3.43% |
Over 3 months to 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Other financing agreements | $ 280,843 | $ 1,014,441 |
Weighted Average Interest Rate | 3.02% | 3.36% |
Over 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Other financing agreements | $ 0 | $ 907,999 |
Weighted Average Interest Rate | 0.00% | 3.44% |
Financing Agreements (Counterparty for Repurchase Agreement) (Details) $ in Thousands |
9 Months Ended | |
---|---|---|
Sep. 30, 2020
USD ($)
counterparty
|
Dec. 31, 2019
counterparty
|
|
Repurchase agreements counterparty risk | ||
Number of counterparties | counterparty | 8 | 28 |
Threshold of stockholders' equity at risk with single counterparty to repurchase agreements or linked transactions (greater than) (percent) | 5.00% | |
Amounts at risk exceeding equity | 5.00% | |
Barclays Bank | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 750,922 | |
Weighted Average Months to Repricing for Repurchase Agreements | 1 month | |
Percent of Stockholders’ Equity | 29.30% | |
Credit Suisse | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 574,835 | |
Weighted Average Months to Repricing for Repurchase Agreements | 1 month | |
Percent of Stockholders’ Equity | 22.40% | |
Wells Fargo | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 349,825 | |
Weighted Average Months to Repricing for Repurchase Agreements | 1 month | |
Percent of Stockholders’ Equity | 13.60% | |
Goldman Sachs | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 173,266 | |
Weighted Average Months to Repricing for Repurchase Agreements | 3 months | |
Percent of Stockholders’ Equity | 6.80% | |
Goldman Sachs Lending Partners | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 20,600 | |
Goldman Sachs Bank USA | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | 152,700 | |
Athene | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 144,245 | |
Weighted Average Months to Repricing for Repurchase Agreements | 1 month | |
Percent of Stockholders’ Equity | 5.60% |
Financing Agreements (Securitized Debt) (Details) |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Asset-backed Securities, Securitized Loans and Receivables | ||
Debt Instrument [Line Items] | ||
Weighted average interest rate | 2.93% | 3.68% |
Financing Agreements (Senior Secured Credit Agreement - Narrative) (Details) - Senior Secured Term Loan Facility |
Jun. 26, 2020
USD ($)
|
---|---|
Repurchase agreements counterparty risk | |
Debt instrument, face amount | $ 500,000,000 |
Original issue discount, term loan | 1.00% |
Stated interest rate | 11.00% |
Optional prepayment rate prior to 3rd anniversary | 3.00% |
Interest rate increase on third anniversary | 1.00% |
Additional interest rate increase on each subsequent anniversary of the Funding Date | 1.00% |
Increase upon of default status | 2.00% |
Optional prepayment amount | $ 250,000,000 |
First Three Years | |
Repurchase agreements counterparty risk | |
Stated interest rate | 3.75% |
After Third Year | |
Repurchase agreements counterparty risk | |
Stated interest rate | 4.50% |
Financing Agreements (Convertible Senior Notes) (Details) |
9 Months Ended | ||
---|---|---|---|
Jun. 03, 2019
USD ($)
$ / shares
|
Sep. 30, 2020
USD ($)
|
Sep. 30, 2019
USD ($)
|
|
Debt Instrument [Line Items] | |||
Proceeds from issuance of Series C Preferred Stock | $ 0 | $ 223,311,000 | |
Convertible Debt | |||
Debt Instrument [Line Items] | |||
Proceeds from issuance of Series C Preferred Stock | $ 230,000,000.0 | ||
Proceed from debt net of offering expenses and underwriting discount | $ 223,300,000 | ||
Stated interest rate | 6.25% | ||
Conversion ratio | 125.7387 | ||
Debt instrument, face amount | $ 1,000 | ||
Conversion price | $ / shares | $ 7.95 | ||
Effective interest rate | 6.94% | ||
Additional Convertible Senior Notes | |||
Debt Instrument [Line Items] | |||
Proceeds from issuance of Series C Preferred Stock | $ 30,000,000.0 |
Financing Agreements (Senior Notes) (Details) - Senior Notes $ in Millions |
Apr. 11, 2012
USD ($)
|
---|---|
Debt Instrument [Line Items] | |
Proceeds from issuance of debt | $ 100.0 |
Proceed from debt net of offering expenses and underwriting discount | $ 96.6 |
Stated interest rate | 8.00% |
Effective interest rate | 8.31% |
Redemption price as percentage of principal amount | 100.00% |
Collateral Positions (Details) - USD ($) $ in Millions |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Collateral Positions | ||
Fair value of securities pledged as collateral under repurchase agreements | $ 5,200.0 | $ 11,300.0 |
Accrued interest on assets | $ 35.8 | $ 57.2 |
Offsetting Assets and Liabilities (Narrative) (Details) - USD ($) |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Offsetting [Abstract] | ||
Fair value of financial instruments pledged against the repurchase agreements and other advances | $ 5,200,000,000 | $ 11,200,000,000 |
Fair value of securities pledged against the swaps | $ 0 | $ 2,200,000 |
Other Liabilities (Details) - USD ($) $ in Thousands |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Other Liabilities [Abstract] | ||
Dividends and dividend equivalents payable | $ 22,758 | $ 90,749 |
Accrued interest payable | 14,588 | 18,238 |
Accrued expenses and other | 29,136 | 42,819 |
Total Other Liabilities | $ 66,482 | $ 151,806 |
Commitments and Contingencies (Lease Commitments) (Details) $ in Thousands |
3 Months Ended | 9 Months Ended |
---|---|---|
Sep. 30, 2020
USD ($)
|
Sep. 30, 2020
USD ($)
lease
|
|
Lease Commitments | ||
Number of operating leases | lease | 3 | |
Corporate headquarters | ||
Lease Commitments | ||
Lease cost | $ 739 | $ 2,100 |
New Corporate Headquarters Location | ||
Lease Commitments | ||
Lease term | 15 years | 15 years |
Renewal term | 5 years | 5 years |
Lease liability | $ 4,600 | $ 4,600 |
Commitments and Contingencies (Representations and Warranties in Connection with Loan Securitization Transactions) (Details) |
Sep. 30, 2020
USD ($)
|
---|---|
Commitments and Contingencies Disclosure [Abstract] | |
Repurchase loans allowance | $ 0 |
Commitments and Contingencies (Corporate Loans) (Details) - Corporate Loan $ in Millions |
Sep. 30, 2020
USD ($)
|
---|---|
Other Commitments [Line Items] | |
Commitment to lend | $ 32.6 |
Remaining borrowing capacity | $ 14.5 |
Commitments and Contingencies (Rehabilitation Loan Commitments) (Details) $ in Millions |
Sep. 30, 2020
USD ($)
|
---|---|
Commitments and Contingencies Disclosure [Abstract] | |
Unfunded commitment for rehabilitation loans | $ 73.2 |
Stockholders' Equity (Narrative) (Details) |
1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 202 Months Ended | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Aug. 12, 2020
$ / shares
|
Aug. 06, 2020
$ / shares
|
Jul. 01, 2020
$ / shares
|
Jun. 15, 2020
USD ($)
$ / shares
shares
|
Mar. 02, 2020
USD ($)
|
Feb. 28, 2020
$ / shares
shares
|
Feb. 14, 2020
$ / shares
|
Apr. 15, 2013
$ / shares
shares
|
Mar. 31, 2020
quarter
director
|
Sep. 30, 2020
USD ($)
$ / shares
shares
|
Sep. 30, 2019
$ / shares
|
Jun. 30, 2019
$ / shares
|
Mar. 31, 2019
$ / shares
|
Sep. 30, 2020
USD ($)
quarter
director
$ / shares
shares
|
Sep. 30, 2019
USD ($)
|
Dec. 31, 2019
$ / shares
shares
|
Jun. 30, 2020
USD ($)
shares
|
Oct. 15, 2019
shares
|
Aug. 16, 2019
USD ($)
|
Dec. 31, 2013
shares
|
Aug. 31, 2005
shares
|
|
Stockholders' Equity | |||||||||||||||||||||
Common stock, cash dividends declared (in dollars per share) | $ 0.05 | $ 0.05 | $ 0.20 | $ 0.20 | $ 0.20 | ||||||||||||||||
Proceeds from issuance of redeemable preferred stock | $ | $ 275,000,000 | $ 0 | |||||||||||||||||||
Aggregate number of shares of common stock authorized (in shares) | shares | 874,300,000 | 874,300,000 | 886,950,000 | ||||||||||||||||||
Number of shares authorized to be repurchased under the Repurchase Program (in shares) | shares | 10,000,000.0 | 4,000,000.0 | |||||||||||||||||||
Number of remaining shares authorized to be repurchased under the Repurchase Program (in shares) | shares | 6,616,355 | 6,616,355 | |||||||||||||||||||
Number of shares called by warrant (in shares) | shares | 37,039,106 | ||||||||||||||||||||
Proceeds from issuance of warrants | $ | $ 495,000,000.0 | $ 14,041,000 | $ 0 | ||||||||||||||||||
DRSPP | |||||||||||||||||||||
Stockholders' Equity | |||||||||||||||||||||
Aggregate number of shares of common stock authorized (in shares) | shares | 9,000,000.0 | ||||||||||||||||||||
Shares of common stock authorized and available for issuance (in shares) | shares | 8,800,000 | 8,800,000 | |||||||||||||||||||
Common shares issued through DRSPP (in shares) | shares | 4,374 | 137,740 | 34,516,508 | ||||||||||||||||||
Net proceeds from shares issued through DRSPP | $ | $ 11,688 | $ 752,095 | $ 287,300,000 | ||||||||||||||||||
Series B Preferred Stock | |||||||||||||||||||||
Stockholders' Equity | |||||||||||||||||||||
Preferred Stock, dividend rate | 7.50% | 7.50% | |||||||||||||||||||
Preferred stock, shares issued (in shares) | shares | 8,000,000 | 8,000,000 | 8,000,000 | ||||||||||||||||||
Preferred stock par value (usd per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||||||||
Dividend declared per share, preferred stock (in dollars per share) | $ 0.46875 | $ 0.9375 | $ 0.46875 | $ 1.40625 | $ 0.46875 | $ 0.46875 | $ 0.46875 | ||||||||||||||
Series C Preferred Stock | |||||||||||||||||||||
Stockholders' Equity | |||||||||||||||||||||
Preferred Stock, dividend rate | 6.50% | ||||||||||||||||||||
Preferred stock, shares issued (in shares) | shares | 11,000,000 | 11,000,000 | |||||||||||||||||||
Preferred stock par value (usd per share) | $ 0.01 | $ 0.01 | |||||||||||||||||||
Dividend declared per share, preferred stock (in dollars per share) | 0.93889 | ||||||||||||||||||||
Amount of preferred dividends in arrears (USD per share) | $ 0.40625 | $ 0.53264 | |||||||||||||||||||
Preferred Stock | Series B Preferred Stock | |||||||||||||||||||||
Stockholders' Equity | |||||||||||||||||||||
Preferred Stock, dividend rate | 7.50% | 7.50% | 7.50% | ||||||||||||||||||
Preferred stock, shares issued (in shares) | shares | 8,000,000.0 | ||||||||||||||||||||
Preferred stock par value (usd per share) | $ 0.01 | ||||||||||||||||||||
Preferred stock, liquidation preference (in dollars per share) | 25.00 | $ 25.00 | $ 25.00 | $ 25.00 | |||||||||||||||||
Preferred stock, redemption price (in dollars per share) | $ 25.00 | ||||||||||||||||||||
Maximum quarters without dividends to get voting rights, in quarters | quarter | 6 | ||||||||||||||||||||
Number of additional directors that can be elected by preferred stock holders | director | 2 | ||||||||||||||||||||
Percentage required for making material changes | 66.67% | ||||||||||||||||||||
Preferred Stock | Series C Preferred Stock | |||||||||||||||||||||
Stockholders' Equity | |||||||||||||||||||||
Preferred Stock, dividend rate | 6.50% | ||||||||||||||||||||
Preferred stock, shares issued (in shares) | shares | 11,000,000.0 | ||||||||||||||||||||
Preferred stock par value (usd per share) | $ 0.01 | ||||||||||||||||||||
Preferred stock, liquidation preference (in dollars per share) | 25.00 | ||||||||||||||||||||
Preferred stock, redemption price (in dollars per share) | $ 25.00 | ||||||||||||||||||||
Maximum quarters without dividends to get voting rights, in quarters | quarter | 6 | ||||||||||||||||||||
Number of additional directors that can be elected by preferred stock holders | director | 2 | ||||||||||||||||||||
Shares reclassified to redeemable capital stock (in shares) | shares | 12,650,000 | ||||||||||||||||||||
Proceeds from issuance of redeemable preferred stock | $ | $ 266,000,000.0 | ||||||||||||||||||||
Warrant | |||||||||||||||||||||
Stockholders' Equity | |||||||||||||||||||||
Proceeds from issuance of warrants | $ | $ 14,000,000.0 | ||||||||||||||||||||
At The Market | |||||||||||||||||||||
Stockholders' Equity | |||||||||||||||||||||
At-the-market, maximum potential proceeds | $ | $ 400,000,000.0 | ||||||||||||||||||||
Sales commission of gross sales price | 2.00% | ||||||||||||||||||||
Number of shares issued (in shares) | shares | 0 | ||||||||||||||||||||
Value remaining outstanding for future offerings | $ | $ 390,000,000.0 | $ 390,000,000.0 | |||||||||||||||||||
LIBOR | Preferred Stock | Series C Preferred Stock | |||||||||||||||||||||
Stockholders' Equity | |||||||||||||||||||||
Debt instrument, basis spread on variable rate | 5.345% | ||||||||||||||||||||
Exercise Price Range One | |||||||||||||||||||||
Stockholders' Equity | |||||||||||||||||||||
Warrant exercise price (usd per share) | $ 1.66 | ||||||||||||||||||||
Exercise Price Range Two | |||||||||||||||||||||
Stockholders' Equity | |||||||||||||||||||||
Warrant exercise price (usd per share) | $ 2.08 | ||||||||||||||||||||
Debt | |||||||||||||||||||||
Stockholders' Equity | |||||||||||||||||||||
Proceeds from issuance of warrants | $ | $ 481,000,000.0 |
Stockholders' Equity (Dividends on Common Stock) (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | ||||
---|---|---|---|---|---|
Aug. 06, 2020 |
Sep. 30, 2020 |
Sep. 30, 2019 |
Jun. 30, 2019 |
Mar. 31, 2019 |
|
Equity [Abstract] | |||||
Dividend Per Share | $ 0.05 | $ 0.05 | $ 0.20 | $ 0.20 | $ 0.20 |
Dividends payable | $ 22,758 | $ 90,614 |
Stockholders' Equity (Accumulated Other Comprehensive Income/(Loss)) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Components of accumulated other comprehensive income/(loss) | ||||
Balance | $ 2,521,051 | $ 3,403,373 | $ 3,383,952 | $ 3,416,101 |
OCI before reclassifications | (7,570) | 335,806 | 19,701 | |
Amounts reclassified from AOCI | 7,116 | (15,184) | (660,594) | (38,139) |
Other Comprehensive Income/(Loss) | (454) | (9,934) | (324,788) | (18,438) |
Balance | 2,565,656 | 3,403,426 | 2,565,656 | 3,403,426 |
Total AOCI | ||||
Components of accumulated other comprehensive income/(loss) | ||||
Balance | 45,713 | 411,784 | 370,047 | 420,288 |
OCI before reclassifications | 5,250 | |||
Amounts reclassified from AOCI | (15,184) | |||
Other Comprehensive Income/(Loss) | (9,934) | |||
Balance | 45,259 | 401,850 | 45,259 | 401,850 |
Net Unrealized Gain/(Loss) on AFS Securities | ||||
Components of accumulated other comprehensive income/(loss) | ||||
Balance | 52,889 | 439,898 | 392,722 | 417,167 |
OCI before reclassifications | 15,082 | 5,483 | 408,585 | 50,085 |
Amounts reclassified from AOCI | (60) | (14,499) | (733,396) | (36,370) |
Other Comprehensive Income/(Loss) | 15,022 | (9,016) | (324,811) | 13,715 |
Balance | 67,911 | 430,882 | 67,911 | 430,882 |
Net (Loss)/Gain on Swaps | ||||
Components of accumulated other comprehensive income/(loss) | ||||
Balance | (7,176) | (28,114) | (22,675) | 3,121 |
OCI before reclassifications | 0 | (233) | (50,127) | (30,384) |
Amounts reclassified from AOCI | 7,176 | (685) | 72,802 | (1,769) |
Other Comprehensive Income/(Loss) | 7,176 | (918) | 22,675 | (32,153) |
Balance | 0 | $ (29,032) | 0 | $ (29,032) |
Net Unrealized Gain/(Loss) on Financing Agreements | ||||
Components of accumulated other comprehensive income/(loss) | ||||
Balance | 0 | 0 | ||
OCI before reclassifications | (22,652) | (22,652) | ||
Amounts reclassified from AOCI | 0 | 0 | ||
Other Comprehensive Income/(Loss) | (22,652) | (22,652) | ||
Balance | $ (22,652) | $ (22,652) |
Stockholders' Equity (Amounts Reclassified out of AOCI) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Amounts Reclassified from AOCI | ||||
Net income/(loss) to common stockholders - basic | $ 78,666 | $ 91,569 | $ (746,876) | $ 265,438 |
Total reclassifications for period | 7,116 | (15,184) | (660,594) | (38,139) |
Amounts Reclassified from AOCI | Accumulated Net Investment Gain (Loss) Including Portion Attributable to Noncontrolling Interest | ||||
Amounts Reclassified from AOCI | ||||
Realized gain on sale of securities | (60) | (14,499) | (389,127) | (36,370) |
Impairment recognized in earnings | 0 | (344,269) | ||
Net income/(loss) to common stockholders - basic | (60) | (14,499) | (733,396) | (36,370) |
Amounts Reclassified from AOCI | Accumulated Net Gain (Loss) from Cash Flow Hedges Attributable to Parent | ||||
Amounts Reclassified from AOCI | ||||
Total Swaps designated as cash flow hedges | $ 7,176 | $ 72,802 | ||
Amortization of de-designated hedging instruments | $ (685) | $ (1,769) |
EPS Calculation (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2020 |
Jun. 30, 2020 |
Mar. 31, 2020 |
Sep. 30, 2019 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Basic Earnings/(Loss) per Share: | ||||||||
Net income/(loss) to common stockholders | $ 87,210 | $ 96,578 | $ (908,995) | $ 95,599 | $ 93,040 | $ 88,857 | $ (725,207) | $ 277,496 |
Dividends declared on preferred stock | (8,219) | (3,750) | $ (3,750) | $ (3,750) | (21,578) | (11,250) | ||
Dividends, dividend equivalents and undistributed earnings allocated to participating securities | (325) | (280) | (91) | (808) | ||||
Net income/(loss) to common stockholders - basic | $ 78,666 | $ 91,569 | $ (746,876) | $ 265,438 | ||||
Basic weighted average common shares outstanding (in shares) | 453,323 | 451,020 | 453,170 | 450,641 | ||||
Basic (Loss)/Earnings per Share (usd per share) | $ 0.17 | $ 0.20 | $ (1.65) | $ 0.59 | ||||
Diluted Earnings/(Loss) per Share: | ||||||||
Net income/(loss) to common stockholders - basic | $ 78,666 | $ 91,569 | $ (746,876) | $ 265,438 | ||||
Interest expense on Convertible Senior Notes | 3,898 | 3,879 | 0 | 5,085 | ||||
Net income/(loss) to common stockholders - diluted | $ 82,564 | $ 95,448 | $ (746,876) | $ 270,523 | ||||
Basic weighted average common shares outstanding (in shares) | 453,323 | 451,020 | 453,170 | 450,641 | ||||
Effect of assumed Convertible Senior Notes conversion to common shares (in shares) | 28,920 | 28,920 | 0 | 12,712 | ||||
Effect of Warrants (in shares) | 11,297 | 0 | 0 | 0 | ||||
Diluted weighted average common shares outstanding (in shares) | 493,540 | 479,940 | 453,170 | 463,353 | ||||
Diluted EPS (usd per share) | $ 0.17 | $ 0.20 | $ (1.65) | $ 0.58 | ||||
Anti-dilutive securities excluded from diluted earnings per share calculations (in shares) | 39,000 | |||||||
RSUs | ||||||||
Diluted Earnings/(Loss) per Share: | ||||||||
Weighted average grant date fair value (in dollars per share) | 6.29 | $ 6.29 | ||||||
Warrant | ||||||||
Diluted Earnings/(Loss) per Share: | ||||||||
Anti-dilutive securities excluded from diluted earnings per share calculations (in shares) | 37,000 | |||||||
Weighted average grant date fair value (in dollars per share) | $ 1.87 | $ 1.87 |
Equity Compensation, Employment Agreements and Other Benefit Plans (Narrative) (Details) - USD ($) |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
Dec. 31, 2019 |
|
Share based compensation | |||||
Maximum shares authorized for grant | 18,000,000.0 | 18,000,000.0 | |||
Shares available for grant (in shares) | 14,300,000 | 14,300,000 | |||
RSUs | |||||
Share based compensation | |||||
Awards granted (in shares) | 497,507 | 0 | 1,702,220 | 912,525 | |
Forfeitures (in shares) | 0 | 20,000 | |||
Unrecognized compensation cost | $ 8,300,000 | $ 8,300,000 | $ 5,500,000 | ||
Period for recognizing unrecognized compensation cost | 1 year 10 months 24 days | ||||
Restricted shares of common stock | |||||
Share based compensation | |||||
Awards granted (in shares) | 79,545 | 0 | |||
Share-based awards outstanding (in shares) | 0 | 0 | |||
Dividend Equivalent Rights | |||||
Share based compensation | |||||
Equivalent rights payment | $ 276,000 | $ 276,000 | $ 773,000 | ||
Equity Compensation Plan | |||||
Share based compensation | |||||
Maximum number of common shares that can be granted to participant in any one year | 2,000,000.0 | ||||
Period during which a participant can be awarded the maximum number of shares allowable under the Plan | 1 year | ||||
Maximum percentage of common shares that can be owned or deemed to be owned by a participant (more than) | 9.80% |
Equity Compensation, Employment Agreements and Other Benefit Plans (Allocated Expense) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Share based compensation | ||||
Allocated expense | $ 2,267 | $ 1,288 | $ 5,094 | $ 4,724 |
RSUs | ||||
Share based compensation | ||||
Allocated expense | $ 2,267 | $ 1,288 | $ 5,094 | $ 4,724 |
Equity Compensation, Employment Agreements and Other Benefit Plans (Details 2) $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2020
USD ($)
officer
|
Sep. 30, 2019
USD ($)
|
Sep. 30, 2020
USD ($)
officer
|
Sep. 30, 2019
USD ($)
|
Dec. 31, 2019
USD ($)
|
|
Deferred Compensation Activity | |||||
Number of officers having employment agreements with the company | officer | 3 | 3 | |||
Deferred Compensation Plans | |||||
Deferred Compensation Activity | |||||
Deferrable compensation by the employee, maximum | 100.00% | ||||
Non-employee directors | $ 75 | $ 134 | $ (1,483) | $ 459 | |
Undistributed Income Deferred | 2,074 | 2,074 | $ 2,349 | ||
Liability Under Deferred Plans | 1,114 | 1,114 | 3,071 | ||
Deferred Compensation Plans | Non-employee directors | |||||
Deferred Compensation Activity | |||||
Non-employee directors | 75 | 134 | (1,483) | 459 | |
Undistributed Income Deferred | 2,074 | 2,074 | 2,349 | ||
Liability Under Deferred Plans | 1,114 | $ 1,114 | $ 3,071 | ||
Savings Plan | |||||
Deferred Compensation Activity | |||||
Employer contribution percentage on first 3 percent of eligible compensation deferred by employees (percent) | 100.00% | ||||
Percentage of eligible compensation deferred by employees qualifying for 100 percent matching contribution (percent) | 3.00% | ||||
Employer contribution percentage on next 2 percent of eligible compensation deferred by employees (percent) | 50.00% | ||||
Percentage of eligible compensation deferred by employees qualifying for 50 percent matching contribution (percent) | 2.00% | ||||
Percentage of employer matching contributions that vest immediately (percent) | 100.00% | ||||
Expenses for matching contributions | $ 120 | $ 94 | $ 360 | $ 323 |
Fair Value of Financial Instruments (Fair Value Hierarchy) (Details) - USD ($) $ in Thousands |
Sep. 30, 2020 |
Dec. 31, 2019 |
||
---|---|---|---|---|
Assets: | ||||
Residential whole loans, at fair value | [1] | $ 1,229,664 | $ 1,381,583 | |
Fair Value | 152,765 | 3,983,519 | ||
Total assets carried at fair value | 1,616,520 | 6,522,565 | ||
Liabilities: | ||||
Securitized debt | 388,790 | |||
Residential whole loans, at fair value | ||||
Assets: | ||||
Residential whole loans, at fair value | 1,229,664 | 1,381,583 | ||
Liabilities: | ||||
Total liabilities carried at fair value | 4,080,461 | |||
Non-Agency MBS | ||||
Assets: | ||||
Fair Value | 56,430 | 2,063,529 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Assets: | ||||
Fair Value | 1,664,582 | |||
CRT securities | ||||
Assets: | ||||
Fair Value | 96,335 | 255,408 | ||
Term notes backed by MSR-related collateral | ||||
Assets: | ||||
Term notes backed by MSR related collateral | 234,091 | 1,157,463 | ||
Financing agreements with non-mark-to-market collateral provisions | ||||
Liabilities: | ||||
Liabilities carried at fair value | 1,727,407 | |||
Financing agreements with mark-to-market collateral provisions | ||||
Liabilities: | ||||
Liabilities carried at fair value | 1,490,271 | |||
Senior secured credit agreement | ||||
Liabilities: | ||||
Liabilities carried at fair value | 473,993 | |||
Level 1 | ||||
Assets: | ||||
Total assets carried at fair value | 0 | 0 | ||
Liabilities: | ||||
Securitized debt | 0 | |||
Level 1 | Residential whole loans, at fair value | ||||
Assets: | ||||
Residential whole loans, at fair value | 0 | 0 | ||
Liabilities: | ||||
Total liabilities carried at fair value | 0 | |||
Level 1 | Non-Agency MBS | ||||
Assets: | ||||
Fair Value | 0 | 0 | ||
Level 1 | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Assets: | ||||
Fair Value | 0 | |||
Level 1 | CRT securities | ||||
Assets: | ||||
Fair Value | 0 | 0 | ||
Level 1 | Term notes backed by MSR-related collateral | ||||
Assets: | ||||
Term notes backed by MSR related collateral | 0 | 0 | ||
Level 1 | Financing agreements with non-mark-to-market collateral provisions | ||||
Liabilities: | ||||
Liabilities carried at fair value | 0 | |||
Level 1 | Financing agreements with mark-to-market collateral provisions | ||||
Liabilities: | ||||
Liabilities carried at fair value | 0 | |||
Level 1 | Senior secured credit agreement | ||||
Liabilities: | ||||
Liabilities carried at fair value | 0 | |||
Level 2 | ||||
Assets: | ||||
Total assets carried at fair value | 386,856 | 5,140,982 | ||
Liabilities: | ||||
Securitized debt | 388,790 | |||
Level 2 | Residential whole loans, at fair value | ||||
Assets: | ||||
Residential whole loans, at fair value | 0 | 0 | ||
Liabilities: | ||||
Total liabilities carried at fair value | 1,121,320 | |||
Level 2 | Non-Agency MBS | ||||
Assets: | ||||
Fair Value | 56,430 | 2,063,529 | ||
Level 2 | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Assets: | ||||
Fair Value | 1,664,582 | |||
Level 2 | CRT securities | ||||
Assets: | ||||
Fair Value | 96,335 | 255,408 | ||
Level 2 | Term notes backed by MSR-related collateral | ||||
Assets: | ||||
Term notes backed by MSR related collateral | 234,091 | 1,157,463 | ||
Level 2 | Financing agreements with non-mark-to-market collateral provisions | ||||
Liabilities: | ||||
Liabilities carried at fair value | 0 | |||
Level 2 | Financing agreements with mark-to-market collateral provisions | ||||
Liabilities: | ||||
Liabilities carried at fair value | 258,537 | |||
Level 2 | Senior secured credit agreement | ||||
Liabilities: | ||||
Liabilities carried at fair value | 473,993 | |||
Level 3 | ||||
Assets: | ||||
Total assets carried at fair value | 1,229,664 | 1,381,583 | ||
Liabilities: | ||||
Securitized debt | 0 | |||
Level 3 | Residential whole loans, at fair value | ||||
Assets: | ||||
Residential whole loans, at fair value | 1,229,664 | 1,381,583 | ||
Liabilities: | ||||
Total liabilities carried at fair value | 2,959,141 | |||
Level 3 | Non-Agency MBS | ||||
Assets: | ||||
Fair Value | 0 | 0 | ||
Level 3 | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Assets: | ||||
Fair Value | 0 | |||
Level 3 | CRT securities | ||||
Assets: | ||||
Fair Value | 0 | 0 | ||
Level 3 | Term notes backed by MSR-related collateral | ||||
Assets: | ||||
Term notes backed by MSR related collateral | 0 | $ 0 | ||
Level 3 | Financing agreements with non-mark-to-market collateral provisions | ||||
Liabilities: | ||||
Liabilities carried at fair value | 1,727,407 | |||
Level 3 | Financing agreements with mark-to-market collateral provisions | ||||
Liabilities: | ||||
Liabilities carried at fair value | 1,231,734 | |||
Level 3 | Senior secured credit agreement | ||||
Liabilities: | ||||
Liabilities carried at fair value | $ 0 | |||
|
Fair Value of Financial Instruments (Level 3 Assets) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
Jun. 30, 2019 |
|
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Residential whole loans held at fair value for which the closing price of the purchase transaction had not occurred | $ 87,000 | $ 87,000 | $ 70,600 | ||
Recurring basis | Level 3 | Residential Whole Loans, at Fair Value | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance at beginning of period | $ 1,200,981 | 1,438,827 | $ 1,381,583 | 1,471,263 | |
Purchases and capitalized advances | 0 | 85,855 | 0 | 210,030 | |
Changes in fair value recorded in Net gain on residential whole loans measured at fair value through earnings | 58,863 | 13,185 | (13,683) | 33,312 | |
Cash collections, net of liquidation gains/(losses) | (21,721) | (31,212) | (65,934) | (94,821) | |
Sales and repurchases | (929) | 0 | (19,460) | (1,216) | |
Transfer to REO | (7,530) | (53,486) | (52,842) | (165,399) | |
Balance at end of period | $ 1,229,664 | 1,453,169 | $ 1,229,664 | 1,453,169 | |
Recurring basis | Level 3 | Term Notes Backed by MSR-Related Collateral | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance at beginning of period | 1,106,026 | 538,499 | |||
Purchases and capitalized advances | 0 | 573,137 | |||
Cash collections, net of liquidation gains/(losses) | (3,920) | (12,897) | |||
Changes in unrealized gains | 2,024 | 5,391 | |||
Transfer to Level 2 | (1,104,130) | (1,104,130) | |||
Balance at end of period | $ 0 | $ 0 |
Fair Value of Financial Instruments (Level 3 Liabilities) (Details) - Level 3 - Recurring basis - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2019 |
Sep. 30, 2019 |
|
Agreements with Non-mark-to-market Collateral Provisions | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance at beginning of period | $ 0 | $ 0 | ||
Transfer from Level 2 | 2,036,597 | 2,036,597 | ||
Payment of principal | $ (312,638) | (312,638) | ||
Changes in unrealized losses | 3,448 | 3,448 | ||
Balance at end of period | 0 | 0 | $ 1,727,407 | |
Agreements with Mark-to-market Collateral Provisions | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance at beginning of period | 0 | 0 | ||
Transfer from Level 2 | 1,386,592 | 1,386,592 | ||
Payment of principal | $ (156,032) | (156,032) | ||
Changes in unrealized losses | 1,174 | 1,174 | ||
Balance at end of period | $ 0 | $ 0 | $ 1,231,734 |
Fair Value of Financial Instruments (Fair Value Methodology) (Details) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Mar. 31, 2020
USD ($)
|
Sep. 30, 2020
USD ($)
|
Sep. 30, 2019
USD ($)
|
Dec. 31, 2019
USD ($)
|
|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Residential whole loans, at fair value | $ 1,229,187 | $ 1,381,113 | ||
Purchases excluded from level 2 fair value | 477 | 470 | ||
Discounted cash flow | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Residential whole loans, at fair value | 774,427 | 829,842 | ||
Liquidation model | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Residential whole loans, at fair value | 454,760 | 551,271 | ||
Simple average amount | $ 383 | $ 365 | ||
Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Annual change in home prices | (0.30%) | 2.40% | ||
Liquidation timeline (in years) | 1 month 6 days | 1 month 6 days | ||
Current value of underlying properties | $ 12 | $ 10 | ||
Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Annual change in home prices | 5.50% | 8.00% | ||
Liquidation timeline (in years) | 4 years 9 months 18 days | 4 years 6 months | ||
Current value of underlying properties | $ 4,500 | $ 4,500 | ||
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0.032 | 0.038 | ||
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0.080 | 0.080 | ||
Discount rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0.039 | 0.042 | ||
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Minimum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0.067 | 0.065 | ||
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Maximum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0.500 | 0.500 | ||
Discount rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0.081 | 0.080 | ||
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0 | 0.007 | ||
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0.093 | 0.180 | ||
Prepayment rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0.039 | 0.045 | ||
Prepayment rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Annual change in home prices | 3.70% | 1.90% | ||
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0 | 0 | ||
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0.303 | 0.230 | ||
Default rate | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0.062 | 0.040 | ||
Default rate | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Liquidation timeline (in years) | 1 year 9 months 18 days | 1 year 9 months 18 days | ||
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Minimum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0 | 0 | ||
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Maximum | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 1.000 | 1.000 | ||
Loss severity | Residential whole loans, at fair value | Level 3 | Discounted cash flow | Weighted Average | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Measurement input | 0.127 | 0.129 | ||
Loss severity | Residential whole loans, at fair value | Level 3 | Liquidation model | Weighted Average | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Current value of underlying properties | $ 684 | $ 734 |
Fair Value of Financial Instruments (Carrying Value vs Fair Value) (Details) - USD ($) $ in Thousands |
Sep. 30, 2020 |
Dec. 31, 2019 |
||
---|---|---|---|---|
Financial Assets: | ||||
Residential whole loans, carrying value | [1] | $ 4,493,805 | $ 6,069,370 | |
Residential whole loans, at fair value | [1] | 1,229,664 | 1,381,583 | |
Fair Value | 152,765 | 3,983,519 | ||
MSR-related assets | 252,183 | 1,217,002 | ||
Restricted cash | 5,303 | 64,035 | ||
Carrying Value | ||||
Financial Assets: | ||||
MSR-related assets | 252,183 | 1,217,002 | ||
Cash and cash equivalents | 884,171 | 70,629 | ||
Restricted cash | 5,303 | 64,035 | ||
Financial Liabilities: | ||||
Securitized debt | 837,683 | 570,952 | ||
Convertible Senior Notes | 224,867 | 223,971 | ||
Senior notes | 96,900 | 96,862 | ||
Estimated Fair Value | ||||
Financial Assets: | ||||
MSR-related assets | 252,183 | 1,217,002 | ||
Cash and cash equivalents | 884,171 | 70,629 | ||
Restricted cash | 5,303 | 64,035 | ||
Financial Liabilities: | ||||
Securitized debt | 839,914 | 575,353 | ||
Convertible Senior Notes | 216,919 | 244,088 | ||
Senior notes | 94,311 | 103,231 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Financial Assets: | ||||
Fair Value | 1,664,582 | |||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Carrying Value | ||||
Financial Assets: | ||||
Fair Value | 0 | 1,664,582 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Estimated Fair Value | ||||
Financial Assets: | ||||
Fair Value | 0 | 1,664,582 | ||
Non-Agency MBS | ||||
Financial Assets: | ||||
Fair Value | 56,430 | 2,063,529 | ||
Non-Agency MBS | Carrying Value | ||||
Financial Assets: | ||||
Fair Value | 56,430 | 2,063,529 | ||
Non-Agency MBS | Estimated Fair Value | ||||
Financial Assets: | ||||
Fair Value | 56,430 | 2,063,529 | ||
CRT securities | ||||
Financial Assets: | ||||
Fair Value | 96,335 | 255,408 | ||
CRT securities | Carrying Value | ||||
Financial Assets: | ||||
Fair Value | 96,335 | 255,408 | ||
CRT securities | Estimated Fair Value | ||||
Financial Assets: | ||||
Fair Value | 96,335 | 255,408 | ||
Residential whole loans, at fair value | ||||
Financial Assets: | ||||
Residential whole loans, at fair value | 1,229,664 | 1,381,583 | ||
Residential whole loans, at fair value | Carrying Value | ||||
Financial Assets: | ||||
Residential whole loans, carrying value | 4,387,559 | 6,069,370 | ||
Residential whole loans, at fair value | 1,229,664 | 1,381,583 | ||
Residential whole loans, at fair value | Estimated Fair Value | ||||
Financial Assets: | ||||
Residential whole loans, carrying value | 4,528,630 | 6,248,745 | ||
Residential whole loans, at fair value | 1,229,664 | 1,381,583 | ||
Financing agreements with non-mark-to-market collateral provisions | Carrying Value | ||||
Financial Liabilities: | ||||
Financing agreements with mark-to-market collateral provisions | 1,727,407 | 0 | ||
Financing agreements with non-mark-to-market collateral provisions | Estimated Fair Value | ||||
Financial Liabilities: | ||||
Financing agreements with mark-to-market collateral provisions | 1,727,407 | 0 | ||
Financing agreements with mark-to-market collateral provisions | Carrying Value | ||||
Financial Liabilities: | ||||
Financing agreements with mark-to-market collateral provisions | 1,231,734 | 4,741,971 | ||
Financing agreements with mark-to-market collateral provisions | Estimated Fair Value | ||||
Financial Liabilities: | ||||
Financing agreements with mark-to-market collateral provisions | 1,231,734 | 4,753,070 | ||
Financing agreements with mark-to-market collateral provisions | Carrying Value | ||||
Financial Liabilities: | ||||
Financing agreements with mark-to-market collateral provisions | 258,537 | 4,397,850 | ||
Financing agreements with mark-to-market collateral provisions | Estimated Fair Value | ||||
Financial Liabilities: | ||||
Financing agreements with mark-to-market collateral provisions | 258,537 | 4,403,139 | ||
Senior secured credit agreement | Carrying Value | ||||
Financial Liabilities: | ||||
Financing agreements with mark-to-market collateral provisions | 473,993 | 0 | ||
Senior secured credit agreement | Estimated Fair Value | ||||
Financial Liabilities: | ||||
Financing agreements with mark-to-market collateral provisions | 473,993 | 0 | ||
Level 3 | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Financial Assets: | ||||
Fair Value | 0 | |||
Level 3 | Non-Agency MBS | ||||
Financial Assets: | ||||
Fair Value | 0 | 0 | ||
Level 3 | CRT securities | ||||
Financial Assets: | ||||
Fair Value | 0 | 0 | ||
Level 3 | Residential whole loans, at fair value | ||||
Financial Assets: | ||||
Residential whole loans, at fair value | 1,229,664 | 1,381,583 | ||
Fair Value, Nonrecurring | Carrying Value | ||||
Financial Assets: | ||||
MSR-related assets | $ 18,100 | $ 59,500 | ||
|
Fair Value of Financial Instruments (Narrative) (Details) - USD ($) $ in Millions |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Other real estate, fair value | $ 74.9 | $ 193.5 |
Use of Special Purpose Entities and Variable Interest Entities (Loan Securitization Transaction) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2020 |
Sep. 30, 2019 |
Dec. 31, 2019 |
|
Asset-backed Securities, Securitized Loans and Receivables | ||||
Variable Interest Entity [Line Items] | ||||
Aggregate fair value | $ 1,681,500 | $ 1,681,500 | $ 1,290,029 | |
Outstanding amount of Senior Bonds, at carrying value | 448,893 | 448,893 | 570,952 | |
Outstanding amount of Senior Bonds, at fair value | 388,790 | 388,790 | 0 | |
Outstanding amount of Senior Bonds, total | 837,683 | 837,683 | 570,952 | |
Outstanding amount of Senior Bonds | $ 837,700 | $ 837,700 | $ 571,000 | |
Weighted average interest rate | 2.93% | 2.93% | 3.68% | |
Weighted average contractual maturity of Senior Bonds | 36 years | 30 years | ||
Cash received | $ 1,193,969 | $ 802,815 | ||
Debt issuance cost | $ 2,200 | 2,200 | $ 2,900 | |
Senior notes | ||||
Variable Interest Entity [Line Items] | ||||
Cash received | 372,800 | 399,800 | ||
Senior notes | Asset-backed Securities, Securitized Loans and Receivables | ||||
Variable Interest Entity [Line Items] | ||||
Principal amount of Securitized debt | 1,202,616 | 1,202,616 | 802,817 | |
Proceeds from Senior bond sold with Step up feature | $ 743,900 | $ 493,200 | ||
Debt instrument, coupon step-up period | 36 months | |||
Senior notes | Asset-backed Securities, Securitized Loans and Receivables | Minimum [Member] | ||||
Variable Interest Entity [Line Items] | ||||
Debt instrument, basis spread on variable rate | 1.00% | |||
Senior notes | Asset-backed Securities, Securitized Loans and Receivables | Maximum [Member] | ||||
Variable Interest Entity [Line Items] | ||||
Debt instrument, basis spread on variable rate | 3.00% | |||
Senior Support Certificates | Asset-backed Securities, Securitized Loans and Receivables | ||||
Variable Interest Entity [Line Items] | ||||
Principal amount of Securitized debt | $ 266,355 | $ 266,355 | $ 275,174 |
Use of Special Purpose Entities and Variable Interest Entities (Narrative) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2020 |
Sep. 30, 2019 |
Dec. 31, 2019 |
|||
Variable Interest Entity [Line Items] | ||||||
Residential whole loans, carrying value | [1] | $ 4,493,805 | $ 4,493,805 | $ 6,069,370 | ||
Residential whole loans, at fair value | [1] | 1,229,664 | 1,229,664 | 1,381,583 | ||
Residential whole loans, net | 4,387,559 | 4,387,559 | 6,066,345 | |||
Total residential whole loans | 5,600,000 | 5,600,000 | 7,400,000 | |||
Asset-backed Securities, Securitized Loans and Receivables | ||||||
Variable Interest Entity [Line Items] | ||||||
Proceeds from issuance of debt | 1,193,969 | $ 802,815 | ||||
Residential whole loans, carrying value | 568,600 | 568,600 | 186,400 | |||
Residential whole loans, at fair value | 521,200 | 521,200 | 567,400 | |||
Securitized debt | 837,700 | 837,700 | 571,000 | |||
Asset-backed Securities, Securitized Loans and Receivables | Other Assets | ||||||
Variable Interest Entity [Line Items] | ||||||
Real estate owned at fair value | 80,300 | 80,300 | $ 137,800 | |||
Senior Bonds | ||||||
Variable Interest Entity [Line Items] | ||||||
Proceeds from issuance of debt | 372,800 | 399,800 | ||||
Proceed from debt net of offering expenses and underwriting discount | $ 372,800 | $ 391,200 | ||||
|
Subsequent Events (Narrative) (Details) - USD ($) |
Oct. 30, 2020 |
Oct. 09, 2020 |
Nov. 05, 2020 |
Nov. 02, 2020 |
Sep. 30, 2020 |
Dec. 31, 2019 |
Dec. 31, 2013 |
---|---|---|---|---|---|---|---|
Subsequent Event [Line Items] | |||||||
Financing agreements ($4,080,461 and $0 held at fair value, respectively) | $ 4,851,121,000 | $ 10,031,606,000 | |||||
Stock repurchase program, authorized amount | $ 10,000,000 | ||||||
Number of remaining shares authorized to be repurchased under the Repurchase Program (in shares) | 6,616,355 | ||||||
Common stock, shares outstanding (in shares) | 453,333,000 | 452,369,000 | |||||
Subsequent Event | |||||||
Subsequent Event [Line Items] | |||||||
Repayments of debt | $ 81,250,000 | $ 400,000,000 | |||||
Stock repurchase program, authorized amount | $ 250,000,000 | ||||||
Subsequent Event | Non-QM Loans [Member] | |||||||
Subsequent Event [Line Items] | |||||||
Financing agreements ($4,080,461 and $0 held at fair value, respectively) | $ 570,000,000 | ||||||
Cash | $ 125,100,000 |
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