Maryland | 13-3974868 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
350 Park Avenue, 20th Floor, New York, New York | 10022 | |
(Address of principal executive offices) | (Zip Code) |
Large accelerated filer x | Accelerated filer o | |
Non-accelerated filer o | Smaller reporting company o | |
Emerging growth company o |
Page | ||
PART I | ||
FINANCIAL INFORMATION | ||
MFA FINANCIAL, INC. CONSOLIDATED BALANCE SHEETS | ||||||||
(In Thousands Except Per Share Amounts) | September 30, 2018 | December 31, 2017 | ||||||
(Unaudited) | ||||||||
Assets: | ||||||||
Mortgage-backed securities (“MBS”) and credit risk transfer (“CRT”) securities: | ||||||||
Agency MBS, at fair value ($2,795,273 and $2,727,510 pledged as collateral, respectively) | $ | 2,905,490 | $ | 2,824,681 | ||||
Non-Agency MBS, at fair value ($3,237,108 and $2,379,523 pledged as collateral, respectively) | 3,334,610 | 3,533,966 | ||||||
CRT securities, at fair value ($504,931 and $595,900 pledged as collateral, respectively) | 538,945 | 664,403 | ||||||
Mortgage servicing rights (“MSR”) related assets ($565,272 and $482,158 pledged as collateral, respectively) | 565,272 | 492,080 | ||||||
Residential whole loans, at carrying value ($1,149,293 and $448,689 pledged as collateral, respectively) (1) | 2,471,567 | 908,516 | ||||||
Residential whole loans, at fair value ($685,095 and $996,226 pledged as collateral, respectively) (1) | 1,449,365 | 1,325,115 | ||||||
Cash and cash equivalents | 104,186 | 449,757 | ||||||
Restricted cash | 6,489 | 13,307 | ||||||
Other assets | 406,069 | 742,909 | ||||||
Total Assets | $ | 11,781,993 | $ | 10,954,734 | ||||
Liabilities: | ||||||||
Repurchase agreements | $ | 7,278,270 | $ | 6,614,701 | ||||
Other liabilities | 951,483 | 1,078,397 | ||||||
Total Liabilities | $ | 8,229,753 | $ | 7,693,098 | ||||
Commitments and contingencies (See Note 10) | ||||||||
Stockholders’ Equity: | ||||||||
Preferred stock, $.01 par value; 7.50% Series B cumulative redeemable; 8,050 shares authorized; 8,000 shares issued and outstanding ($200,000 aggregate liquidation preference) | $ | 80 | $ | 80 | ||||
Common stock, $.01 par value; 886,950 shares authorized; 449,472 and 397,831 shares issued and outstanding, respectively | 4,495 | 3,978 | ||||||
Additional paid-in capital, in excess of par | 3,620,268 | 3,227,304 | ||||||
Accumulated deficit | (598,971 | ) | (578,950 | ) | ||||
Accumulated other comprehensive income | 526,368 | 609,224 | ||||||
Total Stockholders’ Equity | $ | 3,552,240 | $ | 3,261,636 | ||||
Total Liabilities and Stockholders’ Equity | $ | 11,781,993 | $ | 10,954,734 |
(1) | Includes approximately $215.1 million and $183.2 million of Residential whole loans, at carrying value and $723.8 million and $289.3 million of Residential whole loans, at fair value transferred to consolidated variable interest entities (“VIEs”) at September 30, 2018 and December 31, 2017, respectively. Such assets can be used only to settle the obligations of the VIEs. |
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF OPERATIONS (UNAUDITED) | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands, Except Per Share Amounts) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Interest Income: | ||||||||||||||||
Agency MBS | $ | 14,332 | $ | 15,533 | $ | 42,795 | $ | 50,014 | ||||||||
Non-Agency MBS | 58,667 | 63,252 | 169,812 | 212,728 | ||||||||||||
CRT securities | 7,748 | 8,676 | 25,939 | 22,898 | ||||||||||||
MSR related assets | 6,407 | 7,194 | 20,249 | 17,833 | ||||||||||||
Residential whole loans held at carrying value | 29,524 | 9,026 | 61,788 | 26,219 | ||||||||||||
Cash and cash equivalent investments | 754 | 1,452 | 2,348 | 2,854 | ||||||||||||
Interest Income | $ | 117,432 | $ | 105,133 | $ | 322,931 | $ | 332,546 | ||||||||
Interest Expense: | ||||||||||||||||
Repurchase agreements and other advances | $ | 50,881 | $ | 46,303 | $ | 142,832 | $ | 141,444 | ||||||||
Other interest expense | 7,997 | 2,972 | 18,410 | 7,202 | ||||||||||||
Interest Expense | $ | 58,878 | $ | 49,275 | $ | 161,242 | $ | 148,646 | ||||||||
Net Interest Income | $ | 58,554 | $ | 55,858 | $ | 161,689 | $ | 183,900 | ||||||||
Other Income, net: | ||||||||||||||||
Net gain on residential whole loans held at fair value | $ | 34,942 | $ | 18,679 | $ | 105,883 | $ | 48,660 | ||||||||
Net gain on sales of investment securities | 16,415 | 14,933 | 32,661 | 30,530 | ||||||||||||
Other, net | (2,998 | ) | (4,515 | ) | (1,519 | ) | 13,812 | |||||||||
Other Income, net | $ | 48,359 | $ | 29,097 | $ | 137,025 | $ | 93,002 | ||||||||
Operating and Other Expense: | ||||||||||||||||
Compensation and benefits | $ | 6,868 | $ | 10,892 | $ | 20,654 | $ | 26,258 | ||||||||
Other general and administrative expense | 4,155 | 4,081 | 13,569 | 14,060 | ||||||||||||
Loan servicing and other related operating expenses | 8,758 | 6,177 | 23,569 | 14,785 | ||||||||||||
Operating and Other Expense | $ | 19,781 | $ | 21,150 | $ | 57,792 | $ | 55,103 | ||||||||
Net Income | $ | 87,132 | $ | 63,805 | $ | 240,922 | $ | 221,799 | ||||||||
Less Preferred Stock Dividends | 3,750 | 3,750 | 11,250 | 11,250 | ||||||||||||
Net Income Available to Common Stock and Participating Securities | $ | 83,382 | $ | 60,055 | $ | 229,672 | $ | 210,549 | ||||||||
Earnings per Common Share - Basic and Diluted | $ | 0.19 | $ | 0.15 | $ | 0.56 | $ | 0.54 | ||||||||
Dividends Declared per Share of Common Stock | $ | 0.20 | $ | 0.20 | $ | 0.60 | $ | 0.60 |
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) (UNAUDITED) | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Net income | $ | 87,132 | $ | 63,805 | $ | 240,922 | $ | 221,799 | ||||||||
Other Comprehensive Income/(Loss): | ||||||||||||||||
Unrealized loss on Agency MBS, net | (9,177 | ) | (3,032 | ) | (27,507 | ) | (22,241 | ) | ||||||||
Unrealized (loss)/gain on Non-Agency MBS, net | (25,101 | ) | 10,020 | (62,743 | ) | 93,429 | ||||||||||
Reclassification adjustment for MBS sales included in net income | (9,455 | ) | (14,935 | ) | (25,580 | ) | (30,283 | ) | ||||||||
Reclassification adjustment for other-than-temporary impairments included in net income | — | — | — | (1,032 | ) | |||||||||||
Derivative hedging instrument fair value changes, net | 5,390 | 5,791 | 32,974 | 16,671 | ||||||||||||
Other Comprehensive (Loss)/Income | (38,343 | ) | (2,156 | ) | (82,856 | ) | 56,544 | |||||||||
Comprehensive income before preferred stock dividends | $ | 48,789 | $ | 61,649 | $ | 158,066 | $ | 278,343 | ||||||||
Dividends declared on preferred stock | (3,750 | ) | (3,750 | ) | (11,250 | ) | (11,250 | ) | ||||||||
Comprehensive Income Available to Common Stock and Participating Securities | $ | 45,039 | $ | 57,899 | $ | 146,816 | $ | 267,093 |
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED) | ||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2018 | ||||||||||||||||||||||||||||||
(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, 2017 | 8,000 | $ | 80 | 397,831 | $ | 3,978 | $ | 3,227,304 | $ | (578,950 | ) | $ | 609,224 | $ | 3,261,636 | |||||||||||||||
Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | — | — | — | — | — | 295 | — | 295 | ||||||||||||||||||||||
Net income | — | — | — | — | — | 240,922 | — | 240,922 | ||||||||||||||||||||||
Issuance of common stock, net of expenses (1) | — | — | 51,892 | 517 | 391,065 | — | — | 391,582 | ||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | (251 | ) | — | (1,957 | ) | — | — | (1,957 | ) | |||||||||||||||||||
Equity based compensation expense | — | — | — | — | 3,887 | — | — | 3,887 | ||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | (31 | ) | — | — | (31 | ) | ||||||||||||||||||||
Dividends declared on common stock | — | — | — | — | — | (249,287 | ) | — | (249,287 | ) | ||||||||||||||||||||
Dividends declared on preferred stock | — | — | — | — | — | (11,250 | ) | — | (11,250 | ) | ||||||||||||||||||||
Dividends attributable to dividend equivalents | — | — | — | — | — | (701 | ) | — | (701 | ) | ||||||||||||||||||||
Change in unrealized gains on MBS, net | — | — | — | — | — | — | (115,830 | ) | (115,830 | ) | ||||||||||||||||||||
Derivative hedging instrument fair value changes, net | — | — | — | — | — | — | 32,974 | 32,974 | ||||||||||||||||||||||
Balance at September 30, 2018 | 8,000 | $ | 80 | 449,472 | $ | 4,495 | $ | 3,620,268 | $ | (598,971 | ) | $ | 526,368 | $ | 3,552,240 |
Nine Months Ended September 30, 2017 | ||||||||||||||||||||||||||||||
(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, 2016 | 8,000 | $ | 80 | 371,854 | $ | 3,719 | $ | 3,029,062 | $ | (572,641 | ) | $ | 573,682 | $ | 3,033,902 | |||||||||||||||
Net income | — | — | — | — | — | 221,799 | — | 221,799 | ||||||||||||||||||||||
Issuance of common stock, net of expenses (1) | — | — | 25,726 | 250 | 190,265 | — | — | 190,515 | ||||||||||||||||||||||
Repurchase of shares of common stock (1) | — | — | (641 | ) | — | (5,158 | ) | — | — | (5,158 | ) | |||||||||||||||||||
Equity based compensation expense | — | — | — | — | 5,209 | — | — | 5,209 | ||||||||||||||||||||||
Accrued dividends attributable to stock-based awards | — | — | — | — | 20 | — | — | 20 | ||||||||||||||||||||||
Dividends declared on common stock | — | — | — | — | — | (233,244 | ) | — | (233,244 | ) | ||||||||||||||||||||
Dividends declared on preferred stock | — | — | — | — | — | (11,250 | ) | — | (11,250 | ) | ||||||||||||||||||||
Dividends attributable to dividend equivalents | — | — | — | — | — | (686 | ) | — | (686 | ) | ||||||||||||||||||||
Change in unrealized gains on MBS, net | — | — | — | — | — | — | 39,873 | 39,873 | ||||||||||||||||||||||
Derivative hedging instruments fair value changes, net | — | — | — | — | — | — | 16,671 | 16,671 | ||||||||||||||||||||||
Balance at September 30, 2017 | 8,000 | $ | 80 | 396,939 | $ | 3,969 | $ | 3,219,398 | $ | (596,022 | ) | $ | 630,226 | $ | 3,257,651 |
MFA FINANCIAL, INC. CONSOLIDATED STATEMENTS OF CASH FLOWS (UNAUDITED) | ||||||||
Nine Months Ended September 30, | ||||||||
(In Thousands) | 2018 | 2017 | ||||||
Cash Flows From Operating Activities: | ||||||||
Net income | $ | 240,922 | $ | 221,799 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Gain on sales of MBS, CRT securities and U.S. Treasury securities | (32,661 | ) | (30,530 | ) | ||||
Gain on sales of real estate owned | (6,582 | ) | (2,844 | ) | ||||
Gain on liquidation of residential whole loans | (18,598 | ) | (7,178 | ) | ||||
Other-than-temporary impairment charges | — | 1,032 | ||||||
Accretion of purchase discounts on MBS and CRT securities, residential whole loans and MSR related assets | (64,211 | ) | (67,065 | ) | ||||
Amortization of purchase premiums on MBS, CRT securities, and residential whole loans | 21,141 | 23,766 | ||||||
Depreciation and amortization on real estate, fixed assets and other assets | 1,354 | 1,199 | ||||||
Equity-based compensation expense | 3,891 | 5,369 | ||||||
Unrealized gain on residential whole loans at fair value | (26,788 | ) | (12,499 | ) | ||||
Unrealized losses/(gains) on MBS, CRT securities and Swaps | 2,767 | (11,932 | ) | |||||
(Increase)/decrease in other assets and other | (31,018 | ) | 10,538 | |||||
Increase/(decrease) in other liabilities | 33 | (10,248 | ) | |||||
Net cash provided by operating activities | $ | 90,250 | $ | 121,407 | ||||
Cash Flows From Investing Activities: | ||||||||
Principal payments on MBS, CRT securities and MSR related assets | $ | 1,797,012 | $ | 3,387,673 | ||||
Proceeds from sales of MBS, CRT securities and U.S. Treasury securities | 341,589 | 222,143 | ||||||
Purchases of MBS, CRT securities, MSR related assets and U.S. Treasury securities | (2,021,914 | ) | (1,425,717 | ) | ||||
Purchases of residential whole loans and capitalized advances | (2,158,105 | ) | (391,613 | ) | ||||
Principal payments on residential whole loans | 345,917 | 105,549 | ||||||
Proceeds from sales of real estate owned | 93,635 | 51,834 | ||||||
Purchases of real estate owned and capital improvements | (10,179 | ) | (17,224 | ) | ||||
Redemption of Federal Home Loan Bank stock | — | 10,422 | ||||||
Additions to leasehold improvements, furniture and fixtures | (1,009 | ) | (596 | ) | ||||
Net cash (used in)/provided by investing activities | $ | (1,613,054 | ) | $ | 1,942,471 | |||
Cash Flows From Financing Activities: | ||||||||
Principal payments on repurchase agreements and other advances | $ | (48,988,034 | ) | $ | (57,118,263 | ) | ||
Proceeds from borrowings under repurchase agreements | 49,651,416 | 55,302,002 | ||||||
Proceeds from issuance of securitized debt | 419,970 | 147,847 | ||||||
Principal payments on securitized debt | (67,945 | ) | (9,140 | ) | ||||
Payments made for securitization related costs | (2,472 | ) | (1,520 | ) | ||||
Payments made for settlements on interest rate swap agreements (“Swaps”) | (40,885 | ) | (30,050 | ) | ||||
Proceeds from settlements on Swaps | 57,656 | — | ||||||
Proceeds from issuances of common stock | 391,932 | 190,928 | ||||||
Payments made for costs related to common stock issuances | (350 | ) | (412 | ) | ||||
Dividends paid on preferred stock | (11,250 | ) | (11,250 | ) | ||||
Dividends paid on common stock and dividend equivalents | (239,623 | ) | (228,982 | ) | ||||
Net cash provided by/(used in) financing activities | $ | 1,170,415 | $ | (1,758,840 | ) | |||
Net (decrease)/increase in cash, cash equivalents and restricted cash | $ | (352,389 | ) | $ | 305,038 | |||
Cash, cash equivalents and restricted cash at beginning of period | $ | 463,064 | $ | 318,575 | ||||
Cash, cash equivalents and restricted cash at end of period | $ | 110,675 | $ | 623,613 | ||||
Non-cash Investing and Financing Activities: | ||||||||
Net (decrease)/increase in securities obtained as collateral/obligation to return securities obtained as collateral | $ | (505,850 | ) | $ | 131,930 | |||
Transfer from residential whole loans to real estate owned | $ | 161,572 | $ | 97,388 | ||||
Dividends and dividend equivalents declared and unpaid | $ | 90,136 | $ | 79,605 | ||||
Payable for unsettled MBS and residential whole loans purchases | $ | 10,888 | $ | 124,006 |
(In Thousands) | Principal/ Current Face | Purchase Premiums | Accretable Purchase Discounts | Discount Designated as Credit Reserve and OTTI (1) | Amortized Cost (2) | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||||||||||||
Agency MBS: (3) | ||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 1,851,447 | $ | 70,882 | $ | (29 | ) | $ | — | $ | 1,922,300 | $ | 1,896,739 | $ | 14,650 | $ | (40,211 | ) | $ | (25,561 | ) | |||||||||||||||
Freddie Mac | 987,833 | 40,183 | — | — | 1,028,453 | 1,003,583 | 1,027 | (25,897 | ) | (24,870 | ) | |||||||||||||||||||||||||
Ginnie Mae | 5,028 | 92 | — | — | 5,120 | 5,168 | 48 | — | 48 | |||||||||||||||||||||||||||
Total Agency MBS | 2,844,308 | 111,157 | (29 | ) | — | 2,955,873 | 2,905,490 | 15,725 | (66,108 | ) | (50,383 | ) | ||||||||||||||||||||||||
Non-Agency MBS: | ||||||||||||||||||||||||||||||||||||
Expected to Recover Par (4)(5) | 1,343,835 | 41 | (23,835 | ) | — | 1,320,041 | 1,343,272 | 25,146 | (1,915 | ) | 23,231 | |||||||||||||||||||||||||
Expected to Recover Less than Par (4) | 2,165,454 | — | (167,910 | ) | (531,757 | ) | 1,465,787 | 1,991,338 | 525,770 | (219 | ) | 525,551 | ||||||||||||||||||||||||
Total Non-Agency MBS (6) | 3,509,289 | 41 | (191,745 | ) | (531,757 | ) | 2,785,828 | 3,334,610 | 550,916 | (2,134 | ) | 548,782 | ||||||||||||||||||||||||
Total MBS | 6,353,597 | 111,198 | (191,774 | ) | (531,757 | ) | 5,741,701 | 6,240,100 | 566,641 | (68,242 | ) | 498,399 | ||||||||||||||||||||||||
CRT securities (7) | 495,018 | 9,936 | (178 | ) | — | 504,776 | 538,945 | 34,173 | (4 | ) | 34,169 | |||||||||||||||||||||||||
Total MBS and CRT securities | $ | 6,848,615 | $ | 121,134 | $ | (191,952 | ) | $ | (531,757 | ) | $ | 6,246,477 | $ | 6,779,045 | $ | 600,814 | $ | (68,246 | ) | $ | 532,568 |
(In Thousands) | Principal/ Current Face | Purchase Premiums | Accretable Purchase Discounts | Discount Designated as Credit Reserve and OTTI (1) | Amortized Cost (2) | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||||||||||||
Agency MBS: (3) | ||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | 2,170,974 | $ | 82,271 | $ | (40 | ) | $ | — | $ | 2,253,205 | $ | 2,246,600 | $ | 21,736 | $ | (28,341 | ) | $ | (6,605 | ) | |||||||||||||||
Freddie Mac | 561,346 | 21,683 | — | — | 584,920 | 571,748 | 1,624 | (14,796 | ) | (13,172 | ) | |||||||||||||||||||||||||
Ginnie Mae | 6,142 | 112 | — | — | 6,254 | 6,333 | 79 | — | 79 | |||||||||||||||||||||||||||
Total Agency MBS | 2,738,462 | 104,066 | (40 | ) | — | 2,844,379 | 2,824,681 | 23,439 | (43,137 | ) | (19,698 | ) | ||||||||||||||||||||||||
Non-Agency MBS: | ||||||||||||||||||||||||||||||||||||
Expected to Recover Par (4)(5) | 1,128,808 | 50 | (22,737 | ) | — | 1,106,121 | 1,132,205 | 26,518 | (434 | ) | 26,084 | |||||||||||||||||||||||||
Expected to Recover Less than Par (4) | 2,589,935 | — | (192,588 | ) | (593,227 | ) | 1,804,120 | 2,401,761 | 597,660 | (19 | ) | 597,641 | ||||||||||||||||||||||||
Total Non-Agency MBS (6) | 3,718,743 | 50 | (215,325 | ) | (593,227 | ) | 2,910,241 | 3,533,966 | 624,178 | (453 | ) | 623,725 | ||||||||||||||||||||||||
Total MBS | 6,457,205 | 104,116 | (215,365 | ) | (593,227 | ) | 5,754,620 | 6,358,647 | 647,617 | (43,590 | ) | 604,027 | ||||||||||||||||||||||||
CRT securities (7) | 602,799 | 8,887 | (3,550 | ) | — | 608,136 | 664,403 | 56,290 | (23 | ) | 56,267 | |||||||||||||||||||||||||
Total MBS and CRT securities | $ | 7,060,004 | $ | 113,003 | $ | (218,915 | ) | $ | (593,227 | ) | $ | 6,362,756 | $ | 7,023,050 | $ | 703,907 | $ | (43,613 | ) | $ | 660,294 |
(1) | Discount designated as Credit Reserve and amounts related to OTTI are generally not expected to be accreted into interest income. Amounts disclosed at September 30, 2018 reflect Credit Reserve of $519.6 million and OTTI of $12.2 million. Amounts disclosed at December 31, 2017 reflect Credit Reserve of $579.0 million and OTTI of $14.2 million. |
(2) | Includes principal payments receivable of $438,000 and $1.9 million at September 30, 2018 and December 31, 2017, respectively, which are not included in the Principal/Current Face. |
(3) | Amounts disclosed at September 30, 2018 include Agency MBS with a fair value of $746.7 million for which the fair value option has been elected. Such securities had no unrealized gains and gross unrealized losses of approximately $5.5 million at September 30, 2018. The Company did not have any Agency MBS for which the fair value option had been elected at December 31, 2017. |
(4) | Based on management’s current estimates of future principal cash flows expected to be received. |
(5) | Includes RPL/NPL MBS, which at September 30, 2018 had a $1.2 billion Principal/Current face, $1.2 billion amortized cost and $1.2 billion fair value. At December 31, 2017, RPL/NPL MBS had a $922.0 million Principal/Current face, $920.1 million amortized cost and $923.1 million fair value. |
(6) | At September 30, 2018 and December 31, 2017, the Company expected to recover approximately 85% and 84% of the then-current face amount of Non-Agency MBS, respectively. |
(7) | Amounts disclosed at September 30, 2018 includes CRT securities with a fair value of $538.9 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $34.2 million and gross unrealized losses of approximately $4,000 at September 30, 2018. Amounts disclosed at December 31, 2017 includes CRT securities with a fair value of $528.9 million for which the fair value option has been elected. Such securities had gross unrealized gains of approximately $40.5 million and gross unrealized losses of approximately $23,000 at December 31, 2017. |
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) | ||||||||||||||||||||||||||||||
Agency MBS: (1) | ||||||||||||||||||||||||||||||
Fannie Mae | $ | 438,980 | $ | 4,293 | 105 | $ | 838,566 | $ | 35,918 | 251 | $ | 1,277,546 | $ | 40,211 | ||||||||||||||||
Freddie Mac | 668,566 | 6,020 | 37 | 298,083 | 19,877 | 103 | 966,649 | 25,897 | ||||||||||||||||||||||
Total Agency MBS | 1,107,546 | 10,313 | 142 | 1,136,649 | 55,795 | 354 | 2,244,195 | 66,108 | ||||||||||||||||||||||
Non-Agency MBS: | ||||||||||||||||||||||||||||||
Expected to Recover Par (2) | 435,011 | 1,849 | 15 | 3,877 | 66 | 7 | 438,888 | 1,915 | ||||||||||||||||||||||
Expected to Recover Less than Par (2) | 44,630 | 219 | 6 | — | — | — | 44,630 | 219 | ||||||||||||||||||||||
Total Non-Agency MBS | 479,641 | 2,068 | 21 | 3,877 | 66 | 7 | 483,518 | 2,134 | ||||||||||||||||||||||
Total MBS | 1,587,187 | 12,381 | 163 | 1,140,526 | 55,861 | 361 | 2,727,713 | 68,242 | ||||||||||||||||||||||
CRT securities (3) | 15,754 | 4 | 4 | — | — | — | 15,754 | 4 | ||||||||||||||||||||||
Total MBS and CRT securities | $ | 1,602,941 | $ | 12,385 | 167 | $ | 1,140,526 | $ | 55,861 | 361 | $ | 2,743,467 | $ | 68,246 |
(1) | Amounts disclosed at September 30, 2018 include Agency MBS with a fair value of $746.7 million on which the fair value option has been elected. Such securities had unrealized losses of $5.5 million at September 30, 2018. |
(2) | Based on management’s current estimates of future principal cash flows expected to be received. |
(3) | Amounts disclosed at September 30, 2018 represent CRT securities on which the fair value option has been elected. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Total OTTI losses | $ | — | $ | — | $ | — | $ | (63 | ) | |||||||
OTTI reclassified from OCI | — | — | — | (969 | ) | |||||||||||
OTTI recognized in earnings | $ | — | $ | — | $ | — | $ | (1,032 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||
(In Thousands) | 2018 | 2018 | ||||||
Credit loss component of OTTI at beginning of period | $ | 38,337 | $ | 38,337 | ||||
Additions for credit related OTTI not previously recognized | — | — | ||||||
Subsequent additional credit related OTTI recorded | — | — | ||||||
Credit loss component of OTTI at end of period | $ | 38,337 | $ | 38,337 |
Three Months Ended September 30, 2018 | Three Months Ended September 30, 2017 | |||||||||||||||
(In Thousands) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | ||||||||||||
Balance at beginning of period | $ | (553,596 | ) | $ | (202,248 | ) | $ | (626,498 | ) | $ | (257,967 | ) | ||||
Impact of RMBS Issuer Settlement (2) | — | (2,734 | ) | — | — | |||||||||||
Accretion of discount | — | 20,115 | — | 18,621 | ||||||||||||
Realized credit losses | 12,042 | — | 13,982 | — | ||||||||||||
Purchases | (1,975 | ) | 1,368 | — | (1,929 | ) | ||||||||||
Sales | 1,552 | 1,974 | 4,620 | 11,244 | ||||||||||||
Transfers/release of credit reserve | 10,220 | (10,220 | ) | 14,762 | (14,762 | ) | ||||||||||
Balance at end of period | $ | (531,757 | ) | $ | (191,745 | ) | $ | (593,134 | ) | $ | (244,793 | ) |
Nine Months Ended September 30, 2018 | Nine Months Ended September 30, 2017 | |||||||||||||||
(In Thousands) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | ||||||||||||
Balance at beginning of period | $ | (593,227 | ) | $ | (215,325 | ) | $ | (694,241 | ) | $ | (278,191 | ) | ||||
Impact of RMBS Issuer Settlement (2)(3) | — | (14,822 | ) | — | — | |||||||||||
Accretion of discount | — | 54,860 | — | 60,461 | ||||||||||||
Realized credit losses | 31,443 | — | 39,445 | — | ||||||||||||
Purchases | (2,510 | ) | 1,856 | (484 | ) | (3,449 | ) | |||||||||
Sales | 7,144 | 7,079 | 29,398 | 10,166 | ||||||||||||
Net impairment losses recognized in earnings | — | — | (1,032 | ) | — | |||||||||||
Transfers/release of credit reserve | 25,393 | (25,393 | ) | 33,780 | (33,780 | ) | ||||||||||
Balance at end of period | $ | (531,757 | ) | $ | (191,745 | ) | $ | (593,134 | ) | $ | (244,793 | ) |
(1) | Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. |
(2) | Includes the impact of approximately $2.7 million of cash proceeds (a one-time payment) received by the Company during the three and nine months ended September 30, 2018 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by Lehman Brothers Holdings Inc. |
(3) | Includes the impact of approximately $12.1 million of cash proceeds (a one-time payment) received by the Company during the nine months ended September 30, 2018 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. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
AOCI from AFS securities: | ||||||||||||||||
Unrealized gain on AFS securities at beginning of period | $ | 548,551 | $ | 668,223 | $ | 620,648 | $ | 620,403 | ||||||||
Unrealized loss on Agency MBS, net | (9,177 | ) | (3,032 | ) | (27,507 | ) | (22,241 | ) | ||||||||
Unrealized (loss)/gain on Non-Agency MBS, net | (25,101 | ) | 10,020 | (62,743 | ) | 93,429 | ||||||||||
Reclassification adjustment for MBS sales included in net income | (9,455 | ) | (14,935 | ) | (25,580 | ) | (30,283 | ) | ||||||||
Reclassification adjustment for OTTI included in net income | — | — | — | (1,032 | ) | |||||||||||
Change in AOCI from AFS securities | (43,733 | ) | (7,947 | ) | (115,830 | ) | 39,873 | |||||||||
Balance at end of period | $ | 504,818 | $ | 660,276 | $ | 504,818 | $ | 660,276 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Agency MBS | ||||||||||||||||
Coupon interest | $ | 21,549 | $ | 23,473 | $ | 62,546 | $ | 74,589 | ||||||||
Effective yield adjustment (1) | (7,217 | ) | (7,940 | ) | (19,751 | ) | (24,575 | ) | ||||||||
Interest income | $ | 14,332 | $ | 15,533 | $ | 42,795 | $ | 50,014 | ||||||||
Legacy Non-Agency MBS | ||||||||||||||||
Coupon interest | $ | 27,026 | $ | 30,688 | $ | 83,791 | $ | 97,796 | ||||||||
Effective yield adjustment (2)(3) | 18,984 | 18,005 | 53,648 | 59,033 | ||||||||||||
Interest income | $ | 46,010 | $ | 48,693 | $ | 137,439 | $ | 156,829 | ||||||||
RPL/NPL MBS | ||||||||||||||||
Coupon interest | $ | 11,526 | $ | 13,947 | $ | 31,167 | $ | 54,475 | ||||||||
Effective yield adjustment (1)(4) | 1,131 | 612 | 1,206 | 1,424 | ||||||||||||
Interest income | $ | 12,657 | $ | 14,559 | $ | 32,373 | $ | 55,899 | ||||||||
CRT securities | ||||||||||||||||
Coupon interest | $ | 7,257 | $ | 7,868 | $ | 23,484 | $ | 19,712 | ||||||||
Effective yield adjustment (2) | 491 | 808 | 2,455 | 3,186 | ||||||||||||
Interest income | $ | 7,748 | $ | 8,676 | $ | 25,939 | $ | 22,898 | ||||||||
MSR related assets | ||||||||||||||||
Coupon interest | $ | 6,407 | $ | 7,117 | $ | 19,005 | $ | 17,621 | ||||||||
Effective yield adjustment (1) | — | 77 | 1,244 | 212 | ||||||||||||
Interest income | $ | 6,407 | $ | 7,194 | $ | 20,249 | $ | 17,833 |
(Dollars In Thousands) | September 30, 2018 | December 31, 2017 | ||||||
Purchased credit impaired loans | $ | 825,614 | $ | 790,879 | ||||
Other loans at carrying value: | ||||||||
Non-QM loans | 989,818 | 55,612 | ||||||
Rehabilitation loans | 329,301 | 56,706 | ||||||
Single-family rental loans | 79,699 | 5,319 | ||||||
Seasoned performing loans | 247,135 | — | ||||||
Total other loans at carrying value | $ | 1,645,953 | $ | 117,637 | ||||
Total Residential whole loans, at carrying value | $ | 2,471,567 | $ | 908,516 | ||||
Number of loans | 9,900 | 4,800 |
Carrying Value | Unpaid Principal Balance (“UPB”) | Weighted Average Coupon (1) | Weighted Average Term to Maturity (Months) | Weighted Average LTV Ratio (2) | Aging by UPB | |||||||||||||||||||||||||||
Past Due Days | ||||||||||||||||||||||||||||||||
(Dollars In Thousands) | Current | 30-59 | 60-89 | 90+ | ||||||||||||||||||||||||||||
Purchased credit impaired loans | $ | 825,614 | $ | 1,034,890 | 4.36 | % | 304 | 87 | % | N/A | N/A | N/A | N/A | |||||||||||||||||||
Other loans at carrying value:(3) | ||||||||||||||||||||||||||||||||
Non-QM loans | 989,818 | 956,162 | 6.18 | 358 | 66 | $ | 944,564 | $ | 8,564 | $ | 1,865 | $ | 1,169 | |||||||||||||||||||
Rehabilitation loans | 329,301 | 329,301 | 7.51 | 9 | 65 | 309,951 | 12,836 | 3,620 | 2,894 | |||||||||||||||||||||||
Single-family rental loans | 79,699 | 79,563 | 5.84 | 355 | 68 | 78,172 | 870 | — | 521 | |||||||||||||||||||||||
Seasoned performing loans | 240,362 | 260,770 | 4.05 | 194 | 49 | 239,025 | 20,373 | 635 | 737 | |||||||||||||||||||||||
Residential whole loans, at carrying value, total or weighted average | $ | 2,464,794 | $ | 2,660,686 | 5.46 | % | 278 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Balance at the beginning of period | $ | 297 | $ | 375 | $ | 330 | $ | 990 | ||||||||
Provisions/(reversal of provisions) for loan losses | 164 | (57 | ) | 131 | (672 | ) | ||||||||||
Balance at the end of period | $ | 461 | $ | 318 | $ | 461 | $ | 318 |
Three Months Ended September 30, (1) | Nine Months Ended September 30, (1) | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Contractually required principal and interest | $ | 154,911 | $ | 185,234 | $ | 154,911 | $ | 185,234 | ||||||||
Contractual cash flows not expected to be collected (non-accretable yield) | (15,378 | ) | (33,448 | ) | (15,378 | ) | (33,448 | ) | ||||||||
Expected cash flows to be collected | 139,533 | 151,786 | 139,533 | 151,786 | ||||||||||||
Interest component of expected cash flows (accretable yield) | (41,947 | ) | (53,916 | ) | (41,947 | ) | (53,916 | ) | ||||||||
Fair value at the date of acquisition | $ | 97,586 | $ | 97,870 | $ | 97,586 | $ | 97,870 |
(1) | Included in the activity presented for the three and nine months ended September 30, 2018 and 2017 are approximately $54.9 million and $97.9 million of purchase credit impaired loans held at carrying value the Company committed to purchase during the three months ended June 30, 2018 and 2017, but for which the closing of the purchase transaction occurred during the three months ended September 30, 2018 and 2017, respectively. |
Three Months Ended September 30, (1) | Nine Months Ended September 30, (1) | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Balance at beginning of period | $ | 401,075 | $ | 318,125 | $ | 421,872 | $ | 334,379 | ||||||||
Additions | 41,947 | 53,916 | 41,947 | 53,916 | ||||||||||||
Accretion | (11,198 | ) | (9,026 | ) | (33,139 | ) | (26,219 | ) | ||||||||
Liquidations and other | (8,378 | ) | — | (23,388 | ) | — | ||||||||||
Reclassifications (to)/from non-accretable difference, net | 9,694 | 303 | 25,848 | 1,242 | ||||||||||||
Balance at end of period | $ | 433,140 | $ | 363,318 | $ | 433,140 | $ | 363,318 |
(1) | Included in the activity presented for the three and nine months ended September 30, 2018 and 2017 are approximately $54.9 million and $97.9 million of purchase credit impaired loans held at carrying value the Company committed to purchase during the three months ended June 30, 2018 and 2017, but for which the closing of the purchase transaction occurred during the three months ended September 30, 2018 and 2017, respectively. |
(Dollars in Thousands) | September 30, 2018 (1) | December 31, 2017 | ||||||
Less than 60 Days Past Due: | ||||||||
Outstanding principal balance | $ | 585,024 | $ | 488,600 | ||||
Aggregate fair value | $ | 544,890 | $ | 446,616 | ||||
Weighted Average LTV Ratio (2) | 76.17 | % | 74.98 | % | ||||
Number of loans | 2,775 | 2,323 | ||||||
60 Days to 89 Days Past Due: | ||||||||
Outstanding principal balance | $ | 70,018 | $ | 45,955 | ||||
Aggregate fair value | $ | 62,043 | $ | 37,927 | ||||
Weighted Average LTV Ratio (2) | 77.62 | % | 89.25 | % | ||||
Number of loans | 319 | 207 | ||||||
90 Days or More Past Due: | ||||||||
Outstanding principal balance | $ | 972,488 | $ | 1,027,818 | ||||
Aggregate fair value | $ | 840,634 | $ | 840,572 | ||||
Weighted Average LTV Ratio (2) | 89.48 | % | 94.50 | % | ||||
Number of loans | 3,416 | 3,984 | ||||||
Total Residential whole loans, at fair value | $ | 1,447,567 | $ | 1,325,115 |
(1) | Excluded from the table above are approximately $1.8 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of September 30, 2018. |
(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. 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. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Coupon payments and other income received (1) | $ | 17,634 | $ | 9,824 | $ | 52,034 | $ | 27,971 | ||||||||
Net unrealized gains | 8,442 | 5,289 | 26,788 | 12,499 | ||||||||||||
Net gain on payoff/liquidation of loans | 3,251 | 1,456 | 10,203 | 3,076 | ||||||||||||
Net gain on transfers to REO | 5,615 | 2,110 | 16,858 | 5,114 | ||||||||||||
Total | $ | 34,942 | $ | 18,679 | $ | 105,883 | $ | 48,660 |
(In Thousands) | September 30, 2018 | December 31, 2017 | ||||||
Securities obtained and pledged as collateral, at fair value | $ | — | $ | 504,062 | ||||
REO | 223,105 | 152,356 | ||||||
MBS and loan related receivables | 101,578 | 54,640 | ||||||
Swaps, at fair value | 22,311 | 679 | ||||||
Goodwill | 7,189 | 7,189 | ||||||
Other | 51,886 | 23,983 | ||||||
Total Other Assets | $ | 406,069 | $ | 742,909 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Balance at beginning of period | $ | 192,162 | $ | 104,443 | $ | 152,356 | $ | 80,503 | ||||||||
Adjustments to record at lower of cost or fair value | (4,056 | ) | (3,129 | ) | (11,592 | ) | (7,306 | ) | ||||||||
Transfer from residential whole loans (1) | 58,051 | 38,944 | 161,572 | 97,388 | ||||||||||||
Purchases and capital improvements | 4,897 | 15,342 | 10,179 | 17,224 | ||||||||||||
Disposals | (27,949 | ) | (17,621 | ) | (89,410 | ) | (49,830 | ) | ||||||||
Balance at end of period | $ | 223,105 | $ | 137,979 | $ | 223,105 | $ | 137,979 |
September 30, 2018 | December 31, 2017 | |||||||||||||||||||
Derivative Instrument (1) | Designation | Balance Sheet Location | Notional Amount | Fair Value | Notional Amount | Fair Value | ||||||||||||||
(In Thousands) | ||||||||||||||||||||
Swaps | Hedging | Other assets | $ | 2,122,000 | $ | 18,650 | $ | 750,000 | $ | 679 | ||||||||||
Swaps | Hedging | Other liabilities | $ | — | $ | — | $ | 1,800,000 | $ | — | ||||||||||
Swaps | Non-Hedging | Other assets | $ | 515,000 | $ | 3,661 | $ | — | $ | — |
(In Thousands) | September 30, 2018 | December 31, 2017 | ||||||
Agency MBS, at fair value | $ | 2,877 | $ | 21,756 | ||||
Restricted cash | — | 6,405 | ||||||
Total assets pledged against Swaps | $ | 2,877 | $ | 28,161 |
September 30, 2018 | December 31, 2017 | ||||||||||||||||||||
Notional Amount | Weighted Average Fixed-Pay Interest Rate | Weighted Average Variable Interest Rate (2) | Notional Amount | Weighted Average Fixed-Pay Interest Rate | Weighted Average Variable Interest Rate (2) | ||||||||||||||||
Maturity (1) | |||||||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||
Within 30 days | $ | — | — | % | — | % | $ | — | — | % | — | % | |||||||||
Over 30 days to 3 months | — | — | — | — | — | — | |||||||||||||||
Over 3 months to 6 months | 100,000 | 1.71 | 2.21 | 50,000 | 1.45 | 1.56 | |||||||||||||||
Over 6 months to 12 months | 100,000 | 1.71 | 2.21 | 500,000 | 1.50 | 1.46 | |||||||||||||||
Over 12 months to 24 months | 1,630,000 | 2.27 | 2.20 | 200,000 | 1.71 | 1.54 | |||||||||||||||
Over 24 months to 36 months | 322,000 | 2.34 | 2.17 | 1,500,000 | 2.22 | 1.51 | |||||||||||||||
Over 36 months to 48 months | — | — | — | 200,000 | 2.20 | 1.53 | |||||||||||||||
Over 48 months to 60 months | 355,000 | 2.85 | 2.28 | — | — | — | |||||||||||||||
Over 60 months to 72 months | — | — | — | 100,000 | 2.75 | 1.50 | |||||||||||||||
Over 72 months to 84 months | — | — | — | — | — | — | |||||||||||||||
Over 84 months | 130,000 | 2.94 | 2.32 | — | — | — | |||||||||||||||
Total Swaps | $ | 2,637,000 | 2.35 | % | 2.21 | % | $ | 2,550,000 | 2.04 | % | 1.50 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(Dollars in Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Interest expense attributable to Swaps | $ | 547 | $ | 5,310 | $ | 4,187 | $ | 19,606 | ||||||||
Weighted average Swap rate paid | 2.19 | % | 2.04 | % | 2.09 | % | 1.96 | % | ||||||||
Weighted average Swap rate received | 2.09 | % | 1.23 | % | 1.86 | % | 1.00 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
AOCI from derivative hedging instruments: | ||||||||||||||||
Balance at beginning of period | $ | 16,160 | $ | (35,841 | ) | $ | (11,424 | ) | $ | (46,721 | ) | |||||
Net gain on Swaps | 5,390 | 5,791 | 32,974 | 16,671 | ||||||||||||
Balance at end of period | $ | 21,550 | $ | (30,050 | ) | $ | 21,550 | $ | (30,050 | ) |
(Dollars in Thousands) | September 30, 2018 | December 31, 2017 | ||||||
Repurchase agreement borrowings secured by Agency MBS | $ | 2,584,097 | $ | 2,501,340 | ||||
Fair value of Agency MBS pledged as collateral under repurchase agreements | $ | 2,792,396 | $ | 2,705,754 | ||||
Weighted average haircut on Agency MBS (1) | 4.48 | % | 4.65 | % | ||||
Repurchase agreement borrowings secured by Legacy Non-Agency MBS | $ | 1,592,067 | $ | 1,256,033 | ||||
Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements | $ | 2,075,540 | $ | 1,652,983 | ||||
Weighted average haircut on Legacy Non-Agency MBS (1) | 21.70 | % | 21.87 | % | ||||
Repurchase agreement borrowings secured by RPL/NPL MBS | $ | 913,249 | $ | 567,140 | ||||
Fair value of RPL/NPL MBS pledged as collateral under repurchase agreements | $ | 1,161,568 | $ | 726,540 | ||||
Weighted average haircut on RPL/NPL MBS (1) | 21.22 | % | 22.05 | % | ||||
Repurchase agreements secured by U.S. Treasuries | $ | — | $ | 470,334 | ||||
Fair value of U.S. Treasuries pledged as collateral under repurchase agreements | $ | — | $ | 472,095 | ||||
Weighted average haircut on U.S. Treasuries (1) | — | % | 1.47 | % | ||||
Repurchase agreements secured by CRT securities | $ | 405,168 | $ | 459,058 | ||||
Fair value of CRT securities pledged as collateral under repurchase agreements | $ | 504,931 | $ | 595,900 | ||||
Weighted average haircut on CRT securities (1) | 19.73 | % | 22.16 | % | ||||
Repurchase agreements secured by MSR related assets | $ | 435,762 | $ | 317,255 | ||||
Fair value of MSR related assets pledged as collateral under repurchase agreements | $ | 565,272 | $ | 482,158 | ||||
Weighted average haircut on MSR related assets (1) | 22.56 | % | 33.19 | % | ||||
Repurchase agreements secured by residential whole loans (2) | $ | 1,347,946 | $ | 1,043,747 | ||||
Fair value of residential whole loans pledged as collateral under repurchase agreements (3) | $ | 1,888,445 | $ | 1,474,704 | ||||
Weighted average haircut on residential whole loans (1) | 21.93 | % | 26.10 | % |
(1) | Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount. |
September 30, 2018 | December 31, 2017 | |||||||||||||
Balance | Weighted Average Interest Rate | Balance | Weighted Average Interest Rate | |||||||||||
Time Until Interest Rate Reset | ||||||||||||||
(Dollars in Thousands) | ||||||||||||||
Within 30 days | $ | 6,985,487 | 3.01 | % | $ | 6,161,008 | 2.39 | % | ||||||
Over 30 days to 3 months | 29,501 | 2.48 | 453,899 | 2.76 | ||||||||||
Over 3 months to 12 months | 263,301 | 3.09 | — | — | ||||||||||
Total repurchase agreements | 7,278,289 | 3.01 | % | 6,614,907 | 2.42 | % | ||||||||
Less debt issuance costs | 19 | 206 | ||||||||||||
Total repurchase agreements less debt issuance costs | $ | 7,278,270 | $ | 6,614,701 |
September 30, 2018 | ||||||||||||||||||||||||
Contractual Maturity | Overnight | Within 30 Days | Over 30 Days to 3 Months | Over 3 Months to 12 Months | Over 12 months | Total | ||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||
Agency MBS | $ | — | $ | 2,570,990 | $ | 13,107 | $ | — | $ | — | $ | 2,584,097 | ||||||||||||
Legacy Non-Agency MBS | — | 1,544,995 | 47,072 | — | — | 1,592,067 | ||||||||||||||||||
RPL/NPL MBS | — | 887,087 | 26,162 | — | — | 913,249 | ||||||||||||||||||
CRT securities | — | 399,064 | 6,104 | — | — | 405,168 | ||||||||||||||||||
MSR related assets | — | 342,704 | 93,058 | — | — | 435,762 | ||||||||||||||||||
Residential whole loans | — | 267,129 | 376,936 | 703,881 | — | 1,347,946 | ||||||||||||||||||
Total (1) | $ | — | $ | 6,011,969 | $ | 562,439 | $ | 703,881 | $ | — | $ | 7,278,289 | ||||||||||||
Weighted Average Interest Rate | — | % | 2.85 | % | 3.73 | % | 3.80 | % | — | % | 3.01 | % | ||||||||||||
Gross amount of recognized liabilities for repurchase agreements in Note 8 | $ | 7,278,289 | ||||||||||||||||||||||
Amounts related to repurchase agreements not included in offsetting disclosure in Note 8 | $ | — |
(1) | Excludes $19,000 of unamortized debt issuance costs at September 30, 2018. |
September 30, 2018 | |||||||||||
Counterparty Rating (1) | Amount at Risk (2) | Weighted Average Months to Maturity for Repurchase Agreements | Percent of Stockholders’ Equity | ||||||||
Counterparty | |||||||||||
(Dollars in Thousands) | |||||||||||
Barclay's Bank | BBB/Aa3/A | $ | 346,185 | 4 | 9.8 | % | |||||
Goldman Sachs (3) | BBB+/A3/A | 305,862 | 1 | 8.6 | |||||||
Wells Fargo (4) | A+/Aa2/AA- | 252,651 | 5 | 7.1 | |||||||
RBC (5) | AA-/Aa2/AA | 243,731 | 1 | 6.9 |
(1) | As rated at September 30, 2018 by S&P, Moody’s and Fitch, Inc., respectively. The counterparty rating presented is the lowest published for these entities. |
(2) | The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities. |
(3) | Includes $171.3 million at risk with Goldman Sachs Bank USA and $134.6 million at risk with Goldman Sachs Lending Partners. |
(4) | Includes $241.0 million at risk with Wells Fargo Bank, NA and $11.7 million at risk with Wells Fargo Securities LLC. |
(5) | Includes $237.6 million at risk with RBC Barbados and $6.1 million at risk with RBC New York. Counterparty ratings are not published for RBC Barbados and RBS Capital Market LLC. |
September 30, 2018 | December 31, 2017 | |||||||||||||||
(In Thousands) | Assets Pledged | Collateral Held | Assets Pledged | Collateral Held | ||||||||||||
Derivative Hedging Instruments: | ||||||||||||||||
Agency MBS | $ | 2,877 | $ | — | $ | 21,756 | $ | — | ||||||||
Cash (1) | — | — | 6,405 | — | ||||||||||||
2,877 | — | 28,161 | — | |||||||||||||
Repurchase Agreement Borrowings: | ||||||||||||||||
Agency MBS | 2,792,396 | — | 2,705,754 | — | ||||||||||||
Legacy Non-Agency MBS (2) | 2,075,540 | — | 1,652,983 | — | ||||||||||||
RPL/NPL MBS | 1,161,568 | — | 726,540 | — | ||||||||||||
U.S. Treasury securities | — | — | 472,095 | — | ||||||||||||
CRT securities | 504,931 | — | 595,900 | — | ||||||||||||
MSR related assets | 565,272 | — | 482,158 | — | ||||||||||||
Residential whole loans (3) | 1,888,445 | — | 1,474,704 | — | ||||||||||||
Cash (1) | 6,489 | — | 6,902 | — | ||||||||||||
8,994,641 | — | 8,117,036 | — | |||||||||||||
Reverse Repurchase Agreements: | ||||||||||||||||
U.S. Treasury securities | — | — | — | 504,062 | ||||||||||||
— | — | — | 504,062 | |||||||||||||
Total | $ | 8,997,518 | $ | — | $ | 8,145,197 | $ | 504,062 |
September 30, 2018 | ||||||||||||||||||||||||||||
Assets Pledged Under Repurchase Agreements | Assets Pledged Against Derivative Hedging Instruments | Total Fair Value of Assets Pledged and Accrued Interest | ||||||||||||||||||||||||||
(In Thousands) | Fair Value | Amortized Cost | Accrued Interest on Pledged Assets | Fair Value/ Carrying Value | Amortized Cost | Accrued Interest on Pledged Assets | ||||||||||||||||||||||
Agency MBS | $ | 2,792,396 | $ | 2,842,022 | $ | 8,527 | $ | 2,877 | $ | 3,036 | $ | 7 | $ | 2,803,807 | ||||||||||||||
Legacy Non-Agency MBS | 2,075,540 | 1,548,906 | 8,531 | — | — | — | 2,084,071 | |||||||||||||||||||||
RPL/NPL MBS | 1,161,568 | 1,162,829 | 984 | — | — | — | 1,162,552 | |||||||||||||||||||||
CRT securities | 504,931 | 472,217 | 436 | — | — | — | 505,367 | |||||||||||||||||||||
MSR related assets | 565,272 | 564,350 | 644 | — | — | — | 565,916 | |||||||||||||||||||||
Residential whole loans (1)(2) | 1,888,445 | 1,861,387 | 8,485 | — | — | — | 1,896,930 | |||||||||||||||||||||
Cash (3) | 6,489 | 6,489 | — | — | — | — | 6,489 | |||||||||||||||||||||
Total | $ | 8,994,641 | $ | 8,458,200 | $ | 27,607 | $ | 2,877 | $ | 3,036 | $ | 7 | $ | 9,025,132 |
(1) | Includes residential whole loans held at carrying value with an aggregate fair value of $1.2 billion and aggregate amortized cost of $1.1 billion and residential whole loans held at fair value with an aggregate fair value and amortized cost of $685.1 million. |
(2) | Includes Non-Agency MBS with an aggregate fair value and amortized cost of $27.0 million obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. |
(3) | Cash pledged as collateral is reported as “Restricted cash” on the Company’s consolidated balance sheets. |
Gross Amounts of Recognized Assets | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Assets Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset in the Consolidated Balance Sheets | Net Amount | ||||||||||||||||||||
(In Thousands) | Financial Instruments | Cash Collateral Received | ||||||||||||||||||||||
September 30, 2018 | ||||||||||||||||||||||||
Swaps, at fair value | $ | 22,311 | $ | — | $ | 22,311 | $ | (22,311 | ) | $ | — | $ | — | |||||||||||
Total | $ | 22,311 | $ | — | $ | 22,311 | $ | (22,311 | ) | $ | — | $ | — | |||||||||||
December 31, 2017 | ||||||||||||||||||||||||
Swaps, at fair value | $ | 679 | $ | — | $ | 679 | $ | (679 | ) | $ | — | $ | — | |||||||||||
Total | $ | 679 | $ | — | $ | 679 | $ | (679 | ) | $ | — | $ | — |
Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Liabilities Presented in the Consolidated Balance Sheets | Gross Amounts Not Offset in the Consolidated Balance Sheets | Net Amount | ||||||||||||||||||||
(In Thousands) | Financial Instruments (1) | Cash Collateral Pledged (1) | ||||||||||||||||||||||
September 30, 2018 | ||||||||||||||||||||||||
Swaps, at fair value (2) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Repurchase agreements (3)(4) | 7,278,289 | — | 7,278,289 | (7,271,800 | ) | (6,489 | ) | — | ||||||||||||||||
Total | $ | 7,278,289 | $ | — | $ | 7,278,289 | $ | (7,271,800 | ) | $ | (6,489 | ) | $ | — | ||||||||||
December 31, 2017 | ||||||||||||||||||||||||
Swaps, at fair value (2) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Repurchase agreements (3)(4) | 6,614,907 | — | 6,614,907 | (6,608,005 | ) | (6,902 | ) | — | ||||||||||||||||
Total | $ | 6,614,907 | $ | — | $ | 6,614,907 | $ | (6,608,005 | ) | $ | (6,902 | ) | $ | — |
(In Thousands) | September 30, 2018 | December 31, 2017 | ||||||
Securitized debt (1) | $ | 714,203 | $ | 363,944 | ||||
Obligation to return securities held as collateral, at fair value | — | 504,062 | ||||||
Senior Notes | 96,805 | 96,773 | ||||||
Dividends and dividend equivalents payable | 90,136 | 79,771 | ||||||
Accrued interest payable | 11,630 | 12,263 | ||||||
Payable for unsettled MBS and residential whole loans purchases | 10,888 | — | ||||||
Accrued expenses and other | 27,821 | 21,584 | ||||||
Total Other Liabilities | $ | 951,483 | $ | 1,078,397 |
(1) | 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. (See Notes 10 and 15 for further discussion.) |
Declaration Date | Record Date | Payment Date | Dividend Per Share | |||||
August 20, 2018 | September 7, 2018 | September 28, 2018 | $ | 0.46875 | ||||
May 17, 2018 | June 4, 2018 | June 29, 2018 | 0.46875 | |||||
February 20, 2018 | March 2, 2018 | March 30, 2018 | 0.46875 |
Declaration Date (1) | Record Date | Payment Date | Dividend Per Share | ||||||
September 13, 2018 | October 1, 2018 | October 31, 2018 | $ | 0.20 | (1) | ||||
June 7, 2018 | June 29, 2018 | July 31, 2018 | 0.20 | ||||||
March 7, 2018 | March 29, 2018 | April 30, 2018 | 0.20 |
Share Issue Date | Shares Issued | Gross Proceeds Per Share | Gross Proceeds | |||||||||
(In Thousands, Except Per Share Amounts) | ||||||||||||
August 7, 2018 | 50,875 | (1) | $ | 7.78 | $ | 395,807 | (1) | |||||
May 10, 2017 | 23,000 | 7.85 | 180,550 | (2) |
Three Months Ended September 30, 2018 | Nine Months Ended September 30, 2018 | |||||||||||||||||||||||
(In Thousands) | Net Unrealized Gain/(Loss) on AFS Securities | Net (Loss)/Gain on Swaps | Total AOCI | Net Unrealized Gain/(Loss) on AFS Securities | Net (Loss)/Gain on Swaps | Total AOCI | ||||||||||||||||||
Balance at beginning of period | $ | 548,551 | $ | 16,160 | $ | 564,711 | $ | 620,648 | $ | (11,424 | ) | $ | 609,224 | |||||||||||
OCI before reclassifications | (34,278 | ) | 5,390 | (28,888 | ) | (90,250 | ) | 32,974 | (57,276 | ) | ||||||||||||||
Amounts reclassified from AOCI (1) | (9,455 | ) | — | (9,455 | ) | (25,580 | ) | — | (25,580 | ) | ||||||||||||||
Net OCI during the period (2) | (43,733 | ) | 5,390 | (38,343 | ) | (115,830 | ) | 32,974 | (82,856 | ) | ||||||||||||||
Balance at end of period | $ | 504,818 | $ | 21,550 | $ | 526,368 | $ | 504,818 | $ | 21,550 | $ | 526,368 |
Three Months Ended September 30, 2017 | Nine Months Ended September 30, 2017 | |||||||||||||||||||||||
(In Thousands) | Net Unrealized Gain/(Loss) on AFS Securities | Net (Loss)/Gain on Swaps | Total AOCI | Net Unrealized Gain/(Loss) on AFS Securities | Net (Loss)/Gain on Swaps | Total AOCI | ||||||||||||||||||
Balance at beginning of period | $ | 668,223 | $ | (35,841 | ) | $ | 632,382 | $ | 620,403 | $ | (46,721 | ) | $ | 573,682 | ||||||||||
OCI before reclassifications | 6,988 | 5,791 | 12,779 | 71,188 | 16,671 | 87,859 | ||||||||||||||||||
Amounts reclassified from AOCI (1) | (14,935 | ) | — | (14,935 | ) | (31,315 | ) | — | (31,315 | ) | ||||||||||||||
Net OCI during the period (2) | (7,947 | ) | 5,791 | (2,156 | ) | 39,873 | 16,671 | 56,544 | ||||||||||||||||
Balance at end of period | $ | 660,276 | $ | (30,050 | ) | $ | 630,226 | $ | 660,276 | $ | (30,050 | ) | $ | 630,226 |
Three Months Ended September 30, 2018 | Nine Months Ended September 30, 2018 | |||||||||
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 | $ | (9,455 | ) | $ | (25,580 | ) | Net gain on sales of investment securities | |||
Total AFS Securities | $ | (9,455 | ) | $ | (25,580 | ) | ||||
Total reclassifications for period | $ | (9,455 | ) | $ | (25,580 | ) |
Three Months Ended September 30, 2017 | Nine Months Ended September 30, 2017 | |||||||||
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 | $ | (14,935 | ) | $ | (30,283 | ) | Net gain on sales of investment securities | |||
OTTI recognized in earnings | — | (1,032 | ) | Net impairment losses recognized in earnings | ||||||
Total AFS Securities | $ | (14,935 | ) | $ | (31,315 | ) | ||||
Total reclassifications for period | $ | (14,935 | ) | $ | (31,315 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands, Except Per Share Amounts) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Numerator: | ||||||||||||||||
Net income | $ | 87,132 | $ | 63,805 | $ | 240,922 | $ | 221,799 | ||||||||
Dividends declared on preferred stock | (3,750 | ) | (3,750 | ) | (11,250 | ) | (11,250 | ) | ||||||||
Dividends, dividend equivalents and undistributed earnings allocated to participating securities | (472 | ) | (409 | ) | (1,393 | ) | (1,299 | ) | ||||||||
Net income to common stockholders - basic and diluted | $ | 82,910 | $ | 59,646 | $ | 228,279 | $ | 209,250 | ||||||||
Denominator: | ||||||||||||||||
Weighted average common shares for basic and diluted earnings per share (1) | 428,713 | 396,698 | 408,614 | 385,282 | ||||||||||||
Basic and diluted earnings per share | $ | 0.19 | $ | 0.15 | $ | 0.56 | $ | 0.54 |
(1) | At September 30, 2018, the Company had approximately 2.2 million equity instruments outstanding that were not included in the calculation of diluted EPS for the three and nine months ended September 30, 2018, 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 $6.72. These equity instruments may have a dilutive impact on future EPS. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
RSUs | $ | 1,082 | $ | 1,836 | $ | 3,891 | $ | 5,194 | ||||||||
Restricted shares of common stock | — | 74 | — | 175 | ||||||||||||
Total | $ | 1,082 | $ | 1,910 | $ | 3,891 | $ | 5,369 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Non-employee directors | $ | (22 | ) | $ | 125 | $ | — | $ | 339 | |||||||
Total | $ | (22 | ) | $ | 125 | $ | — | $ | 339 |
September 30, 2018 | December 31, 2017 | |||||||||||||||
(In Thousands) | Undistributed Income Deferred (1) | Liability Under Deferred Plans | Undistributed Income Deferred (1) | Liability Under Deferred Plans | ||||||||||||
Non-employee directors | $ | 2,100 | $ | 2,420 | $ | 1,688 | $ | 2,056 | ||||||||
Total | $ | 2,100 | $ | 2,420 | $ | 1,688 | $ | 2,056 |
(In Thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Agency MBS | $ | — | $ | 2,905,490 | $ | — | $ | 2,905,490 | ||||||||
Non-Agency MBS | — | 3,334,610 | — | 3,334,610 | ||||||||||||
CRT securities | — | 538,945 | — | 538,945 | ||||||||||||
Term notes backed by MSR related collateral | — | — | 505,195 | 505,195 | ||||||||||||
Residential whole loans, at fair value | — | — | 1,449,365 | 1,449,365 | ||||||||||||
Securities obtained and pledged as collateral | — | — | — | — | ||||||||||||
Swaps | — | 22,311 | — | 22,311 | ||||||||||||
Total assets carried at fair value | $ | — | $ | 6,801,356 | $ | 1,954,560 | $ | 8,755,916 | ||||||||
Liabilities: | ||||||||||||||||
Obligation to return securities obtained as collateral | $ | — | $ | — | $ | — | $ | — | ||||||||
Total liabilities carried at fair value | $ | — | $ | — | $ | — | $ | — |
(In Thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Agency MBS | $ | — | $ | 2,824,681 | $ | — | $ | 2,824,681 | ||||||||
Non-Agency MBS | — | 3,533,966 | — | 3,533,966 | ||||||||||||
CRT securities | — | 664,403 | — | 664,403 | ||||||||||||
Term notes backed by MSR related collateral | — | — | 381,804 | 381,804 | ||||||||||||
Residential whole loans, at fair value | — | — | 1,325,115 | 1,325,115 | ||||||||||||
Securities obtained and pledged as collateral | 504,062 | — | — | 504,062 | ||||||||||||
Swaps | — | 679 | — | 679 | ||||||||||||
Total assets carried at fair value | $ | 504,062 | $ | 7,023,729 | $ | 1,706,919 | $ | 9,234,710 | ||||||||
Liabilities: | ||||||||||||||||
Obligation to return securities obtained as collateral | $ | 504,062 | $ | — | $ | — | $ | 504,062 | ||||||||
Total liabilities carried at fair value | $ | 504,062 | $ | — | $ | — | $ | 504,062 |
Residential Whole Loans, at Fair Value (1) | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 | ||||||||||||
Balance at beginning of period | $ | 1,468,540 | $ | 744,072 | $ | 1,325,115 | $ | 814,682 | ||||||||
Purchases and capitalized advances (2) | 76,566 | 284,930 | 393,867 | 295,094 | ||||||||||||
Changes in fair value recorded in Net gain on residential whole loans held at fair value | 8,442 | 5,289 | 26,788 | 12,499 | ||||||||||||
Collection of principal, net of liquidation gains/losses | (54,331 | ) | (17,670 | ) | (155,199 | ) | (53,366 | ) | ||||||||
Repurchases | (561 | ) | (257 | ) | (1,623 | ) | (1,013 | ) | ||||||||
Transfer to REO | (51,089 | ) | (33,214 | ) | (141,381 | ) | (84,746 | ) | ||||||||
Balance at end of period | $ | 1,447,567 | $ | 983,150 | $ | 1,447,567 | $ | 983,150 |
(1) | Excludes approximately $1.8 million and $120.4 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of September 30, 2018 and 2017, respectively. |
(2) | Included in the activity presented for the three and nine months ended September 30, 2018 and 2017 are approximately $34.4 million and$92.7 million of loans the Company committed to purchase during the three months ended June 30, 2018 and year ended December 31, 2017, but for which the closing of the purchase transaction occurred during the three and nine months ended September 30, 2018 and 2017, respectively. |
Term Notes Backed by MSR Related Collateral | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(In Thousands) | 2018 | 2017 | 2018 | 2017 (1) | ||||||||||||
Balance at beginning of period | $ | 381,390 | $ | 273,961 | $ | 381,804 | $ | — | ||||||||
Purchases | 290,042 | 161,000 | 439,392 | 311,000 | ||||||||||||
Collection of principal | (166,120 | ) | (123,961 | ) | (316,120 | ) | (140,980 | ) | ||||||||
Changes in unrealized gain/losses | (117 | ) | 563 | 119 | 563 | |||||||||||
Transfers from Level 2 to Level 3 (1) | — | — | — | 140,980 | ||||||||||||
Balance at end of period | $ | 505,195 | $ | 311,563 | $ | 505,195 | $ | 311,563 |
(1) | Investments in term notes backed by MSR related collateral were transferred from Level 2 to Level 3 during the nine months ended September 30, 2017 as there had been very limited secondary market trading in these securities since issuance. Transfers between levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. |
September 30, 2018 | ||||||||||||||
(Dollars in Thousands) | Fair Value (1) | Valuation Technique | Unobservable Input | Weighted Average (2) | Range | |||||||||
Residential whole loans, at fair value | $ | 693,874 | Discounted cash flow | Discount rate | 5.3 | % | 4.5-8.0% | |||||||
Prepayment rate | 3.8 | % | 0.0-13.5% | |||||||||||
Default rate | 2.7 | % | 0.0-31.0% | |||||||||||
Loss severity | 13.0 | % | 0.0-100.0% | |||||||||||
$ | 683,566 | Liquidation model | Discount rate | 8.2 | % | 6.1-50.0% | ||||||||
Annual change in home prices | 3.3 | % | (1.0)-11.8% | |||||||||||
Liquidation timeline (in years) | 1.8 | 0.1-4.5 | ||||||||||||
Current value of underlying properties (3) | $ | 767 | $2-$7,950 | |||||||||||
Total | $ | 1,377,440 |
December 31, 2017 | ||||||||||||||
(Dollars in Thousands) | Fair Value (1) | Valuation Technique | Unobservable Input | Weighted Average (2) | Range | |||||||||
Residential whole loans, at fair value | $ | 358,871 | Discounted cash flow | Discount rate | 5.5 | % | 4.5-13.0% | |||||||
Prepayment rate | 4.1 | % | 1.15-15.1% | |||||||||||
Default rate | 2.9 | % | 0.0-6.5% | |||||||||||
Loss severity | 13.8 | % | 0.0-100.0% | |||||||||||
$ | 592,940 | Liquidation model | Discount rate | 8.0 | % | 6.1-50.0% | ||||||||
Annual change in home prices | 2.5 | % | (8.0)-8.8% | |||||||||||
Liquidation timeline (in years) | 1.6 | 0.1-4.5 | ||||||||||||
Current value of underlying properties (3) | $ | 772 | $0-$9,900 | |||||||||||
Total | $ | 951,811 |
September 30, 2018 | December 31, 2017 | |||||||||||||||
Carrying Value | Estimated Fair Value | Carrying Value | Estimated Fair Value | |||||||||||||
(In Thousands) | ||||||||||||||||
Financial Assets: | ||||||||||||||||
Agency MBS | $ | 2,905,490 | $ | 2,905,490 | $ | 2,824,681 | $ | 2,824,681 | ||||||||
Non-Agency MBS | 3,334,610 | 3,334,610 | 3,533,966 | 3,533,966 | ||||||||||||
CRT securities | 538,945 | 538,945 | 664,403 | 664,403 | ||||||||||||
MSR related assets | 565,272 | 565,272 | 492,080 | 493,026 | ||||||||||||
Residential whole loans, at carrying value | 2,471,567 | 2,549,927 | 908,516 | 988,688 | ||||||||||||
Residential whole loans, at fair value | 1,449,365 | 1,449,365 | 1,325,115 | 1,325,115 | ||||||||||||
Securities obtained and pledged as collateral | — | — | 504,062 | 504,062 | ||||||||||||
Cash and cash equivalents | 104,186 | 104,186 | 449,757 | 449,757 | ||||||||||||
Restricted cash | 6,489 | 6,489 | 13,307 | 13,307 | ||||||||||||
Swaps | 22,311 | 22,311 | 679 | 679 | ||||||||||||
Financial Liabilities (1): | ||||||||||||||||
Repurchase agreements | 7,278,270 | 7,289,006 | 6,614,701 | 6,623,255 | ||||||||||||
Securitized debt | 714,203 | 713,783 | 363,944 | 366,109 | ||||||||||||
Obligation to return securities obtained as collateral | — | — | 504,062 | 504,062 | ||||||||||||
Senior Notes | 96,805 | 100,791 | 96,773 | 103,729 |
(Dollars in Thousands) | September 30, 2018 | December 31, 2017 | |||||||
Aggregate unpaid principal balance of residential whole loans sold | $ | 1,290,029 | $ | 620,924 | |||||
Face amount of Senior Bonds issued by the VIE and purchased by third-party investors | $ | 802,817 | $ | 382,847 | |||||
Outstanding amount of Senior Bonds | $ | 714,203 | (1) | $ | 363,944 | (1) | |||
Weighted average fixed rate for Senior Bonds issued | 3.65 | % | (2) | 3.14 | % | (2) | |||
Face amount of Senior Support Certificates received by the Company (3) | $ | 275,174 | $ | 127,001 | |||||
Cash received | $ | 802,815 | $ | 382,845 |
(1) | Net of $4.1 million and $2.3 million of deferred financing costs at September 30, 2018 and December 31, 2017, respectively. |
(2) | At September 30, 2018 and December 31, 2017, $604.7 million and $233.7 million, respectively, of Senior Bonds sold in securitization transactions contained a contractual coupon step-up feature whereby the coupon increases by 300 basis points 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. |
• | 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. |
(In Millions) | June 30, 2018 | Runoff (1) | Acquisitions | Other (2) | September 30, 2018 | Change | ||||||||||||||||||
Residential whole loans and REO | $ | 3,601 | $ | (188 | ) | $ | 707 | $ | 24 | $ | 4,144 | $ | 543 | |||||||||||
RPL/NPL MBS | 909 | (192 | ) | 446 | (1 | ) | 1,162 | 253 | ||||||||||||||||
MSR related assets | 381 | (166 | ) | 350 | — | 565 | 184 | |||||||||||||||||
CRT securities | 571 | (3 | ) | 84 | (113 | ) | 539 | (32 | ) | |||||||||||||||
Legacy Non-Agency MBS | 2,335 | (145 | ) | 2 | (19 | ) | 2,173 | (162 | ) | |||||||||||||||
Agency MBS | 2,363 | (192 | ) | 758 | (24 | ) | 2,905 | 542 | ||||||||||||||||
Totals | $ | 10,160 | $ | (886 | ) | $ | 2,347 | $ | (133 | ) | $ | 11,488 | $ | 1,328 |
(1) | Primarily includes principal repayments, cash collections on purchased credit impaired loans and sales of REO. |
(2) | Primarily includes sales, changes in fair value, net premium amortization/discount accretion and adjustments to record lower of cost or estimated fair value adjustments on REO. During the three months ended September 30, 2018, we sold certain CRT securities for $118.9 million, realizing gains of $13.0 million and sold certain Non-Agency MBS for $24.3 million, realizing gains of $3.4 million. |
Agency MBS | Legacy Non-Agency MBS | RPL/NPL MBS (1) | Credit Risk Transfer Securities | MSR Related Assets | Residential Whole Loans, at Carrying Value (2) | Residential Whole Loans, at Fair Value | Other, net (3) | Total | ||||||||||||||||||||||||||||
(Dollars in Millions) | ||||||||||||||||||||||||||||||||||||
Fair Value/Carrying Value | $ | 2,905 | $ | 2,173 | $ | 1,162 | $ | 539 | $ | 565 | $ | 2,472 | $ | 1,449 | $ | 387 | $ | 11,652 | ||||||||||||||||||
Less Payable for Unsettled Purchases | — | (2 | ) | — | — | — | (7 | ) | (2 | ) | — | (11 | ) | |||||||||||||||||||||||
Less Repurchase Agreements | (2,584 | ) | (1,592 | ) | (913 | ) | (405 | ) | (436 | ) | (893 | ) | (455 | ) | — | (7,278 | ) | |||||||||||||||||||
Less Securitized Debt | — | — | — | — | — | (173 | ) | (541 | ) | — | (714 | ) | ||||||||||||||||||||||||
Less Senior Notes | — | — | — | — | — | — | — | (97 | ) | (97 | ) | |||||||||||||||||||||||||
Net Equity Allocated | $ | 321 | $ | 579 | $ | 249 | $ | 134 | $ | 129 | $ | 1,399 | $ | 451 | $ | 290 | $ | 3,552 | ||||||||||||||||||
Debt/Net Equity Ratio (4) | 8.0 | x | 2.8 | x | 3.7 | x | 3.0 | x | 3.4 | x | 0.8 | x | 2.2 | x | 2.3 | x |
(1) | RPL/NPL MBS are backed primarily by securitized re-performing and non-performing loans. The securities are primarily structured such that the coupon increases from 300 - 400 basis points at 36 - 48 months from issuance or sooner. Included with the balance of Non-Agency MBS reported on our consolidated balance sheets. |
(2) | Includes $825.6 million of purchased credit impaired loans, $989.8 million of Non-QM loans, $329.3 million of Rehabilitation loans, $79.7 million of Single-family rental loans and $247.1 million of Seasoned performing loans. At September 30, 2018, the total fair value of these loans is estimated to be approximately $2.5 billion. |
(3) | Includes cash and cash equivalents and restricted cash, other assets and other liabilities. |
(4) | Represents the sum of borrowings under repurchase agreements, securitized debt and payable for unsettled purchases as a multiple of net equity allocated. The numerator of our Total Debt/Net Equity Ratio also includes Senior Notes. |
(Dollars in Thousands) | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Loan Age (Months) (2) | Weighted Average Coupon (2) | 3 Month Average CPR | ||||||||||||||||
15-Year Fixed Rate: | |||||||||||||||||||||||
Low Loan Balance (3) | $ | 732,119 | 104.4 | % | 98.9 | % | $ | 724,409 | 77 | 2.98 | % | 11.5 | % | ||||||||||
Generic | 141,324 | 104.4 | 100.4 | 141,937 | 85 | 3.51 | 11.8 | ||||||||||||||||
Total 15-Year Fixed Rate | $ | 873,443 | 104.4 | % | 99.2 | % | $ | 866,346 | 78 | 3.06 | % | 11.5 | % | ||||||||||
30-Year Fixed Rate: | |||||||||||||||||||||||
Generic | $ | 723,041 | 104.0 | % | 103.3 | % | $ | 746,658 | 3 | 4.50 | % | 8.7 | % | ||||||||||
Total 30-Year Fixed Rate | $ | 723,041 | 104.0 | % | 103.3 | % | $ | 746,658 | 3 | 4.50 | % | 8.7 | % | ||||||||||
Hybrid | $ | 1,183,989 | 103.5 | % | 103.6 | % | $ | 1,226,396 | 104 | 3.70 | % | 22.0 | % | ||||||||||
CMO/Other | $ | 63,835 | 102.5 | % | 102.8 | % | $ | 65,652 | 207 | 3.84 | % | 13.7 | % | ||||||||||
Total Portfolio | $ | 2,844,308 | 103.9 | % | 102.1 | % | $ | 2,905,052 | 73 | 3.71 | % | 16.8 | % |
(Dollars in Thousands) | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Loan Age (Months) (2) | Weighted Average Coupon (2) | 3 Month Average CPR | ||||||||||||||||
15-Year Fixed Rate: | |||||||||||||||||||||||
Low Loan Balance (3) | $ | 948,225 | 104.3 | % | 101.7 | % | $ | 964,373 | 67 | 2.95 | % | 10.3 | % | ||||||||||
Generic | 172,862 | 104.4 | 103.1 | 178,210 | 76 | 3.51 | 9.3 | ||||||||||||||||
Total 15-Year Fixed Rate | $ | 1,121,087 | 104.3 | % | 101.9 | % | $ | 1,142,583 | 68 | 3.04 | % | 10.2 | % | ||||||||||
Hybrid | $ | 1,540,431 | 103.5 | % | 103.9 | % | $ | 1,601,107 | 96 | 3.27 | % | 17.1 | % | ||||||||||
CMO/Other | $ | 76,944 | 102.5 | % | 102.8 | % | $ | 79,100 | 198 | 3.22 | % | 9.9 | % | ||||||||||
Total Portfolio | $ | 2,738,462 | 103.8 | % | 103.1 | % | $ | 2,822,790 | 88 | 3.17 | % | 14.1 | % |
(1) | Does not include principal payments receivable of $438,000 and $1.9 million at September 30, 2018 and December 31, 2017, respectively. |
(2) | Weighted average is based on MBS current face at September 30, 2018 and December 31, 2017, respectively. |
(3) | Low loan balance represents MBS collateralized by mortgages with an original loan balance of less than or equal to $175,000. |
Coupon | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Loan Age (Months) (2) | Weighted Average Loan Rate | Low Loan Balance and/or HARP (3) | 3 Month Average CPR | |||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||
15-Year Fixed Rate: | |||||||||||||||||||||||||
2.5% | $ | 425,636 | 104.1 | % | 97.5 | % | $ | 414,790 | 70 | 3.02 | % | 100 | % | 9.9 | % | ||||||||||
3.0% | 195,769 | 105.9 | 99.2 | 194,183 | 74 | 3.49 | 100 | 12.7 | |||||||||||||||||
3.5% | 4,080 | 103.5 | 100.7 | 4,106 | 95 | 4.17 | 100 | 14.0 | |||||||||||||||||
4.0% | 213,626 | 103.5 | 102.1 | 218,066 | 94 | 4.40 | 81 | 13.8 | |||||||||||||||||
4.5% | 34,332 | 105.3 | 102.5 | 35,201 | 98 | 4.88 | 34 | 9.9 | |||||||||||||||||
Total 15-Year Fixed Rate | $ | 873,443 | 104.4 | % | 99.2 | % | $ | 866,346 | 78 | 3.54 | % | 93 | % | 11.5 | % | ||||||||||
30-Year Fixed Rate: | |||||||||||||||||||||||||
4.5% | $ | 723,041 | 104.0 | % | 103.3 | % | $ | 746,658 | 3 | 5.17 | % | — | % | 8.7 | % | ||||||||||
Total 30-Year Fixed Rate | $ | 723,041 | 104.0 | % | 103.3 | % | $ | 746,658 | 3 | 5.17 | % | — | % | 8.7 | % | ||||||||||
Total Fixed Rate Portfolio | $ | 1,596,484 | 104.2 | % | 101.0 | % | $ | 1,613,004 | 44 | 4.28 | % | 51 | % | 11.0 | % |
Coupon | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Loan Age (Months) (2) | Weighted Average Loan Rate | Low Loan Balance and/or HARP (3) | 3 Month Average CPR | |||||||||||||||||
(Dollars in Thousands) | |||||||||||||||||||||||||
15-Year Fixed Rate: | |||||||||||||||||||||||||
2.5% | $ | 579,002 | 104.0 | % | 100.5 | % | $ | 581,867 | 60 | 3.04 | % | 100 | % | 9.3 | % | ||||||||||
3.0% | 231,325 | 105.9 | 102.2 | 236,316 | 66 | 3.49 | 100 | 9.5 | |||||||||||||||||
3.5% | 5,403 | 103.5 | 103.4 | 5,586 | 86 | 4.18 | 100 | 23.0 | |||||||||||||||||
4.0% | 263,447 | 103.5 | 104.3 | 274,783 | 85 | 4.40 | 80 | 12.4 | |||||||||||||||||
4.5% | 41,910 | 105.2 | 105.1 | 44,031 | 89 | 4.88 | 34 | 10.2 | |||||||||||||||||
Total 15-Year Fixed Rate | $ | 1,121,087 | 104.3 | % | 101.9 | % | $ | 1,142,583 | 68 | 3.52 | % | 93 | % | 10.2 | % |
(1) | Does not include principal payments receivable of $438,000 and $1.9 million at September 30, 2018 and December 31, 2017, respectively. |
(2) | Weighted average is based on MBS current face at September 30, 2018 and December 31, 2017, respectively. |
(3) | Low Loan Balance represents MBS collateralized by mortgages with an original loan balance less than or equal to $175,000. Home Affordable Refinance Program (or HARP) MBS are backed by refinanced loans with LTVs greater than or equal to 80% at origination. |
(Dollars in Thousands) | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Coupon (2) | Weighted Average Loan Age (Months) (2) | Weighted Average Months to Reset (3) | Interest Only (4) | 3 Month Average CPR | ||||||||||||||||||
Hybrid | |||||||||||||||||||||||||||
Agency 3/1 | $ | 71,402 | 102.6 | % | 105.0 | % | $ | 74,952 | 3.99 | % | 148 | 5 | — | % | 15.2 | % | |||||||||||
Agency 5/1 | $ | 506,821 | 103.3 | % | 104.5 | % | $ | 529,421 | 4.07 | % | 115 | 6 | 15 | % | 23.4 | % | |||||||||||
Agency 7/1 | 436,654 | 103.7 | 103.5 | 452,069 | 3.42 | 93 | 8 | 20 | 25.0 | ||||||||||||||||||
Agency 10/1 | 169,112 | 104.3 | 100.5 | 169,954 | 3.18 | 84 | 38 | 59 | 12.3 | ||||||||||||||||||
Total Hybrids | $ | 1,183,989 | 103.5 | % | 103.6 | % | $ | 1,226,396 | 3.70 | % | 104 | 11 | 22 | % | 22.0 | % |
(Dollars in Thousands) | Current Face | Weighted Average Purchase Price | Weighted Average Market Price | Fair Value (1) | Weighted Average Coupon (2) | Weighted Average Loan Age (Months) (2) | Weighted Average Months to Reset (3) | Interest Only (4) | 3 Month Average CPR | ||||||||||||||||||
Hybrid | |||||||||||||||||||||||||||
Agency 3/1 | $ | 92,790 | 102.5 | % | 104.9 | % | $ | 97,314 | 3.44 | % | 138 | 6 | 8 | % | 16.8 | % | |||||||||||
Agency 5/1 | $ | 661,581 | 103.3 | % | 104.5 | % | $ | 691,660 | 3.45 | % | 107 | 5 | 23 | % | 17.5 | % | |||||||||||
Agency 7/1 | 589,843 | 103.6 | 103.6 | 611,207 | 3.06 | 84 | 11 | 28 | 18.4 | ||||||||||||||||||
Agency 10/1 | 196,217 | 104.2 | 102.4 | 200,926 | 3.16 | 75 | 46 | 57 | 12.0 | ||||||||||||||||||
Total Hybrids | $ | 1,540,431 | 103.5 | % | 103.9 | % | $ | 1,601,107 | 3.27 | % | 96 | 13 | 28 | % | 17.1 | % |
(1) | Does not include principal payments receivable of $438,000 and $1.9 million at September 30, 2018 and December 31, 2017, respectively. |
(2) | Weighted average is based on MBS current face at September 30, 2018 and December 31, 2017, respectively. |
(3) | Weighted average months to reset is the number of months remaining before the coupon interest rate resets. At reset, the MBS coupon will adjust based upon the underlying benchmark interest rate index, margin and periodic or lifetime caps. The months to reset do not reflect scheduled amortization or prepayments. |
(4) | Interest only represents MBS backed by mortgages currently in their interest-only period. Percentage is based on MBS current face at September 30, 2018 and December 31, 2017, respectively. |
(In Thousands) | September 30, 2018 | December 31, 2017 | |||||||
Non-Agency MBS | |||||||||
Face/Par | $ | 3,509,289 | $ | 3,718,743 | |||||
Fair Value | 3,334,610 | 3,533,966 | |||||||
Amortized Cost | 2,785,828 | 2,910,241 | |||||||
Purchase Discount Designated as Credit Reserve and OTTI | (531,757 | ) | (1) | (593,227 | ) | (2) | |||
Purchase Discount Designated as Accretable | (191,745 | ) | (215,325 | ) | |||||
Purchase Premiums | 41 | 50 |
(1) | Includes discount designated as Credit Reserve of $519.6 million and OTTI of $12.2 million. |
(2) | Includes discount designated as Credit Reserve of $579.0 million and OTTI of $14.2 million. |
Three Months Ended September 30, 2018 | Three Months Ended September 30, 2017 | |||||||||||||||
(In Thousands) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | ||||||||||||
Balance at beginning of period | $ | (553,596 | ) | $ | (202,248 | ) | $ | (626,498 | ) | $ | (257,967 | ) | ||||
Impact of RMBS Issuer Settlement (2) | — | (2,734 | ) | — | — | |||||||||||
Accretion of discount | — | 20,115 | — | 18,621 | ||||||||||||
Realized credit losses | 12,042 | — | 13,982 | — | ||||||||||||
Purchases | (1,975 | ) | 1,368 | — | (1,929 | ) | ||||||||||
Sales | 1,552 | 1,974 | 4,620 | 11,244 | ||||||||||||
Transfers/release of credit reserve | 10,220 | (10,220 | ) | 14,762 | (14,762 | ) | ||||||||||
Balance at end of period | $ | (531,757 | ) | $ | (191,745 | ) | $ | (593,134 | ) | $ | (244,793 | ) |
Nine Months Ended September 30, 2018 | Nine Months Ended September 30, 2017 | |||||||||||||||
(In Thousands) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | Discount Designated as Credit Reserve and OTTI | Accretable Discount (1) | ||||||||||||
Balance at beginning of period | $ | (593,227 | ) | $ | (215,325 | ) | $ | (694,241 | ) | $ | (278,191 | ) | ||||
Impact of RMBS Issuer Settlement (2)(3) | — | (14,822 | ) | — | — | |||||||||||
Accretion of discount | — | 54,860 | — | 60,461 | ||||||||||||
Realized credit losses | 31,443 | — | 39,445 | — | ||||||||||||
Purchases | (2,510 | ) | 1,856 | (484 | ) | (3,449 | ) | |||||||||
Sales | 7,144 | 7,079 | 29,398 | 10,166 | ||||||||||||
Net impairment losses recognized in earnings | — | — | (1,032 | ) | — | |||||||||||
Transfers/release of credit reserve | 25,393 | (25,393 | ) | 33,780 | (33,780 | ) | ||||||||||
Balance at end of period | $ | (531,757 | ) | $ | (191,745 | ) | $ | (593,134 | ) | $ | (244,793 | ) |
(1) | Together with coupon interest, accretable purchase discount is recognized as interest income over the life of the security. |
(2) | Includes the impact of approximately $2.7 million of cash proceeds (a one-time payment) received by the Company during the three and nine months ended September 30, 2018 in connection with the settlement of litigation related to certain residential mortgage backed securitization trusts that were sponsored by Lehman Brothers Holdings Inc. |
(3) | Includes the impact of approximately $12.1 million of cash proceeds (a one-time payment) received by the Company during the nine months ended September 30, 2018 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. |
Three Months Ended September 30, 2018 | Three Months Ended September 30, 2017 | |||||||||||
Legacy Non-Agency MBS | RPL/NPL MBS | Legacy Non-Agency MBS | RPL/NPL MBS | |||||||||
Non-Agency MBS | ||||||||||||
Coupon Yield (1) | 6.32 | % | 4.56 | % | 5.63 | % | 4.24 | % | ||||
Effective Yield Adjustment (2) | 4.44 | 0.45 | 3.30 | 0.19 | ||||||||
Net Yield | 10.76 | % | 5.01 | % | 8.93 | % | 4.43 | % |
(1) | Reflects the annualized coupon interest income divided by the average amortized cost. The discounted purchase price on Legacy Non-Agency MBS causes the coupon yield to be higher than the pass-through coupon interest rate. |
(2) | The effective yield adjustment is the difference between the net yield, calculated utilizing management’s estimates of timing and amount of future cash flows for Legacy Non-Agency MBS and RPL/NPL MBS, less the current coupon yield. |
Within One Year | One to Five Years | Five to Ten Years | Over Ten Years | Total MBS | |||||||||||||||||||||||||||||||||||
(Dollars in Thousands) | Amortized Cost | Weighted Average Yield | Amortized Cost | Weighted Average Yield | Amortized Cost | Weighted Average Yield | Amortized Cost | Weighted Average Yield | Total Amortized Cost | Total Fair Value | Weighted Average Yield | ||||||||||||||||||||||||||||
Agency MBS: | |||||||||||||||||||||||||||||||||||||||
Fannie Mae | $ | — | — | % | $ | 43 | 1.95 | % | $ | 530,680 | 1.97 | % | $ | 1,391,577 | 2.20 | % | $ | 1,922,300 | $ | 1,896,739 | 2.13 | % | |||||||||||||||||
Freddie Mac | — | — | — | — | 382,608 | 1.79 | 645,845 | 4.29 | 1,028,453 | 1,003,583 | 3.36 | ||||||||||||||||||||||||||||
Ginnie Mae | — | — | — | — | 89 | 3.31 | 5,031 | 2.99 | 5,120 | 5,168 | 3.00 | ||||||||||||||||||||||||||||
Total Agency MBS | $ | — | — | % | $ | 43 | 1.95 | % | $ | 913,377 | 1.90 | % | $ | 2,042,453 | 2.86 | % | $ | 2,955,873 | $ | 2,905,490 | 2.56 | % | |||||||||||||||||
Non-Agency MBS | $ | — | — | % | $ | 312,399 | 4.25 | % | $ | 2,554 | 4.50 | % | $ | 2,470,875 | 8.54 | % | $ | 2,785,828 | $ | 3,334,610 | 8.05 | % | |||||||||||||||||
Total MBS | $ | — | — | % | $ | 312,442 | 4.25 | % | $ | 915,931 | 1.91 | % | $ | 4,513,328 | 5.97 | % | $ | 5,741,701 | $ | 6,240,100 | 5.23 | % |
(In Thousands) | Purchased Credit Impaired Loans, at Carrying Value | Other Loans, at Carrying Value (1) | Residential Whole Loans, at Fair Value (1) | |||||||||
Amount due: | ||||||||||||
Within one year | $ | 604 | $ | 270,163 | $ | 8,769 | ||||||
After one year: | ||||||||||||
Over one to five years | 4,421 | 61,462 | 9,848 | |||||||||
Over five years | 820,589 | 1,307,555 | 1,428,950 | |||||||||
Total due after one year | $ | 825,010 | $ | 1,369,017 | $ | 1,438,798 | ||||||
Total residential whole loans | $ | 825,614 | $ | 1,639,180 | $ | 1,447,567 |
(1) | Excludes approximately $6.8 million of other loans held at carrying value and $1.8 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of September 30, 2018. |
(In Thousands) | Other Loans, at Carrying Value (1)(2) | Residential Whole Loans, at Fair Value (1)(2) | ||||||
Interest rates: | ||||||||
Fixed | $ | 301,687 | $ | 819,414 | ||||
Adjustable | 1,067,330 | 619,384 | ||||||
Total | $ | 1,369,017 | $ | 1,438,798 |
(1) | Includes loans on which borrowers have defaulted and are not making payments of principal and/or interest as of September 30, 2018. |
(2) | Excludes approximately $6.8 million of other loans held at carrying value and $1.8 million of residential whole loans held at fair value for which the closing of the purchase transaction had not occurred as of September 30, 2018. |
Country | Number of Counterparties | Repurchase Agreement Financing | Exposure (1) | Exposure as a Percentage of MFA Total Assets | |||||||||
(Dollars in Thousands) | |||||||||||||
European Countries: (2) | |||||||||||||
United Kingdom | 2 | $ | 753,870 | $ | 352,240 | 2.99 | % | ||||||
Switzerland | 3 | 696,878 | 140,747 | 1.19 | |||||||||
France | 2 | 559,749 | 132,315 | 1.12 | |||||||||
Holland | 1 | 92,679 | 5,957 | 0.05 | |||||||||
Total European | 8 | 2,103,176 | 631,259 | 5.35 | % | ||||||||
Other Countries: | |||||||||||||
United States | 13 | $ | 3,492,950 | $ | 792,178 | 6.72 | % | ||||||
Canada (4) | 2 | 884,458 | 243,731 | 2.07 | |||||||||
Japan (5) | 3 | 364,436 | 26,377 | 0.22 | |||||||||
South Korea | 1 | 320,016 | 26,237 | 0.22 | |||||||||
China (5) | 1 | 113,253 | 11,784 | 0.10 | |||||||||
Total Other | 20 | 5,175,113 | 1,100,307 | 9.33 | % | ||||||||
Total | 28 | $ | 7,278,289 | $ | 1,731,566 | 14.68 | % |
(1) | Represents for each counterparty the amount of cash and/or securities pledged as collateral less the aggregate of repurchase agreement financing and net interest receivable/payable on all such instruments. |
(2) | Includes European-based counterparties as well as U.S.-domiciled subsidiaries of the European parent entity. |
(3) | Includes London branch of one counterparty and Cayman Islands branch of the other counterparty. |
(4) | Includes Canada-based counterparties as well as U.S.-domiciled subsidiaries of Canadian parent entities. In the case of one counterparty, also includes exposure of $237.6 million to a Barbados-based affiliate of the Canadian parent entity. |
(5) | Exposure is to U.S.-domiciled subsidiary of the Japanese or Chinese parent entity, as the case may be. |
Three Months Ended September 30, | ||||||||||||||||||||||
2018 | 2017 | |||||||||||||||||||||
(Dollars in Thousands) | Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | ||||||||||||||||
Assets: | ||||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||
Agency MBS (1) | $ | 2,595,896 | $ | 14,332 | 2.21 | % | $ | 3,154,112 | $ | 15,533 | 1.97 | % | ||||||||||
Legacy Non-Agency MBS (1) | 1,709,704 | 46,010 | 10.76 | 2,182,148 | 48,693 | 8.93 | ||||||||||||||||
RPL/NPL MBS (1) | 1,010,910 | 12,657 | 5.01 | 1,315,737 | 14,559 | 4.43 | ||||||||||||||||
Total MBS | 5,316,510 | 72,999 | 5.49 | 6,651,997 | 78,785 | 4.74 | ||||||||||||||||
CRT securities (1) | 500,649 | 7,748 | 6.19 | 604,322 | 8,676 | 5.74 | ||||||||||||||||
MSR related assets (1) | 482,100 | 6,407 | 5.32 | 454,354 | 7,194 | 6.33 | ||||||||||||||||
Residential whole loans, at carrying value (2) | 2,003,913 | 29,524 | 5.89 | 609,538 | 9,026 | 5.92 | ||||||||||||||||
Cash and cash equivalents (3) | 181,242 | 754 | 1.66 | 657,331 | 1,452 | 0.88 | ||||||||||||||||
Total interest-earning assets | 8,484,414 | 117,432 | 5.54 | 8,977,542 | 105,133 | 4.68 | ||||||||||||||||
Total non-interest-earning assets (2) | 2,841,079 | 2,487,953 | ||||||||||||||||||||
Total assets | $ | 11,325,493 | $ | 11,465,495 | ||||||||||||||||||
Liabilities and stockholders’ equity: | ||||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||
Total repurchase agreements (4) | $ | 6,594,050 | $ | 50,881 | 3.02 | % | $ | 7,022,913 | $ | 46,303 | 2.58 | % | ||||||||||
Securitized debt | 665,572 | 5,986 | 3.52 | 139,276 | 962 | 2.70 | ||||||||||||||||
Senior Notes | 96,797 | 2,011 | 8.31 | 96,756 | 2,010 | 8.31 | ||||||||||||||||
Total interest-bearing liabilities | 7,356,419 | 58,878 | 3.13 | 7,258,945 | 49,275 | 2.66 | ||||||||||||||||
Total non-interest-bearing liabilities | 554,082 | 927,877 | ||||||||||||||||||||
Total liabilities | 7,910,501 | 8,186,822 | ||||||||||||||||||||
Stockholders’ equity | 3,414,992 | 3,278,673 | ||||||||||||||||||||
Total liabilities and stockholders’ equity | $ | 11,325,493 | $ | 11,465,495 | ||||||||||||||||||
Net interest income/net interest rate spread (5) | $ | 58,554 | 2.41 | % | $ | 55,858 | 2.02 | % | ||||||||||||||
Net interest-earning assets/net interest margin (6) | $ | 1,127,995 | 2.82 | % | $ | 1,718,597 | 2.54 | % | ||||||||||||||
Ratio of interest-earning assets to interest-bearing liabilities | 1.15 | x | 1.24 | x |
(1) | Yields presented throughout this Quarterly Report on Form 10-Q are calculated using average amortized cost data for securities which excludes unrealized gains and losses and includes principal payments receivable on securities. For GAAP reporting purposes, purchases and sales are reported on the trade date. Average amortized cost data used to determine yields is calculated based on the settlement date of the associated purchase or sale as interest income is not earned on purchased assets and continues to be earned on sold assets until settlement date. |
(2) | Excludes residential whole loans held at fair value that are reported as a component of total non-interest-earning assets. |
(3) | Includes average interest-earning cash, cash equivalents and restricted cash. |
(4) | Average cost of repurchase agreements includes the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration. |
(5) | Net interest rate spread reflects the difference between the yield on average interest-earning assets and average cost of funds. |
(6) | Net interest margin reflects annualized net interest income divided by average interest-earning assets. |
Three Months Ended September 30, 2018 | ||||||||||||
Compared to | ||||||||||||
Three Months Ended September 30, 2017 | ||||||||||||
Increase/(Decrease) due to | Total Net Change in Interest Income/Expense | |||||||||||
(In Thousands) | Volume | Rate | ||||||||||
Interest-earning assets: | ||||||||||||
Agency MBS | $ | (2,954 | ) | $ | 1,753 | $ | (1,201 | ) | ||||
Legacy Non-Agency MBS | (11,644 | ) | 8,961 | (2,683 | ) | |||||||
RPL/NPL MBS | (3,659 | ) | 1,757 | (1,902 | ) | |||||||
CRT securities | (1,568 | ) | 640 | (928 | ) | |||||||
MSR related assets | 420 | (1,207 | ) | (787 | ) | |||||||
Residential whole loans, at carrying value (1) | 20,544 | (46 | ) | 20,498 | ||||||||
Cash and cash equivalents | (1,470 | ) | 772 | (698 | ) | |||||||
Total net change in income from interest-earning assets | $ | (331 | ) | $ | 12,630 | $ | 12,299 | |||||
Interest-bearing liabilities: | ||||||||||||
Agency repurchase agreements | $ | (2,500 | ) | $ | 2,979 | $ | 479 | |||||
Legacy Non-Agency repurchase agreements | (2,233 | ) | 158 | (2,075 | ) | |||||||
RPL/NPL MBS repurchase agreements | (1,300 | ) | 907 | (393 | ) | |||||||
CRT securities repurchase agreements | (24 | ) | 625 | 601 | ||||||||
MSR related assets repurchase agreements | 616 | (40 | ) | 576 | ||||||||
Residential whole loans at carrying value repurchase agreements | 3,908 | 159 | 4,067 | |||||||||
Residential whole loans at fair value repurchase agreements | 535 | 788 | 1,323 | |||||||||
Securitized debt | 4,652 | 372 | 5,024 | |||||||||
Senior Notes | 1 | — | 1 | |||||||||
Total net change in expense of interest-bearing liabilities | $ | 3,655 | $ | 5,948 | $ | 9,603 | ||||||
Net change in net interest income | $ | (3,986 | ) | $ | 6,682 | $ | 2,696 |
(1) | Excludes residential whole loans held at fair value which are reported as a component of non-interest-earning assets. |
Total Interest-Earning Assets and Interest- Bearing Liabilities | ||||||
Net Interest Spread (1) | Net Interest Margin (2) | |||||
Quarter Ended | ||||||
September 30, 2018 | 2.41 | % | 2.82 | % | ||
June 30, 2018 | 2.30 | 2.66 | ||||
March 31, 2018 | 2.25 | 2.64 | ||||
December 31, 2017 | 2.08 | 2.54 | ||||
September 30, 2017 | 2.02 | 2.54 |
(1) | Reflects the difference between the yield on average interest-earning assets and average cost of funds. |
(2) | Reflects annualized net interest income divided by average interest-earning assets. |
Agency MBS | Legacy Non-Agency MBS | RPL/NPL MBS | Total MBS | |||||||||||||||||||||||||||||||||
Quarter Ended | Net Yield (1) | Cost of Funding (2) | Net Interest Rate Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Rate Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Rate Spread (3) | Net Yield (1) | Cost of Funding (2) | Net Interest Rate Spread (3) | ||||||||||||||||||||||||
September 30, 2018 | 2.21 | % | 2.22 | % | (0.01 | )% | 10.76 | % | 3.29 | % | 7.47 | % | 5.01 | % | 3.10 | % | 1.91 | % | 5.49 | % | 2.73 | % | 2.76 | % | ||||||||||||
June 30, 2018 | 2.03 | 2.04 | (0.01 | ) | 9.89 | 3.30 | 6.59 | 4.52 | 3.19 | 1.33 | 5.16 | 2.64 | 2.52 | |||||||||||||||||||||||
March 31, 2018 | 2.21 | 1.91 | 0.30 | 9.44 | 3.29 | 6.15 | 4.36 | 2.94 | 1.42 | 5.06 | 2.53 | 2.53 | ||||||||||||||||||||||||
December 31, 2017 | 2.08 | 1.79 | 0.29 | 9.12 | 3.29 | 5.83 | 4.27 | 2.72 | 1.55 | 4.85 | 2.44 | 2.41 | ||||||||||||||||||||||||
September 30, 2017 | 1.97 | 1.75 | 0.22 | 8.93 | 3.26 | 5.67 | 4.43 | 2.69 | 1.74 | 4.74 | 2.41 | 2.33 |
(1) | Reflects annualized interest income on MBS divided by average amortized cost of MBS. |
(2) | Reflects annualized interest expense divided by average balance of repurchase agreements, including the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration and securitized debt. Agency MBS cost of funding includes 6, 9, 26, 43 and 44 basis points and Legacy Non-Agency MBS cost of funding includes 5, 8, 30, 45 and 45 basis points associated with Swaps to hedge interest rate sensitivity on these assets for the quarters ended September 30, 2018, June 30, 2018, March 31, 2018, December 31, 2017 and September 30, 2017, respectively. |
(3) | Reflects the difference between the net yield on average MBS and average cost of funds on MBS. |
Agency MBS | Legacy Non-Agency MBS | RPL/NPL MBS | |||||||||||||||||||||||||
Quarter Ended | Coupon Yield (1) | Net Yield (2) | 3 Month Average CPR (3) | Coupon Yield (1) | Net Yield (2) | 3 Month Average CPR (3) | Coupon Yield (1) | Net Yield (2) | 3 Month Average Bond CPR (4) | ||||||||||||||||||
September 30, 2018 | 3.32 | % | 2.21 | % | 16.8 | % | 6.32 | % | 10.76 | % | 16.8 | % | 4.56 | % | 5.01 | % | 19.6 | % | |||||||||
June 30, 2018 | 3.09 | 2.03 | 16.2 | 6.09 | 9.89 | 15.8 | 4.49 | 4.52 | 20.4 | ||||||||||||||||||
March 31, 2018 | 3.02 | 2.21 | 12.7 | 5.91 | 9.44 | 14.9 | 4.35 | 4.36 | 14.0 | ||||||||||||||||||
December 31, 2017 | 3.00 | 2.08 | 14.1 | 5.82 | 9.12 | 16.3 | 4.24 | 4.27 | 20.1 | ||||||||||||||||||
September 30, 2017 | 2.98 | 1.97 | 16.2 | 5.63 | 8.93 | 18.7 | 4.24 | 4.43 | 26.2 |
(1) | Reflects the annualized coupon interest income divided by the average amortized cost. The discounted purchase price on Legacy Non-Agency MBS causes the coupon yield to be higher than the pass-through coupon interest rate. |
(2) | Reflects annualized interest income on MBS divided by average amortized cost of MBS. |
(3) | 3 month average CPR weighted by positions as of the beginning of each month in the quarter. |
(4) | All principal payments are considered to be prepayments for CPR purposes. |
Quarter Ended September 30, | ||||||||
(In Thousands) | 2018 | 2017 | ||||||
Net gains on residential whole loans held at fair value | $ | 34,942 | $ | 18,679 | ||||
Liquidation gains on purchased credit impaired loans and other loan related income | 3,172 | 2,958 | ||||||
Net loss on REO properties | (2,125 | ) | (2,324 | ) | ||||
Realized gains on MBS and CRT securities sold | 16,415 | 14,934 | ||||||
Net unrealized loss on MBS and CRT securities held at fair value | (8,545 | ) | (5,220 | ) | ||||
Net gain on Swaps not designated as hedges for accounting purposes | 4,002 | — | ||||||
OTTI and other | 498 | 70 | ||||||
Total Other Income, net | $ | 48,359 | $ | 29,097 |
At or for the Quarter 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, 2018 | 2.94 | % | 10.21 | % | 30.15 | % | 1.05 | 2.3 | $ | 7.46 | |||||||
June 30, 2018 | 2.58 | 8.74 | 31.19 | 1.18 | 2.3 | 7.54 | |||||||||||
March 31, 2018 | 2.93 | 10.27 | 29.91 | 1.00 | 2.2 | 7.62 | |||||||||||
December 31, 2017 | 3.47 | 12.29 | 29.33 | 0.83 | 2.3 | 7.70 | |||||||||||
September 30, 2017 | 2.10 | 7.78 | 28.60 | 1.33 | 2.4 | 7.70 |
(1) | Reflects annualized net income available to common stock and participating securities divided by average total assets. |
(2) | Reflects annualized net income divided by average total stockholders’ equity. |
(3) | Reflects total average stockholders’ equity divided by total average assets. |
(4) | Reflects dividends declared per share of common stock divided by earnings per share. |
(5) | Represents the sum of borrowings under repurchase agreements, securitized debt, payable for unsettled purchases, obligations to return securities obtained as collateral and Senior Notes divided by stockholders’ equity. |
(6) | Reflects total stockholders’ equity less the preferred stock liquidation preference divided by total shares of common stock outstanding. |
Nine Months Ended September 30, | ||||||||||||||||||||||
2018 | 2017 | |||||||||||||||||||||
Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | |||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Interest-earning assets: | ||||||||||||||||||||||
Agency MBS (1) | $ | 2,654,925 | $ | 42,795 | 2.15 | % | $ | 3,383,373 | $ | 50,014 | 1.97 | % | ||||||||||
Legacy Non-Agency MBS (1) | 1,831,292 | 137,439 | 10.01 | 2,350,975 | 156,829 | 8.89 | ||||||||||||||||
RPL/NPL MBS (1) | 929,835 | 32,373 | 4.64 | 1,813,557 | 55,899 | 4.11 | ||||||||||||||||
Total MBS | 5,416,052 | 212,607 | 5.23 | 7,547,905 | 262,742 | 4.64 | ||||||||||||||||
CRT securities (1) | 556,258 | 25,939 | 6.22 | 520,585 | 22,898 | 5.86 | ||||||||||||||||
MSR related assets (1) | 440,979 | 20,249 | 6.12 | 376,811 | 17,833 | 6.31 | ||||||||||||||||
Residential whole loans, at carrying value (2) | 1,410,100 | 61,788 | 5.84 | 587,511 | 26,219 | 5.95 | ||||||||||||||||
Cash and cash equivalents (3) | 230,945 | 2,348 | 1.36 | 531,722 | 2,854 | 0.72 | ||||||||||||||||
Total interest-earning assets | 8,054,334 | 322,931 | 5.35 | 9,564,534 | 332,546 | 4.64 | ||||||||||||||||
Total non-interest-earning assets (2) | 2,785,653 | 2,207,939 | ||||||||||||||||||||
Total assets | $ | 10,839,987 | $ | 11,772,473 | ||||||||||||||||||
Liabilities and stockholders’ equity: | ||||||||||||||||||||||
Interest-bearing liabilities: | ||||||||||||||||||||||
Total repurchase agreements and other advances (4) | 6,434,725 | 142,832 | 2.93 | 7,704,662 | 141,444 | 2.42 | ||||||||||||||||
Securitized debt | 486,352 | 12,378 | 3.36 | 57,073 | 1,173 | 2.71 | ||||||||||||||||
Senior Notes | 96,787 | 6,032 | 8.31 | 96,746 | 6,029 | 8.31 | ||||||||||||||||
Total interest-bearing liabilities | 7,017,864 | 161,242 | 3.03 | 7,858,481 | 148,646 | 2.49 | ||||||||||||||||
Total non-interest-bearing liabilities | 526,766 | 734,181 | ||||||||||||||||||||
Total liabilities | 7,544,630 | 8,592,662 | ||||||||||||||||||||
Stockholders’ equity | 3,295,357 | 3,179,811 | ||||||||||||||||||||
Total liabilities and stockholders’ equity | $ | 10,839,987 | $ | 11,772,473 | ||||||||||||||||||
Net interest income/ net interest rate spread (5) | $ | 161,689 | 2.32 | % | $ | 183,900 | 2.15 | % | ||||||||||||||
Net interest-earning assets/ net interest margin (6) | $ | 1,036,470 | 2.71 | % | $ | 1,706,053 | 2.59 | % | ||||||||||||||
Ratio of interest-earning assets to interest-bearing liabilities | 1.15 | x | 1.22 | x |
(1) | Yields presented throughout this Quarterly Report on Form 10-Q are calculated using average amortized cost data for securities which excludes unrealized gains and losses and includes principal payments receivable on securities. For GAAP reporting purposes, purchases and sales are reported on the trade date. Average amortized cost data used to determine yields is calculated based on the settlement date of the associated purchase or sale as interest income is not earned on purchased assets and continues to be earned on sold assets until settlement date. |
(2) | Excludes residential whole loans held at fair value that are reported as a component of total non-interest-earning assets. |
(3) | Includes average interest-earning cash, cash equivalents and restricted cash. |
(4) | Average cost of repurchase agreements includes the cost of Swaps allocated based on the proportionate share of the overall estimated weighted average portfolio duration. |
(5) | Net interest rate spread reflects the difference between the yield on average interest-earning assets and average cost of funds. |
(6) | Net interest margin reflects annualized net interest income divided by average interest-earning assets. |
Nine Months Ended September 30, 2018 | ||||||||||||
Compared to | ||||||||||||
Nine Months Ended September 30, 2017 | ||||||||||||
Increase/(Decrease) due to | Total Net Change in Interest Income/Expense | |||||||||||
(In Thousands) | Volume | Rate | ||||||||||
Interest-earning assets: | ||||||||||||
Agency MBS | $ | (11,467 | ) | $ | 4,248 | $ | (7,219 | ) | ||||
Legacy Non-Agency MBS | (37,470 | ) | 18,080 | (19,390 | ) | |||||||
RPL/NPL MBS | (30,006 | ) | 6,480 | (23,526 | ) | |||||||
CRT securities | 1,619 | 1,422 | 3,041 | |||||||||
MSR related assets | 2,960 | (544 | ) | 2,416 | ||||||||
Residential whole loans, at carrying value (1) | 36,053 | (484 | ) | 35,569 | ||||||||
Cash and cash equivalents | (2,174 | ) | 1,668 | (506 | ) | |||||||
Total net change in income from interest-earning assets | $ | (40,485 | ) | $ | 30,870 | $ | (9,615 | ) | ||||
Interest-bearing liabilities: | ||||||||||||
Agency repurchase agreements and other advances | $ | (9,170 | ) | $ | 9,049 | $ | (121 | ) | ||||
Legacy Non-Agency repurchase agreements | (7,401 | ) | 1,501 | (5,900 | ) | |||||||
RPL/NPL MBS repurchase agreements | (16,657 | ) | 5,610 | (11,047 | ) | |||||||
CRT securities repurchase agreements | 1,226 | 1,666 | 2,892 | |||||||||
MSR related assets repurchase agreements | 1,768 | 141 | 1,909 | |||||||||
Residential whole loan at carrying value repurchase agreements | 4,304 | 1,409 | 5,713 | |||||||||
Residential whole loan at fair value repurchase agreements | 5,470 | 2,472 | 7,942 | |||||||||
Securitized debt | 10,861 | 344 | 11,205 | |||||||||
Senior Notes | 3 | — | 3 | |||||||||
Total net change in expense of interest-bearing liabilities | $ | (9,596 | ) | $ | 22,192 | $ | 12,596 | |||||
Net change in net interest income | $ | (30,889 | ) | $ | 8,678 | $ | (22,211 | ) |
(1) | Excludes residential whole loans held at fair value which are reported as a component of non-interest-earning assets. |
Agency MBS | Legacy Non-Agency MBS | RPL/NPL MBS | Total MBS | |||||||||||||||||||||||||||||||||
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) | Net Yield (1) | Cost of Funding (2) | Net Interest Spread (3) | ||||||||||||||||||||||||
September 30, 2018 | 2.15 | % | 2.05 | % | 0.10 | % | 10.01 | % | 3.29 | % | 6.72 | % | 4.64 | % | 3.08 | % | 1.56 | % | 5.23 | % | 2.63 | % | 2.60 | % | ||||||||||||
September 30, 2017 | 1.97 | % | 1.60 | % | 0.37 | % | 8.89 | % | 3.19 | % | 5.70 | % | 4.11 | % | 2.43 | % | 1.68 | % | 4.64 | % | 2.27 | % | 2.37 | % |
Agency MBS | Legacy Non-Agency MBS | RPL/NPL MBS | |||||||||||||||||||||||||
Nine Months Ended | Coupon Yield (1) | Net Yield (2) | 9 Month Average CPR (3) | Coupon Yield (1) | Net Yield (2) | 9 Month Average CPR (3) | Coupon Yield (1) | Net Yield (2) | 9 Month Average Bond CPR (4) | ||||||||||||||||||
September 30, 2018 | 3.14 | % | 2.15 | % | 13.5 | % | 6.10 | % | 10.01 | % | 14.3 | % | 4.47 | % | 4.64 | % | 18.0 | % | |||||||||
September 30, 2017 | 2.94 | 1.97 | 14.4 | 5.55 | 8.89 | 16.3 | 4.01 | 4.11 | 32.2 |
(1) | Reflects the annualized coupon interest income divided by the average amortized cost. The discounted purchase price on Legacy Non-Agency MBS causes the coupon yield to be higher than the pass-through coupon interest rate. |
(2) | Reflects annualized interest income on MBS divided by average amortized cost of MBS. |
(3) | 9 month average CPR weighted by positions as of the beginning of each month in the quarter. |
(4) | All principal payments are considered to be prepayments for CPR purposes. |
Nine Months Ended September 30, | ||||||||
(In Thousands) | 2018 | 2017 | ||||||
Net gains on residential whole loans held at fair value | $ | 105,883 | $ | 48,660 | ||||
Liquidation gains on purchased credit impaired loans and other loan related income | 10,018 | 4,835 | ||||||
Net loss on REO properties | (4,899 | ) | (4,463 | ) | ||||
Realized gains on MBS and CRT securities sold | 32,661 | 30,530 | ||||||
Net unrealized (loss)/gain on MBS and CRT securities held at fair value | (11,776 | ) | 14,173 | |||||
Net gain on Swaps not designated as hedges for accounting purposes | 4,355 | — | ||||||
OTTI and other | 783 | (733 | ) | |||||
Total Other Income, net: | $ | 137,025 | $ | 93,002 |
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, 2018 | 2.82 | % | 9.75 | % | 30.40 | % | 1.07 | 2.3 | $ | 7.46 | ||||||||
September 30, 2017 | 2.38 | 9.30 | 27.01 | 1.11 | 2.4 | 7.70 |
(1) | Reflects annualized net income available to common stock and participating securities divided by average total assets. |
(2) | Reflects annualized net income divided by average total stockholders’ equity. |
(3) | Reflects total average stockholders’ equity divided by total average assets. |
(4) | Reflects dividends declared per share of common stock divided by earnings per share. |
(5) | Represents the sum of borrowings under repurchase agreements, securitized debt, payable for unsettled purchases, obligations to return securities obtained as collateral and Senior Notes divided by stockholders’ equity. |
(6) | Reflects total stockholders’ equity less the preferred stock liquidation preference divided by total shares of common stock outstanding. |
At September 30, 2018 | Weighted Average Haircut | Low | High | ||||||
Repurchase agreement borrowings secured by: | |||||||||
Agency MBS | 4.48 | % | 3.00 | % | 5.00 | % | |||
Legacy Non-Agency MBS | 21.70 | 15.00 | 30.00 | ||||||
RPL/NPL MBS | 21.22 | 15.00 | 30.00 | ||||||
CRT securities | 19.73 | 16.67 | 25.00 | ||||||
MSR related assets | 22.56 | 20.00 | 30.00 | ||||||
Residential whole loans | 21.93 | 8.00 | 33.00 | ||||||
At December 31, 2017 | Weighted Average Haircut | Low | High | ||||||
Repurchase agreement borrowings secured by: | |||||||||
Agency MBS | 4.65 | % | 3.00 | % | 8.00 | % | |||
Legacy Non-Agency MBS | 21.87 | 15.00 | 35.00 | ||||||
RPL/NPL MBS | 22.05 | 20.00 | 27.50 | ||||||
U.S. Treasury securities | 1.47 | 1.00 | 2.00 | ||||||
CRT securities | 22.16 | 15.00 | 25.00 | ||||||
MSR related assets | 33.19 | 30.00 | 50.00 | ||||||
Residential whole loans | 26.10 | 20.00 | 35.00 |
Repurchase 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, 2018 | $ | 6,594,050 | $ | 7,278,270 | $ | 7,278,270 | $ | 665,572 | $ | 714,203 | $ | 744,521 | ||||||||||||
June 30, 2018 | 6,189,916 | 5,892,228 | 6,319,178 | 432,283 | 518,655 | 523,490 | ||||||||||||||||||
March 31, 2018 | 6,519,390 | 6,558,860 | 6,558,860 | 357,819 | 351,278 | 361,002 | ||||||||||||||||||
December 31, 2017 | 6,661,020 | 6,614,701 | 6,760,360 | 212,445 | 363,944 | 363,944 | ||||||||||||||||||
September 30, 2017 | 7,022,913 | 6,871,443 | 7,023,702 | 139,276 | 137,327 | 141,088 |
(1) | The information presented in the table above excludes Senior Notes issued in April 2012. The outstanding balance of Senior Notes has been unchanged at $100.0 million since issuance. |
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, 2018 | $ | 61,492 | $ | 3,005 | $ | 64,497 | $ | 8,294 | $ | (56,203 | ) | |||||||||
June 30, 2018 | 44,278 | — | 44,278 | 20,001 | (24,277 | ) | ||||||||||||||
March 31, 2018 | 40,831 | — | 40,831 | 18,835 | (21,996 | ) | ||||||||||||||
December 31, 2017 | 87,960 | — | 87,960 | 80,105 | (7,855 | ) | ||||||||||||||
September 30, 2017 | 83,513 | — | 83,513 | 53,499 | (30,014 | ) |
Agency MBS | Legacy Non-Agency MBS (1) | Total (1) | ||||||||||||||||||||||||||||
Time to Reset | Fair Value (2) | Average Months to Reset (3) | 3 Month Average CPR (4) | Fair Value | Average Months to Reset (3) | 3 Month Average CPR (4) | Fair Value (2) | Average Months to Reset (3) | 3 Month Average CPR (4) | |||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||||
< 2 years (5) | $ | 1,150,471 | 6 | 22.7 | % | $ | 1,417,756 | 4 | 18.6 | % | $ | 2,568,227 | 5 | 20.3 | % | |||||||||||||||
2-5 years | 131,924 | 44 | 12.6 | — | — | — | 131,924 | 44 | 12.6 | |||||||||||||||||||||
> 5 years | 9,653 | 82 | 10.7 | — | — | — | 9,653 | 82 | 10.7 | |||||||||||||||||||||
ARM-MBS Total | $ | 1,292,048 | 11 | 21.6 | % | $ | 1,417,756 | 4 | 18.6 | % | $ | 2,709,804 | 7 | 19.9 | % | |||||||||||||||
15-year fixed (6) | $ | 866,346 | 11.5 | % | $ | 1,915 | 17.6 | % | $ | 868,261 | 11.5 | % | ||||||||||||||||||
30-year fixed (6) | 746,658 | 8.7 | 719,047 | 13.4 | 1,465,705 | 12.5 | ||||||||||||||||||||||||
40-year fixed (6) | — | — | 34,324 | 16.7 | 34,324 | 16.7 | ||||||||||||||||||||||||
Fixed-Rate Total | $ | 1,613,004 | 11.0 | % | $ | 755,286 | 13.6 | % | $ | 2,368,290 | 12.2 | % | ||||||||||||||||||
MBS Total | $ | 2,905,052 | 16.8 | % | $ | 2,173,042 | 16.8 | % | $ | 5,078,094 | 16.8 | % |
(1) | Excludes $1.2 billion of RPL/NPL MBS. Refer to table below for further information. |
(2) | Does not include principal payments receivable of $438,000. |
(3) | Months to reset is the number of months remaining before the coupon interest rate resets. At reset, the MBS coupon will adjust based upon the underlying benchmark interest rate index, margin and periodic and/or lifetime caps. The months to reset do not reflect scheduled amortization or prepayments. |
(4) | 3 month average CPR weighted by positions as of the beginning of each month in the quarter. |
(5) | Includes floating-rate MBS that may be collateralized by fixed-rate mortgages. |
(6) | Information presented based on data available at time of loan origination. |
(Dollars in Thousands) | Fair Value | Net Coupon | Months to Step-Up (1) | 3 Month Average Bond CPR (2) | |||||||||
Re-Performing loans | $ | 97,871 | 4.36 | % | 31 | 11.4 | % | ||||||
Non-Performing loans | 1,063,697 | 4.66 | 24 | 19.9 | |||||||||
Total RPL/NPL MBS | $ | 1,161,568 | 4.63 | % | 24 | 19.6 | % |
(1) | Months to step-up is the weighted average number of months remaining before the coupon interest rate increases pursuant to the first coupon reset. We anticipate that the securities will be redeemed prior to the step-up date. |
(2) | All principal payments are considered to be prepayments for CPR purposes. |
Change in Interest Rates | Estimated Value of Assets (1) | Estimated Value of Swaps | 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 | $ | 11,486,783 | $ | 69,382 | $ | 11,556,165 | $ | (146,619 | ) | (2.98 | )% | (1.25 | )% | |||||||||
+ 50 Basis Point Increase | $ | 11,582,562 | $ | 47,581 | $ | 11,630,143 | $ | (72,641 | ) | (1.19 | )% | (0.62 | )% | |||||||||
Actual at September 30, 2018 | $ | 11,677,003 | $ | 25,781 | $ | 11,702,784 | $ | — | — | — | ||||||||||||
- 50 Basis Point Decrease | $ | 11,770,104 | $ | 3,980 | $ | 11,774,084 | $ | 71,300 | (0.05 | )% | 0.61 | % | ||||||||||
-100 Basis Point Decrease | $ | 11,861,867 | $ | (17,820 | ) | $ | 11,844,047 | $ | 141,263 | (0.20 | )% | 1.21 | % |
(1) | Such assets include MBS and CRT securities, residential whole loans and REO, MSR related assets, cash and cash equivalents and restricted cash. |
Securities with Average Loan FICO of 715 or Higher (1) | Securities with Average Loan FICO Below 715 (1) | |||||||||||||||||||||||||||
Year of Securitization (2) | 2007 | 2006 | 2005 and Prior | 2007 | 2006 | 2005 and Prior | Total | |||||||||||||||||||||
(Dollars in Thousands) | ||||||||||||||||||||||||||||
Number of securities | 84 | 59 | 71 | 32 | 57 | 63 | 366 | |||||||||||||||||||||
MBS current face (3) | $ | 660,718 | $ | 376,587 | $ | 375,917 | $ | 149,747 | $ | 390,180 | $ | 389,760 | $ | 2,342,909 | ||||||||||||||
Total purchase discounts, net (3) | $ | (205,614 | ) | $ | (114,752 | ) | $ | (80,410 | ) | $ | (50,452 | ) | $ | (154,324 | ) | $ | (117,207 | ) | $ | (722,759 | ) | |||||||
Purchase discount designated as Credit Reserve and OTTI (3)(4) | $ | (143,372 | ) | $ | (58,869 | ) | $ | (45,135 | ) | $ | (41,112 | ) | $ | (149,794 | ) | $ | (93,476 | ) | $ | (531,758 | ) | |||||||
Purchase discount designated as Credit Reserve and OTTI as percentage of current face | 21.7 | % | 15.6 | % | 12.0 | % | 27.5 | % | 38.4 | % | 24.0 | % | 22.7 | % | ||||||||||||||
MBS amortized cost (3) | $ | 455,104 | $ | 261,835 | $ | 295,507 | $ | 99,295 | $ | 235,856 | $ | 272,553 | $ | 1,620,150 | ||||||||||||||
MBS fair value (3) | $ | 613,637 | $ | 353,729 | $ | 362,391 | $ | 137,360 | $ | 338,212 | $ | 364,882 | $ | 2,170,211 | ||||||||||||||
Weighted average fair value to current face | 92.9 | % | 93.9 | % | 96.4 | % | 91.7 | % | 86.7 | % | 93.6 | % | 92.6 | % | ||||||||||||||
Weighted average coupon (5) | 4.47 | % | 3.87 | % | 4.34 | % | 5.16 | % | 5.14 | % | 4.93 | % | 4.59 | % | ||||||||||||||
Weighted average loan age (months) (5)(6) | 137 | 146 | 161 | 142 | 148 | 160 | 148 | |||||||||||||||||||||
Weighted average current loan size (5)(6) | $ | 487 | $ | 482 | $ | 283 | $ | 326 | $ | 248 | $ | 242 | $ | 362 | ||||||||||||||
Percentage amortizing (7) | 100 | % | 99 | % | 100 | % | 99 | % | 99 | % | 100 | % | 100 | % | ||||||||||||||
Weighted average FICO score at origination (5)(8) | 729 | 728 | 726 | 705 | 702 | 703 | 718 | |||||||||||||||||||||
Owner-occupied loans | 91.1 | % | 91.5 | % | 86.7 | % | 85.4 | % | 86.8 | % | 85.0 | % | 88.4 | % | ||||||||||||||
Rate-term refinancings | 31.1 | % | 22.4 | % | 14.2 | % | 22.8 | % | 15.6 | % | 14.4 | % | 21.1 | % | ||||||||||||||
Cash-out refinancings | 35.0 | % | 36.2 | % | 27.1 | % | 44.0 | % | 45.9 | % | 40.4 | % | 37.2 | % | ||||||||||||||
3 Month CPR (6) | 17.5 | % | 19.5 | % | 22.2 | % | 14.1 | % | 13.6 | % | 14.4 | % | 17.2 | % | ||||||||||||||
3 Month CRR (6)(9) | 14.4 | % | 15.7 | % | 19.4 | % | 10.4 | % | 9.5 | % | 12.4 | % | 14.0 | % | ||||||||||||||
3 Month CDR (6)(9) | 3.6 | % | 4.5 | % | 3.7 | % | 4.3 | % | 4.7 | % | 2.4 | % | 3.8 | % | ||||||||||||||
3 Month loss severity | 71.1 | % | 55.4 | % | 35.8 | % | 78.6 | % | 68.3 | % | 58.3 | % | 61.3 | % | ||||||||||||||
60+ days delinquent (8) | 11.6 | % | 10.3 | % | 8.7 | % | 14.0 | % | 12.4 | % | 11.4 | % | 11.2 | % | ||||||||||||||
Percentage of always current borrowers (Lifetime) (10) | 27.6 | % | 27.8 | % | 34.6 | % | 25.0 | % | 21.2 | % | 26.4 | % | 27.3 | % | ||||||||||||||
Percentage of always current borrowers (12M) (11) | 74.0 | % | 76.6 | % | 77.8 | % | 70.5 | % | 70.4 | % | 72.2 | % | 73.9 | % |
(1) | FICO score is used by major credit bureaus to indicate a borrower’s creditworthiness at time of loan origination. |
(2) | Information presented based on the initial year of securitization of the underlying collateral. Certain of our Non-Agency MBS have been resecuritized. The historical information presented in the table is based on the initial securitization date and data available at the time of original securitization (and not the date of resecuritization). No information has been updated with respect to any MBS that have been resecuritized. |
(3) | Excludes Non-Agency MBS issued since 2012 in which the underlying collateral consists of RPL/NPL MBS. These Non-Agency MBS have a current face of $1.2 billion, amortized cost of $1.2 billion, fair value of $1.2 billion and purchase discounts of $702,000 at September 30, 2018. |
(4) | Purchase discounts designated as Credit Reserve and OTTI are not expected to be accreted into interest income. |
(5) | Weighted average is based on MBS current face at September 30, 2018. |
(6) | Information provided is based on loans for individual groups owned by us. |
(7) | Percentage of face amount for which the original mortgage note contractually calls for principal amortization in the current period. |
(8) | Information provided is based on loans for all groups that provide credit enhancement for MBS with credit enhancement. |
(9) | CRR represents voluntary prepayments and CDR represents involuntary prepayments. |
(10) | Percentage of face amount of loans for which the borrower has not been delinquent since origination. |
(11) | Percentage of face amount of loans for which the borrower has not been delinquent in the last twelve months. |
Property Location | Percent of Unpaid Principal Balance | ||
California | 42.5 | % | |
Florida | 7.9 | % | |
New York | 7.3 | % | |
New Jersey | 4.0 | % | |
Maryland | 4.0 | % |
Property Location | Percent of Interest-Bearing Unpaid Principal Balance (1) | ||
California | 31.6 | % | |
Florida | 10.7 | % | |
New York | 10.4 | % | |
New Jersey | 6.6 | % | |
Maryland | 3.8 | % |
(1) | Excludes approximately $8.6 million of residential whole loans for which the closing of the purchase transaction had not occurred as of September 30, 2018. |
Date: November 6, 2018 | MFA FINANCIAL, INC. | |
(Registrant) | ||
By: | /s/ Stephen D. Yarad | |
Stephen D. Yarad | ||
Chief Financial 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.INS* | XBRL Instance Document | |
101.SCH* | XBRL Taxonomy Extension Schema Document | |
101.CAL* | XBRL Taxonomy Extension Calculation Linkbase Document | |
101.DEF* | XBRL Taxonomy Extension Definition Linkbase Document | |
101.LAB* | XBRL Taxonomy Extension Label Linkbase Document | |
101.PRE* | XBRL Taxonomy Extension Presentation Linkbase Document |
Date: November 6, 2018 | |
By: | /s/ Craig L. Knutson |
Name: Craig L. Knutson | |
Title: President and Chief Executive Officer | |
Date: November 6, 2018 | |
By: | /s/ Stephen D. Yarad |
Name: Stephen D. Yarad | |
Title: Chief Financial Officer |
By: | /s/ Craig L. Knutson | Date: November 6, 2018 | |
Name: Craig L. Knutson | |||
Title: President and Chief Executive Officer |
By: | /s/ Stephen D. Yarad | Date: November 6, 2018 | |
Name: Stephen D. Yarad | |||
Title: Chief Financial Officer |
Document and Entity Information - shares |
9 Months Ended | |
---|---|---|
Sep. 30, 2018 |
Oct. 31, 2018 |
|
Document and Entity Information | ||
Entity Registrant Name | MFA FINANCIAL, INC. | |
Entity Central Index Key | 0001055160 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2018 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 449,546,435 | |
Document Fiscal Year Focus | 2018 | |
Document Fiscal Period Focus | Q3 | |
Entity Small Business | false | |
Entity Emerging Growth Company | false |
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2018 |
Dec. 31, 2017 |
|
MSR Related Assets, pledged as collateral (in dollars) | $ 565,272,000 | $ 482,158,000 |
Residential whole loans, carrying value | 1,149,293,000 | 448,689,000 |
Residential whole loans, fair value | $ 685,095,000 | $ 996,226,000 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized | 8,050,000 | 8,050,000 |
Preferred stock, dividend rate (as a percent) | 7.50% | 7.50% |
Preferred stock, shares issued | 8,000,000 | 8,000,000 |
Preferred stock, shares outstanding | 8,000,000 | 8,000,000 |
Preferred stock, aggregate liquidation preference (in dollars) | $ 200,000,000 | $ 200,000,000 |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 886,950,000 | 886,950,000 |
Common stock, shares issued | 449,472,000 | 397,831,000 |
Common stock, shares outstanding | 449,472,000 | 397,831,000 |
Collateral Pledged | Agency MBS | ||
Securities, at fair value, pledged as collateral | $ 2,795,273,000 | $ 2,727,510,000 |
Collateral Pledged | Non-Agency MBS | ||
Securities, at fair value, pledged as collateral | 3,237,108,000 | 2,379,523,000 |
Collateral Pledged | CRT securities | ||
Securities, at fair value, pledged as collateral | $ 504,931,000 | $ 595,900,000 |
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Interest Income: | ||||
MSR related assets | $ 6,407 | $ 7,194 | $ 20,249 | $ 17,833 |
Residential whole loans held at carrying value | 29,524 | 9,026 | 61,788 | 26,219 |
Cash and cash equivalent investments | 754 | 1,452 | 2,348 | 2,854 |
Interest Income | 117,432 | 105,133 | 322,931 | 332,546 |
Interest Expense: | ||||
Repurchase agreements and other advances | 50,881 | 46,303 | 142,832 | 141,444 |
Other interest expense | 7,997 | 2,972 | 18,410 | 7,202 |
Interest Expense | 58,878 | 49,275 | 161,242 | 148,646 |
Net Interest Income | 58,554 | 55,858 | 161,689 | 183,900 |
Other Income, net: | ||||
Net gain on residential whole loans held at fair value | 34,942 | 18,679 | 105,883 | 48,660 |
Net gain on sales of investment securities | 16,415 | 14,933 | 32,661 | 30,530 |
Other, net | (2,998) | (4,515) | (1,519) | 13,812 |
Other Income, net | 48,359 | 29,097 | 137,025 | 93,002 |
Operating and Other Expense: | ||||
Compensation and benefits | 6,868 | 10,892 | 20,654 | 26,258 |
Other general and administrative expense | 4,155 | 4,081 | 13,569 | 14,060 |
Loan servicing and other related operating expenses | 8,758 | 6,177 | 23,569 | 14,785 |
Operating and Other Expense | 19,781 | 21,150 | 57,792 | 55,103 |
Net Income | 87,132 | 63,805 | 240,922 | 221,799 |
Less Preferred Stock Dividends | 3,750 | 3,750 | 11,250 | 11,250 |
Net Income Available to Common Stock and Participating Securities | $ 83,382 | $ 60,055 | $ 229,672 | $ 210,549 |
Earnings per Common Share - Basic and Diluted (in dollars per share) | $ 0.19 | $ 0.15 | $ 0.56 | $ 0.54 |
Dividends Declared per Share of Common Stock (in dollars per share) | $ 0.20 | $ 0.20 | $ 0.60 | $ 0.60 |
Agency MBS | ||||
Interest Income: | ||||
Securities | $ 14,332 | $ 15,533 | $ 42,795 | $ 50,014 |
Non-Agency MBS | Non-Agency MBS | ||||
Interest Income: | ||||
Securities | 58,667 | 63,252 | 169,812 | 212,728 |
CRT securities | ||||
Interest Income: | ||||
Securities | $ 7,748 | $ 8,676 | $ 25,939 | $ 22,898 |
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME/(LOSS) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Net income | $ 87,132 | $ 63,805 | $ 240,922 | $ 221,799 |
Other Comprehensive Income/(Loss): | ||||
Reclassification adjustment for MBS sales included in net income | (9,455) | (14,935) | (25,580) | (30,283) |
Reclassification adjustment for other-than-temporary impairments included in net income | 0 | 0 | 0 | (1,032) |
Derivative hedging instrument fair value changes, net | 5,390 | 5,791 | 32,974 | 16,671 |
Other Comprehensive (Loss)/Income | (38,343) | (2,156) | (82,856) | 56,544 |
Comprehensive income before preferred stock dividends | 48,789 | 61,649 | 158,066 | 278,343 |
Dividends declared on preferred stock | (3,750) | (3,750) | (11,250) | (11,250) |
Comprehensive Income Available to Common Stock and Participating Securities | 45,039 | 57,899 | 146,816 | 267,093 |
Agency MBS | ||||
Other Comprehensive Income/(Loss): | ||||
Unrealized (loss)/gain, net | (9,177) | (3,032) | (27,507) | (22,241) |
Non-Agency MBS | ||||
Other Comprehensive Income/(Loss): | ||||
Unrealized (loss)/gain, net | $ (25,101) | $ 10,020 | $ (62,743) | $ 93,429 |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands |
Total |
Preferred Stock
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 |
||||
---|---|---|---|---|---|---|---|---|---|---|
Balance (in shares) at Dec. 31, 2016 | 8,000,000 | 371,854,000 | ||||||||
Balance at Dec. 31, 2016 | $ 3,033,902 | $ 80 | $ 3,719 | $ 3,029,062 | $ (572,641) | $ 573,682 | ||||
Increase (Decrease) in Stockholders' Equity | ||||||||||
Net income | 221,799 | 221,799 | ||||||||
Issuance of common stock, net of expenses (in shares) | [1] | 25,726,000 | ||||||||
Issuance of common stock, net of expenses | [1] | 190,515 | $ 250 | 190,265 | ||||||
Repurchase of shares of common stock (in shares) | [1] | (641,000) | ||||||||
Repurchase of shares of common stock | [1] | (5,158) | (5,158) | |||||||
Equity based compensation expense | 5,209 | 5,209 | ||||||||
Accrued dividends attributable to stock-based awards | 20 | 20 | ||||||||
Dividends declared on common stock | (233,244) | (233,244) | ||||||||
Dividends declared on preferred stock | (11,250) | (11,250) | ||||||||
Dividends attributable to dividend equivalents | (686) | (686) | ||||||||
Change in unrealized gains on MBS, net | 39,873 | 39,873 | ||||||||
Derivative hedging instrument fair value changes, net | 16,671 | 16,671 | ||||||||
Balance (in shares) at Sep. 30, 2017 | 8,000,000 | 396,939,000 | ||||||||
Balance at Sep. 30, 2017 | 3,257,651 | $ 80 | $ 3,969 | 3,219,398 | (596,022) | 630,226 | ||||
Increase (Decrease) in Stockholders' Equity | ||||||||||
Adjustments related to tax withholding for share-based compensation | $ 5,200 | |||||||||
Shares paid for tax withholding for share based compensation (in shares) | 640,748 | |||||||||
Balance (in shares) at Dec. 31, 2017 | 8,000,000 | 397,831,000 | ||||||||
Balance at Dec. 31, 2017 | 3,261,636 | $ 80 | $ 3,978 | 3,227,304 | (578,950) | 609,224 | ||||
Increase (Decrease) in Stockholders' Equity | ||||||||||
Net income | 240,922 | 240,922 | ||||||||
Issuance of common stock, net of expenses (in shares) | [1] | 51,892,000 | ||||||||
Issuance of common stock, net of expenses | [1] | $ 391,582 | $ 517 | 391,065 | ||||||
Repurchase of shares of common stock (in shares) | 0 | (251,000) | [1] | |||||||
Repurchase of shares of common stock | [1] | $ (1,957) | (1,957) | |||||||
Equity based compensation expense | 3,887 | 3,887 | ||||||||
Accrued dividends attributable to stock-based awards | (31) | (31) | ||||||||
Dividends declared on common stock | (249,287) | (249,287) | ||||||||
Dividends declared on preferred stock | (11,250) | (11,250) | ||||||||
Dividends attributable to dividend equivalents | (701) | (701) | ||||||||
Change in unrealized gains on MBS, net | (115,830) | (115,830) | ||||||||
Derivative hedging instrument fair value changes, net | 32,974 | 32,974 | ||||||||
Balance (in shares) at Sep. 30, 2018 | 8,000,000 | 449,472,000 | ||||||||
Balance at Sep. 30, 2018 | $ 3,552,240 | $ 80 | $ 4,495 | $ 3,620,268 | $ (598,971) | $ 526,368 | ||||
Increase (Decrease) in Stockholders' Equity | ||||||||||
Adjustments related to tax withholding for share-based compensation | $ 2,000 | |||||||||
Shares paid for tax withholding for share based compensation (in shares) | 250,946 | |||||||||
|
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY (Parenthetical) - $ / shares |
9 Months Ended | 12 Months Ended | |
---|---|---|---|
Apr. 15, 2013 |
Sep. 30, 2018 |
Dec. 31, 2017 |
|
Preferred Stock, dividend rate | 7.50% | 7.50% | |
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 |
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands |
9 Months Ended | |
---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Cash Flows From Operating Activities: | ||
Net income | $ 240,922 | $ 221,799 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Gain on sales of MBS, CRT securities and U.S. Treasury securities | (32,661) | (30,530) |
Gain on sales of real estate owned | (6,582) | (2,844) |
Gain on liquidation of residential whole loans | (18,598) | (7,178) |
Other-than-temporary impairment charges | 0 | 1,032 |
Accretion of purchase discounts on MBS and CRT securities, residential whole loans and MSR related assets | (64,211) | (67,065) |
Amortization of purchase premiums on MBS, CRT securities, and residential whole loans | 21,141 | 23,766 |
Depreciation and amortization on real estate, fixed assets and other assets | 1,354 | 1,199 |
Equity-based compensation expense | 3,891 | 5,369 |
Unrealized gain on residential whole loans at fair value | (26,788) | (12,499) |
Unrealized losses/(gains) on MBS and CRT securities | 2,767 | (11,932) |
(Increase)/decrease in other assets and other | (31,018) | 10,538 |
Increase/(decrease) in other liabilities | 33 | (10,248) |
Net cash provided by operating activities | 90,250 | 121,407 |
Cash Flows From Investing Activities: | ||
Principal payments on MBS, CRT securities and MSR related assets | 1,797,012 | 3,387,673 |
Proceeds from sales of MBS, CRT securities and U.S. Treasury securities | 341,589 | 222,143 |
Purchases of MBS, CRT securities, MSR related assets and U.S. Treasury securities | (2,021,914) | (1,425,717) |
Purchases of residential whole loans and capitalized advances | (2,158,105) | (391,613) |
Principal payments on residential whole loans | 345,917 | 105,549 |
Proceeds from sales of real estate owned | 93,635 | 51,834 |
Purchases of real estate owned and capital improvements | (10,179) | (17,224) |
Redemption of Federal Home Loan Bank stock | 0 | 10,422 |
Additions to leasehold improvements, furniture and fixtures | (1,009) | (596) |
Net cash (used in)/provided by investing activities | (1,613,054) | 1,942,471 |
Cash Flows From Financing Activities: | ||
Principal payments on repurchase agreements and other advances | (48,988,034) | (57,118,263) |
Proceeds from borrowings under repurchase agreements | 49,651,416 | 55,302,002 |
Proceeds from issuance of securitized debt | 419,970 | 147,847 |
Principal payments on securitized debt | (67,945) | (9,140) |
Payments made for securitization related costs | (2,472) | (1,520) |
Payments made for settlements on interest rate swap agreements (“Swaps”) | (40,885) | (30,050) |
Proceeds from settlements on Swaps | 57,656 | 0 |
Proceeds from issuances of common stock | 391,932 | 190,928 |
Payments made for costs related to common stock issuances | (350) | (412) |
Dividends paid on preferred stock | (11,250) | (11,250) |
Dividends paid on common stock and dividend equivalents | (239,623) | (228,982) |
Net cash provided by/(used in) financing activities | 1,170,415 | (1,758,840) |
Net (decrease)/increase in cash, cash equivalents and restricted cash | (352,389) | 305,038 |
Cash, cash equivalents and restricted cash at beginning of period | 463,064 | 318,575 |
Cash, cash equivalents and restricted cash at end of period | 110,675 | 623,613 |
Non-cash Investing and Financing Activities: | ||
Net (decrease)/increase in securities obtained as collateral/obligation to return securities obtained as collateral | (505,850) | 131,930 |
Transfer from residential whole loans to real estate owned | 161,572 | 97,388 |
Dividends and dividend equivalents declared and unpaid | 90,136 | 79,605 |
Payable for unsettled MBS and residential whole loans purchases | $ 10,888 | $ 124,006 |
Organization |
9 Months Ended |
---|---|
Sep. 30, 2018 | |
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 a taxable REIT subsidiary (“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(o)) |
Summary of Significant Accounting Policies |
9 Months Ended |
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Sep. 30, 2018 | |
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 according to 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, 2017. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2018 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2018 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 other-than-temporary impairment (“OTTI”) on MBS (See Note 3), valuation of MBS, CRT securities and MSR related assets (See Notes 3 and 14), income recognition and valuation of residential whole loans (See Notes 4 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 3) 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(o)) Actual results could differ from those estimates. The Company has one reportable segment as 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 as well as MBS resecuritization transactions completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation. (b) MBS and CRT Securities The Company has investments 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”). In addition, the Company has investments in CRT securities that are issued by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by Fannie Mae and Freddie Mac and the principal payments received are based on the performance of loans in a reference pool of previously securitized MBS. As the loans in the underlying reference pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a loss if certain defined credit events occur, including, for certain CRT securities, if the loans in the reference pool experience delinquencies exceeding specified thresholds. 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 OTTI 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 has elected the fair value option for certain of its Agency MBS that it does not intend to hold to maturity. These 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. The Company has elected the fair value option for 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 the 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. Interest income on the Non-Agency MBS that were purchased at a discount to par value and/or are considered to be of less than high credit quality is recognized based on the security’s effective interest rate which is the security’s internal rate of return (“IRR”). The IRR is determined using management’s estimate of the projected cash flows for each security, which are based on the Company’s observation of current information and events and include assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the IRR/ interest income recognized on these securities or in the recognition of OTTIs. (See Note 3) Based on the projected cash flows from the Company’s Non-Agency MBS purchased at a discount to par value, a portion of the purchase discount may be designated as non-accretable purchase discount (“Credit Reserve”), which effectively mitigates the Company’s risk of loss on the mortgages collateralizing such MBS and is not expected to be accreted into interest income. The amount designated as Credit Reserve may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a Credit Reserve is more favorable than forecasted, a portion of the amount designated as Credit Reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a Credit Reserve is less favorable than forecasted, the amount designated as Credit Reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. Determination of Fair Value for MBS and CRT Securities In determining the fair value of the Company’s MBS and CRT 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) Impairments/OTTI 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 on at least a quarterly basis and designates such impairments as either “temporary” or “other-than-temporary.” 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 an OTTI 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 other-than-temporarily impaired security, only the portion of the impairment related to credit losses is recognized through charges to earnings with the remainder recognized through AOCI on the consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Following the recognition of an OTTI through earnings, a new cost basis is established for the security and may not be adjusted for subsequent recoveries in fair value through earnings. However, OTTIs recognized through charges to earnings may be accreted back to the amortized cost basis of the security on a prospective basis through interest income. The determination as to whether an OTTI exists and, if so, the amount of credit impairment recognized in earnings is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of the future performance and cash flow projections. As a result, the timing and amount of OTTIs constitute material estimates that are susceptible to significant change. (See Note 3) 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 OTTI 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 MBS and CRT Securities pledged as collateral against repurchase 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. (c) 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 3, 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 reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in AOCI. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes considers a number of factors, including a comparable bond analysis performed by a third-party pricing service which involves determining a pricing spread at issuance of the term note. The pricing spread is used at each subsequent valuation date to determine an implied yield to maturity of the term note, which is then used to derive an indicative market value for the security. This indicative market value is further reviewed by the Company and may be adjusted to ensure it reflects a realistic exit price at the valuation date given the structural features of these securities. Other factors taken into consideration include indicative values provided by repurchase agreement counterparties, estimated changes in fair value of the related underlying MSR collateral 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. 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. (d) 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, with the majority at discounted purchase prices. 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 impaired loans that are held at carrying value is typically utilized by the Company for purchased credit impaired loans where the underlying borrower has a delinquency status of less than 60 days at the acquisition date. The Company may also purchase newly or recently originated loans that are performing as of the purchase date. Such loans are typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required loan loss reserves differ to those used for purchased credit impaired 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 repurchase agreements are included in the consolidated balance sheets with amounts pledged disclosed parenthetically. Purchases and sales of residential whole loans are recorded on the trade date, with amounts recorded 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. 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 repurchase agreement financing until the closing of the purchase transaction. (See Notes 4, 6, 7, 14 and 15) Residential Whole Loans at Carrying Value Purchased Credit Impaired Loans The Company has elected to account for these loans as credit impaired as they 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 with no allowance for loan losses. Subsequent to acquisition, the recorded amount for these loans reflects the original investment amount, 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 amount reduced by any allowance for loan losses established subsequent to acquisition. Under the application of the accounting model for purchased credit impaired loans, the Company may aggregate into pools loans acquired in the same fiscal quarter that are assessed as having similar risk characteristics. For each pool established, or on an individual loans basis for loans not aggregated into pools, the Company estimates at acquisition, and periodically on at least a quarterly basis, the principal and interest cash flows expected to be collected. The difference between the cash flows expected to be collected and the carrying amount of the loans is referred to as the “accretable yield.” This amount is accreted as interest income over the life of the loans using an effective interest rate (level yield) methodology. Interest income recorded each period reflects the amount of accretable yield recognized and not the coupon interest payments received on the underlying loans. The difference between contractually required principal and interest payments and the cash flows expected to be collected is referred to as the “non-accretable difference,” and includes estimates of both the effect of prepayments and expected credit losses over the life of the underlying loans. A decrease in expected cash flows in subsequent periods may indicate impairment at the pool and/or individual loan level, thus requiring the establishment of an allowance for loan losses by a charge to the provision for loan losses. The allowance for loan losses generally represents the present value of cash flows expected at acquisition, adjusted for any increases due to changes in estimated cash flows, that are subsequently no longer expected to be received at the relevant measurement date. Under the accounting model applied to credit impaired loans, a significant increase in expected cash flows in subsequent periods first reduces any previously recognized allowance for loan losses and then will result in a recalculation in the amount of accretable yield. The adjustment of accretable yield due to a significant increase in expected cash flows is accounted for prospectively as a change in estimate and results in reclassification from nonaccretable difference to accretable yield. Other Loans at Carrying Value The Company also has investments in loans that are not considered to be credit impaired at purchase. To date such loans have included newly or previously originated performing loans that are primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties and 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”), (collectively “Other Loans at Carrying Value”). The Company’s Other Loans at Carrying Value are initially recorded at their purchase price. Interest income on Other Loans at Carrying Value purchased 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 premium or discount and related servicing costs, and adjusted for actual prepayment activity. An allowance for loan losses is recorded when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms of the loan agreement. Any required loan loss allowance would typically be measured based on fair value of the collateral securing the loan and would reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining any allowance for loan 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 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. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, 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. 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 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 who 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 gain on residential whole loans held at fair value on the Company’s consolidated statements of operations. Cash received reflecting coupon payments on residential whole loans held at fair value is not included in Interest Income, but rather is presented in Net gain on residential whole loans held at fair value 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 Net gain on residential whole loans held at fair value. (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 repurchase agreement counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). At September 30, 2018 and December 31, 2017, the Company had cash and cash equivalents of $104.2 million and $449.8 million, respectively. The Company’s investments in overnight money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency, were $71.1 million and $354.0 million at September 30, 2018 and December 31, 2017, respectively. (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 repurchase agreements that is not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to repurchase agreement counterparties, or may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the repurchase agreement. The Company had aggregate restricted cash held as collateral or otherwise in connection with its repurchase agreements of $6.5 million and $13.3 million at September 30, 2018 and December 31, 2017, respectively. (See Notes 5(c), 6, 7 and 14) (g) Goodwill At September 30, 2018 and December 31, 2017, the Company had goodwill of $7.2 million, which represents the unamortized portion of the excess of the fair value of its common stock issued over the fair value of net assets acquired in connection with its formation in 1998. Goodwill is tested for impairment at least annually, or more frequently under certain circumstances, at the entity level. Through September 30, 2018, the Company had not recognized any impairment against its goodwill. Goodwill is included in Other assets on the Company’s consolidated balance sheets. (h) 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. (See Note 5(b)) (i) Depreciation Leasehold Improvements 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 five to eight years at the time of purchase. (j) 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 8% Senior Notes due 2042 (“Senior Notes”) and certain other repurchase agreement financings. These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges, 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 Senior Notes and other repurchase agreement financings, 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. (k) Repurchase Agreements The Company finances the holdings of a significant portion of its residential mortgage assets with repurchase agreements. Under repurchase agreements, the Company sells securities to a lender and agrees to repurchase the same securities 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, the Company pledges its securities as collateral to secure the borrowing, which is equal in value 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 securities 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 MBS 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 typically have terms ranging from one month to six months at inception, but may also have longer or shorter terms. Should a counterparty decide not to renew a repurchase financing at maturity, the Company must either refinance elsewhere or be in a position to satisfy the obligation. If, during the term of a repurchase 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 or such collateral. (See Notes 6, 7 and 14) In addition to the repurchase agreement financing arrangements discussed above, as part of its financing strategy for Non-Agency MBS, the Company in prior periods entered into contemporaneous repurchase and reverse repurchase agreements with a single counterparty. Under a typical reverse repurchase agreement, the Company buys securities from a borrower for cash and agrees to sell the same securities in the future for a price that is higher than the original purchase price. The difference between the purchase price the Company originally paid and the sale price represents interest received from the borrower. In contrast, the contemporaneous repurchase and reverse repurchase transactions effectively resulted in the Company pledging Non-Agency MBS as collateral to the counterparty in connection with the repurchase agreement financing and obtaining U.S. Treasury securities as collateral from the same counterparty in connection with the reverse repurchase agreement. No net cash was exchanged between the Company and counterparty at the inception of the transactions. Securities obtained and pledged as collateral are recorded in Other assets on the Company’s consolidated balance sheets. Interest income is recorded on the reverse repurchase agreement and interest expense is recorded on the repurchase agreement on an accrual basis. The Company’s liability to the counterparty in prior periods in connection with this financing arrangement is recorded in Other liabilities on the Company’s consolidated balance sheets and disclosed as “Obligation to return securities obtained as collateral, at fair value.” (See Note 5(a)) (l) 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. For certain awards granted prior to January 1, 2017, compensation expense recognized included the impact of estimated forfeitures, with any changes in estimated forfeiture rates accounted for as a change in estimate. Upon adoption of new accounting guidance that was effective for the Company on January 1, 2017, the Company made a policy election to account for forfeitures as they occur. Beginning in 2014, the Company has made annual grants of restricted stock units (“RSUs”) certain of which cliff vest after a three-year period and others of which cliff vest after a three-year period, subject to the achievement of certain performance criteria based on a formula tied to the Company’s achievement of average total stockholder 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 stockholder 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(m) and 13) (m) 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 unvested restricted stock and RSUs that have non-forfeitable rights to dividends and dividend equivalents attached to/associated with RSUs and vested stock options 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 dilutive unexercised stock options and RSUs outstanding that are unvested and have dividends that are subject to forfeiture 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, are used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period. (See Note 12) (n) 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 is reduced by dividends declared on the Company’s preferred stock and issuance costs of redeemed preferred stock. (o) 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% 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 a 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 may be conducted through one or more TRS, its income earned by TRS may be subject to corporate income taxation. To maintain the Company’s REIT election, no more than 20% of the value of a REIT’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 a 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 deferred tax benefit was recorded by the Company for the nine months ended September 30, 2018 and 2017, as a valuation allowance for the full amount of the associated deferred tax asset was recognized as its recovery is not considered more likely than not. Based on its analysis of any potential 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, 2018, December 31, 2017, or September 30, 2017. The Company filed its 2017 tax return prior to October 15, 2018. The Company’s tax returns for tax years 2015 through 2017 are open to examination. (p) 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 are currently comprised of Swaps, the majority of which are 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 inception of a hedge and on a quarterly basis thereafter, whether or not the hedge is “highly effective.” Swaps are carried on the Company’s consolidated balance sheets at fair value, in Other assets, if their fair value is positive, or in Other liabilities, if their fair value is negative. Beginning in January 2017, variation margin payments on the Company’s Swaps that have been novated to a clearing house are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as fair value of the Swap. All of the Company’s Swaps have been novated to a central clearing house. Changes in the fair value of the Company’s Swaps designated in hedging transactions are recorded in OCI provided that the hedge remains effective. Changes in fair value for any ineffective amount of a Swap are recognized in earnings. The Company has not recognized any change in the value of its existing Swaps designated as hedges through earnings as a result of hedge ineffectiveness. 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 statement of operations. (q) 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 residential whole loans, Agency MBS and CRT securities at time of acquisition. Subsequent changes in the fair value of these financial instruments are 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(d), 3, 4 and 14) (r) 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 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) 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 consolidating the VIEs that were created 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 were 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 sale 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. (s) Offering Costs Related to Issuance and Redemption of Preferred Stock Offering costs related to 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. (t) New Accounting Standards and Interpretations Accounting Standards Adopted in 2018 Compensation - Stock Compensation - Scope of Modification Accounting In May 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-09, Scope of Modification Accounting (“ASU 2017-09”). The amendments in ASU 2017-09 provide guidance about which changes to the terms or conditions of a share-based payment award require an entity to apply modification accounting. Pursuant to this ASU, an entity should account for the effects of a modification unless all of the following are met: (1) the fair value (or calculated value or intrinsic value, if such an alternative measurement method is used) of the modified award is the same as the fair value (or calculated value or intrinsic value, if such an alternative measurement method is used) of the original award immediately before the original award is modified; (2) the vesting conditions of the modified award are the same as the vesting conditions of the original award immediately before the original award is modified; and (3) the classification of the modified award as an equity instrument or a liability instrument is the same as the classification of the original award immediately before the original award date is modified. The Company adopted ASU 2017-09 on January 1, 2018 and its adoption did not have an impact on its financial position or financial statement disclosures. Statement of Cash Flows - Restricted Cash In November 2016, the FASB issued ASU 2016-18, Restricted Cash (“ASU 2016-18”). ASU 2016-18 clarifies how entities should present restricted cash and restricted cash equivalents in the statement of cash flows with the objective of reducing the existing diversity in practice. The amendments in ASU 2016-18 require restricted cash and restricted cash equivalents to be included with cash and cash equivalents when reconciling the beginning-of-period and end-of period total amounts shown on the statement of cash flows. The Company adopted ASU 2016-18 on January 1, 2018 and its adoption did not have a significant impact on its financial position or financial statement disclosures. Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments In August 2016, the FASB issued ASU 2016-15, Classification of Certain Cash Receipts and Cash Payments (“ASU 2016-15”). The amendments in ASU 2016-15 provide guidance for eight specific cash flow classification issues, certain cash receipts and cash payments on the statement of cash flows with the objective of reducing the existing diversity in practice. The Company adopted ASU 2016-15 on January 1, 2018 and its adoption did not have a significant impact on its financial position or financial statement disclosures. Financial Instruments - Overall - Recognition and Measurement of Financial Assets and Financial Liabilities In January 2016, the FASB issued ASU 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities (“ASU 2016-01”). The amendments in this ASU affect all entities that hold financial assets or owe financial liabilities, and address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. The classification and measurement guidance of investments in debt securities and loans are not affected by the amendments in this ASU. ASU 2016-01 was effective for the Company for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017. The Company’s adoption of this ASU on January 1, 2018 did not have a significant impact on the Company’s financial position or financial statement disclosures as the classification and measurement of its investments in debt securities and loans were not affected by the amendments in this ASU. Revenue from Contracts with Customers In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (“ASU 2014-09”). The ASU requires an entity to recognize revenue in an amount that reflects the consideration to which it expects to be entitled for the transfer of promised goods or services to customers. ASU 2014-09 replaced most existing revenue recognition guidance in GAAP when it became effective. The Company adopted this ASU on January 1, 2018 and its adoption did not have a material impact on the Company’s financial position or financial statement disclosures as the majority of the Company’s revenues are generated by financial instruments that are explicitly scoped out of this ASU. On adoption of the new standard on January 1, 2018, the Company recorded a transition adjustment, under the modified retrospective approach, of approximately $295,000 to the opening balance of retained earnings in order to reflect the recognition of a gain on sale of REO that was previously deferred under the prior accounting guidance. |
MBS, CRT Securities and MSR Related Assets |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
MBS, CRT Securities and MSR Related Assets | MBS, CRT Securities and MSR Related Assets Agency and Non-Agency MBS The Company’s MBS are comprised of 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 primarily 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 and Swaps. (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. 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. CRT Securities CRT securities are debt obligations issued by Fannie Mae and Freddie Mac. The payments of principal and interest on the CRT securities are paid by Fannie Mae or Freddie Mac, as the case may be, on a monthly basis, and are dependent on the performance of loans in a reference pool of Agency MBS securitized by the issuing entity. As an investor in a CRT security, the Company may incur a loss if losses on the mortgage loans in the reference pool exceed the credit enhancement on the underlying CRT security owned by the Company. The Company assesses the credit risk associated with CRT securities by assessing the current and expected future performance of the associated reference 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 MBS and CRT securities at September 30, 2018 and December 31, 2017: September 30, 2018
December 31, 2017
Sales of MBS and CRT Securities During the nine months ended September 30, 2018, the Company sold certain Agency MBS for $75.3 million realizing losses of $3.8 million. The Company also sold certain CRT securities during the three and nine months ended September 30, 2018 for $118.9 million and $222.9 million, realizing gains of $13.0 million and $24.2 million, respectively. In addition, during the three and nine months ended September 30, 2018, the Company sold certain Non-Agency MBS for $24.3 million and $43.7 million, realizing gains of $3.4 million and $12.2 million, respectively. During the three and nine months ended September 30, 2017, the Company sold certain Non-Agency MBS for $44.5 million and $83.1 million, realizing gains of $14.9 million and $30.8 million, respectively. The Company has no continuing involvement with any of the sold MBS. Unrealized Losses on MBS and CRT Securities The following table presents information about the Company’s MBS and CRT securities that were in an unrealized loss position at September 30, 2018: Unrealized Loss Position For:
At September 30, 2018, the Company did not intend to sell any of its investments that were in an unrealized loss position, and it is “more likely than not” that the Company will not be required to sell these securities before recovery of their amortized cost basis, which may be at their maturity. Gross unrealized losses on the Company’s Agency MBS were $66.1 million at September 30, 2018. Agency MBS are issued by Government Sponsored Entities (“GSEs”) and enjoy either the implicit or explicit backing of the full faith and credit of the U.S. Government. While the Company’s Agency MBS are not rated by any rating agency, they are currently perceived by market participants to be of high credit quality, with risk of default limited to the unlikely event that the U.S. Government would not continue to support the GSEs. Given the credit quality inherent in Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In assessing whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at its maturity, the Company considers for each impaired security, the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at September 30, 2018 any unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency MBS were $2.1 million at September 30, 2018. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of OTTI 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 with losses that are other-than-temporary 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 any credit-related OTTI losses through earnings related to its Non-Agency MBS during the three and nine months ended September 30, 2018 and three months ended September 30, 2017. The Company recognized credit-related OTTI losses through earnings related to its Non-Agency MBS of $1.0 million during the nine months ended September 30, 2017. Non-Agency MBS on which OTTI is recognized have experienced, or are expected to experience, credit-related adverse cash flow changes. The Company’s estimate of cash flows for these Non-Agency MBS is based on its review of the underlying mortgage loans securing these MBS. The Company considers information available about the structure of the securitization, including structural credit enhancement, if any, and 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, LTVs, geographic concentrations, as well as Rating Agency reports, general market assessments, and dialogue with market participants. Changes in the Company’s evaluation of each of these factors impacts the cash flows expected to be collected at the OTTI assessment date. For Non-Agency MBS purchased at a discount to par that were assessed for and had no OTTI recorded this period, such cash flow estimates indicated that the amount of expected losses decreased compared to the previous OTTI assessment date. These positive cash flow changes are primarily driven by recent improvements in LTVs due to loan amortization and home price appreciation, which, in turn, positively impacts the Company’s estimates of default rates and loss severities for the underlying collateral. In addition, voluntary prepayments (i.e., loans that prepay in full with no loss) have generally trended higher relative to the Company’s assumptions for these MBS which also positively impacts the Company’s estimate of expected loss. Overall, the combination of higher voluntary prepayments and lower LTVs supports the Company’s assessment that such MBS are not other-than-temporarily impaired. The following table presents the composition of OTTI charges recorded by the Company for the three and nine months ended September 30, 2018 and 2017:
The following table presents a roll-forward of the credit loss component of OTTI on the Company’s Non-Agency MBS for which a non-credit component of OTTI was previously recognized in OCI. Changes in the credit loss component of OTTI are presented based upon whether the current period is the first time OTTI was recorded on a security or a subsequent OTTI charge was recorded.
Purchase Discounts on Non-Agency MBS The following tables present the changes in the components of the Company’s purchase discount on its Non-Agency MBS between purchase discount designated as Credit Reserve and OTTI and accretable purchase discount for the three and nine months ended September 30, 2018 and 2017:
MSR Related Assets (a) Term Notes Backed by MSR Related Collateral At September 30, 2018 and December 31, 2017, the Company had $505.2 million and $381.8 million, 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, 2018, these term notes had an amortized cost of $504.3 million, gross unrealized gains of approximately $922,000, a weighted average yield of 5.15% and a weighted average term to maturity of 4.5 years. At December 31, 2017, the term notes had an amortized cost of $381.0 million, unrealized gains of $804,000, a weighted average yield of 5.80% and a weighted average term to maturity of 3.4 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. During the three months ended September 30, 2018, the Company participated in a loan where the Company committed to lend $100.0 million of which approximately $60.1 million was drawn at September 30, 2018. At September 30, 2018, the coupon paid by the borrower on the drawn amount is 5.64%, the remaining term associated with the loan is 1.9 years and the remaining commitment period on any undrawn amount is 1.9 years. 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. In December 2016, the Company entered into a loan agreement under the terms of which it had committed to lend $130.0 million, of which approximately $124.2 million was drawn at March 31, 2018. This loan was paid in full during the three months ended June 30, 2018, at which time any remaining commitment was extinguished. For the three and nine months ended September 30, 2018, the Company recognized interest income on its corporate loans of $138,000 and $3.8 million including discount accretion and commitment fee income of $19,000 and $1.3 million, respectively. In addition, the Company recorded $136,000 of Other Income consisting of deferred commitment fees recognized upon repayment of a corporate loan during the nine months ended September 30, 2018. For the three and nine months ended September 30, 2017, the Company recognized interest income on its corporate loans of approximately $2.1 million and $5.7 million including discount accretion and commitment fee income of approximately $76,000 and $212,000, respectively. 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, 2018 and 2017:
Interest Income on MBS, CRT Securities and MSR Related Assets The following table presents the components of interest income on the Company’s MBS, CRT securities and MSR related assets for the three and nine months ended September 30, 2018 and 2017:
(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, which is based on management’s estimates of the amount and timing of future cash flows, less the current coupon yield. (3) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously been purchased at a discount of $2.3 million during the three months ended September 30, 2018 and $2.3 million and $1.7 million during the nine months ended September 30, 2018 and 2017, respectively. (4) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously been purchased at a discount of $1.1 million and $575,000 during the three months ended September 30, 2018 and 2017, respectively and $1.2 million during each of the nine months ended September 30, 2018 and 2017, respectively. |
Residential Whole Loans |
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Residential Whole Loans | Residential Whole Loans Included on the Company’s consolidated balance sheets at September 30, 2018 and December 31, 2017 are approximately $3.9 billion and $2.2 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, 2018 and December 31, 2017:
The following table presents additional information regarding the Company’s Residential whole loans, at carrying value at September 30, 2018: September 30, 2018
(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. For Rehabilitation loans, the LTV generally represents 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. For certain Rehabilitation loans, an after repaired valuation is not obtained during loan underwriting. For these loans, the LTV represents the ratio of the current unpaid principal balance of the loan, to the “as is” estimated value of the collateral securing the related loan. (3) Excluded from the table above are approximately $6.8 million of other loans held at carrying value for which the closing of the purchase transaction had not occurred as of September 30, 2018. Purchased Credit Impaired Loans As of September 30, 2018, the Company had established an allowance for loan losses of approximately $461,000 on its purchased credit impaired loans held at carrying value. For the three and nine months ended September 30, 2018, a provision for loan losses of approximately $164,000 and $131,000 was recorded, respectively, which is included in Operating and Other expense on the Company’s consolidated statements of operations. For the three and nine months ended September 30, 2017, a net reversal of provision for loan losses of approximately $57,000 and $672,000 was recorded, respectively. The following table presents the activity in the Company’s allowance for loan losses on its purchased credit impaired loans held at carrying value for the three and nine months ended September 30, 2018 and 2017:
The following table presents information regarding the estimates of the contractually required payments, the cash flows expected to be collected, and the estimated fair value of the purchased credit impaired loans held at carrying value acquired by the Company for the three and nine months ended September 30, 2018 and 2017:
The following table presents accretable yield activity for the Company’s purchased credit impaired loans held at carrying value for the three and nine months ended September 30, 2018 and 2017:
Accretable yield for purchased credit impaired residential whole loans is the excess of loan cash flows expected to be collected over the purchase price. The cash flows expected to be collected represent the Company’s estimate of the amount and timing of undiscounted principal and interest cash flows. Additions include accretable yield estimates for purchases made during the period and reclassification to accretable yield from non-accretable yield. Accretable yield is reduced by accretion during the period. The reclassifications between accretable and non-accretable yield and the accretion of interest income are based on changes in estimates regarding loan performance and the value of the underlying real estate securing the loans. In future periods, as the Company updates estimates of cash flows expected to be collected from the loans and the underlying collateral, the accretable yield may change. Therefore, the amount of accretable income recorded during the three and nine months ended September 30, 2018 is not necessarily indicative of future results. Other Loans at Carrying Value As of September 30, 2018, there were ten loans held at carrying value, that have been placed on non-accrual status as they are more than 90 days delinquent and had not yet become current with respect to the contractually required payments under the loan. Such loans have an unpaid balance of approximately $5.3 million. These non-performing loans represent approximately 0.3% of the total outstanding principal balance of all of the Company’s Other Loans at Carrying Value. Management has assessed the recoverability of these loans and based on estimates of the value of the underlying collateral, no allowance for loan loss reserves has been recorded as of September 30, 2018. In connection with purchased Rehabilitation loans, the Company has unfunded commitments of $43.9 million. 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 time of acquisition. Subsequent changes in fair value are reported in current period earnings and presented in Net gain on residential whole loans held at fair value 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, 2018 and December 31, 2017:
The following table presents the components of Net gain on residential whole loans held at fair value for the three and nine months ended September 30, 2018 and 2017:
(1) Primarily includes coupon interest payments received upon the liquidation of previously delinquent mortgage loans, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans. |
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, 2018 and December 31, 2017:
(a) Securities Obtained and Pledged as Collateral/Obligation to Return Securities Obtained as Collateral In connection with its financing strategy for Non-Agency MBS, in prior periods the Company obtained securities as collateral under collateralized financing arrangements. Securities obtained as collateral in connection with these transactions are recorded at fair value, with a liability, representing the obligation to return the collateral obtained, recorded in Other liabilities. While beneficial ownership of securities obtained remains with the counterparty, the Company had the right to transfer the collateral obtained or to pledge it as part of a subsequent collateralized financing transaction. During the three months ended September 30, 2018, these financing arrangements were unwound and the related securities obtained as collateral were returned to the counterparty. (b) Real Estate Owned At September 30, 2018, the Company had 979 REO properties with an aggregate carrying value of $223.1 million. At December 31, 2017, the Company had 709 REO properties with an aggregate carrying value of $152.4 million. During the three and nine months ended September 30, 2018, the Company reclassified to REO 240 and 795 mortgage loans, respectively at an aggregate estimated fair value less estimated selling costs of $58.1 million and $161.6 million, respectively, at the time of transfer. During the three and nine months ended September 30, 2017, the Company reclassified to REO 174 and 521 mortgage loans, respectively at an aggregate estimated fair value less estimated selling cost of $38.9 million and $97.4 million, respectively, at the time of transfer. Such transfers occur when the Company takes possession of the property by foreclosing on the borrower or completes a “deed-in-lieu of foreclosure” transaction. From time to time, the Company also acquires REO in connection with transactions to acquire residential whole loans. At September 30, 2018, $214.4 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 $48.7 million of residential whole loans held at carrying value and $720.1 million of residential whole loans held at fair value at September 30, 2018. During the three and nine months ended September 30, 2018, the Company sold 157 and 537 REO properties for consideration of $29.9 million and $96.0 million, realizing net gains of approximately $2.0 million and $6.6 million, respectively. During the three and nine months ended September 30, 2017, the Company sold 139 and 368 REO properties for consideration of $18.4 million and $53.0 million, realizing net gain of approximately $805,000 and $2.8 million, respectively. These amounts are included in Other Income, net on the Company’s consolidated statements of operations. In addition, following an updated assessment of liquidation amounts expected to be realized that was performed on all REO held at the end of the third quarters of 2018 and 2017, downward adjustments of approximately $4.1 million and $3.1 million were recorded to reflect certain REO properties at the lower of cost or estimated fair value as of September 30, 2018 and 2017, respectively. The following table presents the activity in the Company’s REO for the three and nine months ended September 30, 2018 and 2017:
(1) Includes net gain recorded on transfer of approximately $5.8 million and $2.8 million, for the three months ended September 30, 2018 and 2017, respectively; and approximately $17.0 million and $5.3 million for the nine months ended September 30, 2018 and 2017, respectively. (c) Derivative Instruments The Company’s derivative instruments are currently comprised of Swaps, the majority of which are designated as cash flow hedges against the interest rate risk associated with its 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. The following table presents the fair value of the Company’s derivative instruments and their balance sheet location at September 30, 2018 and December 31, 2017:
(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, 2018 and December 31, 2017:
Swaps designated as hedges, or a portion thereof, could become ineffective in the future if the associated repurchase agreements that such derivatives hedge fail to exist or fail to have terms that match those of the derivatives that hedge such borrowings. At September 30, 2018, all of the Company’s derivatives that were designated in a hedging relationship were deemed effective for hedging purposes. The Company’s Swaps designated as hedging transactions have the effect of modifying the repricing characteristics of the Company’s repurchase agreements and cash flows for such liabilities. To date, no cost has been incurred at the inception of a Swap (except for certain transaction fees related to entering into Swaps cleared though a central clearing house), pursuant to which the Company agrees to pay a fixed rate of interest and receive a variable interest rate, generally based on one-month or three-month London Interbank Offered Rate (“LIBOR”), on the notional amount of the Swap. The Company did not recognize any change in the value of its existing Swaps designated as hedges through earnings as a result of hedge ineffectiveness during the three and nine months ended September 30, 2018 and 2017. At September 30, 2018, the Company had Swaps with an aggregate notional amount of $2.6 billion and extended 32 months on average with a maximum term of approximately 121 months. The following table presents information about the Company’s Swaps at September 30, 2018 and December 31, 2017:
(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 interest expense and the weighted average interest rate paid and received for such Swaps for the three and nine months ended September 30, 2018 and 2017:
During the three and nine months ended September 30, 2018, the Company recorded net gains on Swaps not designated in hedging relationships of $4.0 million and $4.4 million, respectively. These amounts are included in Other income, net on the Company’s consolidated statements of operations. All of the Company’s Swaps were designated in hedging relationships during the three and nine months ended September 30, 2017. 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, 2018 and 2017:
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Repurchase Agreements |
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Disclosure of Repurchase Agreements [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements | Repurchase Agreements The Company’s repurchase agreements are accounted for as secured borrowings and bear interest that is generally LIBOR-based. (See Notes 2(k) and 7) At September 30, 2018, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 25 days and an effective repricing period of 11 months, including the impact of related Swaps. At December 31, 2017, the Company’s borrowings under repurchase agreements had a weighted average remaining term-to-interest rate reset of 16 days and an effective repricing period of 11 months, including the impact of related Swaps. The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at September 30, 2018 and December 31, 2017:
(2) Excludes $19,000 and $206,000 of unamortized debt issuance costs at September 30, 2018 and December 31, 2017, respectively. (3) At September 30, 2018 includes Non-Agency MBS with an aggregate fair value of $27.0 million obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at September 30, 2018 and December 31, 2017:
The following table presents contractual maturity information about the Company’s borrowings under repurchase agreements, all of which are accounted for as secured borrowings, at September 30, 2018, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:
Undrawn Financing Commitment In connection with the financing of MSR related assets, the Company has obtained a financing commitment of up to $75.0 million, of which $45.1 million was utilized and was outstanding as of September 30, 2018. The Company pays a commitment fee ranging from 0.125% to 0.5% of the undrawn amount, depending on the amount of financing utilized. The Company had repurchase agreement borrowings with 28 and 31 counterparties at September 30, 2018 and December 31, 2017. The following table presents information with respect to each counterparty under repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at September 30, 2018:
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Collateral Positions |
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Collateral Positions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateral Positions | Collateral Positions The Company pledges securities or cash as collateral to its counterparties pursuant to its borrowings under repurchase agreements and for initial margin payments on centrally cleared Swaps. 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 repurchase agreements 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 following table summarizes the fair value of the Company’s collateral positions, which includes collateral pledged and collateral held, with respect to its borrowings under repurchase agreements, reverse repurchase agreements and derivative hedging instruments at September 30, 2018 and December 31, 2017:
(1) Cash pledged as collateral is reported as Restricted cash on the Company’s consolidated balance sheets. (2) In addition, at December 31, 2017 $688.1 million of Legacy Non-Agency MBS were pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty. (3) At September 30, 2018 includes Non-Agency MBS with an aggregate fair value of $27.0 million obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. The following table presents detailed information about the Company’s assets pledged as collateral pursuant to its borrowings under repurchase agreements and derivative hedging instruments at September 30, 2018:
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Offsetting Assets and Liabilities |
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Offsetting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) and may potentially be offset on the Company’s consolidated balance sheets at September 30, 2018 and December 31, 2017: Offsetting of Financial Assets and Derivative Assets
Offsetting of Financial Liabilities and Derivative Liabilities
(1) Amounts disclosed in the Financial Instruments column of the above table represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements. Amounts disclosed in the Cash Collateral Pledged column of the above table represent amounts pledged as collateral against repurchase agreements. (2) The fair value of securities pledged against the Company’s Swaps was $2.9 million and $21.8 million at September 30, 2018 and December 31, 2017, respectively. Beginning in January 2017, variation margin payments on the Company’s cleared Swaps are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as fair value of the Swap. (3) The fair value of financial instruments pledged against the Company’s repurchase agreements was $9.0 billion and $8.1 billion at September 30, 2018 and December 31, 2017, respectively. (4) Excludes $19,000 and $206,000 of unamortized debt issuance costs at September 30, 2018 and December 31, 2017, respectively. Nature of Setoff Rights In the Company’s consolidated balance sheets, all balances associated with repurchase agreements are presented on a gross basis. Certain of the Company’s repurchase agreement 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. |
Other Liabilities |
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Other Liabilities [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Liabilities | Other Liabilities The following table presents the components of the Company’s Other liabilities at September 30, 2018 and December 31, 2017:
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 to the Company 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 on or after April 15, 2017, at a redemption price equal to 100% of the principal amount redeemed plus accrued and unpaid interest to, but not excluding, the redemption date. The Senior Notes are the Company’s senior unsecured obligations and are subordinate 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. |
Commitments and Contingencies |
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Sep. 30, 2018 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies (a) Lease Commitments The Company pays monthly rent pursuant to two operating leases. The lease term for the Company’s headquarters in New York, New York extends through June 30, 2020. The lease provides for aggregate cash payments ranging over time of approximately $2.5 million per year, paid on a monthly basis, exclusive of escalation charges. In addition, as part of this lease agreement, the Company has provided the landlord a $785,000 irrevocable standby letter of credit fully collateralized by cash. The letter of credit may be drawn upon by the landlord in the event that the Company defaults under certain terms of the lease. In addition, the Company has a lease through December 31, 2021 for its off-site back-up facility located in Rockville Centre, New York, which provides for, among other things, lease payments totaling $32,000 annually. (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, 2018, 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 Loan The Company has participated in a loan to provide financing to an entity that originates loans and owns MSRs. The loan is secured by certain MSRs, as well as certain other unencumbered assets owned by the borrower. Under the terms of the participation agreement, the Company has committed to provide financing of $100.0 million of which approximately $60.1 million was drawn at September 30, 2018. (See Note 3) (d) Rehabilitation Loan Commitments At September 30, 2018, the Company had unfunded commitments of $43.9 million in connection with its purchased Rehabilitation loans. (See Note 4) (e) MBS Purchase Commitments At September 30, 2018, the Company had a commitment to purchase a Non-Agency MBS at an estimated price of $2.3 million. The expected settlement amount is included in the Non-Agency MBS balances presented at fair value on the Company’s consolidated balance sheets, with a corresponding liability recorded in Other liabilities and included in Payable for unsettled MBS and residential whole loan purchases. (f) Residential Whole Loan Purchase Commitments At September 30, 2018, the Company has agreed, subject to the completion of due diligence and customary closing conditions, to purchase residential whole loans with an aggregate estimated purchase price of $8.6 million, of which $6.8 million is presented in other loans held at carrying value and $1.8 million in residential whole loans held at fair value with a corresponding liability recorded in Other liabilities and included in Payable for unsettled MBS and residential whole loan purchases. |
Stockholders' Equity |
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Stockholders' Equity | Stockholders’ Equity (a) Preferred Stock On April 15, 2013, the Company completed the issuance of 8.0 million shares of its 7.50% Series B Cumulative Redeemable Preferred Stock (“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 commencing on April 15, 2018 (subject to the Company’s right, under limited circumstances, to redeem the Series B Preferred Stock prior to that date in order to preserve its qualification as a REIT) and upon certain specified change in control transactions in which the Company’s common stock and the acquiring or surviving entity common securities would not be listed on the New York Stock Exchange (the “NYSE”), the NYSE American or NASDAQ, or any successor exchange. 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. The following table presents cash dividends declared by the Company on its Series B Preferred Stock from January 1, 2018 through September 30, 2018:
(b) Dividends on Common Stock The following table presents cash dividends declared by the Company on its common stock from January 1, 2018 through September 30, 2018:
(1) At September 30, 2018, the Company had accrued dividends and dividend equivalents payable of $90.1 million related to the common stock dividend declared on September 13, 2018. (c) Public Offering of Common Stock The table below presents information with respect to shares of the Company’s common stock issued through public offerings during the nine months ended September 30, 2018 and the year ended December 31, 2017.
(1) Includes approximately 875,000 shares issued on September 5, 2018 pursuant to the exercise of the underwriters’ option to purchase additional shares. The Company incurred approximately $6.5 million of underwriting discounts and related expenses in connection with this equity offering. (2) The Company incurred approximately $2.3 million of underwriting discounts and related expenses in connection with this equity offering. (d) Discount Waiver, Direct Stock Purchase and Dividend Reinvestment Plan (“DRSPP”) On September 16, 2016, 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) of 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 15 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, 2018, approximately 11.9 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, 2018, the Company issued 64,731 and 302,264 shares of common stock through the DRSPP, raising net proceeds of approximately $519,000 and $2.2 million, respectively. From the inception of the DRSPP in September 2003 through September 30, 2018, the Company issued 33,978,241 shares pursuant to the DRSPP, raising net proceeds of $283.7 million. (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, 2018. At September 30, 2018, 6,616,355 shares remained authorized for repurchase under the Repurchase Program. (f) 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, 2018:
(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 changes in the balances of each component of the Company’s AOCI for the three and nine months ended September 30, 2017:
(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, 2018:
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, 2017:
On securities for which OTTI had been recognized in prior periods, the Company did not have any unrealized losses recorded in AOCI at September 30, 2018 and December 31, 2017. |
EPS Calculation |
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Earnings Per Share [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
EPS Calculation | EPS Calculation The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the three and nine months ended September 30, 2018 and 2017:
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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 May 21, 2015 (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 12.0 million shares of common stock may be granted under the Equity Plan; forfeitures and/or awards that expire unexercised do not count towards this limit. At September 30, 2018, approximately 5.7 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 1.5 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 May 20, 2025. 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, 2018 are designated to be settled in shares of the Company’s common stock. The Company did not grant any RSUs during the three months ended September 30, 2018 and 2017 and granted 843,802 and 898,945 during the nine months ended September 30, 2018 and 2017, respectively. There were 20,000 RSUs forfeited during the nine months ended September 30, 2018. There were no RSUs forfeited during the nine months ended September 30, 2017. All RSUs outstanding at September 30, 2018 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, 2018 and December 31, 2017, the Company had unrecognized compensation expense of $6.2 million and $4.1 million, respectively, related to RSUs. The unrecognized compensation expense at September 30, 2018 is expected to be recognized over a weighted average period of 1.8 years. Restricted Stock The Company did not award any shares of restricted common stock during the nine months ended September 30, 2018 and 2017. At September 30, 2018, 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, terms and conditions, as the Compensation Committee may determine in its discretion. 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, 2018 and 2017:
(b) Employment Agreements At September 30, 2018, the Company had employment agreements with four 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, 2018 and 2017:
The following table presents the aggregate amount of income deferred by participants of the Deferred Plans through September 30, 2018 and December 31, 2017 that had not been distributed and the Company’s associated liability for such deferrals at September 30, 2018 and December 31, 2017:
(1) Represents the cumulative amounts that were deferred by participants through September 30, 2018 and December 31, 2017, 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, 2018 and 2017, the Company recognized expenses for matching contributions of $89,000 and $87,500, respectively, and $282,000 and $262,500 for the nine months ended September 30, 2018 and 2017, respectively. |
Fair Value of Financial Instruments |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Financial Instruments | Fair Value of Financial Instruments 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. Securities Obtained and Pledged as Collateral/Obligation to Return Securities Obtained as Collateral The fair value of U.S. Treasury securities obtained as collateral and the associated obligation to return securities obtained as collateral are based upon prices obtained from a third-party pricing service, which are indicative of market activity. Securities obtained as collateral are classified as Level 1 in the fair value hierarchy. MBS and CRT 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. 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. Term Notes Backed by MSR Related Collateral The Company’s valuation process for term notes backed by MSR related collateral considers a number of factors, including a comparable bond analysis performed by a third-party pricing service which involves determining a pricing spread at issuance of the term note. The pricing spread is used at each subsequent valuation date to determine an implied yield to maturity of the term note, which is used to derive an indicative market value for the security. This indicative market value is further reviewed by the Company and may be adjusted to ensure it reflects a realistic exit price at the valuation date given the structural features of these securities. At September 30, 2018, the indicative implied yields used in the valuation of these securities ranged from 4.9% to 6.2%. The weighted average indicative yield to maturity was 5.62%. Other factors taken into consideration include indicative values provided by repurchase agreement counterparties, estimated changes in fair value of the related underlying MSR collateral 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. As this process includes significant unobservable inputs, these securities are classified as Level 3 in the fair value 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, expected costs and 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. Swaps All of the Company’s Swaps are cleared by a central clearing house. Valuations provided by the clearing house are used for purposes of determining the fair value of the Company’s Swaps. Such valuations obtained are tested with internally developed models that apply readily observable market parameters. As the Company’s Swaps are subject to the clearing house’s margin requirements, no credit valuation adjustment was considered necessary in determining the fair value of such instruments. Beginning in January 2017, variation margin payments on the Company’s cleared Swaps are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as fair value of the Swap. Swaps are 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, 2018 and December 31, 2017, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at September 30, 2018
Fair Value at December 31, 2017
Changes in Level 3 Assets Measured at Fair Value on a Recurring Basis The following table presents additional information for the three and nine months ended September 30, 2018 and 2017 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:
The following table presents additional information for the three and nine months ended September 30, 2018 and 2017 about the Company’s investments in term notes backed by MSR related collateral held at fair value, which are classified as Level 3 and measured at fair value on a recurring basis:
The Company did not transfer any assets or liabilities from one level to another during the three and nine months ended September 30, 2018 and the three months ended September 30, 2017. 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, 2018 and December 31, 2017:
(1) Excludes approximately $70.1 million and $373.3 million of loans for which management considers the purchase price continues to reflect the fair value of such loans at September 30, 2018 and December 31, 2017, 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$378,000 and $336,000 as of September 30, 2018 and December 31, 2017, respectively. The following table presents the carrying values and estimated fair values of the Company’s financial instruments at September 30, 2018 and December 31, 2017:
(1) Carrying value of securitized debt, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. In addition to the methodologies used to determine the fair value of the Company’s financial assets and liabilities reported at fair value on a recurring basis discussed on pages 45-50, the following methods and assumptions were used by the Company in arriving at the fair value of the Company’s other financial instruments presented in the above table that are not reported at fair value on a recurring basis: Residential Whole Loans, at Carrying Value: The Company generally determines the fair value of its residential whole loans held at carrying value using the same approach applied for residential whole loans held at fair value. Given the short duration of the Company’s Rehabilitation loans, these investments are determined to have a carrying value which approximates fair value. The Company’s residential whole loans held at carrying value are classified as Level 3 in the fair value hierarchy. Cash and Cash Equivalents and Restricted Cash: Cash and cash equivalents and restricted cash are comprised of cash held in overnight money market investments and demand deposit accounts. At September 30, 2018 and December 31, 2017, the Company’s money market funds were invested in securities issued by the U.S. Government or its agencies, instrumentalities, and sponsored entities, and repurchase agreements involving the securities described above. Given the overnight term and assessed credit risk, the Company’s investments in money market funds are determined to have a fair value equal to their carrying value. Corporate Loans: The Company determines the fair value of its Corporate loans after considering recent past and expected future loan performance, recent financial performance of the borrower and estimates of the current value of the underlying collateral, which includes certain MSRs and other assets of the borrower that are pledged to secure the borrowing. The Company’s investment in Corporate loans are classified as Level 3 in the fair value hierarchy. Repurchase Agreements: The fair value of repurchase agreements reflects the present value of the contractual cash flows discounted at market interest rates at the valuation date for repurchase agreements with a term equivalent to the remaining term to interest rate repricing, which may be at maturity. Such interest rates are estimated based on LIBOR rates observed in the market. The Company’s repurchase agreements are classified as Level 2 in the fair value hierarchy. Securitized Debt: In determining the fair value of securitized debt, management considers a number of observable market data points, including prices obtained from pricing services and brokers as well as dialogue with market participants. Accordingly, the Company’s securitized debt is classified as Level 2 in the fair value hierarchy. Senior Notes: The fair value of the Senior Notes is determined using the end of day market price quoted on the NYSE at the reporting date. The Company’s Senior Notes are classified as Level 1 in the fair value hierarchy. The Company holds REO at the lower of the current carrying amount or fair value less estimated selling costs. At September 30, 2018 and December 31, 2017, the Company’s REO had an aggregate carrying value of $223.1 million and $152.4 million, and an aggregate estimated fair value of $246.0 million and $175.8 million, respectively. The Company classifies fair value measurements of REO as Level 3 in the fair value hierarchy. |
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 an 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(r) 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 and in prior years, MBS resecuritization transactions, primarily for the purpose of obtaining improved overall financing terms as well as non-recourse financing on a portion of its residential whole loan and Non-Agency MBS portfolios. 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 In July 2018, as part of a loan securitization transaction, the Company sold residential whole loans with an aggregate unpaid principal balance of $347.7 million to an entity that the Company consolidates as a VIE. In connection with the transaction, third-party investors purchased $236.0 million face amount of senior bonds (“Senior Bonds”) with a coupon rate of 4.164%. As a result of this transaction, the Company acquired $101.7 million face amount of non-rated certificates issued by the securitization vehicle, and received $236.0 million in cash, excluding expenses, accrued interest, and underwriting fees. In May 2018, as part of a loan securitization transaction, the Company sold residential whole loans with an aggregate unpaid principal balance of $319.1 million to an entity that the Company consolidates as a VIE. In connection with the transaction, third-party investors purchased $184.0 million face amount of Senior Bonds with a coupon rate of 3.875%. As a result of this transaction, the Company acquired $46.4 million face amount of non-rated certificates issued by the securitization vehicle, and received $184.0 million in cash, excluding expenses, accrued interest, and underwriting fees. The following table summarizes the key details of the loan securitization transactions the Company has been involved in to date:
As of September 30, 2018 and December 31, 2017, as a result of the transactions described above, securitized loans with a carrying value of approximately $215.1 million and $183.2 million are included in “Residential whole loans, at carrying value,” securitized loans with a fair value of approximately $723.8 million and $289.3 million are included in “Residential whole loans, at fair value,” and REO with a carrying value approximately $61.0 million and $5.5 million are included in “Other assets” on the Company’s consolidated balance sheets, respectively. As of September 30, 2018 and December 31, 2017, the aggregate carrying value of Senior Bonds issued by consolidated VIEs was $714.2 million and $363.9 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:
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, 2018 and December 31, 2017 are a total of $3.9 billion and $2.2 billion of residential whole loans, of which approximately $2.5 billion and $908.5 million are reported at carrying value and $1.4 billion and $1.3 billion are reported at fair value, respectively. In addition, at September 30, 2018 and December 31, 2017, the Company had REO with an aggregate carrying value of $223.1 million and $152.4 million, and an aggregate estimated fair value of $246.0 million and $175.8 million, respectively. The inclusion of these assets arises from the Company’s interests in certain trusts established to acquire the loans and entities established in connection with its loan securitization transactions. The Company has assessed that these entities are required to be consolidated. During the three and nine months ended September 30, 2018, the Company recognized interest income from residential whole loans reported at carrying value of approximately $29.5 million and $61.8 million, respectively. During the three and nine months ended September 30, 2017, the Company recognized interest income from residential whole loans reported at carrying value of approximately $9.0 million and $26.2 million, respectively. These amounts are included in Interest Income on the Company’s consolidated statements of operations. In addition, the Company recognized net gains on residential whole loans held at fair value during the three and nine months ended September 30, 2018 of approximately $34.9 million and $105.9 million, respectively. During the three and nine months ended September 30, 2017, the Company recognized net gains on residential whole loans held at fair value $18.7 million and $48.7 million, respectively. These amounts are included in Other Income, net on the Company’s consolidated statements of operations. (See Note 4) |
Summary of Significant Accounting Policies (Policies) |
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Sep. 30, 2018 | |
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 according to 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, 2017. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2018 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2018 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 other-than-temporary impairment (“OTTI”) on MBS (See Note 3), valuation of MBS, CRT securities and MSR related assets (See Notes 3 and 14), income recognition and valuation of residential whole loans (See Notes 4 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 3) 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(o)) Actual results could differ from those estimates. The Company has one reportable segment as 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 as well as MBS resecuritization transactions completed in prior years. Certain prior period amounts have been reclassified to conform to the current period presentation. |
MBS and CRT Securities | MBS and CRT Securities The Company has investments 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”). In addition, the Company has investments in CRT securities that are issued by Fannie Mae and Freddie Mac. The coupon payments on CRT securities are paid by Fannie Mae and Freddie Mac and the principal payments received are based on the performance of loans in a reference pool of previously securitized MBS. As the loans in the underlying reference pool are paid, the principal balance of the CRT securities is paid. As an investor in a CRT security, the Company may incur a loss if certain defined credit events occur, including, for certain CRT securities, if the loans in the reference pool experience delinquencies exceeding specified thresholds. 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 OTTI 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 has elected the fair value option for certain of its Agency MBS that it does not intend to hold to maturity. These 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. The Company has elected the fair value option for 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 the 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. Interest income on the Non-Agency MBS that were purchased at a discount to par value and/or are considered to be of less than high credit quality is recognized based on the security’s effective interest rate which is the security’s internal rate of return (“IRR”). The IRR is determined using management’s estimate of the projected cash flows for each security, which are based on the Company’s observation of current information and events and include assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the IRR/ interest income recognized on these securities or in the recognition of OTTIs. (See Note 3) Based on the projected cash flows from the Company’s Non-Agency MBS purchased at a discount to par value, a portion of the purchase discount may be designated as non-accretable purchase discount (“Credit Reserve”), which effectively mitigates the Company’s risk of loss on the mortgages collateralizing such MBS and is not expected to be accreted into interest income. The amount designated as Credit Reserve may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a Credit Reserve is more favorable than forecasted, a portion of the amount designated as Credit Reserve may be reallocated to accretable discount and recognized into interest income over time. Conversely, if the performance of a security with a Credit Reserve is less favorable than forecasted, the amount designated as Credit Reserve may be increased, or impairment charges and write-downs of such securities to a new cost basis could result. Determination of Fair Value for MBS and CRT Securities In determining the fair value of the Company’s MBS and CRT 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) Impairments/OTTI 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 on at least a quarterly basis and designates such impairments as either “temporary” or “other-than-temporary.” 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 an OTTI 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 other-than-temporarily impaired security, only the portion of the impairment related to credit losses is recognized through charges to earnings with the remainder recognized through AOCI on the consolidated balance sheets. Impairments recognized through other comprehensive income/(loss) (“OCI”) do not impact earnings. Following the recognition of an OTTI through earnings, a new cost basis is established for the security and may not be adjusted for subsequent recoveries in fair value through earnings. However, OTTIs recognized through charges to earnings may be accreted back to the amortized cost basis of the security on a prospective basis through interest income. The determination as to whether an OTTI exists and, if so, the amount of credit impairment recognized in earnings is subjective, as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of the future performance and cash flow projections. As a result, the timing and amount of OTTIs constitute material estimates that are susceptible to significant change. (See Note 3) 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 OTTI 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 MBS and CRT Securities pledged as collateral against repurchase 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. |
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 3, 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 reported at fair value on the Company’s consolidated balance sheets with unrealized gains and losses excluded from earnings and reported in AOCI. Interest income is recognized on an accrual basis on the Company’s consolidated statements of operations. The Company’s valuation process for such notes considers a number of factors, including a comparable bond analysis performed by a third-party pricing service which involves determining a pricing spread at issuance of the term note. The pricing spread is used at each subsequent valuation date to determine an implied yield to maturity of the term note, which is then used to derive an indicative market value for the security. This indicative market value is further reviewed by the Company and may be adjusted to ensure it reflects a realistic exit price at the valuation date given the structural features of these securities. Other factors taken into consideration include indicative values provided by repurchase agreement counterparties, estimated changes in fair value of the related underlying MSR collateral 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. 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. |
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, with the majority at discounted purchase prices. 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 impaired loans that are held at carrying value is typically utilized by the Company for purchased credit impaired loans where the underlying borrower has a delinquency status of less than 60 days at the acquisition date. The Company may also purchase newly or recently originated loans that are performing as of the purchase date. Such loans are typically held at carrying value, but the accounting methods for income recognition and determination and measurement of any required loan loss reserves differ to those used for purchased credit impaired 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 repurchase agreements are included in the consolidated balance sheets with amounts pledged disclosed parenthetically. Purchases and sales of residential whole loans are recorded on the trade date, with amounts recorded 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. 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 repurchase agreement financing until the closing of the purchase transaction. (See Notes 4, 6, 7, 14 and 15) Residential Whole Loans at Carrying Value Purchased Credit Impaired Loans The Company has elected to account for these loans as credit impaired as they 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 with no allowance for loan losses. Subsequent to acquisition, the recorded amount for these loans reflects the original investment amount, 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 amount reduced by any allowance for loan losses established subsequent to acquisition. Under the application of the accounting model for purchased credit impaired loans, the Company may aggregate into pools loans acquired in the same fiscal quarter that are assessed as having similar risk characteristics. For each pool established, or on an individual loans basis for loans not aggregated into pools, the Company estimates at acquisition, and periodically on at least a quarterly basis, the principal and interest cash flows expected to be collected. The difference between the cash flows expected to be collected and the carrying amount of the loans is referred to as the “accretable yield.” This amount is accreted as interest income over the life of the loans using an effective interest rate (level yield) methodology. Interest income recorded each period reflects the amount of accretable yield recognized and not the coupon interest payments received on the underlying loans. The difference between contractually required principal and interest payments and the cash flows expected to be collected is referred to as the “non-accretable difference,” and includes estimates of both the effect of prepayments and expected credit losses over the life of the underlying loans. A decrease in expected cash flows in subsequent periods may indicate impairment at the pool and/or individual loan level, thus requiring the establishment of an allowance for loan losses by a charge to the provision for loan losses. The allowance for loan losses generally represents the present value of cash flows expected at acquisition, adjusted for any increases due to changes in estimated cash flows, that are subsequently no longer expected to be received at the relevant measurement date. Under the accounting model applied to credit impaired loans, a significant increase in expected cash flows in subsequent periods first reduces any previously recognized allowance for loan losses and then will result in a recalculation in the amount of accretable yield. The adjustment of accretable yield due to a significant increase in expected cash flows is accounted for prospectively as a change in estimate and results in reclassification from nonaccretable difference to accretable yield. Other Loans at Carrying Value The Company also has investments in loans that are not considered to be credit impaired at purchase. To date such loans have included newly or previously originated performing loans that are primarily comprised of: (i) loans to finance (or refinance) one-to-four family residential properties and 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”), (collectively “Other Loans at Carrying Value”). The Company’s Other Loans at Carrying Value are initially recorded at their purchase price. Interest income on Other Loans at Carrying Value purchased 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 premium or discount and related servicing costs, and adjusted for actual prepayment activity. An allowance for loan losses is recorded when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms of the loan agreement. Any required loan loss allowance would typically be measured based on fair value of the collateral securing the loan and would reduce the carrying value of the loan with a corresponding charge to earnings. Significant judgments are required in determining any allowance for loan 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 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. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, 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. 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 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 who 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 gain on residential whole loans held at fair value on the Company’s consolidated statements of operations. Cash received reflecting coupon payments on residential whole loans held at fair value is not included in Interest Income, but rather is presented in Net gain on residential whole loans held at fair value 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 Net gain on residential whole loans held at fair value. |
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 repurchase agreement counterparties as a result of reverse margin calls (i.e., margin calls made by the Company). At September 30, 2018 and December 31, 2017, the Company had cash and cash equivalents of $104.2 million and $449.8 million, respectively. |
Restricted Cash | Restricted Cash Restricted cash represents the Company’s cash held by its counterparties in connection with certain of the Company’s repurchase agreements that is not available to the Company for general corporate purposes. Restricted cash may be applied against amounts due to repurchase agreement counterparties, or may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the repurchase agreement. |
Goodwill | Goodwill At September 30, 2018 and December 31, 2017, the Company had goodwill of $7.2 million, which represents the unamortized portion of the excess of the fair value of its common stock issued over the fair value of net assets acquired in connection with its formation in 1998. Goodwill is tested for impairment at least annually, or more frequently under certain circumstances, at the entity level. Through September 30, 2018, the Company had not recognized any impairment against its goodwill. Goodwill is included in Other assets on the Company’s consolidated balance sheets. |
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. |
Depreciation | Depreciation Leasehold Improvements 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 five to eight years at the time of purchase. |
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 8% Senior Notes due 2042 (“Senior Notes”) and certain other repurchase agreement financings. These costs may include underwriting, rating agency, legal, accounting and other fees. Such costs, which reflect deferred charges, 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 Senior Notes and other repurchase agreement financings, 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. |
Repurchase Agreements | Repurchase Agreements The Company finances the holdings of a significant portion of its residential mortgage assets with repurchase agreements. Under repurchase agreements, the Company sells securities to a lender and agrees to repurchase the same securities 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, the Company pledges its securities as collateral to secure the borrowing, which is equal in value 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 securities 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 MBS 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 typically have terms ranging from one month to six months at inception, but may also have longer or shorter terms. Should a counterparty decide not to renew a repurchase financing at maturity, the Company must either refinance elsewhere or be in a position to satisfy the obligation. If, during the term of a repurchase 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 or such collateral. (See Notes 6, 7 and 14) In addition to the repurchase agreement financing arrangements discussed above, as part of its financing strategy for Non-Agency MBS, the Company in prior periods entered into contemporaneous repurchase and reverse repurchase agreements with a single counterparty. Under a typical reverse repurchase agreement, the Company buys securities from a borrower for cash and agrees to sell the same securities in the future for a price that is higher than the original purchase price. The difference between the purchase price the Company originally paid and the sale price represents interest received from the borrower. In contrast, the contemporaneous repurchase and reverse repurchase transactions effectively resulted in the Company pledging Non-Agency MBS as collateral to the counterparty in connection with the repurchase agreement financing and obtaining U.S. Treasury securities as collateral from the same counterparty in connection with the reverse repurchase agreement. No net cash was exchanged between the Company and counterparty at the inception of the transactions. Securities obtained and pledged as collateral are recorded in Other assets on the Company’s consolidated balance sheets. Interest income is recorded on the reverse repurchase agreement and interest expense is recorded on the repurchase agreement on an accrual basis. The Company’s liability to the counterparty in prior periods in connection with this financing arrangement is recorded in Other liabilities on the Company’s consolidated balance sheets and disclosed as “Obligation to return securities obtained as collateral, at fair value.” |
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. For certain awards granted prior to January 1, 2017, compensation expense recognized included the impact of estimated forfeitures, with any changes in estimated forfeiture rates accounted for as a change in estimate. Upon adoption of new accounting guidance that was effective for the Company on January 1, 2017, the Company made a policy election to account for forfeitures as they occur. Beginning in 2014, the Company has made annual grants of restricted stock units (“RSUs”) certain of which cliff vest after a three-year period and others of which cliff vest after a three-year period, subject to the achievement of certain performance criteria based on a formula tied to the Company’s achievement of average total stockholder 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 stockholder 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. |
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 unvested restricted stock and RSUs that have non-forfeitable rights to dividends and dividend equivalents attached to/associated with RSUs and vested stock options 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 dilutive unexercised stock options and RSUs outstanding that are unvested and have dividends that are subject to forfeiture 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, are used to repurchase shares of the Company’s outstanding common stock at the average market price during the reported period. |
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 is reduced by dividends declared on the Company’s preferred stock and issuance costs of redeemed preferred stock. |
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% 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 a 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 may be conducted through one or more TRS, its income earned by TRS may be subject to corporate income taxation. To maintain the Company’s REIT election, no more than 20% of the value of a REIT’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 a 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 deferred tax benefit was recorded by the Company for the nine months ended September 30, 2018 and 2017, as a valuation allowance for the full amount of the associated deferred tax asset was recognized as its recovery is not considered more likely than not. Based on its analysis of any potential 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, 2018, December 31, 2017, or September 30, 2017. The Company filed its 2017 tax return prior to October 15, 2018. The Company’s tax returns for tax years 2015 through 2017 are open to examination. |
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 are currently comprised of Swaps, the majority of which are 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 inception of a hedge and on a quarterly basis thereafter, whether or not the hedge is “highly effective.” Swaps are carried on the Company’s consolidated balance sheets at fair value, in Other assets, if their fair value is positive, or in Other liabilities, if their fair value is negative. Beginning in January 2017, variation margin payments on the Company’s Swaps that have been novated to a clearing house are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as fair value of the Swap. All of the Company’s Swaps have been novated to a central clearing house. Changes in the fair value of the Company’s Swaps designated in hedging transactions are recorded in OCI provided that the hedge remains effective. Changes in fair value for any ineffective amount of a Swap are recognized in earnings. The Company has not recognized any change in the value of its existing Swaps designated as hedges through earnings as a result of hedge ineffectiveness. 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 statement of operations. |
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 residential whole loans, Agency MBS and CRT securities at time of acquisition. Subsequent changes in the fair value of these financial instruments are 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. |
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 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) 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 consolidating the VIEs that were created 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 were 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 sale 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. |
Offering Costs Related to Issuance and Redemption of Preferred Stock | Offering Costs Related to Issuance and Redemption of Preferred Stock Offering costs related to 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 2018 Compensation - Stock Compensation - Scope of Modification Accounting In May 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2017-09, Scope of Modification Accounting (“ASU 2017-09”). The amendments in ASU 2017-09 provide guidance about which changes to the terms or conditions of a share-based payment award require an entity to apply modification accounting. Pursuant to this ASU, an entity should account for the effects of a modification unless all of the following are met: (1) the fair value (or calculated value or intrinsic value, if such an alternative measurement method is used) of the modified award is the same as the fair value (or calculated value or intrinsic value, if such an alternative measurement method is used) of the original award immediately before the original award is modified; (2) the vesting conditions of the modified award are the same as the vesting conditions of the original award immediately before the original award is modified; and (3) the classification of the modified award as an equity instrument or a liability instrument is the same as the classification of the original award immediately before the original award date is modified. The Company adopted ASU 2017-09 on January 1, 2018 and its adoption did not have an impact on its financial position or financial statement disclosures. Statement of Cash Flows - Restricted Cash In November 2016, the FASB issued ASU 2016-18, Restricted Cash (“ASU 2016-18”). ASU 2016-18 clarifies how entities should present restricted cash and restricted cash equivalents in the statement of cash flows with the objective of reducing the existing diversity in practice. The amendments in ASU 2016-18 require restricted cash and restricted cash equivalents to be included with cash and cash equivalents when reconciling the beginning-of-period and end-of period total amounts shown on the statement of cash flows. The Company adopted ASU 2016-18 on January 1, 2018 and its adoption did not have a significant impact on its financial position or financial statement disclosures. Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments In August 2016, the FASB issued ASU 2016-15, Classification of Certain Cash Receipts and Cash Payments (“ASU 2016-15”). The amendments in ASU 2016-15 provide guidance for eight specific cash flow classification issues, certain cash receipts and cash payments on the statement of cash flows with the objective of reducing the existing diversity in practice. The Company adopted ASU 2016-15 on January 1, 2018 and its adoption did not have a significant impact on its financial position or financial statement disclosures. Financial Instruments - Overall - Recognition and Measurement of Financial Assets and Financial Liabilities In January 2016, the FASB issued ASU 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities (“ASU 2016-01”). The amendments in this ASU affect all entities that hold financial assets or owe financial liabilities, and address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. The classification and measurement guidance of investments in debt securities and loans are not affected by the amendments in this ASU. ASU 2016-01 was effective for the Company for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2017. The Company’s adoption of this ASU on January 1, 2018 did not have a significant impact on the Company’s financial position or financial statement disclosures as the classification and measurement of its investments in debt securities and loans were not affected by the amendments in this ASU. Revenue from Contracts with Customers In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (“ASU 2014-09”). The ASU requires an entity to recognize revenue in an amount that reflects the consideration to which it expects to be entitled for the transfer of promised goods or services to customers. ASU 2014-09 replaced most existing revenue recognition guidance in GAAP when it became effective. The Company adopted this ASU on January 1, 2018 and its adoption did not have a material impact on the Company’s financial position or financial statement disclosures as the majority of the Company’s revenues are generated by financial instruments that are explicitly scoped out of this ASU. On adoption of the new standard on January 1, 2018, the Company recorded a transition adjustment, under the modified retrospective approach, of approximately $295,000 to the opening balance of retained earnings in order to reflect the recognition of a gain on sale of REO that was previously deferred under the prior accounting guidance. |
MBS, CRT Securities and MSR Related Assets (Tables) |
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Sep. 30, 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of information about MBS and CRT Securities | The following tables present certain information about the Company’s MBS and CRT securities at September 30, 2018 and December 31, 2017: September 30, 2018
December 31, 2017
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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 MBS and CRT securities that were in an unrealized loss position at September 30, 2018: Unrealized Loss Position For:
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Schedule of composition of OTTI charges recorded | The following table presents the composition of OTTI charges recorded by the Company for the three and nine months ended September 30, 2018 and 2017:
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Schedule of changes in credit loss component of OTTI | The following table presents a roll-forward of the credit loss component of OTTI on the Company’s Non-Agency MBS for which a non-credit component of OTTI was previously recognized in OCI. Changes in the credit loss component of OTTI are presented based upon whether the current period is the first time OTTI was recorded on a security or a subsequent OTTI charge was recorded.
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Schedule of changes in the components of the purchase discount on Non-Agency MBS | The following tables present the changes in the components of the Company’s purchase discount on its Non-Agency MBS between purchase discount designated as Credit Reserve and OTTI and accretable purchase discount for the three and nine months ended September 30, 2018 and 2017:
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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, 2018 and 2017:
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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 MBS, CRT securities and MSR related assets for the three and nine months ended September 30, 2018 and 2017:
(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, which is based on management’s estimates of the amount and timing of future cash flows, less the current coupon yield. (3) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously been purchased at a discount of $2.3 million during the three months ended September 30, 2018 and $2.3 million and $1.7 million during the nine months ended September 30, 2018 and 2017, respectively. (4) Includes accretion income recognized due to the impact of redemptions of certain securities that had been previously been purchased at a discount of $1.1 million and $575,000 during the three months ended September 30, 2018 and 2017, respectively and $1.2 million during each of the nine months ended September 30, 2018 and 2017, respectively. |
Residential Whole Loans (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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, 2018 and December 31, 2017:
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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, 2018: September 30, 2018
(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. For Rehabilitation loans, the LTV generally represents 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. For certain Rehabilitation loans, an after repaired valuation is not obtained during loan underwriting. For these loans, the LTV represents the ratio of the current unpaid principal balance of the loan, to the “as is” estimated value of the collateral securing the related loan. (3) Excluded from the table above are approximately $6.8 million of other loans held at carrying value for which the closing of the purchase transaction had not occurred as of September 30, 2018. |
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Schedule of Activity in Allowance for Loan Losses, Residential Whole Loans | The following table presents the activity in the Company’s allowance for loan losses on its purchased credit impaired loans held at carrying value for the three and nine months ended September 30, 2018 and 2017:
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Certain Loans Acquired in Transfer Not Accounted for as Debt Securities Acquired During Period | The following table presents information regarding the estimates of the contractually required payments, the cash flows expected to be collected, and the estimated fair value of the purchased credit impaired loans held at carrying value acquired by the Company for the three and nine months ended September 30, 2018 and 2017:
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Certain Loans Acquired in Transfer Not Accounted for as Debt Securities, Accretable Yield Movement | The following table presents accretable yield activity for the Company’s purchased credit impaired loans held at carrying value for the three and nine months ended September 30, 2018 and 2017:
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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, 2018 and December 31, 2017:
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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 on residential whole loans held at fair value for the three and nine months ended September 30, 2018 and 2017:
(1) Primarily includes coupon interest payments received upon the liquidation of previously delinquent mortgage loans, recurring coupon interest payments received on mortgage loans that are contractually current, and cash payments received from private mortgage insurance on liquidated loans. |
Other Assets (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of other assets | The following table presents the components of the Company’s Other assets at September 30, 2018 and December 31, 2017:
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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, 2018 and 2017:
(1) Includes net gain recorded on transfer of approximately $5.8 million and $2.8 million, for the three months ended September 30, 2018 and 2017, respectively; and approximately $17.0 million and $5.3 million for the nine months ended September 30, 2018 and 2017, respectively. |
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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 and their balance sheet location at September 30, 2018 and December 31, 2017:
(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. |
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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, 2018 and December 31, 2017:
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Schedule of information about swaps | The following table presents information about the Company’s Swaps at September 30, 2018 and December 31, 2017:
(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 interest expense and the weighted average interest rate paid and received for such Swaps for the three and nine months ended September 30, 2018 and 2017:
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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, 2018 and 2017:
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Repurchase Agreements (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Company's borrowings under repurchase agreements and associated assets pledged as collateral | The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at September 30, 2018 and December 31, 2017:
(2) Excludes $19,000 and $206,000 of unamortized debt issuance costs at September 30, 2018 and December 31, 2017, respectively. (3) At September 30, 2018 includes Non-Agency MBS with an aggregate fair value of $27.0 million obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. |
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Schedule of repricing information about borrowings under repurchase agreements | The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at September 30, 2018 and December 31, 2017:
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Schedule of contractual maturity information about repurchase agreements | The following table presents contractual maturity information about the Company’s borrowings under repurchase agreements, all of which are accounted for as secured borrowings, at September 30, 2018, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:
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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 repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at September 30, 2018:
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Collateral Positions (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateral Positions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of fair value of collateral pledged and collateral held | The following table summarizes the fair value of the Company’s collateral positions, which includes collateral pledged and collateral held, with respect to its borrowings under repurchase agreements, reverse repurchase agreements and derivative hedging instruments at September 30, 2018 and December 31, 2017:
(1) Cash pledged as collateral is reported as Restricted cash on the Company’s consolidated balance sheets. (2) In addition, at December 31, 2017 $688.1 million of Legacy Non-Agency MBS were pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty. (3) At September 30, 2018 includes Non-Agency MBS with an aggregate fair value of $27.0 million obtained in connection with the Company’s loan securitization transactions that are eliminated in consolidation. |
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Schedule of additional information about assets Pledged as collateral pursuant to borrowings under repurchase agreements and Derivative Hedging Contracts | The following table presents detailed information about the Company’s assets pledged as collateral pursuant to its borrowings under repurchase agreements and derivative hedging instruments at September 30, 2018:
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Offsetting Assets and Liabilities (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of information about certain assets that are subject to master netting arrangements (or similar agreements) | The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) and may potentially be offset on the Company’s consolidated balance sheets at September 30, 2018 and December 31, 2017: Offsetting of Financial Assets and Derivative Assets
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Schedule of information about certain liabilities that are subject to master netting arrangements (or similar agreements) | Offsetting of Financial Liabilities and Derivative Liabilities
(1) Amounts disclosed in the Financial Instruments column of the above table represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements. Amounts disclosed in the Cash Collateral Pledged column of the above table represent amounts pledged as collateral against repurchase agreements. (2) The fair value of securities pledged against the Company’s Swaps was $2.9 million and $21.8 million at September 30, 2018 and December 31, 2017, respectively. Beginning in January 2017, variation margin payments on the Company’s cleared Swaps are treated as a legal settlement of the exposure under the Swap contract. Previously such payments were treated as collateral pledged against the exposure under the Swap contract. The effect of this change is to reduce what would have otherwise been reported as fair value of the Swap. (3) The fair value of financial instruments pledged against the Company’s repurchase agreements was $9.0 billion and $8.1 billion at September 30, 2018 and December 31, 2017, respectively. (4) Excludes $19,000 and $206,000 of unamortized debt issuance costs at September 30, 2018 and December 31, 2017, respectively. |
Other Liabilities (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Liabilities [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Liabilities | The following table presents the components of the Company’s Other liabilities at September 30, 2018 and December 31, 2017:
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Stockholders' Equity (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Stockholders' Equity Note [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of preferred stock dividend declaration and payment | The following table presents cash dividends declared by the Company on its Series B Preferred Stock from January 1, 2018 through September 30, 2018:
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Schedule of cash dividends declared on common stock | The following table presents cash dividends declared by the Company on its common stock from January 1, 2018 through September 30, 2018:
(1) At September 30, 2018, the Company had accrued dividends and dividend equivalents payable of $90.1 million related to the common stock dividend declared on September 13, 2018 |
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Schedule of sale of stock | The table below presents information with respect to shares of the Company’s common stock issued through public offerings during the nine months ended September 30, 2018 and the year ended December 31, 2017.
(1) Includes approximately 875,000 shares issued on September 5, 2018 pursuant to the exercise of the underwriters’ option to purchase additional shares. The Company incurred approximately $6.5 million of underwriting discounts and related expenses in connection with this equity offering. (2) The Company incurred approximately $2.3 million of underwriting discounts and related expenses in connection with this equity offering. |
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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, 2018:
(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 changes in the balances of each component of the Company’s AOCI for the three and nine months ended September 30, 2017:
(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, 2018:
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, 2017:
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EPS Calculation (Tables) |
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Sep. 30, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 and shares used in calculating basic and diluted EPS for the three and nine months ended September 30, 2018 and 2017:
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Equity Compensation, Employment Agreements and Other Benefit Plans (Tables) |
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Sep. 30, 2018 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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, 2018 and 2017:
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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, 2018 and 2017:
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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, 2018 and December 31, 2017 that had not been distributed and the Company’s associated liability for such deferrals at September 30, 2018 and December 31, 2017:
(1) Represents the cumulative amounts that were deferred by participants through September 30, 2018 and December 31, 2017, which had not been distributed through such respective date. |
Fair Value of Financial Instruments (Tables) |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of fair value measurement inputs and valuation techniques | 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, 2018 and December 31, 2017:
(1) Excludes approximately $70.1 million and $373.3 million of loans for which management considers the purchase price continues to reflect the fair value of such loans at September 30, 2018 and December 31, 2017, 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$378,000 and $336,000 as of September 30, 2018 and December 31, 2017, respectively. The following tables present the Company’s financial instruments carried at fair value on a recurring basis as of September 30, 2018 and December 31, 2017, on the consolidated balance sheets by the valuation hierarchy, as previously described: Fair Value at September 30, 2018
Fair Value at December 31, 2017
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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, 2018 and 2017 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:
The following table presents additional information for the three and nine months ended September 30, 2018 and 2017 about the Company’s investments in term notes backed by MSR related collateral held at fair value, 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, 2018 and December 31, 2017:
(1) Carrying value of securitized debt, Senior Notes and certain repurchase agreements is net of associated debt issuance costs. |
Use of Special Purpose Entities and Variable Interest Entities (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2018 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 loan securitization transactions the Company has been involved in to date:
|
Summary of Significant Accounting Policies (Details) |
9 Months Ended | ||
---|---|---|---|
Sep. 30, 2018
USD ($)
segment
|
Mar. 31, 2018
USD ($)
|
Dec. 31, 2016
USD ($)
|
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Number of reportable segments | segment | 1 | ||
Number of operating segments | segment | 1 | ||
Corporate Loan | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Commitment to lend | $ | $ 100,000,000 | $ 130,000,000 | |
Amount drawn | $ | $ 60,100,000 | $ 124,200,000 |
Summary of Significant Accounting Policies (Residential Whole Loans) (Details) |
9 Months Ended |
---|---|
Sep. 30, 2018 | |
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, 2018 |
Dec. 31, 2017 |
---|---|---|
Accounting Policies [Abstract] | ||
Cash and cash equivalents | $ 104,186 | $ 449,757 |
Overnight money market funds | 71,100 | 354,000 |
Restricted cash | $ 6,489 | $ 13,307 |
Summary of Significant Accounting Policies (Goodwill) (Details) - USD ($) $ in Thousands |
Sep. 30, 2018 |
Dec. 31, 2017 |
---|---|---|
Accounting Policies [Abstract] | ||
Goodwill | $ 7,189 | $ 7,189 |
Summary of Significant Accounting Policies (Depreciation) (Details) - Furniture, fixtures, computers and related hardwares |
9 Months Ended |
---|---|
Sep. 30, 2018 | |
Low end of range | |
Estimated useful life of long-lived assets | |
Estimated useful life | 5 years |
High end of range | |
Estimated useful life of long-lived assets | |
Estimated useful life | 8 years |
Summary of Significant Accounting Policies (Repurchase Agreements) (Details) |
9 Months Ended |
---|---|
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Repurchase financing period, low end of range | 1 month |
Repurchase financing period, high end of range | 6 months |
Summary of Significant Accounting Policies (Equity Based Compensation) (Details) - RSUs |
51 Months Ended |
---|---|
Mar. 31, 2018 | |
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, 2018 |
Sep. 30, 2017 |
|
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 |
Summary of Significant Accounting Policies (Accounting Standards Adopted in 2018) (Details) $ in Thousands |
Jan. 01, 2018
USD ($)
|
---|---|
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | $ 295 |
Retained Earnings | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | 295 |
Retained Earnings | Accounting Standards Update 2014-09 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Cumulative effect adjustment on adoption of new accounting standard for revenue recognition | $ 295 |
MBS, CRT Securities and MSR Related Assets (Narrative) (Details) - USD ($) |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
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 | |||
Available-for-sale, unrealized loss position, accumulated loss | $ 68,246,000 | $ 68,246,000 | ||
Reclassification adjustment for OTTI included in net income | 0 | $ 0 | 0 | $ (1,032,000) |
Agency MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Available-for-sale, unrealized loss position, accumulated loss | 66,108,000 | 66,108,000 | ||
Non-Agency MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Available-for-sale, unrealized loss position, accumulated loss | $ 2,134,000 | $ 2,134,000 | ||
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 |
MBS, CRT Securities and MSR Related Assets (MBS and CRT Securities) (Details) - USD ($) $ in Thousands |
9 Months Ended | ||
---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Dec. 31, 2017 |
|
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | $ 6,848,615 | $ 7,060,004 | |
Purchase Premiums | 121,134 | 113,003 | |
Accretable Purchase Discounts | (191,952) | (218,915) | |
Discount Designated as Credit Reserve and OTTI | (531,757) | (593,227) | |
Amortized Cost | 6,246,477 | 6,362,756 | |
Fair Value | 6,779,045 | 7,023,050 | |
Gross Unrealized Gains | 600,814 | 703,907 | |
Gross Unrealized Losses | 68,246 | 43,613 | |
Net Unrealized Gain/(Loss) | 532,568 | 660,294 | |
Principal payments receivable | 438 | 1,900 | |
Agency MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | 2,844,308 | 2,738,462 | |
Purchase Premiums | 111,157 | 104,066 | |
Accretable Purchase Discounts | (29) | (40) | |
Discount Designated as Credit Reserve and OTTI | 0 | 0 | |
Amortized Cost | 2,955,873 | 2,844,379 | |
Fair Value | 2,905,490 | 2,824,681 | |
Gross Unrealized Gains | 15,725 | 23,439 | |
Gross Unrealized Losses | 66,108 | 43,137 | |
Net Unrealized Gain/(Loss) | (50,383) | (19,698) | |
Agency MBS | Fannie Mae | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | 1,851,447 | 2,170,974 | |
Purchase Premiums | 70,882 | 82,271 | |
Accretable Purchase Discounts | (29) | (40) | |
Discount Designated as Credit Reserve and OTTI | 0 | 0 | |
Amortized Cost | 1,922,300 | 2,253,205 | |
Fair Value | 1,896,739 | 2,246,600 | |
Gross Unrealized Gains | 14,650 | 21,736 | |
Gross Unrealized Losses | 40,211 | 28,341 | |
Net Unrealized Gain/(Loss) | (25,561) | (6,605) | |
Agency MBS | Freddie Mac | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | 987,833 | 561,346 | |
Purchase Premiums | 40,183 | 21,683 | |
Accretable Purchase Discounts | 0 | 0 | |
Discount Designated as Credit Reserve and OTTI | 0 | 0 | |
Amortized Cost | 1,028,453 | 584,920 | |
Fair Value | 1,003,583 | 571,748 | |
Gross Unrealized Gains | 1,027 | 1,624 | |
Gross Unrealized Losses | 25,897 | 14,796 | |
Net Unrealized Gain/(Loss) | (24,870) | (13,172) | |
Agency MBS | Ginnie Mae | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | 5,028 | 6,142 | |
Purchase Premiums | 92 | 112 | |
Accretable Purchase Discounts | 0 | 0 | |
Discount Designated as Credit Reserve and OTTI | 0 | 0 | |
Amortized Cost | 5,120 | 6,254 | |
Fair Value | 5,168 | 6,333 | |
Gross Unrealized Gains | 48 | 79 | |
Gross Unrealized Losses | 0 | 0 | |
Net Unrealized Gain/(Loss) | 48 | 79 | |
Non-Agency MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | 3,509,289 | 3,718,743 | |
Purchase Premiums | 41 | 50 | |
Accretable Purchase Discounts | (191,745) | (215,325) | |
Discount Designated as Credit Reserve and OTTI | (531,757) | (593,227) | |
Amortized Cost | 2,785,828 | 2,910,241 | |
Fair Value | 3,334,610 | 3,533,966 | |
Gross Unrealized Gains | 550,916 | 624,178 | |
Gross Unrealized Losses | 2,134 | 453 | |
Net Unrealized Gain/(Loss) | 548,782 | 623,725 | |
Credit reserve | 519,600 | $ 579,000 | |
OTTI | 12,200 | 14,200 | |
Non-Agency MBS | Expected to Recover Par | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | 1,343,835 | 1,128,808 | |
Purchase Premiums | 41 | 50 | |
Accretable Purchase Discounts | (23,835) | (22,737) | |
Discount Designated as Credit Reserve and OTTI | 0 | 0 | |
Amortized Cost | 1,320,041 | 1,106,121 | |
Fair Value | 1,343,272 | 1,132,205 | |
Gross Unrealized Gains | 25,146 | 26,518 | |
Gross Unrealized Losses | 1,915 | 434 | |
Net Unrealized Gain/(Loss) | 23,231 | 26,084 | |
Non-Agency MBS | Expected to Recover Less Than Par | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | 2,165,454 | 2,589,935 | |
Purchase Premiums | 0 | 0 | |
Accretable Purchase Discounts | (167,910) | (192,588) | |
Discount Designated as Credit Reserve and OTTI | (531,757) | (593,227) | |
Amortized Cost | 1,465,787 | 1,804,120 | |
Fair Value | 1,991,338 | 2,401,761 | |
Gross Unrealized Gains | 525,770 | 597,660 | |
Gross Unrealized Losses | 219 | 19 | |
Net Unrealized Gain/(Loss) | $ 525,551 | $ 597,641 | |
Percentage of current face amount of Non-Agency MBS to be recovered | 85.00% | 84.00% | |
Total MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | $ 6,353,597 | $ 6,457,205 | |
Purchase Premiums | 111,198 | 104,116 | |
Accretable Purchase Discounts | (191,774) | (215,365) | |
Discount Designated as Credit Reserve and OTTI | (531,757) | (593,227) | |
Amortized Cost | 5,741,701 | 5,754,620 | |
Fair Value | 6,240,100 | 6,358,647 | |
Gross Unrealized Gains | 566,641 | 647,617 | |
Gross Unrealized Losses | 68,242 | 43,590 | |
Net Unrealized Gain/(Loss) | 498,399 | 604,027 | |
CRT securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | 495,018 | 602,799 | |
Purchase Premiums | 9,936 | 8,887 | |
Accretable Purchase Discounts | (178) | (3,550) | |
Discount Designated as Credit Reserve and OTTI | 0 | 0 | |
Amortized Cost | 504,776 | 608,136 | |
Fair Value | 538,945 | 664,403 | |
Gross Unrealized Gains | 34,173 | 56,290 | |
Gross Unrealized Losses | 4 | 23 | |
Net Unrealized Gain/(Loss) | 34,169 | 56,267 | |
RPL/NPL MBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Principal/ Current Face | 1,200,000 | 922,000 | |
Amortized Cost | 1,200,000 | 920,100 | |
Fair Value | 1,200,000 | 923,100 | |
Agency MBS, Fair Value Option | |||
Debt Securities, Available-for-sale [Line Items] | |||
Fair Value | 746,700 | ||
Gross Unrealized Gains | 0 | ||
Gross Unrealized Losses | 5,500 | ||
Debt Securities, Fair Value Option | 746,700 | ||
CRT, Fair Value Option | |||
Debt Securities, Available-for-sale [Line Items] | |||
Fair Value | 538,900 | ||
Gross Unrealized Gains | 34,200 | 40,500 | |
Gross Unrealized Losses | $ 4 | 23 | |
Debt Securities, Fair Value Option | $ 528,900 |
MBS, CRT Securities and MSR Related Assets (Sale of MBS) (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Non-Agency MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Proceeds from sale of MBS categorized as available-for-sale | $ 24.3 | $ 44.5 | $ 43.7 | $ 83.1 |
Gains on sales of MBS | 3.4 | $ 14.9 | 12.2 | $ 30.8 |
Agency MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Proceeds from sale of MBS categorized as available-for-sale | 75.3 | |||
Gains on sales of MBS | (3.8) | |||
CRT securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Proceeds from sale of MBS categorized as available-for-sale | 118.9 | 222.9 | ||
Gains on sales of MBS | $ 13.0 | $ 24.2 |
MBS, CRT Securities and MSR Related Assets (Unrealized Losses) (Details) $ in Thousands |
Sep. 30, 2018
USD ($)
security
|
Dec. 31, 2017
USD ($)
|
---|---|---|
Fair Value | ||
Less than 12 Months | $ 1,602,941 | |
12 Months or more | 1,140,526 | |
Total | 2,743,467 | |
Unrealized Losses | ||
Less than 12 Months | 12,385 | |
12 Months or more | 55,861 | |
Total | $ 68,246 | |
Number of Securities | ||
Less than 12 months (in security) | security | 167 | |
12 months or more (in security) | security | 361 | |
Available-for-sale securities | $ 6,779,045 | $ 7,023,050 |
Gross Unrealized Losses | 68,246 | 43,613 |
Agency MBS | ||
Fair Value | ||
Less than 12 Months | 1,107,546 | |
12 Months or more | 1,136,649 | |
Total | 2,244,195 | |
Unrealized Losses | ||
Less than 12 Months | 10,313 | |
12 Months or more | 55,795 | |
Total | $ 66,108 | |
Number of Securities | ||
Less than 12 months (in security) | security | 142 | |
12 months or more (in security) | security | 354 | |
Available-for-sale securities | $ 2,905,490 | 2,824,681 |
Gross Unrealized Losses | 66,108 | 43,137 |
Agency MBS | Fannie Mae | ||
Fair Value | ||
Less than 12 Months | 438,980 | |
12 Months or more | 838,566 | |
Total | 1,277,546 | |
Unrealized Losses | ||
Less than 12 Months | 4,293 | |
12 Months or more | 35,918 | |
Total | $ 40,211 | |
Number of Securities | ||
Less than 12 months (in security) | security | 105 | |
12 months or more (in security) | security | 251 | |
Available-for-sale securities | $ 1,896,739 | 2,246,600 |
Gross Unrealized Losses | 40,211 | 28,341 |
Agency MBS | Freddie Mac | ||
Fair Value | ||
Less than 12 Months | 668,566 | |
12 Months or more | 298,083 | |
Total | 966,649 | |
Unrealized Losses | ||
Less than 12 Months | 6,020 | |
12 Months or more | 19,877 | |
Total | $ 25,897 | |
Number of Securities | ||
Less than 12 months (in security) | security | 37 | |
12 months or more (in security) | security | 103 | |
Available-for-sale securities | $ 1,003,583 | 571,748 |
Gross Unrealized Losses | 25,897 | 14,796 |
Non-Agency MBS | ||
Fair Value | ||
Less than 12 Months | 479,641 | |
12 Months or more | 3,877 | |
Total | 483,518 | |
Unrealized Losses | ||
Less than 12 Months | 2,068 | |
12 Months or more | 66 | |
Total | $ 2,134 | |
Number of Securities | ||
Less than 12 months (in security) | security | 21 | |
12 months or more (in security) | security | 7 | |
Available-for-sale securities | $ 3,334,610 | 3,533,966 |
Gross Unrealized Losses | 2,134 | 453 |
Non-Agency MBS | Expected to Recover Par | ||
Fair Value | ||
Less than 12 Months | 435,011 | |
12 Months or more | 3,877 | |
Total | 438,888 | |
Unrealized Losses | ||
Less than 12 Months | 1,849 | |
12 Months or more | 66 | |
Total | $ 1,915 | |
Number of Securities | ||
Less than 12 months (in security) | security | 15 | |
12 months or more (in security) | security | 7 | |
Available-for-sale securities | $ 1,343,272 | 1,132,205 |
Gross Unrealized Losses | 1,915 | 434 |
Non-Agency MBS | Expected to Recover Less Than Par | ||
Fair Value | ||
Less than 12 Months | 44,630 | |
12 Months or more | 0 | |
Total | 44,630 | |
Unrealized Losses | ||
Less than 12 Months | 219 | |
12 Months or more | 0 | |
Total | $ 219 | |
Number of Securities | ||
Less than 12 months (in security) | security | 6 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 1,991,338 | 2,401,761 |
Gross Unrealized Losses | 219 | 19 |
Total MBS | ||
Fair Value | ||
Less than 12 Months | 1,587,187 | |
12 Months or more | 1,140,526 | |
Total | 2,727,713 | |
Unrealized Losses | ||
Less than 12 Months | 12,381 | |
12 Months or more | 55,861 | |
Total | $ 68,242 | |
Number of Securities | ||
Less than 12 months (in security) | security | 163 | |
12 months or more (in security) | security | 361 | |
Available-for-sale securities | $ 6,240,100 | 6,358,647 |
Gross Unrealized Losses | 68,242 | 43,590 |
CRT securities | ||
Fair Value | ||
Less than 12 Months | 15,754 | |
12 Months or more | 0 | |
Total | 15,754 | |
Unrealized Losses | ||
Less than 12 Months | 4 | |
12 Months or more | 0 | |
Total | $ 4 | |
Number of Securities | ||
Less than 12 months (in security) | security | 4 | |
12 months or more (in security) | security | 0 | |
Available-for-sale securities | $ 538,945 | 664,403 |
Gross Unrealized Losses | 4 | $ 23 |
Agency MBS, Fair Value Option | ||
Number of Securities | ||
Available-for-sale securities | 746,700 | |
Gross Unrealized Losses | $ 5,500 |
MBS, CRT Securities and MSR Related Assets (Composition of OTTI Charges) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Investments, Debt and Equity Securities [Abstract] | ||||
Total OTTI losses | $ 0 | $ 0 | $ 0 | $ (63) |
OTTI reclassified from OCI | 0 | 0 | 0 | (969) |
OTTI recognized in earnings | $ 0 | $ 0 | $ 0 | $ (1,032) |
MBS, CRT Securities and MSR Related Assets (Credit Loss Component of OTTI) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended |
---|---|---|
Sep. 30, 2018 |
Sep. 30, 2018 |
|
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||
Credit loss component of OTTI at beginning of period | $ 38,337 | $ 38,337 |
Additions for credit related OTTI not previously recognized | 0 | 0 |
Subsequent additional credit related OTTI recorded | 0 | 0 |
Credit loss component of OTTI at end of period | $ 38,337 | $ 38,337 |
MBS, CRT Securities and MSR Related Assets (Purchase Discounts) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Changes in the components of the purchase discount on Non-Agency MBS | ||||
Realized credit losses | $ 0 | $ 0 | $ 0 | $ 1,032 |
Discount Designated as Credit Reserve and OTTI | Non-Agency MBS | ||||
Changes in the components of the purchase discount on Non-Agency MBS | ||||
Balance at beginning of period | (553,596) | (626,498) | (593,227) | (694,241) |
Impact of RMBS Issuer Settlement | 0 | 0 | 0 | 0 |
Accretion of discount | 0 | 0 | 0 | 0 |
Realized credit losses | 12,042 | 13,982 | 31,443 | 39,445 |
Purchases | (1,975) | 0 | (2,510) | (484) |
Sales | 1,552 | 4,620 | 7,144 | 29,398 |
Net impairment losses recognized in earnings | 0 | (1,032) | ||
Transfers/release of credit reserve | 10,220 | 14,762 | 25,393 | 33,780 |
Balance at end of period | (531,757) | (593,134) | (531,757) | (593,134) |
Accretable Discount | Non-Agency MBS | ||||
Changes in the components of the purchase discount on Non-Agency MBS | ||||
Balance at beginning of period | (202,248) | (257,967) | (215,325) | (278,191) |
Impact of RMBS Issuer Settlement | (2,734) | 0 | (14,822) | 0 |
Accretion of discount | 20,115 | 18,621 | 54,860 | 60,461 |
Realized credit losses | 0 | 0 | 0 | 0 |
Purchases | 1,368 | (1,929) | 1,856 | (3,449) |
Sales | 1,974 | 11,244 | 7,079 | 10,166 |
Net impairment losses recognized in earnings | 0 | 0 | ||
Transfers/release of credit reserve | (10,220) | (14,762) | (25,393) | (33,780) |
Balance at end of period | (191,745) | $ (244,793) | (191,745) | $ (244,793) |
Jp Morgan Chase | ||||
Changes in the components of the purchase discount on Non-Agency MBS | ||||
Proceeds from Legal Settlements | $ 12,100 | |||
Lehman Brothers | ||||
Changes in the components of the purchase discount on Non-Agency MBS | ||||
Proceeds from Legal Settlements | $ 2,700 |
MBS, CRT Securities and MSR Related Assets (Impact of AFS Securities on AOCI) (Details) - USD ($) |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
AOCI from AFS Securities: | ||||
Unrealized gain on AFS securities at beginning of period | $ 548,551,000 | $ 668,223,000 | $ 620,648,000 | $ 620,403,000 |
Reclassification adjustment for MBS sales included in net income | (9,455,000) | (14,935,000) | (25,580,000) | (30,283,000) |
Reclassification adjustment for OTTI included in net income | 0 | 0 | 0 | (1,032,000) |
Change in AOCI from AFS securities | (43,733,000) | (7,947,000) | (115,830,000) | 39,873,000 |
Balance at end of period | 504,818,000 | 660,276,000 | 504,818,000 | 660,276,000 |
Agency MBS | ||||
AOCI from AFS Securities: | ||||
Unrealized (loss)/gain on AFS securities, net | (9,177,000) | (3,032,000) | (27,507,000) | (22,241,000) |
Non-Agency MBS | ||||
AOCI from AFS Securities: | ||||
Unrealized (loss)/gain on AFS securities, net | $ (25,101,000) | $ 10,020,000 | $ (62,743,000) | $ 93,429,000 |
MBS, CRT Securities and MSR Related Assets (MSR Related Assets - Narrative) (Details) - USD ($) |
3 Months Ended | 9 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
Dec. 31, 2017 |
Mar. 31, 2018 |
Dec. 31, 2016 |
|
Term notes backed by MSR related collateral | |||||||
Debt Securities, Available-for-sale [Line Items] | |||||||
Term notes backed by MSR related collateral | $ 505,195,000 | $ 505,195,000 | $ 381,804,000 | ||||
Amortized costs | 504,300,000 | 504,300,000 | 381,000,000 | ||||
Gross unrealized gains | 922,000 | $ 922,000 | $ 804,000 | ||||
Weighted average yield | 5.15% | 5.80% | |||||
Weighted average to maturity | 4 years 6 months 18 days | 3 years 5 months 4 days | |||||
Corporate Loan | |||||||
Debt Securities, Available-for-sale [Line Items] | |||||||
Commitment to lend | 100,000,000 | $ 100,000,000 | $ 130,000,000 | ||||
Amount drawn | $ 60,100,000 | $ 60,100,000 | $ 124,200,000 | ||||
Interest coupon rate | 5.64% | 5.64% | |||||
Debt term | 1 year 10 months 24 days | ||||||
Commitment period on undrawn amount | 1 year 10 months 24 days | ||||||
Interest income | $ 138,000 | $ 2,100,000 | $ 3,800,000 | $ 5,700,000 | |||
Discount accretion | 0 | $ 76,000 | $ 1,300,000 | $ 212,000 | |||
Commitment fee income | $ 136,000 | ||||||
Minimum | Corporate Loan | |||||||
Debt Securities, Available-for-sale [Line Items] | |||||||
Commitment fee on undrawn amount | 0.25% | 0.25% | |||||
Maximum | Corporate Loan | |||||||
Debt Securities, Available-for-sale [Line Items] | |||||||
Commitment fee on undrawn amount | 1.00% | 1.00% |
MBS, CRT Securities and MSR Related Assets (Interest Income) (Details) - USD ($) |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Agency MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon interest | $ 21,549,000 | $ 23,473,000 | $ 62,546,000 | $ 74,589,000 |
Effective yield adjustment | (7,217,000) | (7,940,000) | (19,751,000) | (24,575,000) |
Interest income | 14,332,000 | 15,533,000 | 42,795,000 | 50,014,000 |
Legacy Non-Agency MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon interest | 27,026,000 | 30,688,000 | 83,791,000 | 97,796,000 |
Effective yield adjustment | 18,984,000 | 18,005,000 | 53,648,000 | 59,033,000 |
Interest income | 46,010,000 | 48,693,000 | 137,439,000 | 156,829,000 |
Accretion Income | 2,300,000 | 2,300,000 | 1,700,000 | |
RPL/NPL MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon interest | 11,526,000 | 13,947,000 | 31,167,000 | 54,475,000 |
Effective yield adjustment | 1,131,000 | 612,000 | 1,206,000 | 1,424,000 |
Interest income | 12,657,000 | 14,559,000 | 32,373,000 | 55,899,000 |
Accretion Income | 1,100,000 | 575,000 | 1,200,000 | 1,200,000 |
CRT securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon interest | 7,257,000 | 7,868,000 | 23,484,000 | 19,712,000 |
Effective yield adjustment | 491,000 | 808,000 | 2,455,000 | 3,186,000 |
Interest income | 7,748,000 | 8,676,000 | 25,939,000 | 22,898,000 |
MSR related assets | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon interest | 6,407,000 | 7,117,000 | 19,005,000 | 17,621,000 |
Effective yield adjustment | 0 | 77,000 | 1,244,000 | 212,000 |
Interest income | $ 6,407,000 | $ 7,194,000 | $ 20,249,000 | $ 17,833,000 |
Residential Whole Loans (Narrative) (Details) - USD ($) $ in Billions |
Sep. 30, 2018 |
Dec. 31, 2017 |
---|---|---|
Receivables [Abstract] | ||
Total residential whole loans | $ 3.9 | $ 2.2 |
Residential Whole Loans (Residential Whole Loans, at Carrying Value) (Details) $ in Thousands |
Sep. 30, 2018
USD ($)
loan
|
Dec. 31, 2017
USD ($)
loan
|
||
---|---|---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Total Residential whole loans, at carrying value | [1] | $ 2,471,567 | $ 908,516 | |
Number of loans | loan | 9,900 | 4,800 | ||
Purchased credit impaired loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Purchased credit impaired loans | $ 825,614 | $ 790,879 | ||
Non-QM loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Other loans at carrying value | 989,818 | 55,612 | ||
Rehabilitation loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Other loans at carrying value | 329,301 | 56,706 | ||
Single-family rental loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Other loans at carrying value | 79,699 | 5,319 | ||
Seasoned performing loans | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Other loans at carrying value | 247,135 | 0 | ||
Total other loans at carrying value | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Other loans at carrying value | $ 1,645,953 | $ 117,637 | ||
|
Residential Whole Loans (Residential Whole Loans, at Carrying Value - Additional Information) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2018 |
Dec. 31, 2017 |
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Residential whole loans, at carrying value, total or weighted average | $ 2,464,794 | |
Unpaid Principal Balance (“UPB”) | $ 2,660,686 | |
Weighted Average Coupon | 5.46% | |
Weighted Average Term to Maturity (Months) | 278 months | |
Weighted Average LTV Ratio | 80.00% | |
Other loans held at carrying value excluded | $ 8,600 | |
Purchased credit impaired loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Purchased credit impaired loans | 825,614 | $ 790,879 |
Unpaid Principal Balance (“UPB”) | $ 1,034,890 | |
Weighted Average Coupon | 4.36% | |
Weighted Average Term to Maturity (Months) | 304 months | |
Weighted Average LTV Ratio | 87.00% | |
Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Other loans at carrying value | $ 989,818 | 55,612 |
Unpaid Principal Balance (“UPB”) | $ 956,162 | |
Weighted Average Coupon | 6.18% | |
Weighted Average Term to Maturity (Months) | 358 months | |
Weighted Average LTV Ratio | 66.00% | |
Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Other loans at carrying value | $ 329,301 | 56,706 |
Unpaid Principal Balance (“UPB”) | $ 329,301 | |
Weighted Average Coupon | 7.51% | |
Weighted Average Term to Maturity (Months) | 9 months | |
Weighted Average LTV Ratio | 65.00% | |
Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Other loans at carrying value | $ 79,699 | 5,319 |
Unpaid Principal Balance (“UPB”) | $ 79,563 | |
Weighted Average Coupon | 5.84% | |
Weighted Average Term to Maturity (Months) | 355 months | |
Weighted Average LTV Ratio | 68.00% | |
Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Other loans at carrying value | $ 247,135 | $ 0 |
Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Other loans at carrying value | 240,362 | |
Unpaid Principal Balance (“UPB”) | $ 260,770 | |
Weighted Average Coupon | 4.05% | |
Weighted Average Term to Maturity (Months) | 194 months | |
Weighted Average LTV Ratio | 49.00% | |
Other residential whole loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Other loans held at carrying value excluded | $ 6,800 | |
Current | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 944,564 | |
Current | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 309,951 | |
Current | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 78,172 | |
Current | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 239,025 | |
30-59 | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 8,564 | |
30-59 | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 12,836 | |
30-59 | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 870 | |
30-59 | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 20,373 | |
60-89 | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 1,865 | |
60-89 | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 3,620 | |
60-89 | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 0 | |
60-89 | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | $ 635 | |
90 or more | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Weighted Average LTV Ratio | 89.48% | 94.50% |
90 or more | Non-QM loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | $ 1,169 | |
90 or more | Rehabilitation loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 2,894 | |
90 or more | Single-family rental loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | 521 | |
90 or more | Seasoned performing loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid Principal Balance (“UPB”) | $ 737 |
Residential Whole Loans (Purchased Credit Impaired Loans - Narrative) (Details) - Purchased credit impaired loans - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
Jun. 30, 2018 |
Dec. 31, 2017 |
Jun. 30, 2017 |
Dec. 31, 2016 |
|
Financing Receivable, Impaired [Line Items] | ||||||||
Allowance for loan losses | $ 461 | $ 318 | $ 461 | $ 318 | $ 297 | $ 330 | $ 375 | $ 990 |
Provisions/(reversal of provisions) for loan losses | $ 164 | $ (57) | $ 131 | $ (672) |
Residential Whole Loans (Provision for Loan Losses) (Details) - Purchased credit impaired loans - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Allowance for Loan and Lease Losses [Roll Forward] | ||||
Balance at the beginning of period | $ 297 | $ 375 | $ 330 | $ 990 |
Provisions/(reversal of provisions) for loan losses | 164 | (57) | 131 | (672) |
Balance at the end of period | $ 461 | $ 318 | $ 461 | $ 318 |
Residential Whole Loans (Carrying Value) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Investments, Debt and Equity Securities [Abstract] | ||||
Contractually required principal and interest | $ 154,911 | $ 185,234 | $ 154,911 | $ 185,234 |
Contractual cash flows not expected to be collected (non-accretable yield) | (15,378) | (33,448) | (15,378) | (33,448) |
Expected cash flows to be collected | 139,533 | 151,786 | 139,533 | 151,786 |
Interest component of expected cash flows (accretable yield) | (41,947) | (53,916) | (41,947) | (53,916) |
Fair value at the date of acquisition | 97,586 | 97,870 | 97,586 | 97,870 |
Purchase credit impaired loans transaction closed in current period which were purchased in prior periods | $ 54,900 | $ 97,900 | $ 54,900 | $ 97,900 |
Residential Whole Loans (Carrying Value Accretable Yield Rollforward) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Residential Whole Loans Accretable Yield [Roll Forward] | ||||
Balance at beginning of period | $ 401,075 | $ 318,125 | $ 421,872 | $ 334,379 |
Additions | 41,947 | 53,916 | 41,947 | 53,916 |
Accretion | (11,198) | (9,026) | (33,139) | (26,219) |
Liquidations and other | (8,378) | 0 | (23,388) | 0 |
Reclassifications (to)/from non-accretable difference, net | 9,694 | 303 | 25,848 | 1,242 |
Balance at end of period | 433,140 | 363,318 | 433,140 | 363,318 |
Purchase credit impaired loans transaction closed in current period which were purchased in prior periods | $ 54,900 | $ 97,900 | $ 54,900 | $ 97,900 |
Residential Whole Loans (Other Loans at Carrying Value) (Details) $ in Millions |
Sep. 30, 2018
USD ($)
loan
|
---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Number of other loans at carrying value | loan | 10 |
Unpaid balance of other loans | $ 5.3 |
Total outstanding principal balance of all of the Company’s Other Loans at Carrying Value | 0.30% |
Rehabilitation loans | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |
Commitment to lend, unfunded | $ 43.9 |
Residential Whole Loans (Fair Value) (Details) $ in Thousands |
9 Months Ended | 12 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2018
USD ($)
loan
|
Dec. 31, 2017
USD ($)
loan
|
Sep. 30, 2017
USD ($)
|
|||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Weighted Average LTV Ratio | 80.00% | ||||
Total Residential whole loans, at fair value | [1] | $ 1,447,567 | $ 1,325,115 | ||
Less than 60 Days Past Due: | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Outstanding principal balance | 585,024 | 488,600 | |||
Aggregate fair value | $ 544,890 | $ 446,616 | |||
Weighted Average LTV Ratio | 76.17% | 74.98% | |||
Number of loans | loan | 2,775 | 2,323 | |||
60 Days to 89 Days Past Due: | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Outstanding principal balance | $ 70,018 | $ 45,955 | |||
Aggregate fair value | $ 62,043 | $ 37,927 | |||
Weighted Average LTV Ratio | 77.62% | 89.25% | |||
Number of loans | loan | 319 | 207 | |||
90 Days or More Past Due: | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Outstanding principal balance | $ 972,488 | $ 1,027,818 | |||
Aggregate fair value | $ 840,634 | $ 840,572 | |||
Weighted Average LTV Ratio | 89.48% | 94.50% | |||
Number of loans | loan | 3,416 | 3,984 | |||
Residential whole loans | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Excluded amount, unsettled purchases, residential whole loans, at fair value | $ 1,800 | $ 120,400 | |||
|
Residential Whole Loans (Fair Value Components of Net Income) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Receivables [Abstract] | ||||
Coupon payments and other income received | $ 17,634 | $ 9,824 | $ 52,034 | $ 27,971 |
Net unrealized gains | 8,442 | 5,289 | 26,788 | 12,499 |
Net gain on payoff/liquidation of loans | 3,251 | 1,456 | 10,203 | 3,076 |
Net gain on transfers to REO | 5,615 | 2,110 | 16,858 | 5,114 |
Total | $ 34,942 | $ 18,679 | $ 105,883 | $ 48,660 |
Other Assets (Details) - USD ($) $ in Thousands |
Sep. 30, 2018 |
Jun. 30, 2018 |
Dec. 31, 2017 |
Sep. 30, 2017 |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|---|---|---|---|
Other Assets [Abstract] | ||||||
Securities obtained and pledged as collateral, at fair value | $ 0 | $ 504,062 | ||||
REO | 223,105 | $ 192,162 | 152,356 | $ 137,979 | $ 104,443 | $ 80,503 |
MBS and loan related receivables | 101,578 | 54,640 | ||||
Swaps, at fair value | 22,311 | 679 | ||||
Goodwill | 7,189 | 7,189 | ||||
Other | 51,886 | 23,983 | ||||
Total Other Assets | $ 406,069 | $ 742,909 |
Other Assets (Real Estate Owned) (Details) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2018
USD ($)
property
|
Sep. 30, 2017
USD ($)
property
|
Sep. 30, 2018
USD ($)
property
|
Sep. 30, 2017
USD ($)
property
|
Jun. 30, 2018
USD ($)
|
Dec. 31, 2017
USD ($)
property
|
Jun. 30, 2017
USD ($)
|
Dec. 31, 2016
USD ($)
|
|
Real Estate Properties [Line Items] | ||||||||
Number of real estate owned properties | property | 979 | 979 | 709 | |||||
Real estate owned | $ 223,105 | $ 137,979 | $ 223,105 | $ 137,979 | $ 192,162 | $ 152,356 | $ 104,443 | $ 80,503 |
Number of real estate properties reclassified to REO during period | property | 240 | 174 | 795 | 521 | ||||
Mortgage loans reclassified to REO | $ 58,051 | $ 38,944 | $ 161,572 | $ 97,388 | ||||
Residential Whole Loans acquired through foreclosure ordered in lieu | $ 214,400 | $ 214,400 | ||||||
Number of REO properties sold during period | property | 157 | 139 | 537 | 368 | ||||
Proceeds from sale of real estate owned | $ 29,900 | $ 18,400 | $ 96,000 | $ 53,000 | ||||
Gains/(losses) on sales of real estate owned | 2,000 | 805 | 6,582 | 2,844 | ||||
Adjustments to record at lower of cost or fair value | 4,056 | 3,129 | 11,592 | 7,306 | ||||
Estimated Fair Value | ||||||||
Real Estate Properties [Line Items] | ||||||||
Mortgage loans reclassified to REO | 58,100 | $ 38,900 | 161,600 | $ 97,400 | ||||
Mortgage loans in process of foreclosure | 720,100 | 720,100 | ||||||
Carrying Value | ||||||||
Real Estate Properties [Line Items] | ||||||||
Mortgage loans in process of foreclosure | $ 48,700 | $ 48,700 |
Other Assets (Real Estate Owned - Activity) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Real Estate Owned [Roll Forward] | ||||
Balance at beginning of period | $ 192,162 | $ 104,443 | $ 152,356 | $ 80,503 |
Adjustments to record at lower of cost or fair value | (4,056) | (3,129) | (11,592) | (7,306) |
Transfer from residential whole loans | 58,051 | 38,944 | 161,572 | 97,388 |
Purchases and capital improvements | 4,897 | 15,342 | 10,179 | 17,224 |
Disposals | (27,949) | (17,621) | (89,410) | (49,830) |
Balance at end of period | 223,105 | 137,979 | 223,105 | 137,979 |
Gain recorded on transfer from residential whole loans to real estate owned | $ 5,800 | $ 2,800 | $ 17,000 | $ 5,300 |
Other Assets (Derivative Instruments - Balance Sheet Location) (Details) - USD ($) $ in Thousands |
Sep. 30, 2018 |
Dec. 31, 2017 |
---|---|---|
Derivative Instruments | ||
Derivative assets, fair value | $ 22,311 | $ 679 |
Swap | Hedging | Assets | ||
Derivative Instruments | ||
Notional amount of derivative assets | 2,122,000 | 750,000 |
Derivative assets, fair value | 18,650 | 679 |
Swap | Hedging | Other liabilities | ||
Derivative Instruments | ||
Notional amount of derivative liabilities | 0 | 1,800,000 |
Derivative liabilities, at fair value | 0 | 0 |
Swap | Non-Hedging | Assets | ||
Derivative Instruments | ||
Notional amount of derivative assets | 515,000 | 0 |
Derivative assets, fair value | $ 3,661 | $ 0 |
Other Assets (Derivative Instruments) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
Dec. 31, 2017 |
|
Derivative [Line Items] | |||||
Assets pledged | $ 8,997,518 | $ 8,997,518 | $ 8,145,197 | ||
Interest expense attributable to Swaps | 58,878 | $ 49,275 | 161,242 | $ 148,646 | |
AOCI from derivative hedging instruments: | |||||
Balance at beginning of period | 16,160 | (35,841) | (11,424) | (46,721) | |
Net gain on Swaps | 5,390 | 5,791 | 32,974 | 16,671 | |
Balance at end of period | 21,550 | (30,050) | 21,550 | (30,050) | |
Interest Rate Contract | |||||
Derivative [Line Items] | |||||
Assets pledged | 2,877 | 2,877 | 28,161 | ||
Interest Rate Contract | Agency MBS, at fair value | |||||
Derivative [Line Items] | |||||
Assets pledged | 2,877 | 2,877 | 21,756 | ||
Interest Rate Contract | Restricted cash | |||||
Derivative [Line Items] | |||||
Assets pledged | 0 | 0 | 6,405 | ||
Swaps, at fair value | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 2,637,000 | $ 2,637,000 | $ 2,550,000 | ||
Weighted average fixed-pay rate | 2.35% | 2.35% | 2.04% | ||
Weighted Average Variable Interest Rate | 2.21% | 2.21% | 1.50% | ||
Interest expense attributable to Swaps | $ 547 | $ 5,310 | $ 4,187 | $ 19,606 | |
Weighted average Swap rate paid | 2.19% | 2.04% | 2.09% | 1.96% | |
Weighted average Swap rate received | 2.09% | 1.23% | 1.86% | 1.00% | |
Swaps, at fair value | Within 30 days | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 0 | ||
Weighted average fixed-pay rate | 0.00% | 0.00% | 0.00% | ||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 0.00% | ||
Swaps, at fair value | Over 30 days to 3 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 0 | ||
Weighted average fixed-pay rate | 0.00% | 0.00% | 0.00% | ||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 0.00% | ||
Swaps, at fair value | Over 3 months to 6 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 100,000 | $ 100,000 | $ 50,000 | ||
Weighted average fixed-pay rate | 1.71% | 1.71% | 1.45% | ||
Weighted Average Variable Interest Rate | 2.21% | 2.21% | 1.56% | ||
Swaps, at fair value | Over 6 months to 12 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 100,000 | $ 100,000 | $ 500,000 | ||
Weighted average fixed-pay rate | 1.71% | 1.71% | 1.50% | ||
Weighted Average Variable Interest Rate | 2.21% | 2.21% | 1.46% | ||
Swaps, at fair value | Over 12 months to 24 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 1,630,000 | $ 1,630,000 | $ 200,000 | ||
Weighted average fixed-pay rate | 2.27% | 2.27% | 1.71% | ||
Weighted Average Variable Interest Rate | 2.20% | 2.20% | 1.54% | ||
Swaps, at fair value | Over 24 months to 36 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 322,000 | $ 322,000 | $ 1,500,000 | ||
Weighted average fixed-pay rate | 2.34% | 2.34% | 2.22% | ||
Weighted Average Variable Interest Rate | 2.17% | 2.17% | 1.51% | ||
Swaps, at fair value | Over 36 months to 48 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 200,000 | ||
Weighted average fixed-pay rate | 0.00% | 0.00% | 2.20% | ||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 1.53% | ||
Swaps, at fair value | Over 48 months to 60 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 355,000 | $ 355,000 | $ 0 | ||
Weighted average fixed-pay rate | 2.85% | 2.85% | 0.00% | ||
Weighted Average Variable Interest Rate | 2.28% | 2.28% | 0.00% | ||
Swaps, at fair value | Over 60 months to 72 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 100,000 | ||
Weighted average fixed-pay rate | 0.00% | 0.00% | 2.75% | ||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 1.50% | ||
Swaps, at fair value | Over 72 months to 84 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 0 | $ 0 | $ 0 | ||
Weighted average fixed-pay rate | 0.00% | 0.00% | 0.00% | ||
Weighted Average Variable Interest Rate | 0.00% | 0.00% | 0.00% | ||
Swaps, at fair value | Over 84 months | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 130,000 | $ 130,000 | $ 0 | ||
Weighted average fixed-pay rate | 2.94% | 2.94% | 0.00% | ||
Weighted Average Variable Interest Rate | 2.32% | 2.32% | 0.00% | ||
Swaps, at fair value | Hedging | |||||
Derivative [Line Items] | |||||
Aggregate notional amount of derivatives | $ 2,600,000 | $ 2,600,000 | |||
Average maturity term of swaps | 32 months | ||||
Swaps, at fair value | Minimum | LIBOR | |||||
Derivative [Line Items] | |||||
Derivative, variable interest rate, term | 1 month | ||||
Swaps, at fair value | Maximum | Hedging | |||||
Derivative [Line Items] | |||||
Maximum maturity term of swaps | 121 months | ||||
Swaps, at fair value | Maximum | LIBOR | |||||
Derivative [Line Items] | |||||
Derivative, variable interest rate, term | 3 months | ||||
Swap | Non-Hedging | |||||
Derivative [Line Items] | |||||
Gain on derivatives | $ 4,000 | $ 4,400 |
Repurchase Agreements (Borrowings Under Repurchase Agreement And Associated Assets Pledged as Collateral) (Details) - USD ($) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2018 |
Dec. 31, 2017 |
|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance of repurchase agreements | $ 7,278,270 | $ 6,614,701 |
Unamortized debt issuance expense | 19 | 206 |
Agency MBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance of repurchase agreements | 2,584,097 | 2,501,340 |
Fair value of securities pledged as collateral under repurchase agreements | $ 2,792,396 | $ 2,705,754 |
Weighted average haircut (percent) | 4.48% | 4.65% |
Non-Agency MBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance of repurchase agreements | $ 1,592,067 | $ 1,256,033 |
Fair value of securities pledged as collateral under repurchase agreements | $ 2,075,540 | $ 1,652,983 |
Weighted average haircut (percent) | 21.70% | 21.87% |
RPL/NPL MBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance of repurchase agreements | $ 913,249 | $ 567,140 |
Fair value of securities pledged as collateral under repurchase agreements | $ 1,161,568 | $ 726,540 |
Weighted average haircut (percent) | 21.22% | 22.05% |
U.S. Treasury securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance of repurchase agreements | $ 0 | $ 470,334 |
Fair value of securities pledged as collateral under repurchase agreements | $ 0 | $ 472,095 |
Weighted average haircut (percent) | 0.00% | 1.47% |
CRT securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance of repurchase agreements | $ 405,168 | $ 459,058 |
Fair value of securities pledged as collateral under repurchase agreements | $ 504,931 | $ 595,900 |
Weighted average haircut (percent) | 19.73% | 22.16% |
MSR related assets | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance of repurchase agreements | $ 435,762 | $ 317,255 |
Fair value of securities pledged as collateral under repurchase agreements | $ 565,272 | $ 482,158 |
Weighted average haircut (percent) | 22.56% | 33.19% |
Residential whole loans | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Balance of repurchase agreements | $ 1,347,946 | $ 1,043,747 |
Fair value of securities pledged as collateral under repurchase agreements | $ 1,888,445 | $ 1,474,704 |
Weighted average haircut (percent) | 21.93% | 26.10% |
Repurchase Agreement Borrowings | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Weighted average remaining term-to-interest rate reset of borrowings under repurchase agreements, days | 25 days | 16 days |
Effective repricing period, months | 11 months | 11 months |
Balance of repurchase agreements | $ 7,278,289 | $ 6,614,907 |
Unamortized debt issuance expense | 19 | $ 206 |
Loan Securitization | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair value of securities pledged as collateral under repurchase agreements | $ 27,000 |
Repurchase Agreements (Borrowings Under Repurchase Agreement) (Details) - USD ($) $ in Thousands |
Sep. 30, 2018 |
Dec. 31, 2017 |
---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 7,278,270 | $ 6,614,701 |
Less debt issuance costs | 19 | 206 |
Amounts related to repurchase agreements not included in offsetting disclosure in Note 8 | 0 | |
Repurchase Agreement Borrowings | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 7,278,289 | $ 6,614,907 |
Weighted Average Interest Rate | 3.01% | 2.42% |
Less debt issuance costs | $ 19 | $ 206 |
Total repurchase agreements less debt issuance costs | 7,278,270 | 6,614,701 |
Repurchase Agreement Borrowings | Overnight | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 0 | |
Weighted Average Interest Rate | 0.00% | |
Repurchase Agreement Borrowings | Within 30 Days | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 6,011,969 | |
Weighted Average Interest Rate | 2.85% | |
Repurchase Agreement Borrowings | Over 30 Days to 3 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 562,439 | |
Weighted Average Interest Rate | 3.73% | |
Repurchase Agreement Borrowings | Over 3 Months to 12 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 703,881 | |
Weighted Average Interest Rate | 3.80% | |
Repurchase Agreement Borrowings | Over 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 0 | |
Weighted Average Interest Rate | 0.00% | |
Repurchase Agreement Borrowings | Within 30 days | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 6,985,487 | $ 6,161,008 |
Weighted Average Interest Rate | 3.01% | 2.39% |
Repurchase Agreement Borrowings | Over 30 days to 3 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 29,501 | $ 453,899 |
Weighted Average Interest Rate | 2.48% | 2.76% |
Repurchase Agreement Borrowings | Over 3 months to 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 263,301 | $ 0 |
Weighted Average Interest Rate | 3.09% | 0.00% |
Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 2,584,097 | $ 2,501,340 |
Agency MBS | Overnight | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
Agency MBS | Within 30 Days | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 2,570,990 | |
Agency MBS | Over 30 Days to 3 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 13,107 | |
Agency MBS | Over 3 Months to 12 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
Agency MBS | Over 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
Legacy Non-Agency MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 1,592,067 | 1,256,033 |
Legacy Non-Agency MBS | Overnight | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
Legacy Non-Agency MBS | Within 30 Days | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 1,544,995 | |
Legacy Non-Agency MBS | Over 30 Days to 3 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 47,072 | |
Legacy Non-Agency MBS | Over 3 Months to 12 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
Legacy Non-Agency MBS | Over 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
RPL/NPL MBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 913,249 | 567,140 |
RPL/NPL MBS | Overnight | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
RPL/NPL MBS | Within 30 Days | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 887,087 | |
RPL/NPL MBS | Over 30 Days to 3 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 26,162 | |
RPL/NPL MBS | Over 3 Months to 12 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
RPL/NPL MBS | Over 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
CRT securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 405,168 | 459,058 |
CRT securities | Overnight | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
CRT securities | Within 30 Days | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 399,064 | |
CRT securities | Over 30 Days to 3 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 6,104 | |
CRT securities | Over 3 Months to 12 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
CRT securities | Over 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
MSR related assets | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 435,762 | 317,255 |
MSR related assets | Overnight | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
MSR related assets | Within 30 Days | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 342,704 | |
MSR related assets | Over 30 Days to 3 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 93,058 | |
MSR related assets | Over 3 Months to 12 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
MSR related assets | Over 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
Residential whole loans | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 1,347,946 | $ 1,043,747 |
Residential whole loans | Overnight | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 0 | |
Residential whole loans | Within 30 Days | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 267,129 | |
Residential whole loans | Over 30 Days to 3 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 376,936 | |
Residential whole loans | Over 3 Months to 12 Months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | 703,881 | |
Residential whole loans | Over 12 months | ||
Debt Securities, Available-for-sale [Line Items] | ||
Balance of repurchase agreements | $ 0 |
Repurchase Agreements (Counterparty for Repurchase Agreement) (Details) $ in Thousands |
9 Months Ended | |
---|---|---|
Sep. 30, 2018
USD ($)
counterparty
|
Dec. 31, 2017
counterparty
|
|
Repurchase agreements counterparty risk | ||
Number of counterparties | counterparty | 28 | 31 |
Threshold of stockholders' equity at risk with single counterparty to repurchase agreements or linked transactions (greater than) (percent) | 5.00% | |
Barclay's Bank | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 346,185 | |
Weighted Average Months to Maturity for Repurchase Agreements | 4 months | |
Percent of Stockholders’ Equity | 9.80% | |
Goldman Sachs | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 305,862 | |
Weighted Average Months to Maturity for Repurchase Agreements | 1 month | |
Percent of Stockholders’ Equity | 8.60% | |
Goldman Sachs Bank USA | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 171,300 | |
Goldman Sachs Lending Partners | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | 134,600 | |
Wells Fargo | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 252,651 | |
Weighted Average Months to Maturity for Repurchase Agreements | 5 months | |
Percent of Stockholders’ Equity | 7.10% | |
Wells Fargo Bank, NA | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 241,000 | |
Wells Fargo Securities LLC | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | 11,700 | |
RBC | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 243,731 | |
Weighted Average Months to Maturity for Repurchase Agreements | 1 month | |
Percent of Stockholders’ Equity | 6.90% | |
RBC Barbados | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 237,600 | |
RBC New York | ||
Repurchase agreements counterparty risk | ||
Amount at Risk | $ 6,100 |
Repurchase Agreements (Undrawn Financing Commitment) (Details) - USD ($) $ in Thousands |
9 Months Ended | |
---|---|---|
Sep. 30, 2018 |
Dec. 31, 2017 |
|
Debt Instrument [Line Items] | ||
Repurchase agreements | $ 7,278,270 | $ 6,614,701 |
MSR Asset Financing | ||
Debt Instrument [Line Items] | ||
Repurchase agreement, borrowing commitment | $ 75,000 | |
MSR Asset Financing | Minimum | ||
Debt Instrument [Line Items] | ||
Commitment fee | 0.125% | |
MSR Asset Financing | Maximum | ||
Debt Instrument [Line Items] | ||
Commitment fee | 0.50% | |
MSR related assets | ||
Debt Instrument [Line Items] | ||
Repurchase agreements | $ 435,762 | $ 317,255 |
MSR related assets | Corporate Loan | ||
Debt Instrument [Line Items] | ||
Repurchase agreements | $ 45,100 |
Collateral Positions (Details) - USD ($) $ in Thousands |
Sep. 30, 2018 |
Dec. 31, 2017 |
---|---|---|
Collateral Positions | ||
Assets Pledged | $ 8,997,518 | $ 8,145,197 |
Collateral Held | 0 | 504,062 |
Derivative Hedging Instruments | ||
Collateral Positions | ||
Assets Pledged | 2,877 | 28,161 |
Collateral Held | 0 | 0 |
Derivative Hedging Instruments | Agency MBS | ||
Collateral Positions | ||
Assets Pledged | 2,877 | 21,756 |
Collateral Held | 0 | 0 |
Derivative Hedging Instruments | Cash | ||
Collateral Positions | ||
Assets Pledged | 0 | 6,405 |
Collateral Held | 0 | 0 |
Repurchase Agreement Borrowings | ||
Collateral Positions | ||
Assets Pledged | 8,994,641 | 8,117,036 |
Collateral Held | 0 | 0 |
Repurchase Agreement Borrowings | Agency MBS | ||
Collateral Positions | ||
Assets Pledged | 2,792,396 | 2,705,754 |
Collateral Held | 0 | 0 |
Repurchase Agreement Borrowings | Legacy Non-Agency MBS | ||
Collateral Positions | ||
Assets Pledged | 2,075,540 | 1,652,983 |
Collateral Held | 0 | 0 |
Non-Agency MBS pledged as collateral in connection with contemporaneous repurchase and reverse repurchase agreements entered into with a single counterparty | 688,100 | |
Repurchase Agreement Borrowings | RPL/NPL MBS | ||
Collateral Positions | ||
Assets Pledged | 1,161,568 | 726,540 |
Collateral Held | 0 | 0 |
Repurchase Agreement Borrowings | U.S. Treasury securities | ||
Collateral Positions | ||
Assets Pledged | 0 | 472,095 |
Collateral Held | 0 | 0 |
Repurchase Agreement Borrowings | CRT securities | ||
Collateral Positions | ||
Assets Pledged | 504,931 | 595,900 |
Collateral Held | 0 | 0 |
Repurchase Agreement Borrowings | MSR related assets | ||
Collateral Positions | ||
Assets Pledged | 565,272 | 482,158 |
Collateral Held | 0 | 0 |
Repurchase Agreement Borrowings | Residential whole loans | ||
Collateral Positions | ||
Assets Pledged | 1,888,445 | 1,474,704 |
Collateral Held | 0 | 0 |
Repurchase Agreement Borrowings | Cash | ||
Collateral Positions | ||
Assets Pledged | 6,489 | 6,902 |
Collateral Held | 0 | 0 |
Reverse Repurchase Agreements | ||
Collateral Positions | ||
Assets Pledged | 0 | 0 |
Collateral Held | 0 | 504,062 |
Reverse Repurchase Agreements | U.S. Treasury securities | ||
Collateral Positions | ||
Assets Pledged | 0 | 0 |
Collateral Held | 0 | $ 504,062 |
Loan Securitization | ||
Collateral Positions | ||
Fair value of securities pledged as collateral under repurchase agreements | $ 27,000 |
Collateral Positions (Details 2) $ in Thousands |
Sep. 30, 2018
USD ($)
|
---|---|
Collateral Positions | |
Total Fair Value of Assets Pledged and Accrued Interest | $ 9,025,132 |
Agency MBS | |
Collateral Positions | |
Total Fair Value of Assets Pledged and Accrued Interest | 2,803,807 |
Legacy Non-Agency MBS | |
Collateral Positions | |
Total Fair Value of Assets Pledged and Accrued Interest | 2,084,071 |
RPL/NPL MBS | |
Collateral Positions | |
Total Fair Value of Assets Pledged and Accrued Interest | 1,162,552 |
CRT securities | |
Collateral Positions | |
Total Fair Value of Assets Pledged and Accrued Interest | 505,367 |
MSR related assets | |
Collateral Positions | |
Total Fair Value of Assets Pledged and Accrued Interest | 565,916 |
Residential whole loans | |
Collateral Positions | |
Total Fair Value of Assets Pledged and Accrued Interest | 1,896,930 |
Cash | |
Collateral Positions | |
Total Fair Value of Assets Pledged and Accrued Interest | 6,489 |
Repurchase Agreements and Other Advances | |
Collateral Positions | |
Fair Value | 8,994,641 |
Amortized Cost | 8,458,200 |
Accrued Interest on Pledged Assets | 27,607 |
Repurchase Agreements and Other Advances | Agency MBS | |
Collateral Positions | |
Fair Value | 2,792,396 |
Amortized Cost | 2,842,022 |
Accrued Interest on Pledged Assets | 8,527 |
Repurchase Agreements and Other Advances | Legacy Non-Agency MBS | |
Collateral Positions | |
Fair Value | 2,075,540 |
Amortized Cost | 1,548,906 |
Accrued Interest on Pledged Assets | 8,531 |
Repurchase Agreements and Other Advances | RPL/NPL MBS | |
Collateral Positions | |
Fair Value | 1,161,568 |
Amortized Cost | 1,162,829 |
Accrued Interest on Pledged Assets | 984 |
Repurchase Agreements and Other Advances | CRT securities | |
Collateral Positions | |
Fair Value | 504,931 |
Amortized Cost | 472,217 |
Accrued Interest on Pledged Assets | 436 |
Repurchase Agreements and Other Advances | MSR related assets | |
Collateral Positions | |
Fair Value | 565,272 |
Amortized Cost | 564,350 |
Accrued Interest on Pledged Assets | 644 |
Repurchase Agreements and Other Advances | Residential whole loans | |
Collateral Positions | |
Fair Value | 1,888,445 |
Amortized Cost | 1,861,387 |
Accrued Interest on Pledged Assets | 8,485 |
Repurchase Agreements and Other Advances | Cash | |
Collateral Positions | |
Fair Value | 6,489 |
Amortized Cost | 6,489 |
Accrued Interest on Pledged Assets | 0 |
Repurchase Agreements and Other Advances | Residential Loans At Fair Value | |
Collateral Positions | |
Fair Value | 1,200,000 |
Amortized Cost | 1,100,000 |
Total Fair Value of Assets Pledged and Accrued Interest | 685,100 |
Derivative Hedging Instruments | |
Collateral Positions | |
Fair Value | 2,877 |
Amortized Cost | 3,036 |
Accrued Interest on Pledged Assets | 7 |
Derivative Hedging Instruments | Agency MBS | |
Collateral Positions | |
Fair Value | 2,877 |
Amortized Cost | 3,036 |
Accrued Interest on Pledged Assets | 7 |
Derivative Hedging Instruments | Legacy Non-Agency MBS | |
Collateral Positions | |
Fair Value | 0 |
Amortized Cost | 0 |
Accrued Interest on Pledged Assets | 0 |
Derivative Hedging Instruments | RPL/NPL MBS | |
Collateral Positions | |
Fair Value | 0 |
Amortized Cost | 0 |
Accrued Interest on Pledged Assets | 0 |
Derivative Hedging Instruments | CRT securities | |
Collateral Positions | |
Fair Value | 0 |
Amortized Cost | 0 |
Accrued Interest on Pledged Assets | 0 |
Derivative Hedging Instruments | MSR related assets | |
Collateral Positions | |
Fair Value | 0 |
Amortized Cost | 0 |
Accrued Interest on Pledged Assets | 0 |
Derivative Hedging Instruments | Residential whole loans | |
Collateral Positions | |
Fair Value | 0 |
Amortized Cost | 0 |
Accrued Interest on Pledged Assets | 0 |
Derivative Hedging Instruments | Cash | |
Collateral Positions | |
Fair Value | 0 |
Amortized Cost | 0 |
Accrued Interest on Pledged Assets | 0 |
Loan Securitization | |
Collateral Positions | |
Amortized Cost | 27,000 |
Fair value of securities pledged as collateral under repurchase agreements | $ 27,000 |
Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands |
Sep. 30, 2018 |
Dec. 31, 2017 |
---|---|---|
Swaps, at fair value | ||
Gross Amounts of Recognized Assets | $ 22,311 | $ 679 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 22,311 | 679 |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||
Financial Instruments | (22,311) | (679) |
Cash Collateral Received | 0 | 0 |
Net Amount | 0 | 0 |
Swaps, at fair value | ||
Gross Amounts of Recognized Liabilities | 0 | 0 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheets | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||
Financial Instruments | 0 | 0 |
Cash Collateral Pledged | 0 | 0 |
Net Amount | 0 | 0 |
Repurchase agreements | ||
Gross Amounts of Recognized Liabilities | 7,278,289 | 6,614,907 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheets | 7,278,289 | 6,614,907 |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||
Financial Instruments | (7,271,800) | (6,608,005) |
Cash Collateral Pledged | (6,489) | (6,902) |
Net Amount | 0 | 0 |
Total | ||
Gross Amounts of Recognized Liabilities | 7,278,289 | 6,614,907 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheets | 7,278,289 | 6,614,907 |
Gross Amounts Not Offset in the Consolidated Balance Sheet | ||
Financial Instruments | (7,271,800) | (6,608,005) |
Cash Collateral Pledged | (6,489) | (6,902) |
Net Amount | 0 | 0 |
Additional disclosures | ||
Fair value of securities pledged against the swaps | 2,900 | 21,800 |
Fair value of financial instruments pledged against the repurchase agreements and other advances | 9,000,000 | 8,100,000 |
Unamortized debt issuance expense | 19 | 206 |
Swaps, at fair value | ||
Swaps, at fair value | ||
Gross Amounts of Recognized Assets | 22,311 | 679 |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheets | 22,311 | 679 |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||
Financial Instruments | (22,311) | (679) |
Cash Collateral Received | 0 | 0 |
Net Amount | $ 0 | $ 0 |
Other Liabilities (Details) - USD ($) $ in Thousands |
Sep. 30, 2018 |
Dec. 31, 2017 |
Sep. 30, 2017 |
---|---|---|---|
Other Liabilities [Abstract] | |||
Securitized debt | $ 714,203 | $ 363,944 | |
Obligation to return securities held as collateral, at fair value | 0 | 504,062 | |
Senior Notes | 96,805 | 96,773 | |
Dividends and dividend equivalents payable | 90,136 | 79,771 | $ 79,605 |
Accrued interest payable | 11,630 | 12,263 | |
Payable for unsettled MBS and residential whole loans purchases | 10,888 | 0 | |
Accrued expenses and other | 27,821 | 21,584 | |
Total Other Liabilities | $ 951,483 | $ 1,078,397 |
Other Liabilities (Senior Notes) (Details) - Senior Notes - USD ($) |
9 Months Ended | |
---|---|---|
Apr. 11, 2012 |
Sep. 30, 2018 |
|
Debt Instrument [Line Items] | ||
Proceeds from issuance of debt | $ 100,000,000.0 | |
Proceed from senior notes net of offering expenses and underwriting discount | $ 96,600,000 | |
Stated interest rate | 8.00% | |
Effective interest rate | 8.31% | |
Redemption price as percentage of principal amount | 100.00% |
Commitments and Contingencies (Lease Commitments) (Details) |
9 Months Ended |
---|---|
Sep. 30, 2018
USD ($)
lease
| |
Lease Commitments | |
Number of operating leases | lease | 2 |
Corporate headquarters | |
Lease Commitments | |
Irrevocable standby letter of credit provided to landlord | $ 785,000 |
Corporate headquarters | High end of range | |
Lease Commitments | |
Aggregate annual lease payments | 2,500,000 |
Off-site back-up facility | High end of range | |
Lease Commitments | |
Aggregate annual lease payments | $ 32,000 |
Commitments and Contingencies (Corporate Loans) (Details) - Corporate Loan - USD ($) |
Sep. 30, 2018 |
Mar. 31, 2018 |
Dec. 31, 2016 |
---|---|---|---|
Other Commitments [Line Items] | |||
Commitment to lend | $ 100,000,000 | $ 130,000,000 | |
Amount drawn | $ 60,100,000 | $ 124,200,000 |
Commitments and Contingencies (MBS Purchase Commitments) (Details) $ in Millions |
Sep. 30, 2018
USD ($)
|
---|---|
Non-Agency MBS | |
Other Commitments [Line Items] | |
Other commitment | $ 2.3 |
Commitments and Contingencies (Residential Whole Loan Purchase Commitments) (Details) - USD ($) $ in Millions |
Sep. 30, 2018 |
Sep. 30, 2017 |
---|---|---|
Other Commitments [Line Items] | ||
Other loans held at carrying value excluded | $ 8.6 | |
Other residential whole loans | ||
Other Commitments [Line Items] | ||
Other loans held at carrying value excluded | 6.8 | |
Residential whole loans | ||
Other Commitments [Line Items] | ||
Excluded amount, unsettled purchases, residential whole loans, at fair value | $ 1.8 | $ 120.4 |
Commitments and Contingencies (Rehabilitation Loan Commitments) (Details) $ in Millions |
Sep. 30, 2018
USD ($)
|
---|---|
Commitments and Contingencies Disclosure [Abstract] | |
Unfunded commitment for rehabilitation loans | $ 43.9 |
Stockholders' Equity (Narrative) (Details) $ / shares in Units, $ in Thousands |
3 Months Ended | 9 Months Ended | 12 Months Ended | 181 Months Ended | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 13, 2018
$ / shares
|
Aug. 20, 2018
$ / shares
|
Jun. 07, 2018
$ / shares
|
May 17, 2018
$ / shares
|
Mar. 07, 2018
$ / shares
|
Feb. 20, 2018
$ / shares
|
Apr. 15, 2013
$ / shares
shares
|
Sep. 30, 2018
USD ($)
$ / shares
shares
|
Sep. 30, 2017
USD ($)
$ / shares
|
Sep. 30, 2018
USD ($)
director
quarter
$ / shares
shares
|
Sep. 30, 2017
USD ($)
$ / shares
|
Dec. 31, 2017
USD ($)
$ / shares
shares
|
Sep. 30, 2018
USD ($)
$ / shares
shares
|
Sep. 16, 2016
shares
|
Dec. 31, 2013
shares
|
Aug. 31, 2005
shares
|
|
Stockholders' Equity | ||||||||||||||||
Preferred stock, shares issued | 8,000,000 | 8,000,000 | 8,000,000 | 8,000,000 | ||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||||||
Preferred stock, dividend rate (as a percent) | 7.50% | 7.50% | ||||||||||||||
Maximum quarters without dividends to get voting rights, in quarters | quarter | 6 | |||||||||||||||
Common stock, cash dividends declared (in dollars per share) | $ / shares | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.20 | $ 0.60 | $ 0.60 | |||||||||
Dividends and dividend equivalents declared and unpaid | $ | $ 90,136 | $ 79,605 | $ 90,136 | $ 79,605 | $ 79,771 | $ 90,136 | ||||||||||
Aggregate number of shares of common stock authorized (in shares) | 886,950,000 | 886,950,000 | 886,950,000 | 886,950,000 | ||||||||||||
Number of shares authorized to be repurchased under the Repurchase Program (in shares) | 10,000,000.0 | 4,000,000.0 | ||||||||||||||
Repurchase of shares of common stock (in shares) | 0 | |||||||||||||||
Number of remaining shares authorized to be repurchased under the Repurchase Program (in shares) | 6,616,355 | 6,616,355 | 6,616,355 | |||||||||||||
DRSPP | ||||||||||||||||
Stockholders' Equity | ||||||||||||||||
Aggregate number of shares of common stock authorized (in shares) | 15,000,000 | |||||||||||||||
Shares of common stock authorized and available for issuance (in shares) | 11,900,000 | 11,900,000 | 11,900,000 | |||||||||||||
Common shares issued through DRSPP (in shares) | 64,731 | 302,264 | 33,978,241 | |||||||||||||
Net proceeds from shares issued through DRSPP | $ | $ 519 | $ 2,200 | $ 283,700 | |||||||||||||
Series B | ||||||||||||||||
Stockholders' Equity | ||||||||||||||||
Dividend declared per share, preferred stock (in dollars per share) | $ / shares | $ 0.46875 | $ 0.46875 | $ 0.46875 | |||||||||||||
Preferred Stock | Series B | ||||||||||||||||
Stockholders' Equity | ||||||||||||||||
Preferred stock, shares issued | 8,000,000.0 | |||||||||||||||
Preferred stock, par value (in dollars per share) | $ / shares | $ 0.01 | |||||||||||||||
Preferred stock, liquidation preference (in dollars per share) | $ / shares | $ 25.00 | $ 25.00 | $ 25.00 | $ 25 | $ 25.00 | |||||||||||
Preferred stock, dividend rate (as a percent) | 7.50% | 7.50% | 7.50% | |||||||||||||
Preferred stock, redemption price (in dollars per share) | $ / shares | $ 25.00 | |||||||||||||||
Number of additional directors that can be elected by preferred stock holders | director | 2 | |||||||||||||||
Minimum percentage of preferred shareholders required for approval (percent) | 66.67% |
Stockholders' Equity (Public Offering of Common Stock) (Details) - USD ($) $ / shares in Units, $ in Thousands |
9 Months Ended | 12 Months Ended | |||
---|---|---|---|---|---|
Sep. 05, 2018 |
May 10, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
Dec. 31, 2017 |
|
Subsidiary, Sale of Stock [Line Items] | |||||
Issuance costs | $ 350 | $ 412 | |||
Public Offering | |||||
Subsidiary, Sale of Stock [Line Items] | |||||
Shares issues (in shares) | 875,000 | ||||
Shares Issued | 50,875,000 | 23,000,000 | |||
Gross Proceeds Per Share (USD per share) | $ 7.78 | $ 7.85 | |||
Gross Proceeds | $ 395,807 | $ 180,550 | |||
Issuance costs | $ 6,500 | $ 2,300 |
Stockholders' Equity (Accumulated Other Comprehensive Income/(Loss)) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Components of accumulated other comprehensive income/(loss) | ||||
OCI before reclassifications | $ (28,888) | $ (57,276) | ||
Amounts reclassified from AOCI | (9,455) | $ (14,935) | (25,580) | $ (31,315) |
Net OCI during the period | (38,343) | (2,156) | (82,856) | 56,544 |
Total AOCI | ||||
Components of accumulated other comprehensive income/(loss) | ||||
Balance at beginning of period | 564,711 | 632,382 | 609,224 | 573,682 |
OCI before reclassifications | 12,779 | 87,859 | ||
Amounts reclassified from AOCI | (14,935) | (31,315) | ||
Net OCI during the period | (2,156) | 56,544 | ||
Balance at end of period | 526,368 | 630,226 | 526,368 | 630,226 |
Net Unrealized Gain/(Loss) on AFS Securities | ||||
Components of accumulated other comprehensive income/(loss) | ||||
Balance at beginning of period | 548,551 | 668,223 | 620,648 | 620,403 |
OCI before reclassifications | (34,278) | 6,988 | (90,250) | 71,188 |
Amounts reclassified from AOCI | (9,455) | (14,935) | (25,580) | (31,315) |
Net OCI during the period | (43,733) | (7,947) | (115,830) | 39,873 |
Balance at end of period | 504,818 | 660,276 | 504,818 | 660,276 |
Net (Loss)/Gain on Swaps | ||||
Components of accumulated other comprehensive income/(loss) | ||||
Balance at beginning of period | 16,160 | (35,841) | (11,424) | (46,721) |
OCI before reclassifications | 5,390 | 5,791 | 32,974 | 16,671 |
Amounts reclassified from AOCI | 0 | 0 | 0 | 0 |
Net OCI during the period | 5,390 | 5,791 | 32,974 | 16,671 |
Balance at end of period | $ 21,550 | $ (30,050) | $ 21,550 | $ (30,050) |
Stockholders' Equity (Amounts Reclassified out of AOCI) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
Dec. 31, 2017 |
|
Amounts Reclassified from AOCI | |||||
Realized gain on sale of securities | $ 16,415 | $ 14,933 | $ 32,661 | $ 30,530 | |
Net Income Available to Common Stock and Participating Securities | 83,382 | 60,055 | 229,672 | 210,549 | |
Total reclassifications for period | (9,455) | (14,935) | (25,580) | (31,315) | |
Accumulated Other Comprehensive Income/(Loss) | |||||
Unrealized losses recorded in AOCI on securities for which Other-than-temporary impairments had been recognized in earnings in prior periods | 0 | 0 | $ 0 | ||
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 | (9,455) | (14,935) | (25,580) | (30,283) | |
OTTI recognized in earnings | 0 | (1,032) | |||
Net Income Available to Common Stock and Participating Securities | $ (9,455) | $ (14,935) | $ (25,580) | $ (31,315) |
EPS Calculation (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Numerator: | ||||
Net income | $ 87,132 | $ 63,805 | $ 240,922 | $ 221,799 |
Dividends declared on preferred stock | (3,750) | (3,750) | (11,250) | (11,250) |
Dividends, dividend equivalents and undistributed earnings allocated to participating securities | (472) | (409) | (1,393) | (1,299) |
Net income to common stockholders - basic and diluted | $ 82,910 | $ 59,646 | $ 228,279 | $ 209,250 |
Denominator: | ||||
Weighted average common shares for basic and diluted earnings per share (in shares) | 428,713 | 396,698 | 408,614 | 385,282 |
Basic and diluted earnings per share (in dollars per share) | $ 0.19 | $ 0.15 | $ 0.56 | $ 0.54 |
Anti-dilutive securities excluded from diluted earnings per share calculations (in shares) | 2,300 | 2,200 | ||
RSUs | ||||
Denominator: | ||||
Weighted average grant date fair value (in dollars per share) | $ 6.72 | $ 6.72 |
Equity Compensation, Employment Agreements and Other Benefit Plans (Narrative) (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
Dec. 31, 2017 |
|
Share based compensation | |||||
Maximum shares authorized for grant | 12,000,000.0 | 12,000,000.0 | |||
Shares available for grant (in shares) | 5,700,000 | 5,700,000 | |||
RSUs | |||||
Share based compensation | |||||
Awards granted (in shares) | 0 | 0 | 843,802 | 898,945 | |
Forfeitures (in shares) | 20,000 | 0 | |||
Unrecognized compensation cost | $ 6.2 | $ 6.2 | $ 4.1 | ||
Period for recognizing unrecognized compensation cost | 1 year 9 months 29 days | ||||
Restricted shares of common stock | |||||
Share based compensation | |||||
Awards granted (in shares) | 0 | 0 | |||
Share-based awards outstanding (in shares) | 0 | 0 | |||
Equity Compensation Plan | |||||
Share based compensation | |||||
Maximum number of common shares that can be granted to participant in any one year | 1,500,000.0 | ||||
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, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Share based compensation | ||||
Allocated expense | $ 1,082 | $ 1,910 | $ 3,891 | $ 5,369 |
RSUs | ||||
Share based compensation | ||||
Allocated expense | 1,082 | 1,836 | 3,891 | 5,194 |
Restricted shares of common stock | ||||
Share based compensation | ||||
Allocated expense | $ 0 | $ 74 | $ 0 | $ 175 |
Equity Compensation, Employment Agreements and Other Benefit Plans (Details 2) $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2018
USD ($)
officer
|
Sep. 30, 2017
USD ($)
|
Sep. 30, 2018
USD ($)
officer
|
Sep. 30, 2017
USD ($)
|
Dec. 31, 2017
USD ($)
|
|
Deferred Compensation Activity | |||||
Number of officers having employment agreements with the company | officer | 4 | 4 | |||
Deferred Compensation Plans | |||||
Deferred Compensation Activity | |||||
Deferrable compensation by the employee, maximum | 100.00% | ||||
Non-employee directors | $ (22) | $ 125 | $ 0 | $ 339 | |
Undistributed Income Deferred | 2,100 | 2,100 | $ 1,688 | ||
Liability Under Deferred Plans | 2,420 | 2,420 | 2,056 | ||
Deferred Compensation Plans | Non-employee directors | |||||
Deferred Compensation Activity | |||||
Non-employee directors | (22) | 125 | 0 | 339 | |
Undistributed Income Deferred | 2,100 | 2,100 | 1,688 | ||
Liability Under Deferred Plans | 2,420 | $ 2,420 | $ 2,056 | ||
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 | $ 89 | $ 88 | $ 282 | $ 263 |
Fair Value of Financial Instruments (Narrative) (Details) $ in Thousands |
Sep. 30, 2018
USD ($)
|
Jun. 30, 2018
USD ($)
|
Dec. 31, 2017
USD ($)
|
Sep. 30, 2017
USD ($)
|
Jun. 30, 2017
USD ($)
|
Dec. 31, 2016
USD ($)
|
---|---|---|---|---|---|---|
Carrying value and estimated fair value of financial instruments | ||||||
Real estate owned | $ 223,105 | $ 192,162 | $ 152,356 | $ 137,979 | $ 104,443 | $ 80,503 |
Other real estate, fair value | $ 246,000 | $ 175,800 | ||||
Expected Dividend Rate | Minimum | Term notes backed by MSR related collateral | ||||||
Carrying value and estimated fair value of financial instruments | ||||||
Measurement input | 0.049 | |||||
Expected Dividend Rate | Maximum | Term notes backed by MSR related collateral | ||||||
Carrying value and estimated fair value of financial instruments | ||||||
Measurement input | 0.062 | |||||
Discount rate | Term notes backed by MSR related collateral | ||||||
Carrying value and estimated fair value of financial instruments | ||||||
Measurement input | 0.0562 |
Fair Value of Financial Instruments (Fair Value Hierarchy) (Details) - USD ($) |
Sep. 30, 2018 |
Dec. 31, 2017 |
||
---|---|---|---|---|
Assets: | ||||
Available-for-sale securities | $ 6,779,045,000 | $ 7,023,050,000 | ||
Residential whole loans, at fair value | [1] | 1,449,365,000 | 1,325,115,000 | |
Securities obtained and pledged as collateral | 0 | 504,062,000 | ||
Swaps | 22,311,000 | 679,000 | ||
Total assets carried at fair value | 8,755,916,000 | 9,234,710,000 | ||
Liabilities: | ||||
Obligation to return securities obtained as collateral | 0 | 504,062,000 | ||
Total liabilities carried at fair value | 0 | 504,062,000 | ||
Agency MBS | ||||
Assets: | ||||
Available-for-sale securities | 2,905,490,000 | 2,824,681,000 | ||
Non-Agency MBS | ||||
Assets: | ||||
Available-for-sale securities | 3,334,610,000 | 3,533,966,000 | ||
CRT securities | ||||
Assets: | ||||
Available-for-sale securities | 538,945,000 | 664,403,000 | ||
Term notes backed by MSR related collateral | ||||
Assets: | ||||
Term notes backed by MSR related collateral | 505,195,000 | 381,804,000 | ||
Residential whole loans | ||||
Assets: | ||||
Residential whole loans, at fair value | 1,449,365,000 | 1,325,115,000 | ||
Level 1 | ||||
Assets: | ||||
Securities obtained and pledged as collateral | 0 | 504,062,000 | ||
Swaps | 0 | 0 | ||
Total assets carried at fair value | 0 | 504,062,000 | ||
Liabilities: | ||||
Obligation to return securities obtained as collateral | 0 | 504,062,000 | ||
Total liabilities carried at fair value | 0 | 504,062,000 | ||
Level 1 | Agency MBS | ||||
Assets: | ||||
Available-for-sale securities | 0 | 0 | ||
Level 1 | Non-Agency MBS | ||||
Assets: | ||||
Available-for-sale securities | 0 | 0 | ||
Level 1 | CRT securities | ||||
Assets: | ||||
Available-for-sale securities | 0 | 0 | ||
Level 1 | Term notes backed by MSR related collateral | ||||
Assets: | ||||
Term notes backed by MSR related collateral | 0 | 0 | ||
Level 1 | Residential whole loans | ||||
Assets: | ||||
Residential whole loans, at fair value | 0 | 0 | ||
Level 2 | ||||
Components of financial instruments carried at fair value | ||||
Credit valuation adjustment to derivative liabilities | 0 | |||
Credit valuation adjustment to derivative assets | 0 | |||
Assets: | ||||
Securities obtained and pledged as collateral | 0 | 0 | ||
Swaps | 22,311,000 | 679,000 | ||
Total assets carried at fair value | 6,801,356,000 | 7,023,729,000 | ||
Liabilities: | ||||
Obligation to return securities obtained as collateral | 0 | 0 | ||
Total liabilities carried at fair value | 0 | 0 | ||
Level 2 | Agency MBS | ||||
Assets: | ||||
Available-for-sale securities | 2,905,490,000 | 2,824,681,000 | ||
Level 2 | Non-Agency MBS | ||||
Assets: | ||||
Available-for-sale securities | 3,334,610,000 | 3,533,966,000 | ||
Level 2 | CRT securities | ||||
Assets: | ||||
Available-for-sale securities | 538,945,000 | 664,403,000 | ||
Level 2 | Term notes backed by MSR related collateral | ||||
Assets: | ||||
Term notes backed by MSR related collateral | 0 | 0 | ||
Level 2 | Residential whole loans | ||||
Assets: | ||||
Residential whole loans, at fair value | 0 | 0 | ||
Level 3 | ||||
Assets: | ||||
Securities obtained and pledged as collateral | 0 | 0 | ||
Swaps | 0 | 0 | ||
Total assets carried at fair value | 1,954,560,000 | 1,706,919,000 | ||
Liabilities: | ||||
Obligation to return securities obtained as collateral | 0 | 0 | ||
Total liabilities carried at fair value | 0 | 0 | ||
Level 3 | Agency MBS | ||||
Assets: | ||||
Available-for-sale securities | 0 | 0 | ||
Level 3 | Non-Agency MBS | ||||
Assets: | ||||
Available-for-sale securities | 0 | 0 | ||
Level 3 | CRT securities | ||||
Assets: | ||||
Available-for-sale securities | 0 | 0 | ||
Level 3 | Term notes backed by MSR related collateral | ||||
Assets: | ||||
Term notes backed by MSR related collateral | 505,195,000 | 381,804,000 | ||
Level 3 | Residential whole loans | ||||
Assets: | ||||
Residential whole loans, at fair value | $ 1,449,365,000 | $ 1,325,115,000 | ||
|
Fair Value of Financial Instruments (Level 3 Assets) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
|
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Purchase credit impaired loans transaction closed in current period which were purchased in prior periods | $ 54,900 | $ 97,900 | $ 54,900 | $ 97,900 |
Residential Whole Loans, at Fair Value (1) | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Purchase credit impaired loans transaction closed in current period which were purchased in prior periods | 34,400 | 92,700 | 34,400 | 92,700 |
Recurring basis | Level 3 | Residential Whole Loans, at Fair Value (1) | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance at beginning of period | 1,468,540 | 744,072 | 1,325,115 | 814,682 |
Purchases and capitalized advances | 76,566 | 284,930 | 393,867 | 295,094 |
Changes in fair value recorded in Net gain on residential whole loans held at fair value | 8,442 | 5,289 | 26,788 | 12,499 |
Collection of principal, net of liquidation gains/losses | (54,331) | (17,670) | (155,199) | (53,366) |
Repurchases | (561) | (257) | (1,623) | (1,013) |
Transfer to REO | (51,089) | (33,214) | (141,381) | (84,746) |
Balance at end of period | 1,447,567 | 983,150 | 1,447,567 | 983,150 |
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 | 381,390 | 273,961 | 381,804 | 0 |
Purchases and capitalized advances | 290,042 | 161,000 | 439,392 | 311,000 |
Collection of principal, net of liquidation gains/losses | (166,120) | (123,961) | (316,120) | (140,980) |
Changes in unrealized gain/losses | (117) | 563 | 119 | 563 |
Transfers from Level 2 to Level 3 (1) | 0 | 0 | 0 | 140,980 |
Balance at end of period | 505,195 | 311,563 | 505,195 | 311,563 |
Residential whole loans | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Excluded amount, unsettled purchases, residential whole loans, at fair value | $ 1,800 | $ 120,400 | $ 1,800 | $ 120,400 |
Fair Value of Financial Instruments (Fair Value Methodology) (Details) $ in Thousands |
9 Months Ended | 12 Months Ended |
---|---|---|
Sep. 30, 2018
USD ($)
|
Dec. 31, 2017
USD ($)
|
|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential whole loans, at fair value | $ 1,377,440 | $ 951,811 |
Purchases excluded from level 2 fair value | 70,100 | 373,300 |
Discounted cash flow | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential whole loans, at fair value | 693,874 | 358,871 |
Liquidation model | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Residential whole loans, at fair value | 683,566 | 592,940 |
Simple average amount | $ 378 | $ 336 |
Residential whole loans | Level 3 | Liquidation model | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Annual change in home prices | (1.00%) | (8.00%) |
Liquidation timeline (in years) | 1 month 6 days | 1 month 6 days |
Current value of underlying properties | $ 2 | $ 0 |
Residential whole loans | Level 3 | Liquidation model | Maximum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Annual change in home prices | 11.80% | 8.80% |
Liquidation timeline (in years) | 4 years 6 months | 4 years 6 months |
Current value of underlying properties | $ 7,950 | $ 9,900 |
Discount rate | Residential whole loans | Level 3 | Discounted cash flow | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.045 | 0.045 |
Discount rate | Residential whole loans | Level 3 | Discounted cash flow | Maximum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.080 | 0.130 |
Discount rate | Residential whole loans | Level 3 | Discounted cash flow | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.053 | 0.055 |
Discount rate | Residential whole loans | Level 3 | Liquidation model | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.061 | 0.061 |
Discount rate | Residential whole loans | 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 | Level 3 | Liquidation model | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.082 | 0.080 |
Prepayment rate | Residential whole loans | Level 3 | Discounted cash flow | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.000 | 0.0115 |
Prepayment rate | Residential whole loans | Level 3 | Discounted cash flow | Maximum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.135 | 0.151 |
Prepayment rate | Residential whole loans | Level 3 | Discounted cash flow | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.038 | 0.041 |
Prepayment rate | Residential whole loans | Level 3 | Liquidation model | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.033 | 0.025 |
Default rate | Residential whole loans | Level 3 | Discounted cash flow | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.000 | 0.000 |
Default rate | Residential whole loans | Level 3 | Discounted cash flow | Maximum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.310 | 0.065 |
Default rate | Residential whole loans | Level 3 | Discounted cash flow | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.027 | 0.029 |
Default rate | Residential whole loans | 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 7 months 6 days |
Loss severity | Residential whole loans | Level 3 | Discounted cash flow | Minimum | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.000 | 0.000 |
Loss severity | Residential whole loans | 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 | Level 3 | Discounted cash flow | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Measurement input | 0.130 | 0.138 |
Loss severity | Residential whole loans | Level 3 | Liquidation model | Weighted Average | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Current value of underlying properties | $ 767 | $ 772 |
Fair Value of Financial Instruments (Carrying Value vs Fair Value) (Details) - USD ($) $ in Thousands |
Sep. 30, 2018 |
Dec. 31, 2017 |
|||
---|---|---|---|---|---|
Carrying value and estimated fair value of financial instruments | |||||
Other real estate, fair value | $ 246,000 | $ 175,800 | |||
Financial Assets: | |||||
Available-for-sale securities | 6,779,045 | 7,023,050 | |||
MSR related assets | 565,272 | 492,080 | |||
Residential whole loans, at carrying value | [1] | 2,471,567 | 908,516 | ||
Residential whole loans, at fair value | [1] | 1,449,365 | 1,325,115 | ||
Securities obtained and pledged as collateral | 0 | 504,062 | |||
Restricted cash | 6,489 | 13,307 | |||
Swaps | 22,311 | 679 | |||
Financial Liabilities (1): | |||||
Repurchase agreements | 7,278,270 | 6,614,701 | |||
Securitized debt | 714,203 | 363,944 | |||
Obligation to return securities obtained as collateral | 0 | 504,062 | |||
Senior Notes | 96,805 | 96,773 | |||
Carrying Value | |||||
Financial Assets: | |||||
MSR related assets | 565,272 | 492,080 | |||
Securities obtained and pledged as collateral | 0 | 504,062 | |||
Cash and cash equivalents | 104,186 | 449,757 | |||
Restricted cash | 6,489 | 13,307 | |||
Swaps | 22,311 | 679 | |||
Financial Liabilities (1): | |||||
Repurchase agreements | 7,278,270 | 6,614,701 | |||
Securitized debt | 714,203 | 363,944 | |||
Obligation to return securities obtained as collateral | 0 | 504,062 | |||
Senior Notes | 96,805 | 96,773 | |||
Estimated Fair Value | |||||
Financial Assets: | |||||
MSR related assets | 565,272 | 493,026 | |||
Securities obtained and pledged as collateral | 0 | 504,062 | |||
Cash and cash equivalents | 104,186 | 449,757 | |||
Restricted cash | 6,489 | 13,307 | |||
Swaps | 22,311 | 679 | |||
Financial Liabilities (1): | |||||
Repurchase agreements | 7,289,006 | 6,623,255 | |||
Securitized debt | 713,783 | 366,109 | |||
Obligation to return securities obtained as collateral | 0 | 504,062 | |||
Senior Notes | 100,791 | 103,729 | |||
Agency MBS | |||||
Financial Assets: | |||||
Available-for-sale securities | 2,905,490 | 2,824,681 | |||
Financial Liabilities (1): | |||||
Repurchase agreements | 2,584,097 | 2,501,340 | |||
Agency MBS | Carrying Value | |||||
Financial Assets: | |||||
Available-for-sale securities | 2,905,490 | 2,824,681 | |||
Agency MBS | Estimated Fair Value | |||||
Financial Assets: | |||||
Available-for-sale securities | 2,905,490 | 2,824,681 | |||
Non-Agency MBS | |||||
Financial Assets: | |||||
Available-for-sale securities | 3,334,610 | 3,533,966 | |||
Financial Liabilities (1): | |||||
Repurchase agreements | 1,592,067 | 1,256,033 | |||
Non-Agency MBS | Carrying Value | |||||
Financial Assets: | |||||
Available-for-sale securities | 3,334,610 | 3,533,966 | |||
Non-Agency MBS | Estimated Fair Value | |||||
Financial Assets: | |||||
Available-for-sale securities | 3,334,610 | 3,533,966 | |||
CRT securities | |||||
Financial Assets: | |||||
Available-for-sale securities | 538,945 | 664,403 | |||
Financial Liabilities (1): | |||||
Repurchase agreements | 405,168 | 459,058 | |||
CRT securities | Carrying Value | |||||
Financial Assets: | |||||
Available-for-sale securities | 538,945 | 664,403 | |||
CRT securities | Estimated Fair Value | |||||
Financial Assets: | |||||
Available-for-sale securities | 538,945 | 664,403 | |||
Residential whole loans | |||||
Financial Assets: | |||||
Residential whole loans, at fair value | 1,449,365 | 1,325,115 | |||
Financial Liabilities (1): | |||||
Repurchase agreements | 1,347,946 | 1,043,747 | |||
Residential whole loans | Carrying Value | |||||
Financial Assets: | |||||
Residential whole loans, at carrying value | 2,471,567 | 908,516 | |||
Residential whole loans, at fair value | 1,449,365 | 1,325,115 | |||
Residential whole loans | Estimated Fair Value | |||||
Financial Assets: | |||||
Residential whole loans, at carrying value | 2,549,927 | 988,688 | |||
Residential whole loans, at fair value | $ 1,449,365 | $ 1,325,115 | |||
|
Use of Special Purpose Entities and Variable Interest Entities (Loan Securitization Transaction) (Details) - USD ($) |
1 Months Ended | 9 Months Ended | 12 Months Ended | ||
---|---|---|---|---|---|
Jul. 31, 2018 |
May 31, 2018 |
Sep. 30, 2018 |
Dec. 31, 2017 |
Jul. 30, 2018 |
|
Variable Interest Entity [Line Items] | |||||
Outstanding amount of Senior Bonds | $ 96,805,000 | $ 96,773,000 | |||
Asset-backed Securities, Securitized Loans and Receivables | |||||
Variable Interest Entity [Line Items] | |||||
Aggregate fair value | $ 319,100,000 | $ 1,290,029,000 | $ 620,924,000 | $ 347,700,000 | |
Weighted average interest rate | 3.65% | 3.14% | |||
Cash received | $ 802,815,000 | $ 382,845,000 | |||
Outstanding amount of Senior Bonds | 714,203,000 | 363,944,000 | |||
Debt issuance cost | 4,100,000 | 2,300,000 | |||
Senior Notes | Asset-backed Securities, Securitized Loans and Receivables | |||||
Variable Interest Entity [Line Items] | |||||
Principal amount of Securitized debt | 802,817,000 | 382,847,000 | |||
Proceeds from Senior bond sold with Step up feature | 604,700,000 | $ 233,700,000 | |||
Debt instrument, basis spread on variable rate | 300.00% | ||||
Debt instrument, coupon step-up period | 36 months | ||||
Rated and Non-Rated Certificates | Asset-backed Securities, Securitized Loans and Receivables | |||||
Variable Interest Entity [Line Items] | |||||
Principal amount of Securitized debt | $ 275,174,000 | $ 127,001,000 | |||
Trust, Ownership in Residential Whole Loans | Asset-backed Securities, Securitized Loans and Receivables | |||||
Variable Interest Entity [Line Items] | |||||
Cash received | $ 236,000,000 | 184,000,000 | |||
Trust, Ownership in Residential Whole Loans | Senior Notes | Asset-backed Securities, Securitized Loans and Receivables | |||||
Variable Interest Entity [Line Items] | |||||
Principal amount of Securitized debt | $ 183,970,000 | $ 236,000,000 | |||
Weighted average interest rate | 3.875% | 4.164% | |||
Trust, Ownership in Residential Whole Loans | Non Rated Certificates | Asset-backed Securities, Securitized Loans and Receivables | |||||
Variable Interest Entity [Line Items] | |||||
Principal amount of Securitized debt | $ 46,400,000 | $ 101,700,000 |
Use of Special Purpose Entities and Variable Interest Entities (Narrative) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2018 |
Sep. 30, 2017 |
Sep. 30, 2018 |
Sep. 30, 2017 |
Jun. 30, 2018 |
Dec. 31, 2017 |
Jun. 30, 2017 |
Dec. 31, 2016 |
||||
Variable Interest Entity [Line Items] | |||||||||||
Residential whole loans, at fair value | [1] | $ 1,449,365 | $ 1,449,365 | $ 1,325,115 | |||||||
Securitized debt | 714,203 | 714,203 | 363,944 | ||||||||
Total residential whole loans | 3,900,000 | 3,900,000 | 2,200,000 | ||||||||
Residential whole loans, at carrying value | [1] | 2,471,567 | 2,471,567 | 908,516 | |||||||
Real estate owned | 223,105 | $ 137,979 | 223,105 | $ 137,979 | $ 192,162 | 152,356 | $ 104,443 | $ 80,503 | |||
Other real estate, fair value | 246,000 | 246,000 | 175,800 | ||||||||
Residential whole loans held at carrying value | 29,524 | 9,026 | 61,788 | 26,219 | |||||||
Net gain on residential whole loans held at fair value | 34,942 | $ 18,679 | 105,883 | $ 48,660 | |||||||
Asset-backed Securities, Securitized Loans and Receivables | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Purchased credit impaired loans | 215,100 | 215,100 | 183,200 | ||||||||
Residential whole loans, at fair value | 723,800 | 723,800 | 289,300 | ||||||||
Securitized debt | 714,200 | 714,200 | 363,900 | ||||||||
Other Assets | Asset-backed Securities, Securitized Loans and Receivables | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Real estate owned at fair value | $ 61,000 | $ 61,000 | $ 5,500 | ||||||||
|